About: Jelly roll (options)

Facets (new session)
Description
Metadata
Settings
- Rule:
- Inverse Functional Properties:
- "Same As":

About: Jelly roll (options) Goto Sponge NotDistinct Permalink

An Entity of Type : owl:Thing, within Data Space : dbpedia.org associated with source document(s)
QRcode icon

http://dbpedia.org/describe/?url=http%3A%2F%2Fdbpedia.org%2Fresource%2FJelly_roll_%28options%29

A jelly roll, or simply a roll, is an options trading strategy that captures the cost of carry of the underlying asset while remaining otherwise neutral. It is often used to take a position on dividends or interest rates, or to profit from mispriced calendar spreads. All four options must be for the same underlying at the same strike price. For example, a position composed of options on futures is not a true jelly roll if the underlying futures have different expiry dates.

Attributes	Values
rdfs:label	Jelly roll (options) (en)
rdfs:comment	A jelly roll, or simply a roll, is an options trading strategy that captures the cost of carry of the underlying asset while remaining otherwise neutral. It is often used to take a position on dividends or interest rates, or to profit from mispriced calendar spreads. All four options must be for the same underlying at the same strike price. For example, a position composed of options on futures is not a true jelly roll if the underlying futures have different expiry dates. (en)
dcterms:subject	Options (finance)
Wikipage page ID	67732445 (xsd:integer)
Wikipage revision ID	1064121014 (xsd:integer)
Link from a Wikipage to another Wikipage	European options Delta (finance) Arbitrage Options (finance) Underlying Interest rate Gamma (finance) Box spread (options) Calendar spread Call option Straddle Strike price Synthetic position Futures contract Long (finance) Expiry date Put option Cost of carry Theta (finance) Transaction cost Dividend Butterfly (options) Put-call parity Rolling (finance) Short (finance) Expiration (options) Vega (finance) Option strategy Underlying asset Time spread
sameAs	Jelly roll (options) Jelly roll (options)
dbp:wikiPageUsesTemplate	dbt:Reflist dbt:Short_description dbt:Derivatives_market
has abstract	A jelly roll, or simply a roll, is an options trading strategy that captures the cost of carry of the underlying asset while remaining otherwise neutral. It is often used to take a position on dividends or interest rates, or to profit from mispriced calendar spreads. A jelly roll consists of a long call and a short put with one expiry date, and a long put and a short call with a different expiry date, all at the same strike price. In other words, a trader combines a synthetic long position at one expiry date with a synthetic short position at another expiry date. Equivalently, the trade can be seen as a combination of a long time spread and a short time spread, one with puts and one with calls, at the same strike price. The value of a call time spread (composed of a long call option and a short call option at the same strike price but with different expiry dates) and the corresponding put time spread should be related by put-call parity, with the difference in price explained by the effect of interest rates and dividends. If this expected relationship does not hold, a trader can profit from the difference either by buying the call spread and selling the put spread (a long jelly roll) or by selling the call spread and buying the put spread (a short jelly roll). Where this arbitrage opportunity exists, it is typically small, and retail traders are unlikely to be able to profit from it due to transaction costs. All four options must be for the same underlying at the same strike price. For example, a position composed of options on futures is not a true jelly roll if the underlying futures have different expiry dates. The jelly roll is a neutral position with no delta, gamma, theta, or vega. However, it is sensitive to interest rates and dividends. (en)
prov:wasDerivedFrom	wikipedia-en:Jelly_roll_(options)?oldid=1064121014&ns=0
page length (characters) of wiki page	6165 (xsd:nonNegativeInteger)
foaf:isPrimaryTopicOf	wikipedia-en:Jelly_roll_(options)
is Link from a Wikipage to another Wikipage of	Jelly roll Box spread (options) Options strategy Roll Rolling (finance) Jelly roll spread
is Wikipage redirect of	Jelly roll spread
is Wikipage disambiguates of	Jelly roll Roll
is foaf:primaryTopic of	wikipedia-en:Jelly_roll_(options)

Faceted Search & Find service v1.17_git139 as of Feb 29 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 08.03.3330 as of Mar 19 2024, on Linux (x86_64-generic-linux-glibc212), Single-Server Edition (378 GB total memory, 51 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software