No, Zorro does not always enter on ask/bid, it's up to your implementation.
Your in luck, in fact jcl (one of the authors of Zorro) just released his second blog post on options trading the other day. You should find some inspiration there
http://www.financial-hacker.com/algorithmic-options-trading/http://www.financial-hacker.com/algorithmic-options-trading-2/
