Can Slippage Occur When Exercising a European-Style Option?
Slippage, as commonly defined in market orders, cannot occur when exercising a European-style option. This is because European options are only exercised on the expiration date, and the exercise price is the fixed strike price defined in the contract.
The settlement is based on the contract terms and the final, predetermined price, not on an immediate market execution that could be affected by order book depth or fee volatility.
Glossar
Order Book Depth
Depth ⎊ Order Book Depth refers to the quantity of outstanding buy and sell orders aggregated at various price levels away from the current market price in a derivatives exchange.
Market Execution
Execution ⎊ Market execution refers to the immediate fulfillment of a trade order at the best available price currently offered in the market, prioritizing speed and certainty of fill over price precision.
Fixed Strike Price
Determinant ⎊ A fixed strike price within cryptocurrency options signifies a predetermined level at which the underlying asset can be bought or sold, establishing a clear point of contractual obligation.