日历价差 - 何时分腿建仓？

I always put calendar spreads on as a single order. The slippage potential when legging into $SPX spreads can eat into your profits too much, especially with tighter markets. Just my two cents.

Never leg into an SPX calendar spread. The bid-ask on those options can move against you instantly. One order, one price, less stress.

While single orders are safer, legging in allows you to be more selective about your entry points for each leg, potentially getting a better overall credit or debit. It's a trade-off between control and risk.

I find legging useful when I'm already in a position and want to adjust. For an initial entry, especially on a fast-moving underlying like SPX, a single order is usually the way to go to avoid unnecessary risk.