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Jelly roll
An arbitrage strategy that combines a synthetic short position in an underlying using options with the same maturity and a synthetic long position in the same underlying using options with a different maturity.
The synthetic short position is created by selling a call option and purchasing a put option with the same exercise price in one month; the synthetic long position is simultaneously created by purchasing another call and selling another put with the same exercise price in another month. The four options usually have the same exercise price, but in some cases this price may be different for each of the two maturities.
Translations
Synonyms and variations
- Jelly roll spread