Entry in progress—B.P.
What Does Long Jelly Roll Mean?
An option strategy that aims to profit from a time value spread through the sale and purchase of two call and two put options, each with different expiration dates.
88 Futures: Trading Dictionary
Jelly Roll - a long jelly roll is composed of a long call time spread and a short put time spread; a short jelly roll is the combination of a short call time spread and a long put time spread
In Investment, what are Jelly Rolls?
Sometimes referred to as a “long jelly roll,” the method involves a two pronged approach. Jelly rolls require the investor to conduct two separate sets of transactions at the same time. With the first transaction, the investor will buy a put and sell a call, with both the put and the call having the same net value. In lay person terms, this means that the investor will announce an intention to purchase a stock in the anticipation that the stock will decline in underlying price, thus realizing a profit, or buying a put. At the same time, the investor also announces the intention to sell a stock and then does so between the opening and closing of future markets, or sells a call.
The second transaction in the process of creating jelly rolls is simply the opposite of the first step. The investor chooses to sell a put and buy a call, making sure to not involve the same stocks as used in the first transaction. As with the first step, the strike prices for the two stocks involved in the second transaction should be the same.
Option Spread Strategies:
Trading Up, Down, and Sideways Markets
By Anthony J. Saliba, Joseph C. Corona, and Karen E. Johnson
New York, NY: Bloomberg Press
Figure 6.20 Long Jelly Roll
Figure 6.21 Short Jelly Roll
Combining a long call time spread and a short put time spread (which have the same strikes, same expiration) creates a long jelly roll spread; combining a short call time spread and a long put time spread (which have the same strikes, same expiration) creates a short jelly roll spread.
The Options TradingBbody of Knowledge:
The definitive source for information about the options industry
By Michael C. Thomsett
Upper Saddle River, NJ: FT Press
Long jelly roll—A time value spread including offsetting call and put positions. It usually consists of two separate spreads. First is a long put with a short call with identical strike and expiration. The second consists of a short put and a long call with the same strikes (but different than the previous spread) and later expirations than those of the first spread.
New York City • Banking/Finance/Insurance • Sunday, February 20, 2011 • Permalink