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-435.9%-0.20+834.7%+42.1%-22.9%19
QQQ-527.1%-0.23+1031.9%+31.6%-27.7%19
IWM-406.8%-0.20+762.5%+36.8%-21.4%19
DIA-12.2%-0.01+285.8%+36.8%-0.6%19
Avg-345.5%-0.16+728.7%+36.8%—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)