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 | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Long | Put | 1 | $82000.0000 | 25 Sep 2026 | $168.9383 | $177.3853 | $21.1173 |
| Short | Put | 1 | $84000.0000 | 24 Sep 2026 | $97.0810 | $84.4182 | $12.1351 |
| Short | Call | 1 | $85000.0000 | 24 Sep 2026 | $71.7555 | $59.0928 | $8.9694 |
| Long | Call | 1 | $87000.0000 | 25 Sep 2026 | $92.9161 | $101.3630 | $11.6145 |
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.
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
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 |
|---|---|---|---|
| $77000.0000 | -$2000.0000 | -$2093.0179 | -2250.1% |
| $82000.0000 | -$2000.0000 | -$2093.0179 | -2250.1% |
| $84000.0000 | $0.0000 | -$93.0179 | -100.0% |
| $84418.2400 current | $0.0000 | -$93.0179 | -100.0% |
| $85000.0000 | $0.0000 | -$93.0179 | -100.0% |
| $87000.0000 | -$2000.0000 | -$2093.0179 | -2250.1% |
| $92000.0000 | -$2000.0000 | -$2093.0179 | -2250.1% |