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There was a time when I traded lots of options of futures. I had the same
worry about slippage with the far out strikes. FWIW, my experience in
1994-96 was that the fills were reasonable for deep in-the-money strikes.
Bid/ask spreads seemed to be 2-3 ticks regardless of what strike I was
trading.
SH
> If your future-option moves to become very-in-the-money and you are
worried
> about slippage
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