They could make the spread wider after the first 500 contracts go off in a certain interval. Even the in the S&P outcry pit in Chicago sometimes the bid/ask spr

They could make the spread wider after the first 500 contracts go off in a certain interval. Even the in the S&P outcry pit in Chicago sometimes the bid/ask spread goes wide or even no bid when things move too far or too fast for comfort. Next time a jobs number comes out or other financial data point look at the spread right before the number is released. These marker makers are survivors, if they're nervous about inventory risk they shrink size and you get thinner markets (bid/ask sizes) or wider spreads. Of course, if the options market shows something very out of sync with the underlying that is a signal that something is up or there is a market force that hasn't yet caused the underlying to move. Because an American option can be exercised anytime before expiration both options and the underlying stay pretty closely aligned with each other using the theoretical pricing model of each market maker. I'm sure this trader has programmers working on this problem and putting in some type of limiting such that he doesn't sell off 3000 contracts in one go for a very cheap option close to expiration. 3000 contracts is nothing in SPY options but for a single name stock (not an ETF) it can be considered a sizable trade compared to the open interest.