Call calendar spread
Also called: Long calendar, Time spread, Horizontal spread
Sell a near-expiry call and buy a later-expiry call at the same strike: earns as the near option decays faster than the far one.
Payoff sketch (per unit, index points)
Debit 287 pts
+137 pts in this range (₹8,877 per lot)
−121 pts in this range (₹7,897 per lot)
24,728 / 25,382
How it works
Time value decays fastest in the last days, so the near call loses value faster than the far one. If the underlying is near the strike at the near expiry, the near call expires almost worthless while the far call keeps much of its value.
The payoff at the near expiry is not a straight-line chart: it depends on the far call's value then, so on implied volatility at that time. A fall in the far month's implied volatility hurts.
When traders use it
- A view that the price will be near the strike at the near expiry.
- When near-dated implied volatility is high relative to the later month (for example just before an event in the near week).
Greeks
| Delta | Near zero when at the money. |
| Gamma | Negative (the near option dominates). |
| Theta | Positive near the strike. |
| Vega | Positive (the far option dominates). |
Profit, loss and margin
| Max profit | Not fixed: largest when the underlying sits at the strike at the near expiry; depends on the far call's implied volatility then. |
| Max loss | About the net debit plus charges, on a large move either way. |
| Breakeven | Two levels around the strike that depend on the far option's value at the near expiry. |
| Margin | Brokers margin the short near call against the long far call; the offset falls away on the near leg's expiry day. |
In India
- Since February 2025 the calendar-spread margin offset no longer applies on the expiry day of the expiring leg, so a calendar or diagonal can need noticeably more margin on that day.
- Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.
- STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
- SPAN margins the whole position, so a defined-risk spread usually blocks far less than its short leg alone. Brokers grant the hedge benefit only when the protective leg is actually in the account, which is why the long leg is usually placed first.
Arthfy numbers
Arthfy's history holds every structure to a single expiry, so calendars are not covered yet. The Expiry Day replay also works on one expiry at a time; the builder takes both legs.
