I usually leg into the short leg first due to the decay. By end of day, if I'm not up about 20% of the max premium I just take the small profit / loss and exit the trade. However, if I'm up more then 20% then establish my long leg. People call me crazy, why not just take the small profit and call it a day?
You are crazy. Not for taking the profit when it works, but rather for being unhedged with a short - what if the underlying has a big move before you establish the long - and now it's ten or twenty points against you? Of course, it's a very rare event, but yes you are crazy.
Do you have any idea what the rest of RGLD's portfolio looks like? Do you know what the allocation is to these trades? Do you know RGLD's total net worth? It may not be your style of trading, ETJ, but you need a lot more information before you call it "crazy." People put on all kinds of different positions for reasons you may not understand.
I don't leg in because I trade a basket of options, including spreads, as a single "trade". But it would be an interesting approach to backtest against. When you leg in, are you trading that in association with, or leveraged with, something else in your portfolio? Or does that trade stand entirely on its own? Did you backtest that approach before going down that path? Just curious.
No, don't. Just one option. But the below would provide more context. You're spread trading with options? I use to do that, I would sell deep ITM uncovered calls/puts for correlated instruments. I know you're using an index but the idea is roughly the same. PM me if you want to bounce some ideas... I only short as many contracts as I'm willing to own if they expire ITM. I wouldn't short 100 OTM puts wait for a 20% decrease, then buy the other 100. That's how accounts blow up.
Depending on venue and product a spread market may exist which can be superior to the natural. Not everywhere and not every market. This can also be separate from COB. MM risk transference can be muted - not eliminated with a spread so they'll price according. When physical floors were still common some had spread brokers. They can be especially valuable in thin markets. Merrill on the advisor side still does it's buy/writes at CHX for the stock with their dedicated broker and CBOE for the options side - saves a tick or two. Mr. Morse may chime in, but when the AMEX was a fully dedicated floor they had spread brokers who we almost always better than the natural.