Option spreads are quoted in cents, and in cents they look alike. A few cents on one strike, a few cents on the next. The number that matters to a scalper is the spread divided by the option’s price, and that number varies a great deal across one chain.
The arithmetic
A trader who buys at the ask and later sells at the bid pays the spread once over the round trip. Divide that by the premium and you have the cost as a share of the money at work. On an option with a large premium, a narrow spread is a small share. On an option priced in a handful of cents, the same spread can be a large part of the price.
The basics of the spread are in the bid-ask spread explained. The step added here is the division.
Why cheap options carry more of it
Prices move in fixed steps. A quote cannot be finer than the minimum tick, so the spread has a floor, and that floor is the same on a cheap option as on a dear one. Tick size and liquidity covers the mechanics. As the premium falls toward that floor, the spread’s share of it climbs.
When the share grows
Three conditions push it up. The first is the open, when quotes are wide while market makers find their prices. The second is a fast move, when quotes widen for protection. The third is the last stretch of the day, described in same-day spreads widening into the close.
A same-day option adds a fourth. Its premium decays through the session while the tick does not. An option held from the morning into the afternoon can end up with a larger share of its price in the spread without the quoted spread changing at all.
What it does to a scalp
A scalp aims for a modest change in premium. That change has to clear the spread before anything is left. If the spread is a large share of the price, the option has to move a long way in the trader’s favor to break even on the round trip.
Working an order between the bid and the ask can recover part of the cost, as covered in getting filled at the mid. It does not always fill, and a scalp that depends on a midpoint fill has a second condition attached to it.
A habit worth having
Before an order, read the spread as a share of the premium. Compare strikes on that figure. A strike that looks cheap in dollars can be the most expensive one on the chain to trade in and out of.