Calendar spread screener

Supported filters

IV differential (%)

Front-leg IV minus back-leg IV. The Call Calendars With Front-Month IV Skew preset requires at least 1 point and sorts by it, putting the widest term-structure gaps first.

Days to expiration (days)

Days to the front expiration, which is also the date the trade is evaluated on. The preset uses 7 to 56; 20 to 35 days is a common window for the short leg.

Back-leg DTE (days)

Days to the back expiration. A back leg 30 or more days past the front keeps meaningful time value after the short leg expires, which is where the calendar's profit comes from.

Distance OTM (%)

Distance from the stock to the strike, measured on the short front leg; out of the money is positive. The preset's minimum of 0 keeps call calendars at or above the stock. For a put calendar, positive means the strike is below the stock.

Max loss ($)

The debit per calendar, which is also about the most it can lose. A $1,000 cap, as in the preset, keeps expensive stocks from crowding the list.

Return on risk (%)

Estimated profit with the stock at the strike at the front expiration, divided by max loss. It depends on the model's value for the back leg at that date, so use it to rank calendars against each other.

Probability of profit (%)

Model-estimated probability the stock finishes between the calendar's two breakevens at the front expiration. The preset requires 50% or more.

Earnings

Exclude earnings before the front expiration. A report between the two expirations is not excluded, and it lifts the back leg's volatility rather than the front's, so check the earnings column.

IV rank

Where the stock's implied volatility sits in its one-year range. A calendar is long volatility overall, so the preset caps rank at 50 to avoid buying the back month when volatility is already stretched.

Distance to breakeven (%)

Distance from the stock to the nearer estimated breakeven. A wider zone tolerates more movement before the front expiration.

Open interest

Open interest on the less-held leg. Back-month options are often thinner than front-month ones, so this is usually the back leg.

Total option volume

Total option volume across the chain. Calendars are often adjusted or rolled, which is easier in an active chain.

Bid-ask spread ($) ($)

The wider of the two legs' bid-ask spreads, in dollars. Calendar debits are small, so a wide spread on either leg is a large share of the cost.

Screening walkthrough

1. 1. Start from the term structure

   Set IV differential to a minimum of 1 point and sort by it descending. The top of the list is where the front month is priced richest relative to the back month, which is the edge a calendar is built to capture. Differentials of several points often appear ahead of a known event, so look at why the front is rich before you sell it.

2. 2. Set both expirations

   Set days to expiration for the front leg, for example 20 to 35, and back-leg days to expiration for the long option, for example 50 to 90. The gap decides how much time value the long option still has when the short one expires, and therefore how much the spread can be worth.

3. 3. Choose calls or puts by where the strike sits

   Use call calendars with strikes at or above the stock and put calendars with strikes at or below it, so the short option starts out of the money and early assignment is less likely. Distance OTM is measured on the short leg, so a minimum of 0 does this for either type. Switch the strategy between call calendar and put calendar to run the same filters on each.

4. 4. Cap the debit and keep events in the right place

   Cap max loss at $1,000 or less, turn on the earnings exclusion so no report lands before the front expiration, and keep IV rank at or below 50. Add probability of profit of 50% or more to drop calendars whose estimated profit zone is narrow.

5. 5. Check liquidity in both months

   Require total option volume of 5,000 or more, a bid-ask spread of $0.50 or less, and some open interest. Then open a result and look at the back-month quote in particular, because it is usually the thinner of the two.

Limitations and risks

• Max profit, breakevens, return on risk, and probability of profit for a calendar all depend on a model value for the back leg at the front expiration, held at its entry implied volatility. They are estimates, and they move if volatility changes.
• Annualized return uses the front leg's days to expiration. Because calendar returns on risk are often large, the annualized figure can be very large and is not useful as a yield; compare return on risk instead.
• The earnings exclusion looks at the front expiration only. A report between the two expirations can still appear in results, and earnings dates can be estimates until the company confirms them.
• An in-the-money short option can be assigned early, particularly a short call before an ex-dividend date. The long option still covers the position, but it changes what you hold.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing buys the back leg at its ask and sells the front leg at its bid. The screener does not place orders or roll positions.

Frequently asked questions

Does the screener cover put calendars too?

Yes. Call calendars and put calendars are separate strategies in the scanner with the same filters. Pick one in the strategy selector; the IV Skew preset opens the call version.

Why are calendar breakevens and max profit estimates?

At the front expiration the long option still has time left, so its value is not a fixed formula. The screener values it with a pricing model at its entry implied volatility, which gives a reasonable estimate for ranking but not a guaranteed figure.

What does a positive IV differential mean?

The front-month option you sell carries higher implied volatility than the back-month option you buy, so you are selling the more expensive volatility. Front-month volatility often falls back after the event that raised it, which helps the calendar.

What about calendars across an earnings date?

Turn off the earnings exclusion and require a report within your window. With the report after the front expiration and before the back one, the long leg carries the event premium; with the report before the front expiration, the short leg does and the risk is very different. Check the date in each result.

Calendar or diagonal?

A calendar uses the same strike in both months and is roughly neutral at that strike. A diagonal uses a lower-strike, higher-delta long option and leans directional, such as the poor man's covered call. The scanner supports both.

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