Model long or short calendar spreads with assumptions. Compare calls, puts, volatility, and contract size. Visual results simplify planning, testing, exporting, and decision making.
This sample shows a long call calendar spread using one contract, a 100 share multiplier, 30 near days, 90 far days, and no volatility shock.
| Input | Example Value |
|---|---|
| Strategy Side | Long Calendar Spread |
| Option Type | Call |
| Current Spot Price | 100.00 |
| Strike Price | 100.00 |
| Near Premium | 3.20 |
| Far Premium | 5.80 |
| Near Days / Far Days | 30 / 90 |
| Rate / Dividend Yield | 4.50% / 0.00% |
| Near Vol / Far Vol | 22% / 25% |
| Contracts / Multiplier | 1 / 100 |
1. Initial cashflow: Initial cashflow = negative of signed premiums. Long positions pay premium. Short positions receive premium.
2. Near leg settlement at near expiry: Call intrinsic = max(S - K, 0). Put intrinsic = max(K - S, 0).
3. Far leg estimated value at near expiry: The calculator prices the far leg with the Black-Scholes model using remaining time, interest rate, dividend yield, and shocked far volatility.
4. Black-Scholes terms: d1 = [ln(S/K) + (r - q + 0.5σ²)T] / [σ√T]. d2 = d1 - σ√T.
5. Call value: C = Se-qTN(d1) - Ke-rTN(d2).
6. Put value: P = Ke-rTN(-d2) - Se-qTN(-d1).
7. Estimated payoff at near expiry: Profit or loss = initial cashflow + signed far value + signed near intrinsic, then multiplied by contracts and contract size.
A calendar spread uses the same strike with different expiries. Traders usually sell the nearer option and buy the farther option, or reverse that structure for a short calendar.
At the near expiry date, the back-month option still has time value left. The calculator estimates that remaining value using the pricing inputs you supply.
It adjusts the far-leg volatility used at the near expiry date. This helps you test how profit changes if implied volatility rises or falls before the front leg expires.
They are approximations from the scanned price range and step size. Smaller step values usually produce more precise break-even estimates.
Calendar spreads often depend heavily on remaining time value. When the far option keeps more value, the spread can improve even if the front leg expires near the strike.
The table shows net entry Greeks for both legs combined. These values estimate sensitivity to price, time decay, volatility, and interest-rate changes.
Yes. You can switch between call and put structures and choose long or short calendar positioning from the form.
No. Different brokers may use different volatility surfaces, rates, dividend assumptions, and exercise models. Treat this tool as an analytical estimator.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.