Long Call Calendar

Neutral

Buy longer-dated call, sell shorter-dated call at same strike.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+940.2%0.97+61.7%+79.0%+49.5%19
QQQ+824.2%0.87+102.5%+79.0%+43.4%19
IWM+632.4%0.77+78.2%+84.2%+33.3%19
DIA+664.9%0.76+71.9%+79.0%+35.0%19
Avg+765.4%0.84+78.6%+80.3%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Near strike around short expiry
Max Loss
Net debit
Breakeven
Dynamic
Outlook
Neutral with vol edge

Parameters

ParameterDefaultDescription
term_structure45/90 DTEShort/long tenors

Methodology

Calendar spreads express long vega / short theta around a strike with defined scenario sensitivity.

Implementation

# +C(K,T_long) - C(K,T_short)