Totally agree on your points. I think for most retail traders it's fine to be happy with whatever you get at ± 20 bps from an average of the last few hours fills. It's going to be less than most margin rates and is fixed."You can likely get a few bps of price improvement from ask if you wait a few hours and you send an order at current bid or mid." - I'm not sure if that works, especially if you don't have access to the complex order book, which no retail broker provides.
The market fluctuations might be larger than the "effective" buy/sell spread, which makes it hard to determine the mid price. In my experience different strike price combinations even of the same size, have different liquidity. If you leave standing limit orders for hours, you *might* get a spontaneous fill, especially if you use common strikes like 4000-5000, but you are also subject to adverse selection when the market moves based on liquidity or on news related to interest rates.
If trying for more, I would start on the bid side on boxtrades.com and creep the limit order a few bps up until you get a fill. I have no idea where this order book is provided from, but I think it's a decent free source of info.
In short duration box spreads, there is less of a risk of the market moving on you strongly as the interest rate risk is less. I think it is ok sit on the order longer compared to longer duration ones.
Statistics: Posted by half_day — Mon Dec 23, 2024 1:45 pm — Replies 659 — Views 99781