Put Calendar Spread

A near put sold and a far put 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 Put time spread, Horizontal put 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	Put 100	1	At the money
B	Long	Put 100	1	At the money

What it is

Two puts at the same strike B, the near one sold and the far one bought. The mechanics are those of the call calendar: the position earns the difference between two rates of time decay.

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.

⛔ As with every calendar, this is the value when the near contract expires, not a terminal payoff: the far put is still alive and still carries time value.

The peak is at B, the value falls away in both directions, and the maximum loss is the debit.

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 builds toward the front expiry, most of it in the final fortnight.

The Greeks

Delta near zero at B. Gamma negative around B. Theta positive. Vega positive — the far contract carries more of it than the near one.

Where it lives in the volatility environment

The same term-structure considerations as the call calendar. The practical difference between the two versions is assignment and, on some underlyings, the shape of implied volatility across strikes: a put calendar is often placed below the money where a call calendar would be placed above it.

What can go wrong

• Movement in either direction loses, and a sharp fall moves the underlying away from the strike fastest.
• A drop in implied volatility hurts a long-vega position even in a still market.
• Early assignment on the near put leaves long shares against a far-dated long put.
• The back leg survives the front expiry and has to be dealt with.
• Two expirations, two markets, and the far one is usually wider.

Building it in Option Panel

Open Build Strategy and pick Put Calendar Spread. One strike, two expirations, each selected by date or by days to expiration.

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

Related strategies

• Call Calendar Spread — the same structure from calls, and the fuller explanation of how a calendar works.
• Put Diagonal Spread — a calendar with the strikes apart.
• Double Diagonal — one on each side at once.