Early in the session, a liquid at-the-money SPY option might be a penny or two wide. Into the final stretch, the same option can be a dime or more wide. That widening bid-ask spread is a real, rising cost — and it peaks right when a late-day scalper is most likely to need an exit.
Why market makers pull back
Near expiration, an at-the-money 0DTE option has enormous gamma: its delta can lurch violently on a small SPY move, so a market maker's inventory risk explodes. To be compensated for taking that risk — and because a bad fill can't be hedged over any meaningful time — they widen quotes and thin out size. Less liquidity, wider spreads, right at the close.
What it costs you
A spread that goes from $0.02 to $0.12 means every round trip in that window costs a dime instead of two cents. On a strategy of many small trades, that's the difference between viable and bleeding. Worse, if you're forced to exit a late loser into a wide market, you pay the widened spread on top of the loss.
The last hour charges the most to trade and offers the least liquidity to do it. That's not the time to be discovering you need out.
How to avoid paying it
Be flat before the widest part of the day — most scalpers are done well before the final stretch, precisely to sidestep this. If you must trade late, use limit orders and accept that fills are worse. The cleanest defense is not being in the position when liquidity leaves; NoVo's exit ladder banks winners on the way up with trailing stops and take-profits, and a one-click close gets you out before the close, not into it.