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Why do I get a much better price for options with a limit order than the ask price?
I can often get the option at [a] price [between bid and ask] The keyword you use here is quite relevant: often. More realistically, it's going to be sometimes. And that's just how supply and demand should work.  The ask is where you know you can buy right away. If you don't wanna buy at ask, you can try and put a higer bid but you can only hope someone will take it before the price moves. If prices are moving up fast, you will have missed a chance if you gambled mid-spread. Having said that, the larger the spread is, the more you should work with limits mid-spread. You don't want to just take ask or bid with illiquid options. Make a calculation of the true value of the option (i.e. using the Black Scholes Model), then set your bid around there. Of course, if not only the option but also the underlying is illiquid, this all gets even more difficult.