← Back to strategy library
Options · Time spread
Double Calendar
A two-expiration volatility structure targeting a price range near the front expiry.
Range-boundAdvanced
Strategy mechanics
What the structure is designed to do.
A Double Calendar sells shorter-dated options and buys longer-dated options at two selected strikes. The structure aims to benefit from faster decay in the front-month options while retaining exposure through the longer-dated legs.
Calendar spreads are sensitive to time, implied volatility and the shape of the volatility surface. Their risk cannot be understood from a simple expiration payoff alone, so active monitoring is essential.
Risk check
This page is educational. Suitability depends on your objectives, experience, portfolio and ability to absorb loss.
Read the OCC options disclosurePayoff profileDouble Calendar
Modeled at the near-term expiryTwo modeled profit peaks near the selected strikes; the curve changes with volatility and time.
The setup
- Select two target strikes
- Sell nearer-term options at both strikes
- Buy longer-term options at the same strikes
Decision map
Know the trade-offs before entry.
- When it fits
- A range-bound outlook with a view on relative volatility between expirations.
- Break-even
- Dynamic and dependent on volatility, time and the value of the back-month options.
- Maximum profit
- Not fixed in advance; depends on the value of the longer-dated options at the front expiry.
- Maximum loss
- Usually limited to the debit paid, subject to execution and assignment risk.
- Time decay
- Can help when front-month options decay faster than the back-month options.
- Primary risk
- A sharp move outside the target range or an adverse volatility shift.
Need this adapted to your workflow?
Discuss automation