Jelly Roll

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.