Calendar and diagonal spreads
Same direction, different expiries: the gap between two time curves is the trade.

The idea · in two minutes

Jack sells this month’s ticket while Rose keeps next quarter’s

Both watch the same company. Jack expects its share price to stay near 100 for a month; Rose wants to keep some later upside. Jack buys a 90-day 100 call and sells a 30-day 100 call.

At day 30, the short call settles while the long call still has 60 days left. Near the strike, the short option may have decayed faster, leaving more time value in the long call than the initial debit. A sharp rally can instead make the short call valuable and offset the long leg.

A calendar spread does not simply “earn time decay”. It depends on near-term price and the implied-volatility term structure. After the short option expires, an unmanaged position becomes a single long option with a different risk profile.

• S=80Model scenario: the long call has little value and the short leg expires.
• S=95Model scenario: close to break-even.
• S=100The short call expires at the strike while the long call retains time value.
• S=110Short-call intrinsic value offsets part of the longer call.
• S=120A jump or volatility change can alter the model result.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

At the near expiry, P&L is the remaining market value of the far option minus the short-leg settlement and initial net debit.

T₁ is the short expiry and T₂ the long expiry, with T₂>T₁. C(·) is the far option value at T₁ using its remaining time and volatility; D is the initial net debit. A diagonal also changes the strikes.

Greeks: the directional intuition

Theta

Captures the effect of time passing, all else equal.

Vega

Measures sensitivity to implied volatility.

Gamma

Measures how quickly delta changes as the underlying moves.

At the near expiry, P&L is the remaining market value of the far option minus the short-leg settlement and initial net debit.

Practical context · published observations

Calendar model P&L: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

忽略股息、提前指派、融資、交易成本與買賣價差；實際兩期限 IV 會分別變動。Scenario amount per share is shown as a percent of 100-unit spot notional. Source ↗ · Methodology ↗