Long Put Calendar

Neutral

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

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+1256.0%0.97+83.3%+79.0%+66.1%19
QQQ+1050.1%0.86+131.4%+79.0%+55.3%19
IWM+806.3%0.76+100.5%+84.2%+42.4%19
DIA+978.0%0.75+107.1%+79.0%+51.5%19
Avg+1022.6%0.83+105.6%+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

Put calendar mirrors call calendar with downside-focused strike selection.

Implementation

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