Short Call Calendar Spread
Description
The reverse of the long call calendar spread: buying the near-term call and selling the longer-dated one, a less common structure used when near-term implied volatility looks rich relative to the back month.
Setup
- Buy one call at a chosen strike, near-term expiry.
- Sell one call at the same strike, a later expiry.
Context
Used when a big move is expected soon, or when near-term implied volatility is unusually elevated relative to the longer-dated option.
Risk Profile
Maximum loss is capped but depends on both option's remaining value if the underlying sits at the strike at the near-term expiry. It profits most from a sharp move away from the strike, or a drop in the far-month option's value.
Pros
- Benefits from a large, fast move in the underlying.
- Benefits from a drop in back-month implied volatility relative to the front month.
Cons
- Uncommon setup that is harder to price and manage than a standard calendar.
- Worst case sits right at the strike, the opposite of what a new trader might expect.
Effect of Time
Time decay generally works against the position while the underlying sits near the strike.
Effect of Volatility
A drop 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 | Call | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1950.1438 | $1987.6465 | 70.4000 | $22.5017 |
| Short | Call | 1 | $75000.0000 | 27 Nov 2026 | 37.7% | $2516.1904 | $2478.6353 | 54.3000 | $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? | $74881.8300 | $74973.4047 | $74882.9000 |
| Mid-Price Cost | -$566.0466 | -$570.0000 | -$565.1738 |
| Slippage? | +$75.0578 | +$10.0000 | +$37.5260 |
| Estimated Fees? | +$45.0347 | +$45.1222 | +$45.0312 |
| Total Estimated Cost | -$445.9540 | -$514.8777$68.9200 better than this page | -$482.6166$36.6600 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 | $445.9540 | +100.0% |
| $75000.0000 current | $0.0000 | $445.9540 | +100.0% |
| $90000.0000 | $0.0000 | $445.9540 | +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? |
|---|---|---|---|---|---|---|---|
| Short Call Calendar Spread72000 | Deribit · BTC | — | -$260.9603 | — | — | — | — |
| Short Call Calendar Spread73000 | Deribit · BTC | — | -$372.5033 | — | — | — | — |
| Short Call Calendar Spread74000 | Deribit · BTC | — | -$446.6908 | — | — | — | — |