Double Calendar option strategy
Double Calendar runs a call calendar above the market and a put calendar below it. The near expiry options sold decay faster than the next expiry options bought, which widens the profit zone of a single calendar.
Payoff at the near expiry
Nifty, lot size 65 · Nifty future 22,946 · 19 Oct 2026Legs
| Action | Option | Expiry | Strike | Lots | Qty | Premium |
|---|---|---|---|---|---|---|
| SELL | OTM Call | 19 Oct | 23,000 | 1 | 65 | ₹80.16 |
| BUY | OTM Call | 27 Oct | 23,000 | 1 | 65 | ₹167.81 |
| SELL | OTM Put | 19 Oct | 22,900 | 1 | 65 | ₹83.29 |
| BUY | OTM Put | 27 Oct | 22,900 | 1 | 65 | ₹171.01 |
How it works
- Sell 1 OTM call at the 23,000 strike for ₹80.16 in the near expiry, collecting the premium.
- Buy 1 OTM call at the 23,000 strike for ₹167.81 in the next expiry, paying the premium.
- Sell 1 OTM put at the 22,900 strike for ₹83.29 in the near expiry, collecting the premium.
- Buy 1 OTM put at the 22,900 strike for ₹171.01 in the next expiry, paying the premium.
- You pay a net ₹11,399 upfront for the position. This is the most you can lose.
Below 22,767 you lose, up to ₹11,399.
Between 22,767 and 23,137 you profit, up to ₹6,771.
Above 23,137 you lose, up to ₹11,399.
Set-up: Sell 1 lot near expiry OTM Call and Buy 1 lot next expiry Call at the same strike; Sell 1 lot near expiry OTM Put and Buy 1 lot next expiry Put at the same strike.
What happens if Nifty moves
Profit or loss at the near expiry| Nifty at expiry | Move | Profit / loss |
|---|---|---|
| 21,550 | −6% | −₹11,396 |
| 22,250 | −3% | −₹10,511 |
| 22,700 | −1% | −₹2,628 |
| 22,950 | Unchanged | +₹6,637 |
| 23,200 | +1% | −₹2,436 |
| 23,650 | +3% | −₹10,359 |
| 24,300 | +6% | −₹11,389 |
How the Greeks affect it
When to use
When you expect the underlying to stay between the two strikes till the near expiry and implied volatility is low or expected to rise.
- Wider profit zone than a single calendar.
- Benefits from time decay of the near expiry options.
- Gains if implied volatility rises.
Things to watch
- Profit depends on implied volatility and cannot be known exactly upfront.
- Sharp moves either way lead to losses.
- Four legs across two expiries need active management.
Double Calendar: questions
What is a Double Calendar strategy?
Double Calendar runs a call calendar above the market and a put calendar below it. The near expiry options sold decay faster than the next expiry options bought, which widens the profit zone of a single calendar.
When should you use a Double Calendar?
When you expect the underlying to stay between the two strikes till the near expiry and implied volatility is low or expected to rise.
How do you set up a Double Calendar?
Sell 1 lot near expiry OTM Call and Buy 1 lot next expiry Call at the same strike; Sell 1 lot near expiry OTM Put and Buy 1 lot next expiry Put at the same strike.
What is the maximum profit of a Double Calendar?
Limited, and highest if the underlying is at either strike at the near expiry. It depends on the implied volatility left in the next expiry options.
What is the maximum loss of a Double Calendar?
Limited to the net debit paid, if the underlying moves far beyond either strike.
What is the breakeven of a Double Calendar?
With Nifty at 22,946, the example on this page breaks even at 22,767 and 23,137 at expiry.