Calendar call spread
Neutral / rangeLimited profitLimited loss
Sell a near call, buy a far one, same strike: harvest faster front decay.
Payoff at front expiry — live BTC example
Net debit
$48.67
Max profit
$675.17
Max loss
$48.67
Breakevens
74,056 / 79,661
Example legs (1.0 DTE front)
- Sell 76,800 call · 2026-08-22
- Buy 76,800 call · 2026-08-23
Entry greeks (per 1 BTC notional): Δ 0.000 · Γ -0.0060 per 1% · vega $6.66/pt · theta $233.49/day
How it works
Front-month theta decays faster than back-month: if price sits near the strike at front expiry, the surviving long call is worth more than the debit paid.
When to use it
Quiet-market thesis around a level, ideally with front IV rich versus back (term-structure kink).
Risks & management
A big move either way loses (capped at the debit). Back-leg IV falling — vol crush — hurts even at the perfect price; test it with the IV slider.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.