Put calendar
The calendar built with puts.
Neutral2 legsDebit
Illustrative: underlying at 100, strikes every 2.5, front expiry 45 days, later legs 75 days, implied volatility 25%, model prices. One lot = 100 shares.
Key figures
| Opens for | a debit of $83 |
|---|---|
| Max profit | +$184 |
| Max loss | −$120 |
| Break-evens | 95.51 and 105.77 |
| Position delta today | +1 share |
| Outlook | Neutral |
The legs
| Action | Quantity | Option | Model price |
|---|---|---|---|
| Sell | 1 | 100 put, 45 days | 3.22 |
| Buy | 1 | 100 put, 75 days | 4.05 |
How it works
The calendar built with puts. Time spreads use options with different expiry dates. The near option loses value faster, and the payoff is read at the near (front) expiry while the later option still has time left.
When it fits
It suits a view that the underlying stays within a range until expiry.
What can go wrong
The most it can lose at expiry in this example is −$120. Short options can be assigned early, and a sharp fall with implied volatility rising can hurt more than the expiry line suggests, which is what the crash band shows. Because a later option is still open at the front expiry, the result there depends on implied volatility at that time, not only on the price.
Building it in Trident
In the Strategy Lab, choose put calendar and the days to expiry. Trident applies these strike rules to your live chain, prices each leg and draws the trade on the risk graph, where you can drag the days to expiry, change implied volatility or switch on the crash band. When it looks right, send it to order management; nothing reaches your broker until you send it.
Frequently asked questions
What is a put calendar?
The calendar built with puts.
What is the maximum loss on a put calendar?
In this illustrative example it is −$120 for one lot at expiry.
Where does a put calendar break even?
With the underlying at 100 in this illustrative example, the break-even at expiry is 95.51 and 105.77.
Can I build a put calendar in Trident?
Yes. Pick it in the Strategy Lab and Trident chooses the strikes from your live chain, prices the legs and draws it on the risk graph.
Illustrative example with model prices, not a recommendation. Options carry risk of loss. See the risk disclosure.