A call calendar pays most near its strike as the near expiry approaches, while the far leg still has time left

A call calendar pays most near its strike as the near expiry approaches, while the far leg still has time leftPayoff of the position at expiry and before expiry. Breakevens at 22,980 and 23,528. Maximum profit in the range ₹7,509, maximum loss ₹9,598; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry3 days to expiry−₹10,000−₹5,000₹0₹5,000₹10,00022,50023,00023,50024,000Nifty at expirySpot 23,215BE 22,980BE 23,528Max profit ₹7,509No floor
Profit and loss for one lot of a call calendar, near leg sold and far leg bought at the same strike, priced from the 10 Jun 2026 settle prices. The line for three days ahead is the spread before the near expiry. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

The chart uses the 16 Jun 2026 weekly and the 30 Jun 2026 monthly, both on the 10 Jun 2026 chain. A call calendar sells the near call and buys the far call at one strike. On that date the near leg has about one week left and the far leg about three weeks.

Why it can earn: the near leg loses time value faster than the far leg, so the spread can gain while the index stays close to the strike. The far leg also carries forward volatility, so a change in the volatility curve moves the spread even when the index does not.

The chart shows the value at the near expiry and three days before it, with the far leg still open. The spread is at its best near the strike, and the gain falls away as the index moves either way. That is why calendars are often called neutral, but the position still carries risk from changes in volatility.

Margin. The exchange's margin system treats the two legs as one position with an offset, so the capital blocked is less than the two legs taken separately. For index derivatives that offset is removed on expiry day, when the near leg is priced at intrinsic value and the spread behaves like two separate positions. SEBI's circular of 1 Oct 2024 set this, in force from 1 Feb 2025, and the broker's margin figure is the one to read.

Each leg pays brokerage and exchange fees, the sold leg pays STT, and the near leg is closed, rolled or left to expire, each with its own costs. The examples here use dated chains only.

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