Share your insights or perspective on the financial matter presented in the input.

Purchasing options between the bid and ask prices, or even at the bid price or below?
Yes, almost always. I trade some of the most illiquid single stock options, and I would be absolutely murdered if I didn't try to work orders between the bid/ask.  When I say illiquid, I mean almost non-existent: ~50 monthly contracts on ALL contracts for a given underlying.  Spreads of 30% or more. The only time you shouldn't try to work an order, in my opinion, is when you think you need to trade immediately (rare), if implied volatility (IV) has moved to such a degree that the market makers (MM) won't hit your order while they're offering fair IV (they'll sometimes come down to meet you at their "real" price to get the exchange's liquidity rebate), or if the bid/ask spread is a penny. For illiquid single stock options, you need to be extremely mindful of implied and statistical volatility.  You can't just try to always put your order in the middle.  The MMs will play with the middle to get you to buy at higher IVs and sell at lower. The only way you can hope that an order working below the bid / above the ask will get filled is if a big player overwhelms the MMs' (who are lined up on the bid and ask) current orders and hits yours with one large order.  I've never seen this happen. The only other way is like you said: if the market moves against you, the orders in front of yours disappear, and someone hits your order, but I think that defeats the intent of your question.