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Market Measures

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Legging Out Pt 1

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Does legging in and out of a trade make for better performance compared to simply managing the position as a whole?

  • 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.

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