Calendar Spread — Strategie de opțiuni

A calendar spread (also called a time spread or horizontal spread) involves buying a longer-dated option and selling a shorter-dated option at the same strike price. The trade profits from the difference in time decay rates between the two expirations—the front-month option decays faster than the back-month option, and the position gains in value as that differential widens.

Calendar spreads are uniquely positioned to benefit from low volatility in the near term and potential volatility expansion in the longer term. As the front-month option decays rapidly near expiration, the value of the long back-month option erodes more slowly. The maximum value of the calendar spread is achieved when the stock closes exactly at the strike price at front-month expiration—the short option expires worthless while the back-month option retains significant time value.

Volatility plays an unusual role in calendar spreads compared to most strategies. A calendar spread benefits from IV contraction in the front month (the short option loses value faster) and from IV expansion in the back month (the long option gains value). This 'long back-month vega, short front-month vega' dynamic makes calendar spreads interesting in term-structure plays—when the front of the curve is expensive and the back is relatively cheap.

Strike selection is typically ATM for maximum sensitivity to the underlying's position. Placing the strike exactly at the current stock price means both options have maximum time value, and the front-month option will decay most rapidly. OTM calendar spreads are cheaper but have a lower probability of achieving maximum profit, requiring the stock to move toward the strike.

Calendar spreads are defined-risk trades—the maximum loss is the net debit paid for the spread. This occurs if the stock moves dramatically away from the strike, causing both options to lose most of their time value. Management involves closing the position when the short option has decayed significantly (often around 21 days before front-month expiration) to capture the time value differential while avoiding gamma risk.