Calendar Spreads

Core idea

What is a calendar spread?

A pure calendar combines the same option type and strike across different expirations. The classic long calendar sells the near option and buys the back option, normally for a net debit.

Near the strike, a long calendar is typically positive theta and positive vega. The front leg should decay faster while the back leg retains time value.

Simple calendar

SPX with 14/21 DTE

Call calendar

• Short SPXW 7,675 Call at 14 DTE
• Long SPXW 7,675 Call at 21 DTE

Put calendar

• Short SPXW 7,675 Put at 14 DTE
• Long SPXW 7,675 Put at 21 DTE

Both structures target SPX near the common strike at the front expiration. The compact 14/21-DTE setup is sensitive to gamma and short-term IV changes.

Four legs

SPX double calendar

A double calendar contains two calendars and four option legs: a lower put calendar and a higher call calendar around spot.

• Short/Long 7,600 Put at 14/21 DTE
• Short/Long 7,750 Call at 14/21 DTE

The profile is schematic at the front expiration. Debit, skew, IV, and remaining back-option value determine the actual profit zone and break-evens.

Credit version

Reverse calendar

A reverse calendar buys the near option and sells the back option at the same strike. It usually opens for a credit, but is commonly negative vega and negative theta around the strike.

• Reverse call Long 14 DTE, short 21 DTE
• Reverse put Long 14 DTE, short 21 DTE
• Credit diagonal Related, but uses different strikes

Manage the position before the first expiration so that a standalone longer-dated short option does not remain.

Trade-offs

Calendar vs. iron condor

• Calendar Usually debit, positive vega, two expirations, and model-dependent break-evens.
• Iron condor Usually credit, negative vega, one expiration, and fixed risk boundaries.
• Double calendar Can create a broad positive zone, but also uses four legs.
• SPX Cash settlement and European exercise avoid early assignment.

The calendar is more suitable when IV is expected to remain stable or rise. The iron condor is generally better aligned with quiet markets and falling IV.