I am trading virtually on CBOE Virtual Trade.It appears that when l execute a straddle, l have to put in market orders for both the put and the call.This obviously causes a drop in your position right away due to the spread, but l can not seem to get a reliable execution of both the put and the call at a price better than market.Am l missing something or should l accept that as a small retail investor I am not going to get better than market when executing a straddle?

Although l do not trade many straddles, l do trade enough spreads to have some experience.

Using a single spread order for both legs of the straddle u often, but not always, can get some improvement on the listed quotes. For example, if the call has a bid of $2.00 & an ask of $2.20 & the put has a bid of $1.75 & an ask of $1.90 the market to buy the straddle would be $4.10 & the market to sell the straddle would be $3.75.

If the options r fairly liquid there is a good chance that u could buy the straddle for $4.00 or sell it for $3.85, a fair chance that u could buy for $3.95 or sell for $3.90, & very little chance that u would do better.

You do have to accept that sometimes market makers will not budge & u will have to pay the full market price if u want to make the trade. l usually look for a better deal when trying to open a position, but l am not as picky when trying to close a position.

You also need to check the bid size when buying or the ask size when selling to know what chance u have of getting filled. For example, one time earlier this year l put in a limit order to buy 150 contracts at the current ask quote, but only got a partial fill of 1 contract.

No virtual trading platform l have ever used will give u anything better than market.

Great question.

One of the reasons option trading has not migrated to the screen as rapidly as futures & equities have (while much of the option trade has migrated it is a much smaller percentage than the other two) is just this sort of thing.

Many if not most option trades r some sort of spread or combination trade rather than just an outright option. Combinations include straddles, strangles, credit spreads, debit spreads, diagonals, time spreads, butterflys, covereds, etc. How do u trade those sorts of trades on the screen? Answer, u really can not. All of the exchanges r working on some sort of spread trading functionality but it is a very difficult problem.

Thus, if you're trying to buy a straddle for example, you'd think u should be able to execute the trade in the middle of the bid/ask. You really can not. In the real world u could offer (or bid for) each leg mid market. The risk there is that one leg gets lifted (hit) & the other one never gets executed. What do u do then?

l think you can use limit order to get better price.