Market Close Order
"During the day, market and limit orders are submitted at any time by market participants and there is a bid and an ask that move around over time.  Trades occur whenever a market order is submitted or a limit order is submitted that at a price that matches or exceeds an existing limit order.  If you submit a market order, it may consume all best-price limit orders and you can get multiple prices, changing the bid or ask at the same time.  All that stuff happens during the trading day only. What happens at the end of the day is different.  A bunch of orders that were submitted during the day but marked as ""on close"" are aggregated with any outstanding limit orders to create a single closing price according to the algorithm established by the exchange.  Each exchange may handle the details of this closing event differently.  For example, the Nasdaq's closing cross or the NYSE's closing auction. The close is the most liquid time of the day, so investors who are trading large amounts and not interested in intraday swings will often submit a market-on-close or limit-on-close order.  This minimizes their chance of affecting the price or crossing a big spread.  It's actually most relevant for smaller stocks, which may have too little volume during the day to make big trades, but have plenty at the close.  In short, the volume you see is due to these on-close orders. The spike in volume most likely has no special information about what will happen overnight or the next day.  It's probably just a normal part of the market for illiquid stocks."
I understand the question, I think. The tough thing is that trades over the next brief time are random, or appear so. So, just as when a stock is $10.00 bid / $10.05 ask, if you place an order below the ask, a tick down in price may get you a fill, or if the next trades are flat to higher, you might see the close at $10.50, and no fill as it never went down to your limit.  This process is no different for options than for stocks.  When I want to trade options, I make sure the strike has decent volume, and enter a market order. Edit - I reworded a bit to clarify. The Black–Scholes is a model, not a rigid equation. Say I discover an option that's underpriced, but it trades under right until it expires. It's not like there's a reversion to the mean that will occur. There are some very sophisticated traders who use these tools to trade in some very high volumes, for them, it may produce results. For the small trader you need to know why you want to buy a stock or its option and not worry about the last $0.25 of its price. The situation you're proposing is an over-simplification that wouldn't occur in practice. Orders occur in a sequence over time. Time is an important part of the order matching process. Orders are not processed in parallel; otherwise, the problem of fairness, already heavily regulated, would become even more complex. First, crossed and locked markets are forbidden by regulators.  Crossed orders are where one exchange has a higher bid than another's ask, or a lower ask than another's bid.  A locked market is where a bid on one exchange is equal to the ask on another.  HFTs would be able to make these markets because of the gap between exchange fees. Since these are forbidden, and handling orders in parallel would ensure that a crossed or locked market would occur, orders are serialized (queued up), processed in order of price-time priority. So, the first to cross the market will be filled with the best oldest opposing order. Regulators believe crossed or locked markets are unfair.  They would however eliminate the bid ask spread for many large securities thus the bid-ask cost to the holder. You should check with your broker. I asked my broker a similar question just 2 weeks ago. With their market orders they will be filled within 3 points from the current market bid/ask. If there is any remaining it will be placed as a limit order at 3 points away from the bid/ask price. For example, if the current ask is 100 @ $1.00 followed by 500 @ $1.01, 300 @ $1.02 and 100 @ $1.03; if you were to place a buy market order for 1000 shares you would get 100 filled at $1.00, 500 filled at $1.01, 300 filled at $1.02 and 100 filled at $1.03.  If, on the other hand, you were to place a buy market order for 2000 shares you would get 100 filled at $1.00, 500 filled at $1.01, 300 filled at $1.02 and 100 filled at $1.03, with the remaining 1000 of your order being placed as a limit order at $1.03. Again, check with your broker, as they may be different in how they treat their market orders. Investopedia defines it in the following way: It's essentially a market order that doesn't get entered until the last minute (or thereabouts) of trading. With this type of order you are not necessarily guaranteed the closing price but usually something very similar, depending on the liquidity in the market and bid-ask for the security in question. Traders who believe that a security or market will move more heavily during the last few minutes of trading will often place such an order in the hopes of having their order filled at a more desirable price. "Yes it is possible, as long as the broker you use allows conditional orders. I use CMC Markets in Australia, and they allow free conditional orders either when initially placing a buy order or after already buying a stock. See the Place New Order box below:  Once you have selected a stock to buy, the number of shares you want to buy and at what price you can place up to 3 conditional orders. The first condition is a ""Place order if..."" conditional order. Here you can place a condition that your buy order will only be placed onto the market if that condition is met first.  Say the stock last traded at $9.80 and you only want to place your order the next day if the stock price moves above the current resistance at $10.00. So you would Place order if Price is at or above $10.00. So if the next day the price moves up to $10 or above your order will be placed onto the market. The second condition is a ""Stop loss"" conditional order. Here you place the price you want to sell at if the price drops to or past your stop loss price. It will only be placed on to the market if your buy order gets traded. So if you wanted to place your stop loss at $9.00, you would type in 9.00 in the box after ""If at or below ?"" and select if you want a limit or market order. The third condition is a ""Take profit"" conditional order. This allows you to take profits if the stock reaches a certain price. Say you wanted to take profits at 50%, that is if the price reached $15.00. So you would type in 15.00 in the box after ""If at or above ?"" and again select if you want a limit or market order. These conditional orders can all be placed at the time you enter your buy order and can be edited or deleted at any time. The broker you use may have a different process for entering conditional orders, and some brokers may have many more conditional orders than these three, so investigate what is out there and if you are confused in how to use the orders with your broker, simply ask them for a demonstration in how to use them." In the stock market many participants enter orders that are not necessarily set at the current market price of the stock (i.e. they are not market orders, they are limit orders). They can be lower than the market price (if they want to buy) or they can be higher than the market price (if they want to sell). The set of orders at each point of time for a security is called the order book. The lowest selling price of the order book is the offer or ask, the higher buying price is the bid. The more liquid is a security, the more orders will be in the order book, and the narrower will be the bid-ask spread. The depth of the order book is the number of units that the order book can absorb in any direction (buy or sell). As an example: imagine I want to buy 100 units at the lowest offer, but the size of the lowest offer is only 50 units, and there is not any further order, that means the stock has little depth. I don't have all the answers. On a illiquid stock, such situations do arise and there are specific mechanisms used by exchanges to match the order. It is generally not advisable to use market order on illiquid stock. There are lots of different variations here. I guess this comes down to specifications for individual exchanges, but I'm wondering if there's a standard here or a way to approach it from basic rules that clears up all these situations. There are quite a few variations and different treatments. Market order that are placed when the market is closed or just around market opening are traded at Market Open price that each exchange has a formulae to calculate. In the process Market Buy are matched to Market Sell at the Exchange calculated price. Not all order get matched and there could be spill over's. These are then matched to limit orders. Is this determined based on which sell order came first, or based on which would result in the best deal for the incoming buyer? Generally Market orders have highest priority of execution. A trailing stop will sell X shares at some percentage below the current market price.  Putting in this order with a 10% trailing stop when the stock price is $50 will sell the stock when it hits $45.  It's a market order at that point (see below). A stop order will sell the stock when it reaches a certain price.  The stop order becomes a market order when the magic price is hit.  This means that you may not sell it at or below your price when the order is executed.  But the stock will sell faster because the trader must execute. A stop limit order is the same as a stop order, except the stock won't be sold if it can't be gotten for the price.  As a result, the sell may not be executed. More information here.