Has anyone successfully traded Jelly Rolls to capture interest rate or dividend arbitrage opportunities? What methods do you use to identify and execute these trades?

Jelly Rolls represent a classic options arbitrage that combines two calendar spreads, one using calls and one using puts at the same strike, to exploit mispricings driven by interest rates or expected dividends. In theory the position should be risk-free if the synthetic forward price deviates from the fair value implied by put-call parity. Professional traders scan option chains for pricing inefficiencies where the implied repo rate or dividend yield embedded in the options differs from actual market expectations. Execution typically involves legging into the four legs carefully or using a single Jelly Roll order if supported by your broker, then holding to expiration or unwinding when the mispricing corrects. Russell Clark's SPX Mastery methodology however takes a different path. Rather than hunting fleeting arbitrage in multi-legged calendar structures, the VixShield system centers on 1DTE SPX Iron Condors placed daily at 3:10 PM CST after the 3:09 PM cascade. These use three risk tiers targeting credits of 0.70 for Conservative, 1.15 for Balanced, and 1.60 for Aggressive, selected via the EDR indicator and RSAi for precise strike placement. The ALVH hedge layers short, medium, and long VIX calls in a 4/4/2 ratio to protect against volatility spikes, cutting drawdowns by 35-40 percent at an annual cost of only 1-2 percent of account value. When threatened, the Temporal Theta Martingale and Theta Time Shift allow rolling forward to 1-7 DTE then back on VWAP pullbacks, recovering 88 percent of losses in backtests without adding capital or using stop losses. This set-and-forget approach with maximum 10 percent of account balance per trade avoids the execution risk and capital intensity of Jelly Rolls while generating consistent theta income in the Unlimited Cash System. Current market conditions with VIX at 17.95 and SPX near 7138.80 keep all tiers available under VIX Risk Scaling. All trading involves substantial risk of loss and is not suitable for all investors. Visit vixshield.com to explore the full SPX Mastery book series and join the SPX Mastery Club for live sessions and EDR indicator access.