Slide Roll is an Option defense strategy for two legged positions.
The “Slide Roll” is available for two legs strategies, typically a Strangle. The roll triggers when one of the two sides gets tested. Let’s see an example.
Our initial position is a Strangle, 1 Standard Deviation / 16 Delta, short Put+ Call. The position is established at 30 DTE. Our fictional stock,” XYZ” is very volatile so that the strikes are $180 for the PUT and $212 for the CALL.
At 12 Days into the the trade, the price of the underlying drops from $200 to $180. Now our PUT gets tested.
Roll down the untested side to 30 delta. In this case we close the Call @ $212 and open @ $201. No duration is added. The position has the same expiration. This roll is performed for credit.
If the leg tested was the CALL, then we would have Rolled Up the PUT side, closing the existing PUT and re-establishing it at 30 Delta.
eDelta backtest algorithm will perform this roll automatically each time any leg of the position is tested.
