Calendar spread calculator

Estimate a long or reverse call or put calendar spread at the near expiration. The far option is valued with Black-Scholes using its remaining time and expected implied volatility.

Strategy

Both options use the same strike; only expiration dates differ.

Option type

Calls and puts are valued separately with the same model.

Currency

Formatting only; no exchange-rate conversion.

Stock price at near expiration

This is the scenario price at the near option’s expiration.

Shared strike

Near option premium per share

The near option is sold in a long calendar and bought in a reverse calendar.

Far option premium per share

Must exceed the near premium for the standard debit/credit structure.

Days remaining on far option

Measured at the near expiration, not today.

Expected far-option IV at near expiration

Annual implied volatility in percent.

Risk-free rate

Continuously compounded annual rate in percent.

Dividend yield

Continuous annual yield in percent.

Number of calendar spreads

Shares per option contract

US equity options commonly use 100; verify your contract.

Total fees

Enter opening and near-expiration closing or exercise fees for both legs.

Profit / loss at near expiration—

Net debit—

Near option intrinsic value—

Far option estimated value—

Modeled break-even prices—

Profit / loss at the strike—

Modeled peak profit—

Stock price at modeled extreme—

Price range scanned—

Stock price at near expiration	Near intrinsic	Far option estimate	Net profit / loss

How a calendar spread works

A calendar or time spread uses two options of the same type and strike but different expirations. A long calendar sells the near option and buys the far option. A reverse calendar takes the opposite legs. At the near expiration, the near option is worth intrinsic value while the far option still contains time value.

This page consolidates call calendar, put calendar, long calendar, reverse calendar, profit, loss, break-even and payoff calculations in one URL. Double calendars, diagonal spreads, futures calendar spreads and live margin requirements are different structures and are not modeled here.

Calendar spread formulas

Term premium per share = far premium − near premium
Long profit = shares × (far option value − near intrinsic − term premium) − fees
Reverse profit = shares × (near intrinsic − far option value + term premium) − fees

The far option is estimated with the Black-Scholes-Merton formula using the stock price at the near expiration, the shared strike, remaining time, expected implied volatility, risk-free rate and dividend yield. Break-even prices are roots of the modeled profit equation and therefore are solved numerically rather than treated as fixed values.

Checked example

A long call calendar with stock and strike at US$100, near premium US$4, far premium US$6, 30 days remaining, 25% expected IV, 5% risk-free rate, no dividend yield, one 100-share spread and US$4 fees starts with a US$204 net debit. At the near expiration with stock at US$100, the near call expires without intrinsic value and the far call is estimated near US$3.06 per share, producing approximately US$102 profit. Exact displayed values follow the full unrounded model.

How to interpret the results

Break-even prices depend on expected future IV and remaining time. They can move before expiration and may be absent if the modeled curve never crosses zero.
Modeled peak or trough is found numerically inside the displayed scan range. It is not a guaranteed theoretical maximum or margin requirement.
Far option value is a model estimate, not a live bid, ask or settlement price.
Calls and puts may differ because rates, dividends and early-exercise features affect real contracts.

Assumptions and limits

European-style Black-Scholes valuation is used for the far leg. American early exercise and assignment risk are excluded.
Expected implied volatility is held constant across every tested stock price. Real volatility skew and term structure can change the curve materially.
The near option is evaluated exactly at expiration. Before that moment it can retain time value.
The model excludes bid-ask spreads beyond entered premiums, taxes, slippage, dividends paid as discrete cash amounts and broker margin rules.
Inputs are user-supplied and educational. Results are not investment advice.

Important: calendar spreads do not have fixed break-even prices known from entry premiums alone. Any calculator claiming exact immutable break-evens without a future volatility and valuation assumption is simplifying the strategy.

Related calculators

Use the Black-Scholes Calculator for a single theoretical option value, the Implied Volatility Calculator to solve IV from a market price, the Options Profit Calculator for one call or put, and the Butterfly Spread Calculator for a same-expiration three-strike strategy.