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SPX: Double Calendars

Market Measures

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Last week, we analyzed SPX put calendars and managing losing trades at 50% of the debit paid. Today we look at the Double Calendar Spread, that is buying a Put Calendar and a Call Calendar. The theoretical P/L profile is similar to a Strangle while carrying positive vega and positive theta.

Study
  • 2005-Present
  • S&P 500 Index (SPX)
  • Double Calendar
    • 60 DTE, Long 40 Delta Put, Long 40 Delta Call
    • 30 DTE, short same strike Put, short same strike Call
  • Managed Winners at 10%, 25%, or 50% of the debit paid (ROC)
  • All other trades held to front month expiration
Results
  • Double Calendar had positive outcome with management at 10% having the best success rate and highest average P/L per day
  • Making this trade in Low IV had a significant increase on P/L for trades managed at 10% and 25%
  • Much like the single put calendars, double calendars historically performed better with a faster management target

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