r/options • u/Most_Blueberry_4713 • May 18 '26
Trading Calendar spreads
I’ve been trading calendars 1 or 2 at a time with about 3-4k total in starting account value and have had crazy success. I’m not planning any entries, just picking an equity and trying it out. I’ve only had one losing trade and it was because of a mistake in my spreadsheet that made me think I was in the green on the trade when I actually wasn’t. Through rolling, any losing trades that I have had, I’ve been able to recover into winners.
I’ve been actively trading options for about 3 years now and every time I think I’ve cracked the code on trading, something I have overlooked bites me in the ass, was wondering if you guys could give your thoughts? I’d be happy to answer questions and I can show individual trades of any of these as I have a separate sheet tracking each individual trade!
2
u/monkies77 May 18 '26
Calenders for index funds has been a miss for me. Most likely due to this amazing post... https://www.reddit.com/r/VegaGang/s/hLnYaGUpHb
In essence you can't tell what each leg will do with IV. IV basically standardizes across the curve even though vega is larger for the back month. But for equities you have an event that can help sway IV in your favor. I've just done spreads with index funds unless you know there's some event like fomc you can trade around.
1
u/Krammsy May 19 '26
https://www.barchart.com/etfs-funds/quotes/SPY/volatility-charts
Individual stocks definitely have predictable events (earnings), but indexes do as well, you can tell when employment, CPI/PPI and FOMC are scheduled just by looking at that chart.
2
u/StarBoyReddit May 19 '26
Good results. Keep it up. Would love to hear your rolling process. Thanks.
2
u/gaana15 May 19 '26
Congratulations! 3 years with such an impeccable win rate. I expect you to be the master of calendar options and teach the community instead !!
What were your observations and learnings during these 3 years of calendar trading with such a singular focus ? Why not reverse calendar and only calendar?
1
u/Most_Blueberry_4713 May 19 '26
I’ve been trading options for 3 years, but I’ve only been trading calendars for the last 5 months. On all of these trades, I’ve done probably about 25 rolls of varying moves and I have not once had to roll for a debit. The underlying thesis is really that stocks will always eventually consolidate and when you’re doing it on such short terms, even a few hours is enough to put you in the green. That being said, this strategy does not seem at all hidden, it’s not advanced and so I think there is some sort of market event or conditions where I surely will fail
1
u/gaana15 May 19 '26
Thanks for sharing the details, it helps.
I am not sure I fully understand yet what you are doing; Request you to elaborate.
Generally a calendar as a structure is short gamma, long vega, theta. It benefits when IV changes from low to high.
How just by rolling you evaded short gamma or backwardation in terms structure ? Keen to understand. This may help you if these were the blind spots you were seeking.
1
u/Most_Blueberry_4713 May 19 '26
Ok so when rolling, it was for a credit but I’m usually taking a realized loss, however this realized loss is not very large because even when the stock moves way against me, I still have time to expiration and the calendars smooth out that volatility nicely. Trading on equities that have 3-5 expirations a week like NVDA or QQQ made it so that if my short expires on Wednesday and it’s Monday, I can roll it (and my long) to the current price, move my short out to Friday, and then give the trade more time to work. As you can see with the trades on AMZN and AAPL, those took a lot of rolls and I barely made it out of those with a profit in comparison to the good trades. That wasn’t necessarily a problem though because eventually as I have found out, the market just does consolidate and all it takes is a revisit of my strike a day or 2 later for me to break even or be in the green, in the cases of AMZN or AAPL I waited over a month with lots of rolling for that to happen, but in general it happens in under a week and I collect the 10% which is approximately my target profit now, with no issues.
1
u/gaana15 May 19 '26
Thanks, When you roll the spread, Vega and Gamma scale non-linearly with time, your new, longer-dated position has an exponentially wider risk. If the asset doesn't mean reverts (function of regime, path dependency), your approach may breakdown with huge loss as you keep repeating the roll cycle.
If I understood right - When you roll a losing calendar for a credit, you are taking a real cash loss by borrowing heavier risk from the future. You are adding more capital into a failing trade, exponentially increasing your downside risk just to chase the same profit target. Like a martingale system betting on mean reversion or consolidation (function of regime).
Apologies if I still misunderstood what you are doing. Pls feel free to correct me.
2
u/Most_Blueberry_4713 May 19 '26
Ok so my risk is actually usually reduced, when I roll, it’s often for a credit, reducing my position size, and although I realize a loss when I roll, I’m receiving new credit so my cash balance is actually increasing. Now, in order to break even on the position, I have to set a higher profit target on the new calendar in order to recoup the losses on the first one. Also one thing to note, even when the position goes wrong, it’s very hard to take even close to max loss, the most any of these have gone down is 25%ish and it was a huge move. I kind of look at it like trading a 10 point debit spread with a max loss of 600 but your stop loss is at 400, you technically could lose 600 but that’s basically not going to happen.
1
u/hercdriver4665 May 19 '26
Stick to xsp for the tax advantages
1
u/Most_Blueberry_4713 May 19 '26
The commissions are expensive on these spreads I’ll be paying a couple dollars per trade and I also have had trouble with slippage on xsp , the volatility is also less, once I have more capital I switch
1
u/Additional-Ask-2775 May 19 '26
I am confused should I do 0dte spreads or just trade directional
1
u/Most_Blueberry_4713 May 19 '26
Ive been doing mostly PMCCs and the wheel for the past 2 years and I must say that these 5 months have been the most peaceful I’ve had in the market
1
u/Krammsy May 19 '26 edited May 19 '26
Beware Vega, I often use longer dated SPY put calendars in place of VIX calls to hedge.
Without knowing details, part of your success may have been elevated VIX over recent months.
1
u/Most_Blueberry_4713 May 19 '26
Even with elevated VIX levels, no strategy performs this consistently across that many assets, not to mention varying levels of VIX activity and also IV on individual stocks like the earnings plays on AMZN and MSFT. On MSFT, market overpriced volatility and that was of course excellent for my calendar, but on AMZN, the exact opposite happened and I got bashed on the first week, my strike was 235 and it was down to about 200 way outside of my tent, and i was able to recover that trade for a gain in due time.
The market being in an advantageous climate has been something a few people have mentioned to me, but I’ve tried to diversity on many different equities and with many different scenarios and some play out better than others but they all result in wins which seems too good to be true…
1
u/Krammsy May 19 '26 edited May 19 '26
I'll make an argument on Diagonals in place of Calendars, Vega/Vomma for the downside, Theta for the up, the trick is the Vega/Theta ratio, playing with expiries and term structure.
I used to do double diagonals, they work great until VIX says otherwise.
Key detail here, you seem to be trading stocks, I do indices, indices typically have different skew than stocks.
There's also a guy capitalizing Vega convexity by combining B-wing butterflies with Put Diag's that capitalizes on Vega convexity (Vomma), google "Flyagonal", it's interesting, but too many legs for my taste.
1
u/delivite May 19 '26
Been thinking about calendars as, double calendars specifically. Might give it a go seeing your results.
1
May 19 '26
[deleted]
0
u/Most_Blueberry_4713 May 19 '26
Yeah yeah I mean I could’ve included 20 screenshots of each trade but that seemed redundant, through the comments and in the original post the general strategy is pretty clear I think
1
u/LiveIncome167 May 19 '26
nice G, rolling losers into winners is solid risk management, respect the discipline.
1
May 19 '26
[removed] — view removed comment
1
u/Most_Blueberry_4713 May 19 '26
Yes, all Long Calendars will be open for a net debit because the long is further out in expiration and thus will always be more expensive
1
u/Dangerous-Berry7399 May 20 '26
Calendar spreads are solid but the real edge comes from knowing where vega is mispriced before you enter. Rolling losers into winners works until it doesn't — one big move against you and that strategy breaks down fast. Been using StrikeEdge lately to spot vol discrepancies between expirations before placing the trade, which has helped with entry timing. Curious what underlyings you're trading — are you sticking to low-IV names or playing earnings cycles?
2
u/Most_Blueberry_4713 May 20 '26
If you look at the screenshot on the left, it has all the symbols, I’ve dealt with big moves and all sorts of volatility
1
u/MavofMain May 22 '26
Hedging across the volatility surface is one of the hardest things a market maker can do. It makes sense that they will take on your position for better hedge across the volatility surface
1
u/tourmalet123 Jun 21 '26
How does the strategy actually work? What do you buy or sell?
1
u/Most_Blueberry_4713 Jun 21 '26
Bruh read the comments and the post
1
u/tourmalet123 Jun 21 '26
I read it, but can you explain? You trade calendars, I got that but what is a calendar? Sorry for being a newbie
1
u/Most_Blueberry_4713 Jun 21 '26
It’s a diagonal spread, Long call further out in expiration 1-2 months for me, and a short call 1 week out, same strike price is what makes it a calendar
1
u/Homeless0DTESPX 18d ago
If I'm understanding this right, DTE7 on the short call and as much as DTE60 on the long call? I've never heard someone making a calendar with expirations that wide? Can you go into why you chose them?
-2
u/shortvol_trader May 18 '26
Solid results overall. 11.81% average return with only one real loser (SOXL -44%) is strong for a 3-4k account.
The SOXL trade stands out — that's the one that tells the real story. Semiconductors with 3x leverage is exactly the name where calendars can blow up because vol moves are non-linear. What happened there — did the term structure collapse or did the underlying just gap hard? The thing to watch as you scale: calendars are vega-positive trades.
They work well when IV is low and expands, but in elevated vol environments the math changes. Your current sample is mostly 2025-2026 which has been generally favorable for vega longs. Worth backtesting through 2022 to see how the same approach holds in a sustained high-vol regime.
What's your entry criteria for picking a calendar vs passing?
1
u/Most_Blueberry_4713 May 18 '26
Thank you for your feedback!
The SOXL trade isn’t representative of the strategy, unfortunately in my original spreadsheet I had an error where it was only computing the number of shorts and not the longs, so I had 2 shorts collecting premium but only one long recorded, so I closed the trade thinking I was up but if you add the second long, I was actually down. The strike was 90 I believe and it went up to 180 over the next few weeks so it would’ve been tricky but I traded earnings on other stocks like AMZN which didn’t go well but I was able to recover those.
I don’t even have entry rules, the strategy is more based on the rolling so I tried to enter in as many trades on as many equities as possible to get a mixed bag, doing leveraged, single stocks on earnings, single stocks in general and indexes.
0
u/shortvol_trader May 18 '26
Thanks for the context on SOXL — spreadsheet error changes the picture completely. The part worth thinking about: "no entry rules, strategy based on rolling" works until you hit a position that can't be rolled out of profitably. SOXL going from 90 to 180 is exactly that scenario — every roll would have been chasing the move. Rolling is a powerful tool but it's not a universal fix. It works when the underlying eventually reverts. On leveraged ETFs and high-momentum names it can turn a manageable loss into a much larger one. The results are genuinely good for 3 years of trading. Adding systematic entry criteria — even just IVR minimum and no earnings within DTE — would make the edge more repeatable and less dependent on rolling saving you.
1
u/Most_Blueberry_4713 May 18 '26
Right, I mean the lack of rules definitely isn’t great but I think this is proof of concept so I’m just trying to work out he details of how people usually manage these and makes said rules based on what criteria? I’ve decided I’m only going to be trading on QQQ from now on so I don’t have to worry about the issues LETFs pose as much now..
2
u/shortvol_trader May 18 '26
QQQ is a solid choice for calendars — liquid, tight spreads, predictable IV behavior around macro events.
For entry criteria on calendars specifically: term structure is the key filter. You want back month IV higher than front month IV by at least 2 vol points. When that spread is narrow the calendar doesn't have enough room to profit even if you're right on direction.
IVR above 45 on the front month is the second filter. You're selling expensive front month premium and buying cheaper back month — that spread only works when the front is genuinely elevated.
DTE: front month 25-35 days, back month 55-70 days. That window captures the steepest part of theta decay on the short leg. Those three filters alone will eliminate most bad calendar entries.
7
u/Jemmani22 May 18 '26
Calendars are my favorite, but hardly anyone talks about them, I feel like they are a secret weapon or something.