Term-structure-driven calendar and diagonal spread analysis. Ranks setups by risk-adjusted edge,
visualises the IV curve, and signals optimal entry conditions for current vol environment.
Methodology note: Cost and profit estimates use BSM ATM approximations.
Strike = ATM ± 2% for directional diagonals. Vol-edge thresholds are practitioner anchors
(inspired-by Tastytrade ~5K-sample calendar study), not Brier-validated on live cohort.
Not financial advice.
Spot: —
Live IV fetch failed — results are illustrative only (synthetic term structure). Not tradeable as-is.
Fetching term structure…
Regime
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Front–Back Basis
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bps (+ = contango)
Front IV (7d)
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ATM implied vol
Calendar Favorability
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IV Term Structure
ATM implied volatility by DTE — contango vs backwardation
Top 3 Spread Recommendations
Ranked by risk-adjusted edge = max profit / cost debit
P&L at Front-Month Expiry
Approximate tent payoff across spot range at front expiry
Enter a ticker and click Analyze to load the calendar spread optimizer.
Methodology — calendar-spread-optimizer-2026-06-06-v1
Calendar spread value model: spread_value = (front_theta_daily + vega_from_back) / cost_debit
| BSM theta/vega (Black-Scholes 1973) |
Term-structure regime: Johnson 2017 (VIX1M>VIX3M precedes drawdowns ~70% hit rate at 5-7d lead);
Hull-White 1987 (stochvol term structure).
[HEURISTIC] Cost/profit estimates use ATM BSM approximations; actual results depend on spot movement and vol dynamics.
[INSPIRED-BY Tastytrade] 60–65% POP when front IV > back IV by >2 vol-pts — public study, not Brier-validated on THv2 cohort.
[SIMPLIFIED] Strike = ATM ± 2% for directional; real strike selection requires live chain.
[APPROXIMATION] Yahoo Finance IV; Tradier preferred for production.