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Calendar Spread Calculator

Calendar spread value equals back-month theoretical option value plus front-month short premium minus long premium minus front short option intrinsic value.

Expiration scenarios

Solution

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Educational estimate only, not financial advice. Results exclude commissions, taxes, slippage, dividends, assignment risk, margin, and broker-specific rules. Verify before trading options.

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Calendar Spread Formula

The back-month option is repriced with Black-Scholes after the front option expires.

Worked Examples

Load these examples to compare common calendar spread payoff outcomes.

CALENDAR

Estimate remaining back-month value

The front option expires while the long option still has time value.

  • Enter the manual prices and assumptions.
  • Review the calculated risk, reward, and break-even metrics.
  • Compare the chart with the highlighted scenario.

Result: the calculator updates the scenario metrics and chart from those inputs.

Real fills, fees, and broker margin rules are not modeled.

How It Works

A calendar spread sells a near-term option and buys a later option at the same strike.

Example Problem

Buy a back-month option and sell a front-month option at the same strike.

  1. Estimate the remaining long option value.
  2. Subtract the long premium paid.
  3. Add the short premium received.
  4. Subtract short option intrinsic at front expiration.

The remaining long option value is model-based and sensitive to IV.

Key Concepts

Time spreads depend heavily on remaining implied volatility after the front option expires.

Applications

  • Planning calendar exits.
  • Stress-testing PMCC diagonals.
  • Comparing short strike choices.

Common Mistakes

  • Using expiration payoff only.
  • Assuming IV remains unchanged.
  • Ignoring assignment on the short option.

Frequently Asked Questions

What does the Calendar Spread Calculator calculate?

It calculates the selected options result from manual inputs, without requiring live stock or option quotes.

Does this calculator need live market data?

No. Enter the prices, premiums, volatility, days, or Greeks yourself. The calculator uses those manual inputs only.

Are commissions, taxes, margin interest, and assignment fees included?

No. The result excludes commissions, fees, taxes, borrow costs, slippage, and broker-specific margin rules.

Why can real trading results differ?

Real option prices can change with implied volatility, liquidity, dividends, early assignment, and execution prices.

Reference:

Standard options payoff, probability, and risk-management formulas.

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