Natenburg's jelly rolls & boxes

Discussion in 'Options' started by creatornatrluvr, Sep 13, 2010.

  1. Has anyone had any success in implementing a jelly roll?

    I tried creating one using the same underlying but different expiration dates.

    Specifically, my synthetic long expires in DEC but my synthetic short expires in OCT.

    If you have gotten boxes to work, please tell me how you got it to work.

    Note: I was using /ES as the underlying.

    Phil L.
  2. MTE


    Jelly rolls and boxes are arbitrage relationships that hold the option prices together, these are not meant to be trading strategies for retail traders as their costs are prohibitive and connection speeds are too slow, thus they cannot compete with market makers and other pros.
  3. I had to cut down on Jelly Rolls.
  4. ?.....and you substituted bran muffins instead? :cool: