⚖️ Weight Types in Option Structures – Allasso Help Center

When configuring a strategy in the Allasso Backtesting Tool, each leg includes a weight and a weight type. These define how position sizing is calculated for both options and futures/stocks. The right choice allows for accurate representation of real-world capital usage, leverage, and exposure.

This article explains each available weight type, accompanied by relevant examples.

🔷 Weight Types for Options

When configuring option legs, you can choose from:

1. Notional

Allocates based on a notional amount of underlying. 100 means 100% of the current equity.

Example: A weight of -100 with notional means you're shorting, so that their notional value equals 100% of portfolio equity. For instance, we aim to sell 100% of $10M in notional S&P E-mini Puts. If the underlying future is at $5,000, we'll sell $10M * 100% / 5000 / 50 (lot size) = 40 lots.

2. Premium

Allocates based on the total premium paid or received. 10 means 10% of the current equity.

Example: A weight of -10 means you're selling 10% of the portfolio equity, worth a premium for that leg. For instance, we sell 10% of 1M equity in S&P E-mini Puts. If the put premium is 50, we'll sell 1M * 10% / 50 / 50 = 40 lots.

3. Lots

Buy or sell the exact number of lots of the option without reference to the current equity.

Example: A weight of 2 with lots means you're buying exactly 2 option contracts.

4. lots_per_m

Buy or sell the exact number of contracts per million dollars of current equity.

Example: A weight of 2 with lots_per_m and $5M equity means 10 contracts (2 × 5).

🔶 Weight Types for Futures & Stocks

When using futures or stock instruments as legs, slightly different weight types apply:

1. Percent

Allocates a percentage of current equity to the position.

Example: A weight of 100 with percent buys futures equal to 100% of equity value.

2. Lots

Defines the absolute number of contracts or shares.

Example: -1 with lots means shorting one futures contract.

3. lots_per_m