Double Calendar Spread
Buy two back-month OTM options (Call & Put) and sell two front-month OTM options to create a wide two-peaked neutral profit zone.
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 (4 Legs)
| Action | Instrument / Strike | Type | Expiry | Approx Delta | Est. Premium | Qty Ratio |
|---|---|---|---|---|---|---|
| SELL | 24,200 PE (Front) | PUT | 7 DTE | -0.25 | ₹60 | 1x |
| BUY | 24,200 PE (Back) | PUT | 35 DTE | -0.25 | ₹210 | 1x |
| SELL | 24,800 CE (Front) | CALL | 7 DTE | +0.25 | ₹60 | 1x |
| BUY | 24,800 CE (Back) | CALL | 35 DTE | +0.25 | ₹210 | 1x |
How the Structure Works
Dual-tent payoff profile that benefits from time decay and rising volatility.
A Double Calendar Spread combines an OTM Put Calendar and an OTM Call Calendar. It creates two distinct profit peaks with a wide safety zone in between, giving you double the range of a standard calendar spread with long vega protection.
Institutional Strike Selection Rules
Phased Execution Blueprint
Follow this structured sequence to eliminate emotional hesitation during order entry, lifecycle management, and final exit.
Low VIX Range
Deploy when expecting range-bound action with potential volatility increase.
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.
SEBI calendar margin relief applies.
NIFTY Double Calendar Trade Walkthrough
Nifty traded in 24,200-24,800 band.
24200 PE Calendar + 24800 CE Calendar (Net Debit = ₹300 = ₹7,500)
- Front month options melted to zero.
Common Mistakes to Avoid
Why it happens: IV crush destroys back month.
Solution: Only enter in low IV.
Institutional Pro Tips
Double Calendar Spread FAQs
How is Double Calendar different from Iron Condor?
Double Calendar is Long Vega (+ν) and costs net debit, whereas Iron Condor is Short Vega (-ν) and collects credit.
Alternative & Complementary Strategies
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.
Sell an OTM Call Spread and an OTM Put Spread simultaneously to collect double premium in a range-bound market with strictly defined risk.
Combine different strikes and different expirations simultaneously to create custom asymmetrical theta harvesting engines.