Calendar spreads profit from theta decay as well and an increase in volatility. This can be exceptionally complimentary to portfolios that are short vega. The Calendar Spread compared to other low IV trades (like Diagonal Spreads and debit spreads) can be a more delta neutral strategy to get long vega.
Today, we look at simulating a debit put calendar spread, buying the 60 DTE (40 delta put) and selling the 30 DTE at the same strike. We compare managing at 10% and 25% of the debit paid along with holding to expiration. Be sure to tune in to see the results!
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