Does legging in and out of a trade make for better performance compared to simply managing the position as a whole?Study:
SPY, 16 delta put and 16 delta call strangle
2005 - present, 45 DTE
Compare managing winners at 50%:
- Whole position
- Each leg separately (16 delta call and put)
We find that managing the position whole as opposed to legging out, yields slightly better P/L. However, legging in and out generates more unnecessary commissions and requires a higher attention level than managing the strangle as a whole.