Call Calendar Spread

A near call sold and a far call bought at the same strike: the position gains from the faster time decay of the near contract while the underlying stays close to the strike.

Also called Call time spread, Horizontal call spread

Outlook

Neutral

Family

Calendar

Level

Advanced

Legs

2 legs

Expirations

2 expirations

Opens for

Debit

Maximum profit

Limited

Maximum loss

Limited

Legs at the reference strikes this page's diagrams are drawn from

Leg	Side	Contract	Ratio	How the strike is chosen
B	Short	Call 100	1	At the money
B	Long	Call 100	1	At the money

What it is

Two calls at the same strike B in two different expirations: the near one sold, the far one bought. It is the first structure in this encyclopaedia where the legs do not expire together, and that changes how every chart on this page has to be read.

The position is long time and short time at once. What it earns is the difference in how fast the two contracts lose their extrinsic value.

The payoff

At expiration

A mound centred on the strike: the position is worth most if the underlying is at B when the near contract expires, and less in either direction.

⛔ This is not a payoff at expiration in the sense the other pages use. The two legs expire on different days, so the chart shows the position’s value when the near contract expires, with the far contract still alive and still carrying time value. There is no terminal straight-line payoff to draw.

• At B — the best case. The sold call expires worthless and the bought call retains the most extrinsic value it will have.
• Away from B in either direction — the far call’s remaining time value falls, and the structure is worth less. Far enough either way and the debit is effectively lost.

The maximum loss is the debit, which is why the fact box says Limited despite a short leg being present: the far-dated long call covers the near-dated short one at the same strike.

How it behaves before expiration

Today, before expiration

Today's value is a flatter mound than the near-expiry line, with the same peak at the strike.

The mound grows as the near expiry approaches. Most of what a calendar earns arrives in the last two weeks of the front contract, because that is when the difference between the two decay rates is largest.

The Greeks

Delta is near zero at B and turns slightly against the position in either direction.

Gamma is negative around B — the short near contract dominates — which is the structure’s main hazard close to the front expiry.

Theta is positive: the near call decays faster than the far one, and the difference is the position’s income.

Vega is positive, and this is the property that most distinguishes a calendar from every credit structure in this encyclopaedia. The far-dated long contract has more vega than the near-dated short one, so a rise in implied volatility helps.

Where it lives in the volatility environment

Practitioners describe the calendar as long vega and long theta at once, an unusual combination, and usually discuss it in terms of the term structure: the position benefits when the near expiry’s implied volatility is high relative to the far one’s, and suffers when that relationship inverts.

An event dated between the two expiries is the standard complication: the front contract prices it and expires before it, while the back contract still carries it.

What can go wrong

• A large move in either direction loses. The structure wants stillness, and it does not care which way it is disappointed.
• A fall in implied volatility hurts even if the underlying does not move, because the position is long vega.
• Early assignment on the near call leaves short shares against a long far call — a diagonal-shaped position nobody chose.
• The back leg is still open after the front expires. The position does not close itself; it becomes a long call.
• Two expirations mean two liquidity profiles, and the far month is usually the wider market.

Building it in Option Panel

Open Build Strategy and pick Call Calendar Spread. The strike is chosen once and applied to both legs; the two expirations are selected separately, by date or by days to expiration.

Because the legs sit in different expirations, the builder treats the far leg’s expiry as an independent selection rather than deriving it from the near one.

Back to the encyclopaedia · What-if analysis in the docs

Related strategies

• Put Calendar Spread — the same structure built from puts.
• Call Diagonal Spread — a calendar with the strikes moved apart, which adds a directional view.
• Double Diagonal — two diagonals at once, one on each side.