Short Call Calendar

Volatility

Inverse call calendar position.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+161.4%0.20+87.7%+57.9%+8.5%19
QQQ+200.2%0.22+118.8%+63.2%+10.5%19
IWM+200.1%0.21+157.0%+63.2%+10.5%19
DIA+1.6%0.00+110.2%+63.2%+0.1%19
Avg+140.8%0.16+118.4%+61.8%—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)