Long Put Calendar Spread
Description
The put-only equivalent of the long call calendar spread: selling a near-term put and buying a longer-dated put at the same strike.
Setup
- Sell one put at a chosen strike, near-term expiry.
- Buy one put at the same strike, a later expiry.
Context
Used when the underlying is expected to sit near the strike through the near-term expiry; economically similar to the call version, built with puts instead.
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 put 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 | Put | 1 | $84500.0000 | 24 Sep 2026 | $224.0243 | $202.8900 | $25.3612 |
| Long | Put | 1 | $84500.0000 | 25 Sep 2026 | $676.6737 | $718.9658 | $25.3753 |
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 | -$452.6493 | -100.0% |
| $84500.0000 current | $0.0000 | -$452.6493 | -100.0% |
| $101400.0000 | $0.0000 | -$452.6493 | -100.0% |