--- title: "What are diagonal and double calendar spreads | RupeeCase" description: "A diagonal calendar sells a near expiry option and buys a later expiry option at a different strike." source_url: "https://www.rupeecase.com/learn/questions/diagonal-and-double-calendar" --- A call calendar gains when implied volatility rises and the index stays near its strike | Move in the future | 10 days after the example date, rupees | | --- | --- | | IV −3 | IV same | IV +3 | | −4% | −10,984 | −7,897 | −4,629 | | −2% | −6,444 | −3,246 | −144 | | 0% | −3,731 | −917 | +1,896 | | +2% | −6,112 | −2,880 | +255 | | +4% | −10,567 | −7,273 | −3,855 | Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point. Profit and loss for one lot of a call calendar at the money, sold on the 30 Jun 2026 expiry and bought on the 28 Jul 2026 expiry, priced at the settle prices of 10 Jun 2026. Rows are index moves at the horizon, columns are implied volatility shifts. Model values on that date, before costs. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. A calendar uses two expiries of the same type. The near expiry is sold and the later one is bought, so the position keeps time value from the far leg while the near leg decays faster. A diagonal changes the strike of the far leg as well, and a double calendar holds a call calendar and a put calendar, one on each side of the money. The grid shows one call calendar at the money on the 30 Jun 2026 chain, with the far leg on the 28 Jul 2026 expiry. Rows are index moves over the horizon and columns are shifts in implied volatility. The centre cell is no change. Reading down a column shows the response to the index, and reading across a row shows the response to volatility. A diagonal adds a second dimension to the calendar, so the payoff depends on the index, the volatility and the days left at once. A diagonal whose far strike sits away from the near strike carries a directional lean, so a move in the index is part of its exposure from the start. The double calendar is a wider position with two sets of strikes. It gains when the index stays inside its range and the volatility of the far expiries rises. It also carries the risk that the index breaks out of the range on either side, and each side has its own losing edge. The near expiry sets the timing. As it nears, its time value falls, and the value of the position becomes most sensitive to the index near the strikes. **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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What are diagonal and double calendar spreads?A diagonal calendar sells a near expiry option and buys a later expiry option at a different strike, and a double calendar places two such calendars on either side of the money. Both are long the time value of the later expiry, so they gain when its implied volatility rises and the index stays between the strikes, and they lose most when the index moves far from them. LGo deeper ## Where Learn teaches this. [Go deeperDiagonals and double calendars11 min, Advanced](/learn/path-17/module-17-17-diagonals-and-double-calendars)[Go deeperOption calendar spreads9 min, Intermediate](/learn/path-17/module-17-9-option-calendar-spreads)[Try itScenario gridA position repriced over spot, IV and days, beside what the Greeks estimate and what they miss.](/learn/tools/scenario-grid) SSources ## Go to the source. 2 sources, NISM the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [NISM, Series VIII equity derivatives certification test objectives](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM 2. [NSE, equity derivatives contract specifications: lots, expiries and settlement](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE ?Questions people ask ## Related questions. 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