Short Put Calendar Spread
Description
The put-only equivalent of the short call calendar spread: buying the near-term put and selling the longer-dated one.
Setup
- Buy one put at a chosen strike, near-term expiry.
- Sell one put 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.
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.
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 | Put | 1 | $84500.0000 | 24 Sep 2026 | $312.2966 | $337.6180 | $25.3213 |
| Short | Put | 1 | $84500.0000 | 25 Sep 2026 | $760.0725 | $717.8463 | $25.3357 |
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 | $447.7758 | +100.0% |
| $84404.4000 current | $0.0000 | $447.7758 | +100.0% |
| $101400.0000 | $0.0000 | $447.7758 | +100.0% |