Roger—thank you. Question: when legging a spread like this how do you calc positioning sizing when you don’t know the premium that will be received on second leg? Log in to Reply
Good question. Art not science but I use my risk limit for the long side because I may not get the leg off. It’s a trade off between levering the most I could (if I did the spread) and the benefit of the legging. Log in to Reply
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Legging into a spread?
Yes
Roger—thank you.
Question: when legging a spread like this how do you calc positioning sizing when you don’t know the premium that will be received on second leg?
Good question. Art not science but I use my risk limit for the long side because I may not get the leg off. It’s a trade off between levering the most I could (if I did the spread) and the benefit of the legging.
Makes sense — thank you for the explainer 🙏