Jelly Roll
JRJR-E2_E1-X1Long synthetic far + short synthetic near (same strike).
Calendar-synthetic arbitrage. Captures the basis between the two implied forwards at the same strike.
Pick two expiries and 1 strike to build the combo.
Long synthetic far + short synthetic near (same strike).
Calendar-synthetic arbitrage. Captures the basis between the two implied forwards at the same strike.
Pick two expiries and 1 strike to build the combo.