Calendar Spreads¶

Calendar spreads (also called time spreads or horizontal spreads) use options with the same strike but different expiration dates. They profit from time decay differential and changes in implied volatility.

Long Call Calendar¶

Description¶

Sell a near-term call and buy a longer-term call at the same strike. Profits from time decay and volatility expansion in the back month.

Composition: - Short 1 front-month call (near expiration) - Long 1 back-month call (longer expiration) - Both at the same strike

Example¶

import optopsy as op

results = op.long_call_calendar(
    data,
    front_dte_min=20,
    front_dte_max=40,
    back_dte_min=50,
    back_dte_max=90,
    exit_dte=7  # Exit 7 days before front expiration
)

Use Cases¶

Neutral markets near the strike
Expecting volatility increase
Time decay plays

Short Call Calendar¶

Description¶

Buy the near-term call, sell the longer-term call. Profits from significant movement away from strike.

Composition: - Long 1 front-month call - Short 1 back-month call - Both at the same strike

Example¶

results = op.short_call_calendar(
    data,
    front_dte_min=20,
    front_dte_max=40,
    back_dte_min=50,
    back_dte_max=90
)

Long Put Calendar¶

Description¶

Similar to long call calendar but with puts. Profits from neutral price action at the strike.

Composition: - Short 1 front-month put - Long 1 back-month put - Both at the same strike

Example¶

results = op.long_put_calendar(data)

Short Put Calendar¶

Description¶

Opposite of long put calendar. Profits from movement away from strike.

Composition: - Long 1 front-month put - Short 1 back-month put - Both at the same strike

Example¶

results = op.short_put_calendar(data)

Key Parameters¶

Calendar spreads use different default parameters:

calendar_default_kwargs = {
    "front_dte_min": 20,      # Min DTE for front leg
    "front_dte_max": 40,      # Max DTE for front leg
    "back_dte_min": 50,       # Min DTE for back leg
    "back_dte_max": 90,       # Max DTE for back leg
    "exit_dte": 7,            # Exit 7 days before front expiration
    "dte_interval": 7,
    "delta_interval": 0.05,
}

Best Practices¶

Exit before front leg expiration to avoid assignment
Target strikes near current price
Monitor volatility skew between expirations
Consider IV changes in back month