Bid-Ask Spreads on 0DTE: How I Get Clean Fills

Nobody talks about fills. Everyone talks about entries.

"Where do you enter?" they ask. Never "what price did you actually get?" But the difference between your planned entry and your actual fill is a silent tax on every trade you take. On 0DTE, that tax can be the entire trade.

I learned this watching my P&L not match my charts. The chart said I was up on the move. My account said otherwise. The gap was slippage, and it was eating me alive.

On 0DTE, the fill IS the edge. Here's how I get clean ones.

What the bid-ask spread actually costs you

The bid-ask spread is the gap between what buyers are offering and what sellers are asking. Every option has one. The wider it is, the more you overpay on entry and undersell on exit.

Do the math on a 0DTE scalp. Say your edge on a trade is a 20-cent move in the option. If the spread is 10 cents wide and you cross it both ways, you just gave up the entire edge to market makers. You were right on direction and still lost money.

That's not a bad trade. That's a bad fill on a good trade. And it happens to traders every single day who never think about it.

On 0DTE this is worse than on weeklies or monthlies, because your holding time is minutes. There's no time for the move to overcome a bad fill. The entry price is nearly the whole trade.

Rule 1: Limit orders only, never market orders

I never use market orders on options. Ever.

A market order says "fill me at whatever price is available right now." On a liquid $SPY ATM strike during calm conditions, that might cost you a penny or two. On a fast move, a wide spread, or a thin strike, it can cost you 10, 20, 30 cents. On a 0DTE contract worth a dollar, that's catastrophic.

A limit order says "fill me at this price or better, or don't fill me." That's the control you need.

My execution routine:

• Price the limit at mid-price. Take the bid and the ask, split the difference, set your limit there. That's the fair price. Start there.
• Walk it if you must. If mid doesn't fill in a few seconds and the trade is time-sensitive, step your limit one or two cents toward the ask. Never jump straight to the ask. Every cent you save is profit.
• No fill, no trade. If price runs away from your limit before you get filled, the trade is gone. Chasing the fill with a market order turns a planned entry into a slippage donation.

The urge to smash the market order button is strongest when price is moving fast. That's exactly when market orders cost the most. Discipline at the keyboard is the same discipline as discipline on the chart.

Rule 2: Wide spread means no trade

Before I click anything, I look at the spread.

If the bid-ask spread is wide relative to the option's price, I skip the strike. Sometimes I skip the trade entirely. A wide spread means the strike is illiquid, and illiquid means the market makers are charging you a premium for the privilege of trading there.

My quick check:

• ATM on $SPY: spreads are usually pennies. Green light.
• One or two strikes ITM or OTM on $SPY: still tight most of the day. Fine.
• Deep OTM or far ITM: spreads widen fast. Yellow light. Check the width against the premium before committing.
• Spread wider than 10% of the option's price: red light. Skip it. Find a better strike or sit out.

This is also why strike selection matters so much. The right strike isn't just about delta, it's about liquidity. I covered the full framework in my 0DTE strike selection guide: ATM default, ITM on A+ setups, and the spread check is baked into every decision.

Want to watch my executions in real time? I call every trade live in the free Bulls Corner Discord, entry, limit price, fill, all of it. Get in free here, just drop your email and you're inside.

Rule 3: Trade tickers with tight spreads (this is why it's $SPY)

Here's the uncomfortable truth: most tickers have terrible 0DTE spreads.

You find a great setup on some mid-cap name, you check the option chain, and the spread is 30 cents wide on a $1.50 contract. Your edge is gone before you start. The chart was beautiful. The fill was impossible.

This is the real reason I trade $SPY for 0DTE. Not just the price action, not just the familiarity. The liquidity. $SPY options have the tightest spreads in the entire market. Penny-wide on ATM strikes, all day. That means my planned entry and my actual fill are nearly the same thing.

I get asked about $QQQ too, and it's the same story: deep liquidity, tight spreads, tradeable all day. I compared the two directly in my $QQQ vs $SPY 0DTE breakdown if you're deciding between them.

The rule: if you can't get a clean fill, you don't have a trade. The ticker with the best chart but untradeable spreads loses to the ticker with a decent chart and penny spreads. Every time.

Rule 4: Watch spreads during fast moves and news

Spreads aren't static. They breathe.

During fast moves, market makers widen spreads to protect themselves. Around news releases, spreads can double or triple in seconds. That ATM strike with a 2-cent spread at 9:45 might have a 15-cent spread at 2:00 PM on FOMC day.

So the spread check isn't a one-time thing. I glance at it on every single order. If the spread blew out since I planned the trade, I either re-price my limit or skip the trade. The plan was made with a 3-cent spread. A 15-cent spread is a different trade.

This is one more reason my news-day rules include sizing down and spread awareness. Volatility doesn't just move price, it moves the cost of trading. Respect both.

The fill checklist

Before every 0DTE order, I run this in about three seconds:

• Limit order at mid-price. Never market. No exceptions.
• Spread check. Tight enough relative to the premium? Proceed. Wide? Skip or adjust the strike.
• Walk, don't jump. If mid doesn't fill, step toward the ask one or two cents at a time.
• No fill, no chase. Price ran without my fill? Trade's gone. Next train.
• Recheck on fast moves. Spreads widen when it matters most. Eyes open.

Stop donating to the spread

Every cent of slippage is a cent that doesn't need to leave your account.

Limit orders at mid-price. Never market orders. Wide spread means no trade. Trade the tickers with the tightest spreads, which is why $SPY is my home. Check the spread on every order, especially when things get fast.

The fill is the edge. Protect it like one.

If you want to see clean executions called live every morning, I trade $SPY and $QQQ 0DTEs and walk through every fill. The free Discord is where it happens, join free.

And if you want the whole system, every setup, every alert, plus my full course: the 7-day free trial gets you inside Premium free for a week.

See you at the next sweep.

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Free download: Want my complete 0DTE starter system as a PDF? Grab the SPY Options Mastery guide free here.

FAQ

What is the bid-ask spread in options trading?

The bid-ask spread is the gap between the highest price a buyer will pay (bid) and the lowest price a seller will accept (ask). You pay the ask to enter and receive the bid to exit, so a wide spread is a direct cost on every trade.

Should I use market orders or limit orders on 0DTE?

Limit orders, always. Market orders fill at whatever price is available, which can cost you 10 to 30 cents on a fast move or wide spread. I set my limit at mid-price and walk it a cent or two if needed. No fill means no trade.

What is a good bid-ask spread for 0DTE options?

On $SPY ATM strikes, spreads are usually pennies, which is ideal. My rule of thumb: if the spread is wider than about 10% of the option's price, skip the strike. Wide spread means illiquid, and illiquid means you're overpaying.

Why do option spreads widen during news events?

Market makers widen spreads when volatility spikes to protect themselves from fast price moves. Around FOMC, CPI, and other releases, spreads can double or triple. That's why I check the spread on every order and size down on news days.

Why does Big Bull trade $SPY for 0DTE instead of other tickers?

Liquidity. $SPY options have the tightest spreads in the market, so my planned entry and my actual fill are nearly identical. A great setup on a ticker with wide spreads isn't a trade, it's a slippage donation.

Risk note: everything on this blog is educational content from my own trading experience, not financial advice. Trading options involves substantial risk of loss.