Double Diagonal
Description
A calendar spread on both the call and put side at once: near-term short strangle against a longer-dated, wider long strangle.
Setup
- Sell a near-term out-of-the-money call and put.
- Buy a longer-dated, further out-of-the-money call and put.
Context
Used to collect the faster decay of near-term options across a wider range than a single-strike calendar, while capping risk with the further-dated wings.
Risk Profile
Maximum loss is the net debit paid. Maximum gain, at the near-term expiry, depends on the remaining value of the longer-dated wings and is largest when the underlying sits between the two short strikes.
Pros
- Wider profit zone than a single calendar spread.
- Defined risk thanks to the longer-dated wings.
- Benefits from elevated near-term implied volatility decaying away.
Cons
- Four legs across two expiries makes it the most complex structure to manage in this family.
- Requires an active decision to roll or close at the near-term expiry.
Effect of Time
Time decay is the core engine: both near-term short options decay faster than the longer-dated long options.
Effect of Volatility
A rise in back-month implied volatility relative to the front month benefits the position.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Long | Put | 1 | $73000.0000 | 27 Nov 2026 | 38.8% | $1595.6748 | $1614.4475 | 9.7000 | $22.5272 |
| Short | Put | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $1499.7852 | $1462.2906 | 118.9000 | $22.4968 |
| Short | Call | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $1481.0379 | $1462.2906 | 3.2000 | $22.4968 |
| Long | Call | 1 | $77000.0000 | 27 Nov 2026 | 37.4% | $1633.2608 | $1652.0339 | 40.4000 | $22.5277 |
Max Profit/Max Loss aren't shown for calendar and diagonal strategies: their near and far legs settle at different expiries, which this scanner's payoff model doesn't account for.
Net cost, breakevens, the payoff chart and the scenario table are after costs: every leg filled by crossing the spread, estimated fees included -- the same numbers the Scanner ranks by.
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Compare venues
These exact contracts -- same strikes, expiries and ratios -- on every venue BOSS tracks for this currency, at execution: what selling (bid) or buying (ask) each leg there comes to, after that venue's own fee. Green marks the best venue for each leg and for the whole structure.
| Deribit this page | Bybit | OKX | |
|---|---|---|---|
| Index? | $74860.3600 | $74952.0646 | $74864.4000 |
| Mid-Price Cost | $248.1125 | $247.5000 | $228.1580 |
| Slippage? | +$93.7877 | +$12.5000 | +$75.0351 |
| Estimated Fees? | +$90.0485 | +$90.2632 | +$90.0421 |
| Total Estimated Cost | $431.9487 | $350.2632$81.6900 better than this page | $393.2352$38.7100 better than this page |
| Max Profit? | — | — | — |
| Max Loss? | — | — | — |
| Breakeven(s)? | — | — | — |
| Structure IV? | 38.4% | 37.9% | 38.2% |
| Open on this venue → | Open on this venue → |
Each leg: what it nets there per contract (fill price with the fee folded in), then the fill price, fee, IV and the size quoted at that price.
For comparing prices, not a recommendation: quotes move by the second, size is only what's shown at the top of the book, fees are each venue's published estimate, and the venues settle against different indexes and margin separately.
Market Context
This expiry as the Dashboard sees it: how the legs are priced against at-the-money and realized volatility, and where the expiry's forward sits against spot.
Volatility Smile?
Implied volatility across strikes at this expiry; the marked lines are this structure's strikes. Buying on the high part of the curve pays up for volatility; selling there collects it.
Leg bought Leg sold
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
After costs At mid price
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $69000.0000 | -$1000.0000 | -$1431.9487 | -331.5% |
| $73000.0000 | -$1000.0000 | -$1431.9487 | -331.5% |
| $74000.0000 | $0.0000 | -$431.9487 | -100.0% |
| $74986.2300 current | $0.0000 | -$431.9487 | -100.0% |
| $76000.0000 | $0.0000 | -$431.9487 | -100.0% |
| $77000.0000 | -$1000.0000 | -$1431.9487 | -331.5% |
| $81000.0000 | -$1000.0000 | -$1431.9487 | -331.5% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:35:48 UTC), priced at execution like everything above.
Same payoff through other strategies
None found in the latest scan.
Other strikes and widths of this strategy
| Strategy | Market | vs. this one | Credit/Debit | Max Profit? | Max Loss? | Prob. of Profit? | Max Profit / Max Loss? |
|---|---|---|---|---|---|---|---|
| Double Diagonal70000/71000/73000/74000 | Deribit · BTC | — | $320.6682 | — | — | — | — |
| Double Diagonal69000/71000/73000/75000 | Deribit · BTC | — | -$430.3236 | — | — | — | — |
| Double Diagonal68000/71000/73000/76000 | Deribit · BTC | — | -$1031.1224 | — | — | — | — |