Calculate calendar spread value, vega exposure, and theta advantage from selling near-term and buying longer-dated options at the same strike. Profit from volatility term structure.
Calculate calendar spread value, vega exposure, and theta advantage from selling near-term and buying longer-dated options at the same strike. Profit from volatility term structure
Each component has a specific meaning:
Note: Interpret the calendar spread result against the thresholds and context described above.
Enter the selling near-term, buying longer-dated options at the same strike for the scenario you are assessing. Calculate calendar spread value, vega exposure, and theta advantage from selling near-term and buying longer-dated options at the same strike. Profit from volatility term structure. Use the calendar spread result to inform your calculation.