Calendars & diagonals
Near the strike at the first expiry
Debit
Risk: Defined: about the debit
Put calendar spread
Also called: Put time spread
Sell a near-expiry put and buy a later-expiry put at the same strike: the put version of the calendar.
Payoff sketch (per unit, index points)
At the near expiry
Today (7 days left)
Net premium
Debit 163 pts
Max profit
+136 pts in this range (₹8,867 per lot)
Max loss
−122 pts in this range (₹7,907 per lot)
Breakeven
24,728 / 25,381
How it works
Same logic as the call calendar. Put calendars placed below the price lean bearish; the long far put also gains if volatility rises in a fall.
When traders use it
- A view that the price will be near or slightly below the strike at the near expiry.
Greeks
| Delta | Near zero at the money. |
| Gamma | Negative. |
| Theta | Positive near the strike. |
| Vega | Positive. |
Profit, loss and margin
| Max profit | Not fixed: largest at the strike at the near expiry. |
| Max loss | About the net debit plus charges. |
| Breakeven | Two levels around the strike; depend on the far option's value at the near expiry. |
| Margin | Short near put margined against the long far put; 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
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
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
