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In finance, a calendar spread is a futures/option spread trade involving the purchase of futures/ options of an underlying market expiring in some named month, and the simultaneous sale of other futures/options of the same underlying market and the same striking price (applicable in case of options as futures do not have any strike price) in a different month.

The usual calendar spread, also called a time spread or horizontal spread, involves the purchase of futures/options of a named strike price expiring in a more distant month and the sale of futures/options having the same strike price that expire in a more nearby month.

The calendar spread is a strategy used by the trader in an attempt to take advantage of a difference in the implied volatilities between two different months' options. The trader will ordinarily implement this strategy when the options he is buying have a distinctly lower implied volatility than the options he is writing (selling).

In the typical version of this strategy, a rise in the overall implied volatility of a market's options during the trade will tend very strongly to be to the trader's advantage, and a decline in implied volatility will tend strongly to work to the trader's disadvantage.

If the trader, instead, buys a nearby month's options in some underlying market and sells that same underlying market's further-out options of the same striking price, this is known as a reverse calendar spread. This strategy will tend strongly to benefit from a decline in the overall implied volatility of that market's options over time.

A calendar spread may be implemented using either call options or put options, but never with calls and puts used together in the same trade.


  • McMillan, Lawrence G. (2002). Options as a Strategic Investment (4th ed. ed.). New York : New York Institute of Finance. ISBN 0-7352-0197-8.  

External Resources

Google Gadget for Daily Top Calendar Spreads

Calendar Spread Screener



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