A jelly roll consists of a long time spread and a short time spread, one made up of puts, the other of calls, all having the same strike prices and same expiration dates. Therefore, a long jelly roll is created by combining a long call time spread and a short put time spread, which have the same strikes and same expiration. The following example illustrates a long jelly roll:

An investor may buy one call time spread which consists of a near-month short call and a far-month long call with a strike price of $50, and sell one put time spread which is composed of a near-month short put and a far-month long put with a strike price of $50, with all options expiring in November.