Put Calendar Spread Calculator

Put Calendar Spread at a glance

How a put calendar spread works

A put calendar spread relies on the fact that a short dated option loses time value faster than a longer dated one at the same strike. You sell the front month put, buy the next month put and pay the difference as a debit. If the stock stays near the strike, the front month put decays toward zero while the back month put keeps much of its value, so the spread widens. The long put covers the short put for the whole life of the trade.

Because the legs expire on different dates, the payoff is shown at front month expiration, when the short put is worth only its intrinsic value and the long put still has about a month of life. The result is a tent shaped curve peaking near the strike. Its height and both breakevens depend on the back month put's value at that time, which depends on implied volatility, interest rates and dividends, so the calculator estimates them with an American pricing model.

Before front expiration, time decay works in your favor near the strike and speeds up in the final weeks. The long back month put carries more vega, so rising implied volatility usually helps and falling volatility hurts. Equity volatility often rises when a stock drops, which can cushion a modest decline, but a large move in either direction still pushes both puts toward the same value and erodes the spread.

Put Calendar Spread example with real numbers

With the stock at $100, implied volatility at 30%, a 4.1% risk free rate and no dividend, you would sell 1 100 put (32 days) at $3.39, buy 1 100 put (60 days) at $4.55. That is a net debit of $116. At the front month expiration, the model estimates a maximum profit of $201 and a maximum loss of $116, with breakevens at $95.08 and $105.92. The lognormal chance of profit is 45%.

These are theoretical American option prices from the Bjerksund and Stensland model, not live quotes. Load any ticker in the put calendar spread calculator above to run the same math on real market prices.

When to use a put calendar spread

• You expect the stock to hold near the strike until the front month put expires.
• You want a mildly bearish calendar by placing the strike below the current price and aiming for a slow drift down to it.
• You expect implied volatility to rise or hold steady and want long vega with defined risk.
• You prefer to avoid dividend driven call assignment on a stock with an ex dividend date inside the front month.

Max profit, max loss and breakeven

Maximum profit

Value of the back month put at front month expiration with the stock at the strike, minus the net debit, times 100. It is an estimate because the back month put's future value depends on implied volatility, rates and dividends, and the calculator models it with an American pricing model.

Maximum loss

Net debit paid, times 100. The loss approaches this amount if the stock moves far above or far below the strike, because both puts then trade near the same value.

Breakeven

There is a lower and an upper breakeven around the strike, where the back month put's estimated value minus the front month put's intrinsic value equals the net debit at front month expiration. They shift with implied volatility, so the calculator estimates them with its American model.

Put Calendar Spread Greeks

• Delta: Delta starts near zero with both puts at the money. A rally above the strike makes delta negative and a decline below the strike makes it positive, so the position always favors a return to the strike.
• Gamma: Gamma is negative because the short front month put has more gamma than the long put, and the gap grows as front expiration nears.
• Theta: Theta is positive while the stock is near the strike, since the front month put decays faster. It fades as the stock moves away and both puts lose most of their time value.
• Vega: Vega is positive. Higher implied volatility in the back month raises the spread's value, and a broad volatility decline lowers it.

See the live numbers for your position in the Greeks tab of the calculator, or explore a single option in the options Greeks calculator.

Early exercise and assignment risk

The short front month put is the assignment risk in a put calendar. It is rarely exercised while near the money, but if the stock drops well below the strike, the put can become deep in the money with almost no time value. An American put holder may then exercise early to receive the strike price in cash, which is more attractive when interest rates are higher. If you are assigned, you buy 100 shares at the strike and still hold the back month put at that same strike.

Stock plus a long put at the same strike is a protected position, so your risk stays defined, but you need the buying power to carry the shares. You can sell the shares and keep the long put, or close both. Dividends cut the other way for puts: holders tend to wait until after the ex dividend date, so assignment is less likely just before it. A practical habit is to close or roll the short put once it is deep in the money and its time value is nearly gone.

The calculator's Early exercise risk tab flags short legs that are likely to be assigned. For a single option, use the early exercise calculator or read how early exercise and assignment work.

Pros and cons

How to manage a put calendar spread

• Close the spread before the front month's final days if the stock is near the strike, when gamma risk peaks.
• If the stock drifts, roll the short put to a new strike to recenter the trade, which converts it into a put diagonal.
• After a sharp drop, watch the short put's time value and close or roll it before assignment becomes likely.
• After the front month expires, sell another front month put against the long put to reduce the remaining cost.

Put Calendar Spread FAQ

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Educational tool, not financial advice. Calculations are theoretical and depend on your inputs; real fills, fees, early assignment and dividends can change results. Options involve risk and are not suitable for every investor.