Strategy

Jelly Roll

By Ryan Silk & Lawrence Polatchek · Reviewed April 2026 · Options Trading Glossary

Synthetic stock positions in different expirations

What is Jelly Roll?

Jelly Roll A combination of a long synthetic stock position in one expiration and a short synthetic stock position in a different expiration. Essentially a time spread using synthetics. The jelly roll's price reflects the interest rate and dividend differential between the two expirations. Used primarily for arbitrage.

Complete Definition

A combination of a long synthetic stock position in one expiration and a short synthetic stock position in a different expiration. Essentially a time spread using synthetics. The jelly roll's price reflects the interest rate and dividend differential between the two expirations. Used primarily for arbitrage.

Related Terms

Synthetic Stock Calendar Spread Conversion Reversal

Written by

ApexVol Research Team

Quantitative options research

All calculations use live ORATS institutional data — the same source used by professional volatility desks.

Technical reviewer

Ryan Silk, ApexVol Founder

Reviewed for technical accuracy

10+ years trading options. Built ApexVol's pricing engine, Greeks model, and IV-rank methodology.

This guide is updated as market conditions and ORATS data change. Last revised 2026-05-12. How we research →

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