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 | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $84500.0000 | 24 Sep 2026 | $211.0113 | $185.6899 | $25.3213 |
| Long | Call | 1 | $84500.0000 | 25 Sep 2026 | $717.8361 | $760.0617 | $25.3354 |
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 |
|---|---|---|---|
| $67600.0000 | $0.0000 | -$506.8248 | -100.0% |
| $84404.4000 current | $0.0000 | -$506.8248 | -100.0% |
| $101400.0000 | $0.0000 | -$506.8248 | -100.0% |