Yup.
I'd never spend any real coin in the black market; you have no idea about what you're actually getting, where it's been, or who you're getting it from.
The authorized dealers on the other hand are often unwilling or unable to negotiate prices, though in tough economic times luxury watches are one of the first things people quit buying & I've been able to get as much as 30% off retail.
The grey market is an interesting compromise because you're getting the genuine article, just without the manufacturer's warranty & packaging. However, if you're not buying it as an investment, & you do your research on the particular watch you're interested in & pick something with bullet-proof reviews, the risks are pretty low.
I just got this grey market automatic Orient Marshall from Japan. I'm actually impressed with the quality in consideration of the price (MSRP is $250 & I got it for $100), though it's definitely not up to Swiss, or even Seiko, standards. The bracelet is especially cheap; I think I'll swap it out for a leather strap.
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