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Position management5 minute read
How to evaluate rolling an options spread
Compare the closed spread with the replacement's strikes, expiration, debit or credit, and new maximum risk
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直接解答
Rolling a spread closes the current multi-leg position and opens a different one, often with another expiration, strikes, or both. A net credit or debit on the roll does not erase the result of the original spread. Evaluate the close and replacement separately, then calculate the new spread's break-even, maximum loss, assignment exposure, and liquidity before treating it as a continuation of the same trade
Close and open are separate decisions
The closing trade fixes the realized result on the original spread. The opening trade is priced at today's market and must stand on its own risk assumptions. Combining the two labels can make a credit appear to offset more than it actually does
Recalculate the replacement
For a vertical spread, record the width, net debit or credit, expiration break-even, and maximum expiration loss. Moving strikes can change directional exposure; moving time can change theta, vega, and the likelihood of assignment before expiration
Execution remains a risk
A net limit price is useful for defining the maximum debit or minimum credit, but a pending roll does not close the old short option. Check each leg's spread and size, especially near expiration or before a dividend event
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