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.