An option trading strategy which involves selling a call and buying a put at the same strike price, both being with a near-month expiration date, and simultaneously buying a call and selling a put at the same strike price, both being with a far-month expiration date. The jelly roll may also refer to a roll done by a trader using synthetic forward contracts each of which involves a long call and a short put on the same underlying and with the same strike price and expiration date. This structure is mainly used to capture the interest rate differential (the cost of carry differential) from one expiration month to the next.

This strategy can be implemented in two ways: long jelly roll and short jelly roll.