Market Measures - October 24, 2025 - Legging Adds Risk Without Reward
Update: 2025-10-24
Description
Market volatility has increased significantly in 2025, with daily price movements up 2.4x and percentage changes up 1.5x compared to 2015-2024. This has prompted traders to consider legging in and out of positions to capitalize on market swings.
Our research study analyzed SPY data over 10 years, comparing 45-day strangle strategies managed as whole positions versus managing each leg independently at 50% profit. Results show managing positions as a whole slightly outperformed the legging approach.
When legging out, traders should aim for 75-90% profit on the untested side rather than just 50%, as buying back options with substantial remaining value adds risk to the overall position. The study concludes that while legging can work in certain scenarios, it increases management complexity and directional risk exposure.
Our research study analyzed SPY data over 10 years, comparing 45-day strangle strategies managed as whole positions versus managing each leg independently at 50% profit. Results show managing positions as a whole slightly outperformed the legging approach.
When legging out, traders should aim for 75-90% profit on the untested side rather than just 50%, as buying back options with substantial remaining value adds risk to the overall position. The study concludes that while legging can work in certain scenarios, it increases management complexity and directional risk exposure.
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