leg on

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Leg On

To buy or write the option contracts in a combination option separately from each other.

leg on

To put together a combination option (that is, a straddle or a spread) one side at a time.
References in classic literature ?
It towered ten feet at the shoulder; had four legs on either side; a broad flat tail, larger at the tip than at the root, and which it held straight out behind while running; a gaping mouth which split its head from its snout to its long, massive neck.