VIX-band double calendar
A double calendar sells short-dated options and buys longer-dated ones on both sides of the market. This version does it on NIFTY weeklies: the day after a weekly expiry, if India VIX is calm, it sells the current week's call and put near 0.15 delta and buys next week's call and put with matching premiums. It exits when the profit reaches 1.5% of the margin used, the loss reaches 2%, or at 15:15 on the current week's expiry.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
This is a bet on NIFTY staying put for a few days. In this test the 16 trades held while NIFTY stayed within 1% made ₹9,383 with an 81% win rate, as the short current-week options lost value faster than the longer-dated ones. The 7 held while NIFTY fell more than 1% lost ₹6,133 and the 4 held while it rose more than 1% lost ₹2,736, groups too small to judge on their own: a move towards a short strike lifts it faster than the matching long option. By VIX band, entries after a close below 11.5 made a small ₹756 over 12, while those in the 11.5-13.5 range lost ₹2,672 over 17.
About this strategy
- Trade only on the first session after a NIFTY weekly expiry, at 09:31.
- Enter only if yesterday's India VIX close was between 10 and 13.5.
- On the current weekly expiry, find the call and put with delta closest to 0.15; these will be sold.
- On the next weekly expiry, find the call and put whose prices are closest to those short options; these will be bought.
- Check all four legs for liquidity: a two-sided quote, a spread within 8% of the price and a last price close to the mid. If any fails, skip the week.
- Assume ₹60,000 of margin per lot. Close everything when the profit reaches 1.5% of that (₹900) or the loss reaches 2% (₹1,200).
- Otherwise close all four legs at 15:15 on the current week's expiry day.
Why traders use it
Near-expiry options lose time value faster than next week's, so selling the near week and buying the next earns that difference while the long options cap the risk. Matching premiums on the long side keeps the cost low. Calendars also gain if implied volatility rises, so entering only when VIX is calm aims to buy volatility cheaply. Margin-based targets and stops appeal to traders who think in returns on capital rather than in points.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026, the VIX band allowed 29 trades, mostly in the calmer months; none were taken from March to May. Fifteen hit the profit target, 13 the stop and one was closed on expiry day, for a ₹1,916 loss before costs (profit factor 0.89). Wins averaged ₹999 and losses ₹1,377. Because each trade aims for only about ₹900, costs dominate: four legs in and out mean eight orders plus spreads per trade, and after ₹20 per order and bid-ask slippage the loss grows to ₹11,263. The small target leaves almost no room for trading costs.
What the settings do
Risks
- Trading costs on four legs are large compared with the ₹900 target, enough to turn a near-flat result into a clear loss.
- The long next-week options lose value if implied volatility falls after entry, even if NIFTY does not move.
- The margin figure is an estimate; on expiry day the calendar margin benefit is withdrawn and the real requirement rises.
- Stops fill at market, and the worst trade lost ₹3,078 before costs, well beyond the planned stop.
Who it suits
Experienced option traders who understand calendar spreads, can manage four legs across two expiries, and want a hedged, low-target weekly position, with attention to execution costs.
Questions traders ask
What is a double calendar spread?
It combines two calendar spreads: one with calls and one with puts. In each, you sell a near-expiry option and buy a later-expiry option. It profits when the index stays between the short strikes and the near options decay faster.
Is the weekly double calendar profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹1,916 before costs and ₹11,263 after ₹20 per order and bid-ask slippage, over 29 trades. Past results do not guarantee future results.
Why only trade when India VIX is between 10 and 13.5?
Calendars are long volatility through the back-month options, so entering when VIX is low means buying that volatility cheaply. Very low VIX leaves too little premium, and high VIX brings larger moves that hurt the short options.
Why are the long options matched by premium rather than strike?
Buying next week's options with roughly the same price as the ones sold keeps the net cost near zero and puts the longs slightly further out than the shorts, making it closer to a double diagonal. It is a common way to build these spreads cheaply.