Calendar Spread Payoff Calculator
A long calendar spread sells a near-dated option and buys a longer-dated one at the same strike. At the front-month expiry the short leg settles to intrinsic value while the long back-month leg still carries time value. This calculator prices that remaining back-month option with Black-Scholes, using the volatility and remaining days you supply, then nets the net debit paid to estimate the spread's value and profit or loss.
Calendar spread payoff method
At front-month expiry:
Short leg value = intrinsic = max(0, S - K) call, or max(0, K - S) put
Long back-month value = Black-Scholes price (S, K, days/365, vol, rate)
Spread value = long back-month value - short leg value
P/L per share = spread value - net debit
Total P/L = P/L per share * multiplier
The Black-Scholes price uses T = back-month days remaining divided by 365. Volatility and rate are entered as percentages and converted to decimals.
Worked example
Call calendar, strike 100, underlying 100 at front expiry, 30 days left on the back-month, 25% vol, 5% rate, net debit $2, multiplier 100. The short leg is at the money so its intrinsic value is $0. The back-month at-the-money call with 30 days, 25% vol and 5% rate is worth about $3.06 per share. Spread value = 3.06 - 0 = $3.06. P/L per share = 3.06 - 2 = $1.06, so total P/L is about $106.00.
Calendar spread: frequently asked questions
What is a calendar spread?
A long calendar (horizontal) spread sells a near-dated option and buys a longer-dated option at the same strike and type. It is a debit position that profits from time decay on the short leg and from the longer option retaining value. The maximum profit usually occurs when the underlying sits near the strike at the front-month expiry.
Why does this need a pricing model?
Unlike single-expiry spreads, a calendar's payoff at the front-month expiry is not a simple kinked line, because the back-month option is still alive and has time value. This calculator values that remaining option with the Black-Scholes formula using the volatility and remaining days you enter, then subtracts the net debit paid.
What volatility should I enter?
Use the implied volatility you expect for the back-month option at the front-month expiry. Calendars are long vega: a rise in back-month implied volatility helps the position, a fall hurts it. Try a range of volatility inputs to see how sensitive the result is.
Sources and method
- U.S. Securities and Exchange Commission investor education on options: Investor.gov: Options.
- Method: short leg settles to intrinsic value; the long back-month leg is priced with the public Black and Scholes (1973) formula. No proprietary data is used.
Reviewed by the CalculatorHub team, edited by James Graham, 19 June 2026. See our methodology.