Put calendar spread

Checked October 2026

A put calendar buys a longer-dated put and sells a nearer put at the same strike, and it makes the most if price is near that strike when the near put expires. tastytrade's 2016 test used the 40-delta put, about 60 days against 30 days, on the S&P 500 index. Backtoast ran it. This version failed our test, losing 0.1% a year over 47 trades.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Put calendar spread

The near put loses value faster than the far one, and that gap is the profit. A rise in implied volatility helps too, because the longer put has more to gain from it. IV rank is where implied vol sits in its range over the past year, and tastytrade also ran a version that only enters when it's below 25, near the low end.

A new calendar can open every trading day that passes the filter, and each one closes once it's up 10% of the debit, or on the day the near put expires.

The short strangle also earns from time passing, but it loses when implied volatility rises, which is when the calendar gains.

When it works

A put calendar does best in a quiet market that stays near the strike while implied volatility holds or rises, and it loses when the index moves well away from the strike or implied volatility falls. It did well in the last six months of our run, at +11.87% a trade against −6.74% before. Traders use it because it earns theta and the most it can lose is the debit paid.

Origins

The source is a 2016 tastytrade Market Measures episode on SPX options from 2005 to 2016. The 10% exit had the best overall numbers, and with the IV rank filter the average return on capital was 8.9%. The run used SPY with the filter, and put both puts at the strike 1% below SPY's close, which is about where the 40-delta put sits when implied vol is low. It ran from early 2022, once there was a year of implied vol for the IV rank, to the end of 2025.

The run is Backtoast's, from 29 October 2026, after costs.