Long Jelly Roll Complete Options Arbitrage Strategy Guide

1428 reads · Last updated: January 19, 2026

A long jelly roll is an option strategy that aims to profit from a form of arbitrage based on option pricing. It looks for a difference between the pricing of a horizontal spread (also called a calendar spread) composed of call options at a given strike price and the same horizontal spread with the same strike price composed of put options.

Suggested for You

Refresh