Don't trade like this: SPY 6 Jul 12 (W) 135.00 Put $0.17 Limit Day BTO 500 Filled 07/06/2012 08:40:46 SPY 6 Jul 12 (W) 135.00 Put $0.19 Limit Day STC 500 Filled 07/06/2012 08:53:11 It takes 2 things to trade large amounts of OTM options on expiration day, stupidity and brass balls.