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Calendar spread calculator
a bet on time, and on volatility

Sell a near-dated option, buy a further-dated one at the same strike. When the front leg expires the back leg is still alive, so its value has to be modelled rather than read off a payoff line. That model — and the volatility it assumes — is the whole trade, and this calculator puts both in front of you.

Outlook: Neutral, pinned near the strike, with volatility holding up

Best case

—

at the strike, at front expiry

Worst case

—

roughly the net debit

Breakevens

—

edges of the profitable band

Net debit

—

paid to open

Your calendar

Both legs share a strike. Premiums per share.

Underlying price

Strike (both legs)

Option type

the shape is nearly identical either way

Contracts

Front premium collected

the near-dated option you sell

Back premium paid

the further-dated option you buy

Days between expiries

life left in the back leg

Back-month IV at front expiry

% — the assumption that decides everything

Profit at front expiry Loss at front expiry Breakeven Strike & spot

Why this one is a model, not a payoff

Every other calculator here is arithmetic. At expiry an option is worth its intrinsic value, so the answer is exact and depends on no assumptions. A calendar breaks that: when the front leg expires, the back leg still has weeks to run, and an option with time left is worth whatever the market says it is worth.

At FRONT expiry, per contract: Front leg (expiring) = premium collected − max(0, intrinsic) Back leg (surviving) = BlackScholes(price, strike, days left, IV, rate) − premium paid P/L = (front + back) × 100 × contracts

The Black-Scholes term is an estimate. Feed it a different implied volatility and the curve moves — which is not a flaw in the calculator, it is the actual risk of the position. Try dropping the IV field from 30 to 20 and watch the peak collapse.

A calendar is a volatility trade wearing a time-decay costume. The usual pitch is that you collect faster decay on the front leg than you pay on the back. True — but you are also long vega on the back month. If implied volatility falls between now and front expiry, the back leg is worth less than this model says and the trade can lose even with the price pinned exactly where you wanted it.

What the shape tells you

The peak sits at the strike. Maximum value comes from the front leg expiring worthless while the back leg keeps as much time value as possible.
Both wings lose. Move far enough either way and both legs go deep in or out of the money together, the spread between them narrows, and you are left near your debit.
Risk is roughly the debit. Roughly, not exactly — unlike a vertical, the floor depends on the model rather than on arithmetic.

Frequently asked questions

What is the maximum loss on a calendar spread?

Approximately the net debit paid, realised when the underlying moves far enough that both legs are deep in or deep out of the money together. It is approximate rather than exact because the back leg still carries time value at front expiry, and what that is worth depends on implied volatility at the time.

Why does my calendar lose money when the stock sits still?

Almost always falling implied volatility. A calendar is net long vega on the back month, so an IV decline reduces what the surviving leg is worth even though price did exactly what you wanted. This is the single most common surprise on the trade, and why entering one into an event that will crush volatility afterwards often disappoints.

Should I use calls or puts for a calendar?

The payoff shape is nearly identical, because a calendar's value comes from the difference in time value between two expiries rather than from direction. Choose on practical grounds: liquidity at that strike, bid-ask width, and on the put side whether early assignment around a dividend is a concern.

What happens if my short front leg is assigned early?

You end up with the underlying position the short option implied — short 100 shares per contract on an assigned call — while still holding the long back-month option. That is usually manageable because the long leg covers the risk, but it consumes margin immediately and can cost you a dividend on the call side. Being in the money as the front expiry approaches is the moment to plan an exit.

How accurate is the number this calculator gives?

It is as accurate as the volatility you type in. The front leg is exact — it expires, so it is worth its intrinsic value. The back leg is a Black-Scholes estimate, and real option prices differ from the model, particularly for strikes far from the money where skew matters. Treat the curve as a shape to reason about, not a price to expect.

Are commissions included?

No, all figures are gross. Calendars involve two legs to open and often two to close, and the position is frequently rolled, which multiplies that. Against a net debit that may be a couple of hundred dollars, commissions are a real fraction of the outcome.

Model this against a live chain

GreeksView reads real implied volatility per expiry, so the back-month assumption comes from the market instead of a text box — in your browser, on your own broker keys.

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