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 | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Long | Call | 1 | $84500.0000 | 24 Sep 2026 | $210.9931 | $236.3123 | $25.3192 |
| Short | Call | 1 | $84500.0000 | 25 Sep 2026 | $696.7074 | $633.3704 | $25.3348 |
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 | $485.7143 | +100.0% |
| $84397.2400 current | $0.0000 | $485.7143 | +100.0% |
| $84500.0000 | $0.0000 | $485.7143 | +100.0% |
| $101400.0000 | $0.0000 | $485.7143 | +100.0% |