Comparison · 7 min read
Rolling conventional options vs. perpetual exposure
Use a continuous-roll approximation as a bridge from familiar expiries to ongoing option exposure.
A trader can approximate ongoing option exposure without a perpetual instrument: buy a conventional option, close it before expiry, and replace it with a new one. That creates a useful mental bridge—and a useful benchmark—but it is not economically identical to a native perpetual design.
What “maintain 30-day exposure” means
Suppose the target is approximately 30 days to expiration and the roll cadence is seven days. The position begins with a 30-day option. Seven days later, the 23-day option is sold and a new 30-day option is purchased. The cycle repeats through the modeling horizon.
The net roll outlay is:
replacement premium − value received for the aging option
In the Lab, each leg uses the same Black–Scholes volatility and rate assumptions, the same strike, and frictionless modeled execution. Real rolls add bid/ask spread, slippage, strike selection, changing implied volatility, and operational decisions.
Why this differs from everlasting funding
The rolling strategy owns a particular expiring contract between roll dates. Its theta and gamma evolve as that expiry approaches. An everlasting funding model instead holds a perpetual derivative whose mark is constructed from a weighted strip of future conventional options and whose ongoing transfer references mark minus current payoff.
Both can maintain option-like exposure. Their cash-flow timing and risk sensitivities are different.
Why this differs from streaming premium
The rolling strategy pays a modeled option premium at entry and a net replacement cost at each roll. A streaming model can accumulate premium continuously along the realized path. One concentrates transactions at roll events; the other spreads carrying economics across time and state.
A useful experiment
Open a 60-day rally with 30-day target exposure. Compare seven-day and 14-day roll cadences. Then switch to the everlasting model without changing spot, strike, volatility, or path. The chart will show how ongoing exposure can look similar while the mechanism financing it changes.