What does slippage do to a small-edge trade?
What is slippage?
Slippage is the difference between the price you expected and the price you actually got filled at. On options it comes mostly from wide bid-ask spreads, thin order books and multi-leg orders. It is paid twice, opening and closing, and it hits strategies with a small edge per trade hardest.
Paid twice on a managed trade
A trade that is opened and later closed by an order meets the market twice, and each fill can land worse than planned. On a credit spread managed at a profit target, the first gap lowers the credit received and the second raises the price paid to buy the spread back. Both come out of the same planned win. A spread held to expiration pays only the opening gap, while a managed winner, like any trade closed by an order, pays slippage on both ends.
The win shrinks more than the loss grows
The same cents per share weigh differently on the two sides of the plan: they are taken from a small planned win and added to a large maximum loss. On a credit spread that aims to keep half its credit, ten cents worse on each side can cut the win by about a quarter while the maximum loss rises by only a few percent. The credit spread calculator shows the second effect for the credit you actually received, assuming both legs reach expiration; the first shows only in your closing fill.
What it does to the win rate you need
A smaller win and a larger loss raise the win rate the trade needs to break even. Assuming wins end at the target and losses at the maximum loss, that rate is the loss divided by the sum of win and loss, as on the risk/reward page. To compute it with the risk-reward calculator, enter the spread as a short trade with the credit received as entry, the planned buy-back as target and the spread width as stop. A trade that needed a win rate in the low 80s can need one near 87 % after slippage.
The common misreading
Ten cents per share sounds like noise next to a spread 5 € wide. It is measured against the wrong number. Slippage belongs next to the planned win, not the share price or the maximum loss, and on a high-probability trade that win is small: ten cents on each side of a 75 € target are 20 € of it. Whether your fills cost that much only shows when you compare planned and actual prices, trade after trade.
Worked example
Hypothetical numbers for illustration, not a market quote and not a recommendation.
An example bull put spread sells the 95 € put and buys the 90 € put. The plan is a 1.50 € credit and a buy-back at 0.75 €, half the credit. Both fills come in 0.10 € worse: the spread opens at 1.40 € and closes at 0.85 €.
For the credit entered, the credit spread calculator moves from 150 € to 140 € maximum profit, from 350 € to 360 € maximum loss and from a 93.50 € to a 93.60 € break-even. The managed win falls from 75 € to 55 € per contract, 26.7 % less, while the maximum loss grows 2.9 %. Assuming wins end at the target and losses at the maximum loss, the break-even win rate rises from 350 / (350 + 75) = 82.4 % to 360 / (360 + 55) = 86.7 %. Fees are ignored.
Strategies where the term matters
- Short Iron Condor — Is the range you expect genuinely narrower than the move the market has priced in?
- Long Call Butterfly — Do you have a precise price target - not just a direction?
- The Wheel — Would you buy and hold this stock even without the option premium?
Calculators for this term
Track it in your journal
Related terms
Every term in one place: the options glossary.
This material is general information about option strategies, written for a general audience. It is not investment advice, not a recommendation, and not financial analysis. Options can lose their entire value, and uncovered positions can lose more than the amount committed. Anything said about tax is general in nature and is no substitute for professional tax advice. Last reviewed: 2026-08-06.