Slippage is the difference between the price you expected and the price you actually got — caused by the spread, fast markets, and thin liquidity. It’s a real, recurring cost.

What causes it

Three drivers: the spread (you buy at the ask, sell at the bid, so a market order “slips” from the mid), fast markets (price moves in the instant your order travels), and thin liquidity (few orders to fill against, so you get worse prices). Stops especially slip in fast moves (they become market orders).

Why it matters

For a frequent scalper, slippage compounds across many trades and can quietly erode an edge — it’s part of why total execution cost matters more than commissions. It’s the reason your fill differs from the quote, and why you factor it into your risk math.

Slippage is the gap between the price you wanted and the price you got — small each time, meaningful over thousands of scalps.

How to minimize it

Trade liquid, tight-spread strikes, work toward the mid, use marketable limits to cap it, and avoid thin, widening markets. Slippage is smallest where liquidity is deepest, which is usually at the levels the dealer map already marks.