<< I have had a number of experiences this past week where the MM's moved the bid/ask when I put an option sell order in at the bid. Have you seen this often? >>
There are several possibilities here. For example, your quote system may not be giving you the latest realtime quote. For example, I know that WindowonWallStreet is bad in this respect, it may be a minute or two behind. Not sure about others. Also possible that the quote changed on you. IMO the most likely one is that your order was not routed to the exchange where the bid price was established. Variations of 1/4 or more are not unusual among the exchanges. The composite quote you see on most realtime quote systems is supposed to be the highest bid and lowest ask, but the routing algorithm your broker uses may not route to best price. Other possibilities; did you specify all or none? Was volume more than 10? Was it a market or limit order? Also possible of course that you have been ripped off by the MM. One thing I would NOT do is put in market orders in this market; there the MMs really DO have a license to steal.
Unless you want to take advantage of an expected large gap opening on a listed stock, for example buying calls at market, so as to get in on the opening, when the market is expected to gap down on bad news, where the expectation is that there will be a bounce within the first half-hour or so as shorts cover, (this strategy can be quite profitable at times), I prefer limit orders after a price has been established.
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