Double calendar

Also called: Double time spread

A put calendar below the price and a call calendar above it: a wider profit zone than a single calendar, with long volatility.

Payoff sketch (per unit, index points)

At the near expiry

Today (7 days left)

Net premium

Debit 432 pts

Max profit

+151 pts in this range (₹9,804 per lot)

Max loss

−209 pts in this range (₹13,574 per lot)

Breakeven

24,686 / 25,444

Legs: Sell PE ATM −200 · Buy PE ATM −200 (far expiry) · Sell CE ATM +200 · Buy CE ATM +200 (far expiry). Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to the near expiry and 35 to the far one, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

Two calendars side by side make a broad tent with two peaks, at the two strikes. It earns from the faster decay of the near options while the far options keep the position long volatility.

When traders use it

A range view, often when implied volatility is low and expected to rise.

Greeks

Delta	Near zero.
Gamma	Negative.
Theta	Positive inside the range.
Vega	Positive.

Profit, loss and margin

Max profit	Not fixed: largest near either strike at the near expiry.
Max loss	About the net debit plus charges, on a large move.
Breakeven	Outside the two strikes; depends on the far options' value at the near expiry.
Margin	Each short near option margined against its far partner; the offsets fall away on the near 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.

Arthfy numbers

Calendars are not covered by Arthfy's single-expiry history yet.

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Open the option chainLive premiums, IV and Greeks

Calendars & diagonals

Iron condor

For education: how the structure works and what it did historically, not a recommendation to trade it.