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 short jelly roll is created by combining a short call time spread and a long put time spread, which have the same strikes and same expiration. The following example illustrates a short jelly roll:

An investor may sell 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 buy 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.