The same order type behaves very differently depending on when it is sent. Market orders placed at the opening bell routinely fill at prices the sender did not expect.
A market order specifies quantity, not price
A market order instructs a broker to buy or sell immediately at whatever price is available. It guarantees that the trade happens, not what it costs.
A limit order does the opposite, naming a maximum or minimum price and accepting that the order may not fill at all.
Neither is superior. They trade certainty of execution against certainty of price, and which matters more depends on why the trade is being made.
Overnight news accumulates without trading
American markets close overnight, but companies keep announcing things. Earnings, filings, and outside events arrive while no continuous trading is occurring.
When the session opens, all that accumulated information has to be reflected at once, rather than being absorbed gradually as it would during the day.
The result is that opening prices can differ substantially from the previous close, and the first prints are where that adjustment happens.
The order book is thin at the bell
Liquidity comes from resting orders and from firms willing to quote both sides. Both are cautious immediately after the open, when the fair price is least certain.
Thin books mean the gap between the best bid and best offer is wider, and that a modest order can move through several price levels before filling.
A market order sent into that condition takes whatever those levels are, which is how a retail-sized trade ends up executing far from the last quoted price.
Opening auctions concentrate the imbalance
US exchanges run an opening auction that gathers orders and sets a single price where the most shares can trade, rather than starting with continuous trading.
Orders entered overnight are pooled into that auction, so an order sent from a phone at midnight competes with institutional flow at the same instant.
The auction price reflects the whole imbalance, which is often the widest deviation of the day and is not visible until it prints.
Closing periods have the mirror problem
The final minutes carry heavy volume from funds trading at the closing price, which improves liquidity but also concentrates activity into a narrow window.
Volatility there comes from volume rather than uncertainty, but the practical effect on an unspecified price is similar.
The quieter middle of the session generally offers narrower spreads, which is a description of market mechanics rather than a suggestion about when anyone should trade.