Legged Option Spreads

What is a legged option spread?

An options spread put on as separate trades instead of one spread order - buying one option and selling another a few minutes or hours apart, often to get a better price on each leg. Because each leg prints as its own trade, legged spreads look like ordinary single-option buying and selling unless you match the legs up. The Legged Spreads page does that for every trading day.

How we match the legs

• Two legs that fit a spread. Two options of the same stock that traded heavily the same day, one clearly bought (most of its volume at or near the ask) and one clearly sold (at or near the bid), in similar size, with prices and deltas that fit a spread.
• Spread types. Verticals share an expiration; calendars share a strike across expirations; straddles, strangles and risk reversals pair a call with a put. A cluster is two or more out-of-the-money options of one type and expiration, all bought or all sold.
• High confidence. 1,000 or more contracts, with both legs starting within 30 minutes of each other.
• Confirmed by open interest. The next morning's open interest adds evidence: both legs up means new positions were opened. When the same contracts also traded together as one multi-leg order, that adds to it too.
• Lean. Bull call and bull put spreads, long risk reversals, and clusters of call buying or put selling lean bullish; their opposites lean bearish. Straddles, strangles, calendars and diagonals are neutral on direction.

Matching legs is an inference: a pair of trades can look like a spread without being one. Index options (SPX, NDX) are not included.

What you can find out

Where to find it

Menu: Options › Legged Spreads, or go straight to /Legging. Spreads traded as one order are on the Multi-Leg Trade Screener.

Premium Options and Premium members get every spread, every leg's details and the last 60 sessions; everyone else gets the day's summary and its largest spread.

FAQ

What does legging into a spread mean?

Putting on an options spread as separate trades instead of one spread order - buying one option and selling another a few minutes or hours apart, often to get a better price on each leg.

What is the risk of legging into a spread?

The market can move between the trades, so the second leg can cost more, or bring in less, than planned.

How is a legged spread different from a multi-leg trade?

A multi-leg trade is one order for all the legs at one net price, reported as a spread. A legged spread is traded as separate single-option orders, so we have to match the legs up ourselves.

Are legged spreads trading signals?

No. They show trading activity. Matching legs is an inference: two trades can look like a spread without being one.