Strangle and Jelly Roll Structures

Long strangle, strangle, and jelly roll terms used in volatility and calendar-related option structures.

This subsection groups related instrument terms so the generated section list reads by contract type, payoff behavior, or market function rather than legacy archive order.

In this section

• Long Jelly Roll: An In-Depth Definition of the Option Strategy
  Explore the intricacies of the Long Jelly Roll, a time value spread option strategy that involves the simultaneous buying and selling of call and put options with different expiration dates.
• Long Strangle: Options Trading Strategy
  An options trading strategy similar to a long straddle but with different strike prices for the call and put options, generally cheaper but requires a more significant move in the underlying asset to be profitable.
• Strangle: Options Trading Strategy
  A strangle is an options trading strategy that involves buying a call and put option with different strike prices but the same expiration date on the same underlying asset. It is similar to a straddle but uses out-of-the-money options for potentially lower initial cost and different risk/reward profile.