Tuesday 16 Jun 2026. With the June Nifty future at 24,001.00, I priced a double calendar: sell the 24,200 call and the 23,800 put that expire on 30 Jun, and buy the same two strikes in the 28 Jul expiry. The bill was 364.75 a unit, Rs 23,709 on a lot of 65 units. On Monday 29 Jun, with Nifty at 23,946.25 and inside both strikes, the pair was worth 483.00 and had made Rs 7,686 a lot. Put the same trade on at the 23,050 and 23,450 strikes on 10 Jun and the index ran out of the top of it, yet it lost only Rs 2,148. A third entry, on Budget Day, made money while the index left its range. The payoff shape says less about these trades than the implied volatility of the two expiries. Every figure is an NSE end of day settlement, dated, so nothing is live.
3By the end you can
- Name the legs of a diagonal and a double calendar and say where each peaks.
- Read the net vega and theta of a double calendar and say why the legs do not move in parallel.
- Tell a range result from a term structure result, using three dated entries.
The idea, plainly
A calendar spread uses two expiries on one strike. A diagonal changes the strike as well. A double calendar puts a calendar on a call and another on a put. All of them sell the near expiry and buy the far one, so all of them are positions on time and on how the two expiries are priced against each other.
What are a diagonal and a double calendar?
A diagonal sells a near option at one strike and buys a far option at another. A common version buys a far call at or below the money and sells a near call above it. The far call carries the delta and the slow decay. The near call collects the fast decay and caps the gain while it lives, much as a covered call does, but with no index held.
A double calendar is two calendars; a diagonal also moves the strike
Read one more paragraph, 75 words
A double calendar sells a near call and a near put, one above and one below the index, and buys the same two strikes in the far expiry. Each strike is a calendar on its own, and a calendar peaks when the index sits on its strike as the near leg expires. Two strikes give two humps with a flatter top between them. The range is wider than one calendar's, and so is the debit.
What do you own in Greeks?
Each side has a near leg and a far leg, and the far leg carries more vega. Here are the 16 Jun double calendar's Greeks, one lot, read from each chain at its own implied volatilities.
| 16 Jun 2026 | Sold 30 Jun | Bought 28 Jul | Net |
|---|---|---|---|
| Vega, a vol point | Rs 2,287 | Rs 4,114 | Rs 1,827 |
| Theta, a day | −Rs 988 | −Rs 621 | Rs 368 |
| Delta a unit | 0.005 | 0.081 | 0.076 |
The maths: forward variance and why vega is not parallel
Total variance is the squared volatility times the time to expiry. Two expiries fix the variance the market charges for the stretch between them.
Forward variance =
(σ_far² × T_far
− σ_near² × T_near)
divided by (T_far − T_near)
A calendar owns that stretch. Its vega is the far vega less the near vega, and that figure assumes both expiries move by the same number of vol points. They rarely do. The near expiry usually moves more than the far one, because a short dated option has more of its price tied to the next few sessions. So the net vega of a calendar in the table is a starting point. The result depends on how the two points on the term structure move against each other, and a flat shift of both is the least likely outcome.
Read one more paragraph, 98 words
The first two columns show the options as they are priced. The net column is the far legs less the near legs, which is what you hold. The pair is long vega and net long theta, and delta is close to flat. The far expiry has more time, so it carries more vega, and a rise in implied volatility lifts the pair. The near legs have more theta, so a quiet fortnight pays. Neither number says the trade is safe. It says the trade owns volatility and sells time, and it is tilted to stay near its strikes.
Why is the term structure the trade?
On 16 Jun the at the money implied volatility was 12.1% for 30 Jun and 12.7% for 28 Jul. That is a gentle upward slope, the usual state when nothing is scheduled, and it is the cheap state for a calendar buyer: the far expiry costs only a little more per unit of time than the near one.
On an ordinary day the term structure is a gentle slope
On Budget Day the near expiry carried an event and the curve turned upside down
Read 2 more paragraphs, 208 words
Now Budget Day, Sunday 1 Feb 2026, a special trading session. The weekly expiry two days away was priced at 22.0%, the 24 Feb expiry at 15.0%. The term structure was upside down, because an event sat inside the near expiry and none inside the far one. A double calendar that sold the near strikes and bought the far ones at that day's settlement prices sold the event premium and bought the quiet stretch after it. The near pair brought in 171.00, the far pair cost 553.00, and the debit was 382.00 a unit.
The next session paid for that. Implied volatility fell in both expiries, from 22.0% to 18.0% in the near one and from 15.0% to 13.1% in the far one. The near leg lost more than the far one. A double calendar built on Budget Day at the 24,600 put and the 25,000 call was worth 409.80 on 2 Feb, the near pair costing 140.40 to close against a far pair worth 550.20. That is Rs 1,807 a lot, with Nifty at 25,088.40, past the call strike. The index had left the range between the strikes and the pair gained anyway: the fall in near volatility did the work.
Why does the strike of a diagonal matter?
A diagonal answers a different question from a calendar. Moving the strike of the near leg out of the money gives the position a view on direction: it gains when the index drifts up toward the sold call and loses its edge when the index falls. The smile below shows both expiries on 16 Jun. The far expiry sits a little higher around the money, and the near expiry curves up harder at the wings, so a strike that is cheap in one expiry is not cheap in the other. Moving the strike changes the price of the trade, not only its shape.
The near expiry smile is steeper at the wings, so the strike you pick matters
What does it need in margin and costs?
- Margin offset. SPAN values the legs together, so the bought far options offset part of the sold near ones. SEBI's circular of 1 Oct 2024 ended that offset on the expiry day of the near contract for index derivatives, from 1 Feb 2025. The day the near legs expire, they are margined on their own.
- Premium. The net option premium is a debit and is paid upfront under the same circular.
- STT. 0.15% of the premium on the sold lots, which was Rs 27.50 on the two sold near options of the 16 Jun double calendar. The bought legs pay stamp duty and exchange charges, and a far leg held to expiry in the money pays exercise STT on its intrinsic value.
- Four legs. Each of them crosses a bid and an ask, and the far expiry is the thinner one on the screen.
Worked example: four marks
The 16 Jun, 10 Jun and diagonal entries sell the 30 Jun expiry and buy 28 Jul. The Budget Day entry sells the 3 Feb weekly and buys 24 Feb, on the same two strikes. The lot is 65 units. All prices are settlement prices, so a real order would cross a bid and an ask on each leg. Each pair is marked at the settlement prices of the later date, and the result is its value then less the debit.
| One lot | 16 Jun entry | 10 Jun entry | Budget Day | Diagonal |
|---|---|---|---|---|
| Strikes | 23,800, 24,200 | 23,050, 23,450 | 24,600, 25,000 | 24,000, 24,300 |
| Debit a lot | Rs 23,709 | Rs 22,640 | Rs 24,830 | Rs 23,459 |
| Marked on | 29 Jun | 29 Jun | 2 Feb | 29 Jun |
| Value then, a lot | Rs 31,395 | Rs 20,491 | Rs 26,637 | Rs 24,001 |
| Result a lot | Rs 7,686 | −Rs 2,148 | Rs 1,807 | Rs 543 |
Read 3 more paragraphs, 299 words
The 16 Jun double calendar had Nifty sit between its strikes for the fortnight. By 29 Jun the near pair, one day from expiry, had fallen from 282.10 to 40.10, and the far pair from 646.85 to 523.10. The pair was worth 483.00 against a debit of 364.75, a gain of Rs 7,686 a lot. The near expiry's own volatility rose in that stretch, from 12.1% to 15.9%, which works against a short near leg, and the gain came anyway.
The 10 Jun entry is the surprise. The index rose 3.2% from 23,214.95 to 23,946.25, well past the 23,450 call strike. The near pair went from 465.90 to 515.75 and the far pair from 814.20 to 831.00, so a debit of 348.30 became a value of 315.25: a loss of Rs 2,148, about a tenth of the debit. The call side gained a little, because the bought far call gained more than the sold near call cost, and the put side gave back more. A double calendar run over by the index loses less than the picture of a tent suggests, and one inside its strikes gains less than the peak suggests.
The diagonal paid 466.15 for the 24,000 call of 28 Jul and took 105.25 for the 24,300 call of 30 Jun, a debit of 360.90. Nifty finished 29 Jun under the long strike. The near call had almost no value left, at 7.65, but the far call had slipped to 376.90, so the pair was worth 369.25 and made Rs 543 a lot. The decay on the short leg was spent, nearly all of it, on the fall in the long one. None of this is a pattern: each column is one entry on one date.
The common mistake
The belief: A double calendar is a range trade: it makes money if the index stays between the strikes and loses if it leaves.
The three marks do not sort that way. The 16 Jun entry stayed in range and made Rs 7,686. The 10 Jun entry left the range by 496.25 points and lost Rs 2,148, a small part of its debit. The Budget Day entry ended 88.40 points past its call strike and made Rs 1,807. What moved the result was volatility on each expiry, and the order in which the two expiries repriced. A calendar of any kind is a position on the term structure with a price tag attached. SEBI's Aug 2026 study of individual equity derivatives traders found that 87.7% lost money in FY26. A defined debit is a cap on the loss, and it is paid in full before the trade has done anything.
Key takeaways
- A diagonal changes the strike and the expiry; a double calendar adds a second strike.
- The far expiry carries more vega, so the pair is long vega.
- The near expiry usually reprices more than the far one.
- On Budget Day the term structure was upside down, and the pair gained.
- The three entries here do not sort by whether the index stayed in range.
- A debit is a cap on the loss, paid in full upfront.
2 terms this section turns on
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study