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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.
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ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
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