To get back to Frank Fahey, what I´d like to ask him as a former MM is what the retail trader should be aware of in terms of a market meltodwn and the definition of liquidity in index option trading. For example indiviual strikes on the SPX, esp. quarter strikes are very liquid.. But is 2400/2300/2200 butterfly as a whole liquid if the only other person on the other side is a CBOE MM? MMs have a mandate to provide liquidity at a fair price (defined price limits). However most have us have experienced how hard it is to get complex orders filled in a fast moving market. So in reality do they only follow their mandate if they have time and/or are able to price the fly which is hard in a fast moving market? (thus not really a mandate if it depends on subjective variables). Not a complaint, only want to understand exactly how they operate so I know that I understand I might not be able to take a trade off at a predefined max. loss. Perhaps short SPX/long CBOE is a decent pairs trade.