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You sometimes don't get a good price on stocks unless you list in lots of at least 100. With smaller orders sometimes it seems that your limit bid or ask is not even posted to the exchange.
At least sometimes, you may not get a good price on options unless you list in lots of at least 10 --- no point testing limits with 3 or 5 or 8.
Presumably adding another order of magnitude would lead to even better prices, not sure about this though.
Remember that shorts can get called away and become hard to borrow at the most inopportune time. E.g. you can sell a stock, then it goes up, then your short gets called and is hard to borrow, then it goes back down, you will have paid on the way up but not recaptured that on the way down.
Unless the underlying is not extremely liquid (e.g. i'm guessing that SPY is so liquid that there could never be a short squeeze), I try to sell synthetic shorts (sell a call and buy a put) instead.
with options far in or out of the money, you should look for round numbers b/c there's more liqudidy!
with options the spreads can be huge esp. with OTM strikes. Beware.
if you enter a REL order and a LMT order at the same time, the orders may indirectly interact as the marketmaker changes their bid to get ahead of the limit order
