Calendars & diagonals
A big move soon
Credit
Risk: Limited until the near expiry; naked after it
Reverse calendar
Also called: Short calendar spread
Buy a near-expiry option and sell a later-expiry option at the same strike: gains on a big move before the near expiry, or a fall in the far month's volatility.
Payoff sketch (per unit, index points)
At the near expiry
Today (7 days left)
Net premium
Credit 287 pts
Max profit
+121 pts in this range (₹7,897 per lot)
Max loss
−137 pts in this range (₹8,877 per lot)
Breakeven
24,728 / 25,382
How it works
The inverse of the calendar. The short far option carries a futures-style margin, and the position loses if the price sits at the strike while the near option decays.
When traders use it
- Expecting a sharp move before the near expiry, or a fall in the later month's implied volatility.
Greeks
| Delta | Near zero at the money. |
| Gamma | Positive. |
| Theta | Negative near the strike. |
| Vega | Negative. |
Profit, loss and margin
| Max profit | The net credit (roughly), on a very large move either way. |
| Max loss | Largest when the underlying sits at the strike at the near expiry. |
| Breakeven | Two levels around the strike; depend on the far option's value then. |
| Margin | High: the short far option is margined like a naked short once the near leg expires. |
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.
- Short options are margined like futures: NSE Clearing's SPAN risk margin plus an exposure margin (2% of notional for index contracts, 3.5% for stocks in Arthfy's model). An at-the-money short option on NIFTY typically blocks well over a lakh of rupees per lot.
- A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
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
