Yes, this has happened to me in the recent past. I remember sitting on a profit of 15k on an options trade in Adani Ports. By the time I was able to exit (due to insufficient liquidity), that profit was down to 7.5k. Given the fact that brokers allow only limit orders in options, you've got to place your exit at the nearest bid which can be some ways away from where you'd ideally want to exit, costing you both delay & money. This is definitely an issue if you're in profit (you don't get to exit quickly) but a major problem if in loss & trading big lot sizes. Since then, I've moved away from stock option trading till I see better liquidity.