Calculator Inputs
Formula Used
This calculator estimates the calendar spread at the short-leg expiration. First, the entry debit per share is: Net Debit = Long Premium - Short Premium.
Total opening cost is: Total Entry Outlay = (Net Debit × Contract Size × Number of Spreads) + Fees.
At short expiry, the short leg is treated as intrinsic value: Short Leg Value = max(S - K, 0) for calls or max(K - S, 0) for puts.
The long leg still has time left, so its value is estimated with the Black-Scholes model using the remaining time: Remaining Time = (Long Days - Short Days) / 365.
Spread value at short expiry is: Spread Value = Long Remaining Option Value - Short Intrinsic Value.
Estimated profit or loss is: P/L = (Spread Value × Contract Size × Spreads) - Total Entry Outlay.
Net Greeks are calculated as long-leg Greeks minus short-leg Greeks. The graph plots simulated P/L across the selected underlying price range.
How to Use This Calculator
- Choose whether the spread is built with call options or put options.
- Enter the current underlying price and the common strike price.
- Fill in the premium paid for the long leg and premium received for the short leg.
- Enter days to expiration for both legs. The long leg must expire later.
- Set implied volatilities, rates, contract size, number of spreads, and total fees.
- Enter a target underlying price for the scenario summary.
- Choose downside range, upside range, and number of graph points.
- Press the calculate button to see the result above the form, review the graph, and export the scenario table.
Example Data Table
| Option Type | Spot | Strike | Short Premium | Long Premium | Short Days | Long Days | Long IV | Target Price |
|---|---|---|---|---|---|---|---|---|
| Call | 100.00 | 100.00 | 2.50 | 4.60 | 30 | 90 | 24% | 100.00 |
| Put | 75.00 | 75.00 | 1.80 | 3.20 | 21 | 70 | 28% | 74.00 |
| Call | 250.00 | 255.00 | 6.40 | 10.10 | 35 | 120 | 31% | 255.00 |
FAQs
1. What does this calculator measure?
It estimates entry cost, Greeks, target outcome, and a simulated profit curve for a calendar spread at the short-leg expiration date.
2. Why is profit estimated at the short expiry?
A calendar spread is usually managed when the short option expires. At that moment, the long option still carries time value, which strongly affects strategy performance.
3. Does the tool support call and put calendar spreads?
Yes. You can switch between calls and puts, and the pricing, intrinsic value, and probability calculations update automatically.
4. Are the break-even prices exact?
No. They are estimated from the simulated price grid. A tighter grid improves the approximation, but real markets can still differ because volatility changes.
5. Why can the graph change when I edit long-leg volatility?
The long option still has remaining life at short expiry. Its time value depends on implied volatility, so higher long volatility can raise spread value.
6. What is the max loss shown here?
It is the approximate debit paid plus fees. That is the usual maximum loss for a standard long calendar entered for a net debit.
7. Why are Greeks useful in this strategy?
Greeks summarize sensitivity. Delta reflects direction, theta reflects time decay, vega reflects volatility exposure, and gamma shows curvature around the strike.
8. Can I export the results?
Yes. Use the CSV button for the scenario table or the PDF button for a formatted summary and table you can save or share.