QSB Jelly Roll

QSB Jelly Rolls are used for rolling combos (i.e., long Call and short Put at the same strike and expiration) from one expiration to another. Jelly Rolls are typically used for managing delta in portfolios of options positions. By convention buying a QSB Jelly Roll rolls a long combo from the earlier expiration to a later expiration (i.e., selling the earlier expiration combo and buying the later expiration combo). Figure 4 below illustrates the Jelly Roll expiration pairs.

The EDCID message EDCI Type value for QSB Jelly Rolls is "QSB" and the EDCI Subtype value is "JELLY_ROLL".

The expirations labeled Today and Tmr are the 0-DTE and 1-DTE expirations respectively. Note 0-DTE and 1-DTE options are technically weekly expiring SPXW contracts. Friday-1 is the next Friday expiring weekly SPXW contract. Serial-1, Serial-2 and Serial-3 are standard monthly SPX contract expirations that skip the quarterly March, June, September and December standard contract expiration. Lastly, Qtr-1, Qtr-2 and Qtr-3 are quarterly standard monthly SPX contract expirations in the set comprising March, June, September and December.

The cells in Figure 4 marked WW roll a weekly expiration combo to a weekly expiration combo forward in time. The cells marked WX roll a weekly expiration combo to a forward standard expiration combo. The cells marked XX roll a standard expiration combo to a forward standard expiration. These distinctions are significant as SPX-SPX complex order books are hosted on matching unit 33, SPXW-SPXW complex order books are hosted on matching unit 34, and the cross SPX-SPXW complex order books are hosted on matching unit 35.

The shaded expiration pairs in Figure 4 above are pairs in which the time order of the pair may switch over time. For example, there are times when the first serial expiration (Serial-1) is before the first quarterly expiration and times when it is after. The shaded expiration pairs will flip as appropriate to maintain the convention that buying a Jelly Roll is to roll a long combo position from the earlier to the later expiration.

The outlined cell in Figure 4 above indicates a two expiration pairs for which there are time within the calendar year when the pair refer to the same expiration date. The two are 1) when Tmr expiration date is the same as the Qtr-1 expiration date (i.e., the day before the expiration of the first quarterly contract), and 2) when the Friday-1 expiration date is the same as the Qtr-1 expiration date. On those specific dates, when the expiration dates comprising pair resolve to the same contract expiration, no associated contract spread is created.

Each trading date, an "Anchor Strike" is calculated by using the put-call parity implied forward price at the next Lead contract expiration rounded to the nearest $50. The Lead contract is defined as the next quarterly contract on a date advanced 9 days forward from the current date. In other words, the Lead contract in this context is the next quarterly control pre-rolled by 9 trading days.

For each Jelly Roll expiration combination shown in Figure 4 above, seven distinct Jelly Rolls are created as QSB instruments differing only by strike. The anchor strike comprises one of the seven. Three additional strikes above the anchor strike in increments of $50, and three additional strikes below the anchor strike in increments of $50 complete the seven.