Calendar Spread Options Calculator

Calendar spread options: one strike, two expiries

A long calendar sells a near-dated option and buys a later-dated option of the same type, on the same underlying and strike. The expiry difference is the trade: when the short leg expires, the long leg still has time value. A vertical uses different strikes at one expiry; a diagonal changes both strike and expiry. Futures calendar spreads are a different instrument and are outside this calculator.

The short leg is valued at intrinsic value at its expiry. The remaining long option needs a pricing model or a market quote. Its residual value changes with the stock price, remaining days, interest rate and future implied volatility. That makes the plotted result a scenario, not a fixed expiration payoff or an options backtest.

Reproduce a $200 debit and test the residual value

Use a hypothetical $150 stock and $150 call strike. Sell a 30-day call for $3 and buy a 60-day call for $5, one 100-share contract each. The debit is ($5 − $3) × 100 = $200. Assume a continuously compounded 5% annual rate, no dividends or fees, and 365 days per year.

Near-expiry P&L = [far option model value − short intrinsic value − opening debit per share] × 100 × contracts.

At day 30 with the stock still at $150, the short call has zero intrinsic value and the long call has 30 days left. Change only "Far IV at near expiry" to reproduce these Black-Scholes scenarios. P&L uses unrounded option values.

These inputs are illustrations, not observed quotes. A flat stock price does not lock in a profit: a much lower future IV, fees, or an expensive entry can turn the same price outcome into a loss. At zero future IV in this example, discounted intrinsic value is about $0.6152 per share and P&L is about −$138.48.

Read the IV term structure leg by leg

Near and far expiries can have different IVs, especially when an earnings release lies between them. Enter each current IV separately for the Greeks. Then set a separate future far IV for the residual-value curve. Changing near IV alone leaves that curve unchanged because the short option has no time value at its expiry; it does change current Greeks.

Before the first expiry, a local approximation is ΔV ≈ far vega × ΔIVfar − near vega × ΔIVnear, with vega measured per one percentage point. A positive net vega describes an equal small shift of both IVs. It does not establish what happens when one expiry moves more than the other, or after a large event-driven repricing. This calculator accepts opening premiums directly and does not infer them from IV.

What the scenario leaves out

Black-Scholes here prices European exercise with no dividends and constant volatility for each scenario. American exercise, discrete dividends, settlement rules, bid/ask spreads, borrow costs and commissions can change an actual result. Short options can be assigned before expiry; the later option does not automatically settle that obligation. Check broker exercise deadlines and stock exposure around the short expiry.

There is no single far-expiry payoff curve for the original calendar using only the final stock price. The near leg has already expired or been closed at an earlier price. Holding the remaining long option adds a separate decision and price path. The debit card shows entry cash at risk, not a guarantee about assignment, margin, or subsequent trades. Credit inputs warrant checking prices and settlement assumptions; percentage return is unavailable for a zero or negative debit.

Greeks are per share for one spread: theta per calendar day, vega per IV percentage point, and rho per interest-rate percentage point. Multiply by 100 and the contract count for position sensitivity. Educational estimates only; not investment advice or executable prices.

Build the same structure in TradingView Options

1. Create a custom strategy for one underlying. Add a short near-expiry call or put, then a long option of the same type and strike at a later expiry.
2. Check B/S direction, equal size, expiry, strike and entry price for both legs. TradingView allows entry prices based on bid, ask, midpoint or theoretical values; record which basis you use.
3. Compare the date and IV assumptions with this calculator. Check any available Pineify option-chain inputs for the same contracts, timestamp and multiplier. A daily close cannot establish a current fill.
4. Record the two legs, premiums, each current IV, future far IV, planned close date and eventual fills in your trading notes. Keep modeled P&L separate from realized trade results.

Continue with the TradingView strategies guide for other structures.