Jelly Roll
Definition
An options arbitrage strategy that combines two calendar spreads — one on calls and one on puts at the same strike — to exploit interest rate or dividend mispricing across different expiration months.
Example
A jelly roll captures time-value discrepancies between expiration cycles when interest or dividends are mispriced.
Related Terms
Frequently Asked Question
What is a Jelly Roll in options?
A jelly roll combines two calendar spreads (one call, one put at the same strike) to exploit mispricing of interest rates or dividends across expirations. A specialist arbitrage strategy.
APA Citation
Last updated:
· Source: VixShield Trading Glossary — From SPX Mastery by Russell Clark
⚠️ Not financial advice. This definition is educational content from the SPX Mastery book series by Russell Clark (VixShield). Past performance is not indicative of future results. Trading options involves substantial risk of loss and is not appropriate for all investors. Always paper trade before risking real capital.