Not all strikes are equally tradable. Liquidity — how much size sits on the bid and ask and how tight the spread is — concentrates at certain strikes and thins out at others. Trading where it's deep is one of the least glamorous, most reliable edges in scalping.
Where liquidity concentrates
Two forces pull it together. First, near-the-money strikes attract the most flow because that's where directional traders and hedgers act. Second, round-number strikes (whole dollars, and especially $5 increments on SPY) draw open interest and attention, so they trade tighter. A strike that's both near-money and round is usually your most liquid choice.
Why it matters for fills
Deep liquidity means a tight spread and a real shot at a mid fill; thin liquidity means a wide spread, stale quotes, and slippage on both entry and exit. On a strategy of many small trades, choosing a liquid strike over a marginally “better” illiquid one saves more than the strike difference ever gains.
The best strike isn't always the one closest to your idea — it's the one you can get in and out of cleanly.
Using it
Favor near-the-money, round-number SPY strikes for scalps; treat far, odd strikes as a liquidity tax you'll pay on the way out. When your delta target lands between two strikes, the more liquid one is usually the better pick. Execution quality is part of the edge, not an afterthought.
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NoVo is a software tool for market analysis, not financial advice. This article is general education, not investment advice. Options trading involves substantial risk of loss, up to and including your entire capital. NoVo makes no guarantee of profit, win rate, or performance, and past results do not predict future outcomes. You are responsible for your own broker account, configuration, and trading decisions.
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