Define the Term “Cost of Carry” in Relation to a Rolling Hedge Strategy

In a rolling hedge strategy, the "cost of carry" is the cumulative expense incurred to maintain the hedge over time. This includes the net premium paid for the options (new premium minus old premium received, if any), transaction fees, and the opportunity cost of the capital tied up in the margin or collateral.

For a rolling long put hedge, the cost of carry is typically negative, representing a net expense.