What an options market order really costs

The price an option chain shows is the best one, and it comes with a size: how much is on offer at that price. A market order for more fills the rest at the next price, then the next, so what you pay on average is worse than the price on the screen. On an option, the next price can be some way off.

Every coin's futures and options page on the site has an options trade simulator that works it out: it walks each exchange's own book for one option, adds the fees, and puts the exchanges in order for your amount.

How does a market order fill?

A market buy takes the lowest ask first, then the next lowest when that runs out, until the amount is filled. Its average price is those prices weighted by how much it took at each; the gap between that and the best ask is the cost of being big. A sale walks down the bids the same way. On spot it's the same walk (order book depth).

Why does it cost more on options?

Because options books are thinner. A coin has one spot market on each exchange but a great many options, every strike of every expiry, a call and a put at each, and those who quote them spread their size across all of them. Each book holds less, and its prices sit further apart.

Near the money, where most of the trading is, the books are deepest and the spreads tightest. Away from it, less is on offer and the gaps widen, so the same amount walks further. The chain shows only the best price and what's on offer there (how to read one); beyond that, it's the book that counts.

What does the fee add?

A market order takes what's already in the book, so every fill pays a taker fee. The simulator counts each exchange's standard taker rate: a share of the coin's index price for each coin's worth of options, capped at a share of the option's own price. Each fill's fee is worked out at its own price, so on a cheap option far from the money the cap is what you pay.

How do you compare prices in different money?

Deribit by Coinbase and OKX price bitcoin's and ether's options in the coin, Bybit in tether (USDT); Solana's and XRP's are in dollars or a dollar token, such as USDC (coin-settled against tether options). So the simulator gives each average price in the exchange's own money and in dollars: the coin at each exchange's own forward, tether and USDC at Kraken's rates.

Dollars say what you'd pay. The implied volatility the average works out to, at the exchange's own forward, compares the same option straight across exchanges whatever its money (implied volatility explained). A large buy pays a higher volatility than the best price alone: the walk through the book, in volatility points.

Why can the cheapest exchange change with the amount?

Because the lowest price and the most behind it aren't always on the same exchange. Say B has the lowest ask but only 4 at it, C a little more with 12, and A a little more again with 30. A market buy on each, fees in:

Example figures, not market data.

For 1, B's price wins. For 10, B runs out and fills the rest higher, so C is cheapest. For 50, A's depth wins: $123.67 less than B, the exchange with the lowest price. The simulator's cheapest is the cheapest for your amount alone.

Is selling the same?

Yes, the other way round. A market sale takes the highest bid, then the next lower, so its average is below the best bid, and the fee comes off what you get. Switch Side to Sell and the best is the exchange that pays the most, not the least: Pays the most, Against the worst and Volatility you get.

How to use the options trade simulator

1. Open a coin's futures and options page, Bitcoin's for one: the Options trade simulator is after the chain.
2. Choose the Side, Expiry, Strike (the one at the money is marked) and Call or Put, then an amount in the coin, typed or from the round amounts beside the box. Fees are in unless you switch off Include taker fees.
3. Read Cheapest, the exchange that fills it for least, with its total; Against the dearest, how much less that is than the dearest that fills it all; and Volatility you pay, what its average price works out to.
4. Then the table, the cheapest first and marked Best: each exchange's average price in dollars and in its own money, its volatility, How it fills (how much at each price), the fee, what You pay and Against the best. A book that can't fill the amount says how much it holds.
5. On bitcoin's and ether's pages, Buy on one, sell on the other? says whether Deribit by Coinbase's and OKX's best prices cross on that option.

What it leaves out

• Books move. They're asked for every minute while the card is on the page, so prices are up to a minute old.
• A market order isn't the only way to trade. A limit order waits in the book at your price instead of walking it, and may not fill.
• Closing costs again. Selling before expiry walks the bids and pays another fee.
• Standard rates. Each exchange's standard taker rate, not the one at your own tier.

Where to find it

The simulator is on every coin's futures and options page: Bitcoin's, Ethereum's, Solana's and XRP's. The futures and options index lists every coin with options on two or more exchanges, and the scoreboard ranks the options exchanges. For when one exchange's bid is above another's ask, see crypto options arbitrage.

Not financial advice. Books move while you read them.