Legging out is when you take off the profit cap (and delta hedge) on your vertical spread to pick up pure delta when there is short term momentum in the direction of your position.
So when GLD passed 122, I took off the short 123 puts on my spread, leaving the now naked 125 puts to pick up pure $$$
This makes it so that instead of making a max profit of $500 on the spread, I made $825. The short 123p lost $200 but the long 125p made $1025, which makes $825.
What a day to get me back in the saddle!
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