Buy longer-dated call, sell shorter-dated call at same strike.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -161.4% | -0.20 | +314.7% | +42.1% | -8.5% | 19 |
| QQQ | -200.2% | -0.22 | +402.6% | +36.8% | -10.5% | 19 |
| IWM | -200.1% | -0.21 | +359.4% | +36.8% | -10.5% | 19 |
| DIA | -1.6% | 0.00 | +144.7% | +36.8% | -0.1% | 19 |
| Avg | -140.8% | -0.16 | +305.3% | +38.2% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| term_structure | 45/90 DTE | Short/long tenors |
Calendar spreads express long vega / short theta around a strike with defined scenario sensitivity.
# +C(K,T_long) - C(K,T_short)