Roll Multi-Leg Strategies

Use the Mosaic Roll Builder tool to roll a multi-leg option or stock/option combination position to a new expiry. If all or part of your existing multi-leg combination position is about to expire, or if you just prefer to open the position in another expiry, you can easily roll the entire, intact strategy using the Roll Builder tool. The full combination is routed to reduce execution leg risk, and may receive price improvement versus submitting the order using individual legs. And if a leg has become worthless and you prefer to let it expire, simply leave it out of the “roll into” construction.

To roll a multi-leg combo, please take the steps outlined below.

  1. Select a complex combination position from your Portfolio.

  2. Right-click on this option and click the “Roll” button.

  3. The Roll Builder tool will populate allowing you to select a new contract to roll to.

In the Roll Builder tool, the current multi-leg position appears at the top and shows each individual leg. For each highlighted leg of the combination, select the contract you want to roll into from the option chains displayed above the Roll Builder. For convenience, current legs are also highlighted in the Option Chains, in red for sells and blue for buys, and are marked with a filled-in circle. The new legs are identified by an empty circle.

As you build the new combination, it is shown below the current combo position in the “Open” section of the Roll Builder. As you add new legs to roll into, you can modify any element (action, ratio, last trade day, strike or type) by clicking in the desired field and selecting or entering a new value. When adding new legs, we pre-select the buy/sell action to logically match your original combination. Note that the ratio is always set to 1. Additionally, the order price is updated and the Margin Impact is shown in the Order Entry line. Click Margin Impact to also view the “Estimated Combo Premium,” “Estimated Existing Combo Premium,” and “Roll to Estimated Combo Premium.”

This tool is available for futures options, options and covered stock strategies that include up to four legs.

Note: The maximum number of legs might be lower depending on the destination.


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