Fairmat Example

Two options with different expiry date but same strike price:

Calendar Spread Strategy involves two options of the same type (calls or puts), same strike price, but different expiry date. A long position on Calendar Spread strategy involves selling a call / put with maturity, T1 and buying a call / put with higher maturity, T2. Normally the higher the expiry date, the higher the price of call / put options is, thus a long position on this strategy requires an initial investment.

Note: Into this template we include also a residual strategy, the Diagonal Spread strategy, a mix between a Calendar Spread strategy - same strike price but different expiry date - and a Bull - Bear Spread strategy - same expiry date but different strike price.

Attachments

Calendar and Diagonal Spread Documentation Calendar and Diagonal Spread Template