What is a double calendar spread?

It is two calendar spreads on the same stock: a put calendar below the current price and a call calendar above it. Each calendar sells a near-term option and buys a longer-dated option at the same strike. The combination profits when the stock finishes near either strike at the front expiration or when implied volatility rises.

How does a double calendar differ from an iron condor?

An iron condor sells options in one expiration and buys further out-of-the-money wings in the same expiration for a credit; it is short vega and has a flat profit plateau. A double calendar buys longer-dated options at the same strikes as the short ones for a debit; it is long vega and has a two-hump payoff. The calendar wins when volatility rises, the condor when it falls.

What is the max loss on a double calendar?

The net debit paid for both calendars combined. Each long option expires after its short option and shares its strike, so it always covers the short option through the front-month expiration.

Is a double calendar good for earnings?

It is a popular earnings structure when the front expiration falls before the report and the back expiration falls after it. The front options decay while the back options hold their event premium. The risk is that the front-month implied volatility crush is smaller than expected or the stock moves well beyond a short strike.

Where should I place the strikes on a double calendar?

A common approach places each strike roughly one standard deviation from the stock, or around the 25 to 30 delta of the front-month options. Wider strikes give a broader profit range but a deeper dip in the middle, while narrower strikes raise the middle but shrink the range.

When should I close a double calendar spread?

Most traders exit before the front-month expiration, often when the position has earned 20 to 40 percent of the debit or when the stock has moved to one of the short strikes. Holding into expiration day adds pin risk and assignment risk for little extra reward.

Double Calendar Calculator & strategy guide

Time & DiagonalAdvancedNeutralDefined risk

Sell near-term call and put options while buying longer-dated options at matching strikes.

Payoff at the front-month expiration

Worked example: XYZ at $100, 30 days to the front expiry

Profit Loss Breakeven

Max profit: ≈ +$100; Near either strike at the front expiry; depends on IV
Max loss: −$320; The net debit
Breakevens: ≈ $94 & $106; Approximate, at the front expiry

The trade · net debit $3.20 a share ($320)

Sell $95 put · $1.20
Buy $95 put, 90 days · $2.80
Sell $105 call · $1.30
Buy $105 call, 90 days · $2.90

Price this double calendar on SPY with today's chain — then change the ticker, strikes and expiry.

Open in Build

What is a double calendar?

A double calendar combines two calendar spreads on the same underlying: a put calendar at a strike below the stock and a call calendar at a strike above it. In each calendar you sell the near-term option and buy the longer-dated option at the same strike. The position is opened for a net debit, and that debit is the maximum loss.

The strategy profits when the stock finishes near either short strike at the front-month expiration, where the short option expires worthless and the long option retains the most time value. Because both calendars are long vega, a rise in implied volatility helps the position, which is why double calendars are often placed ahead of earnings or other events with the front expiration before the event and the back expiration after it.

At the front-month expiration the payoff curve has two humps, one over each short strike, with a shallow dip between them and losses growing beyond the strikes as the long options lose time value. Compared with a single calendar the double version has a wider profit range, at the cost of a lower peak profit relative to the debit.

Setup

Leg	Strike	Expiry
Sell 1 put	1 strike OTM	Near
Buy 1 put	1 strike OTM	Later
Sell 1 call	1 strike OTM	Near
Buy 1 call	1 strike OTM	Later

Double Calendar example

XYZ trades at $100. For the put side you sell the $95 put expiring in 30 days for $1.20 and buy the $95 put expiring in 90 days for $2.80, a $1.60 debit. For the call side you sell the $105 call expiring in 30 days for $1.30 and buy the $105 call expiring in 90 days for $2.90, a $1.60 debit. The total net debit is $3.20 per share, or $320 per double calendar. At the front-month expiration both long options will have 60 days remaining.

Stock at expiration	Result
$100 (unchanged)	Both short options expire worthless. The long $95 put and long $105 call are each $5.00 out of the money with 60 days left and are assumed to be worth $1.70 apiece, or $3.40 total. Position value is $340 against a $320 cost, a gain of $20.
$105	Both short options expire worthless. The long $105 call is at the money and assumed worth $3.60, while the long $95 put is $10.00 out of the money and assumed worth $0.60. Position value is $420, a gain of $100, the approximate maximum. The result at $95 mirrors this.
$95	Both short options expire worthless. The long $95 put is at the money and assumed worth $3.60, while the long $105 call is assumed worth $0.60. Position value is $420, a gain of $100.
$110	The short $105 call is $5.00 in the money and costs $500 to close. The long $105 call is assumed worth $6.70 ($5.00 intrinsic plus $1.70 time value) and the long $95 put is assumed worth $0.20. Net value is $690 minus $500, or $190, a loss of $130. Loss approaches the full $320 debit on a larger move.

Maximum profit is roughly $100 if XYZ finishes at either the $95 or the $105 strike at the front-month expiration, with the exact figure depending on implied volatility at that time. Maximum loss is the $320 net debit. Approximate breakevens are near $94 and $106, so the profit range is about $12 wide, noticeably wider than a single calendar at the same debit.

When to use a double calendar

You expect the stock to stay within a range but are unsure which end of the range it will drift toward.
Implied volatility is low and you expect it to rise, since both calendars gain from higher back-month volatility.
An earnings report or event falls between the two expirations, so the back-month options carry an event premium that the front-month options do not.
Front-month implied volatility is higher than back-month volatility, which reduces the debit and improves the payoff.
Typical entries place the strikes roughly one standard deviation above and below the stock, sell 30 to 45 days out, and buy 60 to 120 days out.

Risks to understand

A large move beyond either short strike puts one calendar deep in the money, where the time value differential collapses and the loss approaches the full debit.
A drop in implied volatility after entry reduces the value of both long options more than the short ones, producing a loss even if the stock stays in the range.
The middle of the range is the low point of the payoff. In the example the stock sitting perfectly still earns only $20, so the position needs some drift toward a strike to pay well.
Four legs across two expirations means four bid-ask spreads. On illiquid underlyings, slippage can consume much of the expected profit.
If a short option finishes in the money and is assigned, you hold a stock position that the long option in the later month only partially hedges in the short term.

Managing the trade

Close the entire position on or before the front-month expiration day to avoid pin risk and assignment on a short strike.
If the stock approaches one short strike, consider closing that side for a profit and leaving the other calendar open, or rolling the tested short option out to the next month.
If implied volatility spikes before the front expiration, the position may reach its target early. Take the gain rather than waiting for the theoretical maximum.
Take profit at 20 to 40 percent of the debit paid. The two-hump payoff rarely finishes at a peak, so realistic targets are below the theoretical maximum.
Set a loss limit at around half the debit. A double calendar losing that much usually means a large move or a volatility collapse, and the thesis is no longer valid.

Double Calendar FAQs

What is a double calendar spread?: It is two calendar spreads on the same stock: a put calendar below the current price and a call calendar above it. Each calendar sells a near-term option and buys a longer-dated option at the same strike. The combination profits when the stock finishes near either strike at the front expiration or when implied volatility rises.
How does a double calendar differ from an iron condor?: An iron condor sells options in one expiration and buys further out-of-the-money wings in the same expiration for a credit; it is short vega and has a flat profit plateau. A double calendar buys longer-dated options at the same strikes as the short ones for a debit; it is long vega and has a two-hump payoff. The calendar wins when volatility rises, the condor when it falls.
What is the max loss on a double calendar?: The net debit paid for both calendars combined. Each long option expires after its short option and shares its strike, so it always covers the short option through the front-month expiration.
Is a double calendar good for earnings?: It is a popular earnings structure when the front expiration falls before the report and the back expiration falls after it. The front options decay while the back options hold their event premium. The risk is that the front-month implied volatility crush is smaller than expected or the stock moves well beyond a short strike.
Where should I place the strikes on a double calendar?: A common approach places each strike roughly one standard deviation from the stock, or around the 25 to 30 delta of the front-month options. Wider strikes give a broader profit range but a deeper dip in the middle, while narrower strikes raise the middle but shrink the range.
When should I close a double calendar spread?: Most traders exit before the front-month expiration, often when the position has earned 20 to 40 percent of the debit or when the stock has moved to one of the short strikes. Holding into expiration day adds pin risk and assignment risk for little extra reward.