Rolling SPX Verticals: What to Log So Stats Stay Honest

Rolling an SPX bull-put or bear-call vertical — closing the threatened side and opening a new spread for net credit — is standard ladder management. It is also where journals break: the roll gets logged as a brand-new trade, or the original open never closes, or net credit is merged into headline P&L without a trail. ALRE™ treats rolls as linked events so book load, stop multiples, and closed stats stay tied to the ladder you actually run.

Minimum roll log fields

• Parent spread ID or link to the position you are rolling from.
• Roll date/time and reason (defense, harvest, expiry management).
• Close details on the old vertical: exit credit, realized partial P&L.
• Open details on the new vertical: strikes, width, contracts, credit collected.
• Net roll credit/debit and updated effective stop reference.
• Book load and zone after the roll — size may change even if direction does not.

Do not double-count wins

If you mark the parent spread closed at roll and open a child spread, win rate should reflect the closed leg honestly — including small losses on defensive rolls. If you leave the parent open in the journal while adding a second row, expectancy inflates. One timeline per ladder rung: close → roll link → new open, or merge into a single adjusted position with notes that survive review.

Rolls and dynamic stop multiples

Widening a stop during a roll is a policy decision, not a silent edit. Log the multiple before and after the roll so weekly review can compare VIX spike days to calm days. See the dynamic stop multiples guide for how ALRE caps width — rolls should not bypass that column.

Weekly roll review (15 minutes)

1. List all rolls in the period — net credit vs net debit.
2. Tag defensive vs elective rolls; compare outcomes separately.
3. Check whether rolls increased book load into red zones.
4. One rule change for next week (e.g. no rolls after 2× credit breach).

Chart context at roll time

Note regime or confluence at the roll bar — many bad rolls happen in CHOP when the first vertical should have been a full close. TradingView indicators on oristrade.com supply the tag; ALRE supplies the honest book record.