Short Call Calendar

Volatility

Inverse call calendar position.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-940.2%-0.97+845.7%+21.1%-49.5%19
QQQ-824.2%-0.87+752.0%+21.1%-43.4%19
IWM-632.4%-0.77+559.3%+15.8%-33.3%19
DIA-664.9%-0.76+683.1%+21.1%-35.0%19
Avg-765.4%-0.84+710.0%+19.7%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
If realized path suits short vega
Max Loss
Potentially large
Breakeven
Dynamic
Outlook
Short volatility

Parameters

ParameterDefaultDescription
term_structure45/90 DTEShort/long tenors

Methodology

Short vega expression that favors realized movement away from strike and lower vol.

Implementation

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