Long Call Calendar Spread
Description
Selling a near-term call and buying a longer-dated call at the same strike, harvesting the faster time decay of the short-dated option.
Setup
- Sell one call at a chosen strike, near-term expiry.
- Buy one call at the same strike, a later expiry.
Context
Used when the underlying is expected to sit near the strike through the near-term expiry, letting the short option decay away faster than the long one.
Risk Profile
Maximum loss is the net debit paid, if the underlying is far from the strike when the near-term option expires. Maximum gain, realized if the underlying sits at the strike at the near-term expiry, is capped and depends on the remaining value of the longer-dated option.
Pros
- Benefits from the mismatch in time decay between the two expiries.
- Lower cost than an outright long call at the far expiry.
- Benefits from a rise in implied volatility in the back-month option.
Cons
- Needs the underlying to stay close to the strike, unlike a directional trade.
- Requires managing or rolling the position at the near-term expiry.
Effect of Time
Time decay is the engine of the trade: the near-term short option loses value faster than the longer-dated long option.
Effect of Volatility
A rise in implied volatility, especially in the back-month option, increases the position's value.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1950.1547 | $1912.6517 | 81.5000 | $22.5018 |
| Long | Call | 1 | $75000.0000 | 27 Nov 2026 | 37.7% | $2516.1904 | $2553.7454 | 32.7000 | $22.5330 |
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? | $74881.7300 | $74973.4047 | $74882.9000 |
| Mid-Price Cost | $566.0357 | $570.0000 | $565.1631 |
| Slippage? | +$75.0581 | +$10.0000 | +$37.5259 |
| Estimated Fees? | +$45.0348 | +$45.1222 | +$45.0311 |
| Total Estimated Cost | $686.1285 | $625.1223$61.0100 better than this page | $647.7201$38.4100 better than this page |
| Max Profit? | — | — | — |
| Max Loss? | — | — | — |
| Breakeven(s)? | — | — | — |
| Structure IV? | 38.1% | 38.4% | 38.0% |
| 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 |
|---|---|---|---|
| $60000.0000 | $0.0000 | -$686.1285 | -100.0% |
| $75000.0000 current | $0.0000 | -$686.1285 | -100.0% |
| $90000.0000 | $0.0000 | -$686.1285 | -100.0% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:31:48 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? |
|---|---|---|---|---|---|---|---|
| Long Call Calendar Spread72000 | Deribit · BTC | — | $688.6821 | — | — | — | — |
| Long Call Calendar Spread73000 | Deribit · BTC | — | $687.7242 | — | — | — | — |
| Long Call Calendar Spread74000 | Deribit · BTC | — | $686.8591 | — | — | — | — |