Deciding when and how to roll options

Rolling allows you to adjust a position that is moving outside your intended risk parameters or approaching expiry to keep it aligned with your trading criteria. For example, you might have a target delta range that is no longer respected, or you may be selling covered calls and evaluating when to close the current position and initiate a new one.

GammaWins Calculator helps you analyze different rolling scenarios and evaluate the trade-offs between alternative roll candidates. Carefully exploring roll timing and structure can have a meaningful impact on long-term returns as even small inefficiencies can compound over time

Analyzing a roll in the calculator

Modeling the roll

When you roll an option position, you close the existing position and open a new one. In the calculator, a roll is represented by entering both the closing legs of the current position and the opening legs of the new position.

For example, when modeling the roll of a covered call, the existing short call is entered as a buy to close, and the new call is entered as a sell to open.

Rolling a covered call by buying back the February 325 call and selling a March 350 call instead

Interpreting the values

After modeling the roll, the calculator shows the resulting credit or debit, along with how the Greeks of the position change as a result of the roll. This makes it possible to evaluate both the cost of the roll and how the position’s exposures are affected.

If you want to focus on the characteristics of the new position alone, you can hide the previous legs and view the updated risk and Greek profile independently.

Using Value for the Y-axis is particularly useful when analyzing rolls. The value chart shows how much you would pay or receive to execute the roll under different scenarios, including at future dates. In contrast, the P/L view shows the profit or loss of performing the roll immediately compared to delaying it.

Using the time chart to evaluate roll timing

The time-based X-axis is especially useful when evaluating roll timing. It shows how the cost or credit of the roll changes over time, helping you assess how the economics of rolling evolve as the position approaches expiry. This view also makes it possible to see how the net Greeks of the roll change over time, for example when a roll results in positive net theta.

Theta and Value of the roll over time, showing the moment when rolling leads to positive theta

Saving roll scenarios

If you have evaluated a roll but are not ready to execute it, you can save the scenario and return to it later. This allows you to revisit the same structure without re-entering legs and quickly adjust assumptions as market conditions change. Learn more about saving scenarios and how this differs from sharing links in How to track options strategy ideas.