# Roll Yield on Options?

I have only recently started looking into options trading, so the question may come off as ignorant.

My thought was that for an underlying security that has no special event like earnings. Could we construct a pair of option trades to obtain roll yield on time value?

A simple case: In November, sell a call option expiring in December and buy another call option expiring in January next year, both at the same strike price. Would this allow me to extract the time value while hedging against price movement?

What you describe is called a calendar spread, however as the deltas of the two options will differ when they are not at the money, thus you are not really hedging against price movement.

Calendar spreads have been discussed extensively here and elsewhere

Why a calendar spread is a preferred strategy in a low volatility period

How to manage risk on a call calendar when underlying is falling

• According to this post it only does at maturity, and in general it seems $\Delta$ would always depend on $\tau = T-t$. No? – SRKX Nov 25 '16 at 7:40