Roll Leg Action

The Roll Leg action is the most sophisticated position management tool in GreeksLab, allowing you to adjust existing position legs by changing strikes. This advanced action enables dynamic position management that can adapt to changing market conditions.

Understanding Rolling

Rolling involves closing an existing position leg and simultaneously opening a new leg with a different strike price. This creates a seamless transition that maintains your position structure while adjusting to market movement.

What Happens During a Roll

1. Closes the existing leg at current market price
2. Opens a new leg with the target strike price
3. Records the net debit/credit from the roll transaction
4. Updates position Greeks and risk profile

Roll Parameters

Leg to Roll

Choose which leg in your position template you want to roll. Each leg is displayed by its name to help you identify the correct one.

Minimum Premium

Set the minimum premium per option contract (in dollars) that you want to collect when rolling the leg. This ensures you collect enough premium to justify the roll.

• Positive values: Ensure you always collect at least this amount
• Zero: Accept any credit, but no debit
• Negative values: Use negative values to roll for any premium (including debit).

Roll Target Variable

Choose what you want to control when rolling the leg. This will be the variable that the system solves for in your target expression:

• Option Delta: Roll to an option with a specific delta value
• Portfolio Delta: Roll to achieve a specific portfolio delta (position size × option delta × 100)
• Strike: Roll to an option with a specific strike price

Target Expression

Create an expression that defines your rolling goal. The system will solve for the target variable value that makes your expression true, then roll to the closest matching option.

Optional Parameters

Validation Constraints

Validation constraints prevent unwanted situations by checking leg strike relationships after the roll, such as preventing inversions where call strikes end up below put strikes.

Max Executions

Maximum number of times this roll action can be executed during the lifetime of the position.

Next Steps

Master the Roll Leg action with these resources:

• Custom Expressions - Build complex rolling conditions and target expressions
• Expression Variables - Access position and market data for intelligent roll conditions
• Actions Overview - How rolling fits with other position management actions
• Strategy Basics - Incorporate rolling into your complete trading framework