A multi-leg option order is not a standard option trade. There is no NBBO (national best bid or offer) for multi-leg orders. Multi-leg trades are executed on the exchanges at the discretion of specialists or market makers, who cannot be held to a net price on a multi-leg order. Therefore, you may not receive the NBBO on each individual leg of an order. Multi-leg orders are executed as a single trade on the same exchange. Legs cannot be executed separately on different exchanges to get the NBBO for each leg.
Each individual leg of a multi-leg order can be subject to early exercise risk, possibly taking away the protection that the multi-leg position may provide. Partial or full assignment on a leg of may originate a margin call or losses greater than you anticipated when you entered into the position.
When a multi-leg order is cancelled or filled, additional reporting may be required by the specialist or market maker. Reporting fills and cancels may cause delays and create risks, especially in fast moving markets.
Other risks might be associated with multi-leg option trading. You are expected to have read and understood Characteristics and Risks of Standardized Options, in particular the chapter entitled "Risk of Buying and Writing Options".
03/26/2007 Version 001