Calendar Spread (Time Spread)
Sell a short-dated option and buy a longer-dated option at the same strike to exploit rapid near-term time decay with low capital risk.
Interactive Payoff Curve & Greeks Simulation
Visualize the theoretical profit & loss at expiry vs T+0 immediate day curves. Drag the simulation slider to stress-test your trade.
Option Payoff Curve & Greeks
Net Option Greeks (Sensitivity Profile)
Values per 1 Lot standard unitMulti-Leg Position Structure (2 Legs)
| Action | Instrument / Strike | Type | Expiry | Approx Delta | Est. Premium | Qty Ratio |
|---|---|---|---|---|---|---|
| SELL | 24,500 CE (Front Weekly) | CALL | 7 DTE Weekly | +0.50 | ₹120 | 1x |
| BUY | 24,500 CE (Back Monthly) | CALL | 35 DTE Monthly | +0.50 | ₹340 | 1x |
How the Structure Works
Theta differential arbitrage. Long Vega (+ν) structure that gains value if market volatility expands.
A Calendar Spread (Time Spread) exploits the mathematical law of option decay: near-term options lose value significantly faster than longer-term options. By selling a 7-day option and buying a 35-day option at the same strike, the front-month option decays to zero, while the back-month option retains over 80% of its value.
Institutional Strike Selection Rules
Phased Execution Blueprint
Follow this structured sequence to eliminate emotional hesitation during order entry, lifecycle management, and final exit.
Low IV Consolidation
Deploy when IV is at yearly lows and stock is consolidating.
Interactive Margin & Position Size Calculator
Calculate exact lot sizing based on the 1-2% risk rule to preserve capital against Black Swan events.
Options Position Size & Max Risk Calculator
Total net liquid equity in your brokerage account
Recommended: 1.0% - 2.0% for disciplined longevity
Wing width max loss or defined mental/system SL
Rigorous Risk Rules & Adjustment Protocols
Non-negotiable parameters for stop-loss triggers, portfolio caps, and firefighting adjustments when market tests your strikes.
- Roll front month to next weekly cycle.
SEBI calendar spread margin relief applies.
NIFTY 24500 Calendar Spread Trade Walkthrough
Nifty consolidated at 24,500 with low India VIX (11.5).
Sold 7-day 24500 CE @ ₹120 / Bought 35-day 24500 CE @ ₹340 (Net Debit = ₹220 = ₹5,500 on 25 qty)
- Front call expired at ₹8 while back call retained ₹285.
Common Mistakes to Avoid
Why it happens: Long back-month call loses massive value when IV crashes.
Solution: Only enter calendars in low IV environments.
Institutional Pro Tips
Calendar Spread (Time Spread) FAQs
What happens when the front-month option expires?
You can either close the entire trade to lock in profit, or sell another weekly option against your remaining back-month option.
Alternative & Complementary Strategies
Buy two back-month OTM options (Call & Put) and sell two front-month OTM options to create a wide two-peaked neutral profit zone.
Buy a longer-dated ITM Call and sell a shorter-dated OTM Call across different expiration cycles to exploit time decay differential.
Sell an OTM Call Spread and an OTM Put Spread simultaneously to collect double premium in a range-bound market with strictly defined risk.