OPTN: How can they do that?

["Dick Crotinger" <dangle@xxxxxxx>]

    I just closed a trade in an equity option, OILHV, at 1515 EST.  My
screen (DTN) showed the BID at 5/8, which had fluctuated at 5/8 - 11/16 most
of the afternoon.  95 contracts traded so far.  I felt the stock was
correcting and decided to close my long trade in the call option.  The
option suddenly dipped to 9/16 bid five minutes AFTER placing my Dreyfus
order, which is where I was then filled.  Dreyfus fills this kind of trade
all the time almost immediately (~30 seconds)... this one took five minutes.
The option then IMMEDIATELY went back to 5/8 bid.  The option during the
last 15 minutes prior to the close started bidding at 9/16.

    I KNOW this is a thinly traded option (948 contracts)(but what is
"thinly?").  I KNOW that a market order is for he who wants an absolute
unconditional exit... that's why I use it when I want to pull a trade.  (My
entries are limits).  But this pisses me off.  The trade size was 10
contracts, and I was under the impression that a market order to the bid or
ask is GUARANTEED at least a 30-contract fill.  Why did this trade go a
notch lower, to the "screw-em" point?  HOW CAN THEY DO THAT?

    This is not a big financial deal... he got the teenie and I didn't.  But
I have to believe that CBOT et al are not happy with the recent several
years reduction in participation by "the public."  Well, it's because of
this kind of stuff.  Most of the time, I'm happy with my 10-second fills
using the above approach, but once in a while this happens...

Doc... anybody... is this the only way to do this kind of trading?  Why
don't market orders get filled at the market?

Dick Crotinger