Chapter 9: Calendar Spreads 
FIGURE 9-1. 
Calendar spread at near-term expiration. 
C: 
i +$200 
$ 
1i:i 
~ 
0 
~ o. -$300 
Stock Price at Expiration 
TABLE 9-1. 
Estimated profit or losses at April expiration. 
XYZ Stock April 50 April 50 July 50 
Price Price Profit Price 
40 0 +$500 1/2 
45 0 + 500 21/2 
48 0 + 500 4 
50 0 + 500 5 
52 2 + 300 6 
55 5 0 8 
60 10 - 500 l 01/2 
193 
July 50 Total 
Profit Profit 
-$750 -$250 
- 550 - 50 
- 400 + 100 
- 300 + 200 
- 200 + 100 
0 0 
+ 250 - 250 
of the remaining long call at expiration, as well as a function of the time remaining to 
near-term expiration. 
Table 9-1 and Figure 9-1 clearly depict several of the more significant aspects 
of the calendar spread. There is a range within which the spread is profitable at near­
term expiration. That range would appear to be about 46 to 55 in the example. 
Outside that range, losses can occur, but they are limited to the amount of the initial 
debit. Notice in the example that the stock would have to be well below 40 or well