Traders are always discussing market liquidity and transparency, but I tend to analyze it on out-of-the money Options. The problem is, while initiating the transaction may be in a liquid market, a reasonable exit strategy can be very difficult to find. Frequently the most effective method of liquidation can be by trading the underlying Stock, ETF or Futures Contract. Options markets tend to be much wider for in-the-money Options than out-of-the money. The reason, for the most part, is obvious.