Very interesting.. I got 2 questions: 1) why don't you just sell some wings in the very moment you roll? Why waiting later? 2) in which ratio are you long wings vs the shorts?
Because when i roll i expect the market to go lower. Better to sell wings at the moment you see a change in market direction. But you can sell some wings in the moment you roll. Most of the time i use ratio of 1 to 5.