Long Jelly Roll

Long Jelly Roll
An option strategy that aims to profit from a time value spread through the sale and purchase of two call and two put options, each with different expiration dates.

A jelly roll is created by entering into two separate positions simultaneously. One position involves buying a put and selling a call with the same strike price and expiration. The second position involves selling a put and buying a call. The strike prices of the put and call in the second position are identical but different from the previous position, and the duration of the second position is longer than the previous position. This position creates a synthetic near-term short position and long-term long position that work to capitalize upon the time differential between futures prices.


Investment dictionary. . 2012.

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