Define ‘Slippage’ in the Context of Executing a Multi-Leg Options Strategy

Slippage is the difference between the expected price of a trade and the price at which the trade is actually executed. In a multi-leg strategy, slippage occurs if the market moves between the time the order is placed and the time all legs are filled.

For a box spread, slippage can easily erode the small theoretical profit, especially in fast-moving, illiquid crypto markets where order books are thin and prices can jump between fills.