Calendar put spread
Neutral / rangeLimited profitLimited loss
Put-built calendar: same time-decay differential, same tent.
Payoff at front expiry — live BTC example
Net debit
$890.54
Max profit
$232.11
Max loss
$890.54
Breakevens
77,305 / 78,313
Example legs (0.1 DTE front)
- Sell 77,800 put · 2026-08-21
- Buy 77,800 put · 2026-08-22
Entry greeks (per 1 BTC notional): Δ 0.035 · Γ -0.3636 per 1% · vega $12.83/pt · theta $1737.14/day
How it works
Identical tent-shaped front-expiry payoff built from puts.
When to use it
Same pin-and-decay thesis; sometimes better priced on the put side of skew.
Risks & management
Same move-and-vol-crush sensitivities.
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.