Reverse Calendar option strategy
Reverse Calendar buys a near expiry ATM Call and sells the next expiry Call at the same strike. It is the opposite of a calendar and gains when the underlying makes a big move either way or implied volatility falls.
Payoff at the near expiry
Nifty, lot size 65 · Nifty future 22,650 · 6 Oct 2026Legs
| Action | Option | Expiry | Strike | Lots | Qty | Premium |
|---|---|---|---|---|---|---|
| BUY | ATM Call | 6 Oct | 22,650 | 1 | 65 | ₹135.48 |
| SELL | ATM Call | 13 Oct | 22,650 | 1 | 65 | ₹200.91 |
How it works
- Buy 1 ATM call at the 22,650 strike for ₹135.48 in the near expiry, paying the premium.
- Sell 1 ATM call at the 22,650 strike for ₹200.91 in the next expiry, collecting the premium.
- You receive a net ₹4,253 upfront for the position. This is the most you can make.
Below 22,438 you profit, up to ₹4,253.
Between 22,438 and 22,866 you lose, up to ₹5,387.
Above 22,866 you profit, up to ₹4,253.
Set-up: Buy 1 lot near expiry ATM Call and Sell 1 lot next expiry Call at the same strike.
What happens if Nifty moves
Profit or loss at the near expiry| Nifty at expiry | Move | Profit / loss |
|---|---|---|
| 21,300 | −6% | +₹4,252 |
| 21,950 | −3% | +₹3,997 |
| 22,400 | −1% | +₹674 |
| 22,650 | Unchanged | −₹5,394 |
| 22,900 | +1% | +₹589 |
| 23,350 | +3% | +₹3,947 |
| 24,000 | +6% | +₹4,252 |
How the Greeks affect it
When to use
When you expect a sharp move before the near expiry, or expect implied volatility to drop, such as after an event.
- Enters for a net credit.
- Profits from a big move in either direction.
- Gains if implied volatility falls.
Things to watch
- Loses if the underlying stays near the strike.
- The short next expiry call becomes uncovered after the near expiry.
- Margin is needed for the short leg.
Reverse Calendar: questions
What is a Reverse Calendar strategy?
Reverse Calendar buys a near expiry ATM Call and sells the next expiry Call at the same strike. It is the opposite of a calendar and gains when the underlying makes a big move either way or implied volatility falls.
When should you use a Reverse Calendar?
When you expect a sharp move before the near expiry, or expect implied volatility to drop, such as after an event.
How do you set up a Reverse Calendar?
Buy 1 lot near expiry ATM Call and Sell 1 lot next expiry Call at the same strike.
What is the maximum profit of a Reverse Calendar?
Limited to the net credit received, approached if the underlying moves far from the strike by the near expiry.
What is the maximum loss of a Reverse Calendar?
Limited at the near expiry and highest if the underlying is at the strike. The position must be closed at the near expiry, since the sold call is uncovered after that.
What is the breakeven of a Reverse Calendar?
With Nifty at 22,650, the example on this page breaks even at 22,438 and 22,866 at expiry.