Long Jelly Roll

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Long Jelly Roll

An options strategy that involves buying and selling four different option contracts. Initially, one buys a put and sells a call that have the same strike price and the same expiration date. Then, one buys a call and sells a put with a later expiration date and the same strike price with respect to each other, but a different price than the first two contracts. This creates a short-term short position and a long-term long position. All contracts have the same underlying assets. The idea behind a long jelly roll is to profit from the spread in futures prices over the lives of the contracts. See also: Christmas tree.