Defined risk · round 2 · C2
Calendar spread Failed
Can I be net long volatility while the expiring leg pays for part of it? Over 206 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Calendar spread lost ₹37,300 net after brokerage, taxes and slippage: 50% win rate, profit factor 0.89, max drawdown ₹71,170. Year 1 +₹5,219, year 2 −₹42,519. Verdict: failed.
Selling the expiring leg turns a ₹2.03L loss into a ₹37k loss, but it is still a loss and year 2 is negative on both indices.
NIFTY and SENSEX weekly options · 1 lot, after costs and slippage · data to · page updated
How it trades
- Every expiry day at 09:20: sell the expiring ATM straddle and buy next week's straddle at the same strike. The loss is capped at about the net debit.
- Control: only next week's straddle bought, with no front leg sold.
- Exit. Take profit at +50% of the premium paid, stop at −35% (checked on each minute's close, filled at the next open), otherwise out at 15:15.
Did it pass the bar?
- ✗ Profit in year 2
- ✗ Profit factor above 1.3
- ✓ At least 40 trades
- ✓ Beats its baseline per trade
- ✗ Profit in all four index and year cells
A strategy has to clear every line. Year 1 ends 2025-09-30; year 2 is the unseen test.
Results by index and exit rule
| Run | Trades | Win rate | Net P&L | Per trade | Profit factor | Max drawdown | Year 1 | Year 2 |
|---|---|---|---|---|---|---|---|---|
| Both indices · Target and stop (designed) | 206 | 50% | −₹37,300 | −₹181 | 0.89 | −₹71,170 | +₹5,219 | −₹42,519 |
| NIFTY · Target and stop (designed) | 103 | 49% | −₹17,646 | −₹171 | 0.90 | −₹40,311 | +₹11,957 | −₹29,603 |
| SENSEX · Target and stop (designed) | 103 | 50% | −₹19,654 | −₹191 | 0.88 | −₹55,883 | −₹6,738 | −₹12,916 |
| Both indices · Held to 15:15 (sensitivity) | 206 | 50% | −₹84,218 | −₹409 | 0.78 | −₹97,819 | −₹35,272 | −₹48,946 |
| NIFTY · Held to 15:15 (sensitivity) | 103 | 49% | −₹40,866 | −₹397 | 0.79 | −₹46,796 | −₹8,131 | −₹32,735 |
| SENSEX · Held to 15:15 (sensitivity) | 103 | 50% | −₹43,352 | −₹421 | 0.77 | −₹82,626 | −₹27,141 | −₹16,211 |
Against its control
| Run (both indices) | Trades | Win rate | Net P&L | Per trade | Profit factor | Max drawdown | Year 1 | Year 2 |
|---|---|---|---|---|---|---|---|---|
| Calendar spread (this strategy) | 206 | 50% | −₹37,300 | −₹181 | 0.89 | −₹71,170 | +₹5,219 | −₹42,519 |
| Control: next week's straddle only | 206 | 27% | −₹2,03,143 | −₹986 | 0.43 | −₹2,09,575 | −₹1,02,702 | −₹1,00,441 |
Cumulative P&L
Best trade +₹12,246 (NIFTY, 2025-04-09); worst trade −₹13,324 (SENSEX, 2026-04-02).
What it tells us
The comparison with the control shows where the money is: the short expiring straddle earns the decay that sellers already collect, and the long back leg is what costs. Net, the calendar is mostly a diluted short straddle with a costly hedge.
- Four legs mean four fills each way, so costs and slippage weigh more than for a single straddle.
How trades ended
| Exit | Trades | Share | Net P&L |
|---|---|---|---|
| time | 162 | 79% | +₹1,26,565 |
| stop | 37 | 18% | −₹2,27,839 |
| target | 7 | 3% | +₹63,974 |
Results by month
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2024-10 | 9 | 44% | −₹2,875 |
| 2024-11 | 8 | 63% | −₹7,394 |
| 2024-12 | 7 | 57% | +₹13,474 |
| 2025-01 | 10 | 70% | +₹4,668 |
| 2025-02 | 8 | 50% | +₹882 |
| 2025-03 | 8 | 38% | −₹10,946 |
| 2025-04 | 10 | 70% | +₹15,846 |
| 2025-05 | 8 | 63% | −₹658 |
| 2025-06 | 8 | 38% | −₹12,439 |
| 2025-07 | 10 | 30% | −₹1,318 |
| 2025-08 | 8 | 63% | +₹3,391 |
| 2025-09 | 9 | 56% | +₹2,588 |
| 2025-10 | 9 | 33% | −₹3,968 |
| 2025-11 | 8 | 50% | +₹819 |
| 2025-12 | 9 | 44% | −₹261 |
| 2026-01 | 9 | 44% | −₹9,201 |
| 2026-02 | 8 | 50% | +₹1,312 |
| 2026-03 | 9 | 33% | −₹5,255 |
| 2026-04 | 9 | 11% | −₹35,796 |
| 2026-05 | 8 | 38% | −₹1,814 |
| 2026-06 | 9 | 67% | +₹1,424 |
| 2026-07 | 9 | 89% | +₹14,503 |
| 2026-08 | 8 | 63% | +₹5,117 |
| 2026-09 | 8 | 25% | −₹9,399 |
Every trade (206)
| Date | Index | Exit | Premium | Net P&L |
|---|---|---|---|---|
| 2024-10-03 | NIFTY | stop | ₹13,098 | −₹5,400 |
| 2024-10-04 | SENSEX | stop | ₹18,159 | −₹6,837 |
| 2024-10-10 | NIFTY | time | ₹14,749 | +₹3,504 |
| 2024-10-11 | SENSEX | time | ₹16,480 | +₹2,137 |
| 2024-10-17 | NIFTY | stop | ₹13,452 | −₹5,318 |
| 2024-10-18 | SENSEX | target | ₹17,739 | +₹9,893 |
| 2024-10-24 | NIFTY | time | ₹15,035 | +₹1,874 |
| 2024-10-31 | NIFTY | time | ₹21,330 | −₹286 |
| 2024-10-31 | SENSEX | time | ₹24,342 | −₹2,442 |
| 2024-11-07 | NIFTY | stop | ₹16,250 | −₹6,952 |
| 2024-11-08 | SENSEX | time | ₹11,872 | +₹2,433 |
| 2024-11-14 | NIFTY | time | ₹12,035 | +₹1,556 |
| 2024-11-14 | SENSEX | time | ₹14,084 | +₹2,209 |
| 2024-11-21 | NIFTY | time | ₹16,881 | +₹7,124 |
| 2024-11-22 | SENSEX | stop | ₹15,436 | −₹7,703 |
| 2024-11-28 | NIFTY | stop | ₹12,928 | −₹6,079 |
| 2024-11-29 | SENSEX | time | ₹15,180 | +₹18 |
| 2024-12-05 | NIFTY | target | ₹15,711 | +₹7,384 |
| 2024-12-06 | SENSEX | time | ₹17,969 | +₹7,789 |
| 2024-12-12 | NIFTY | time | ₹16,231 | −₹1,520 |
| 2024-12-13 | SENSEX | stop | ₹15,371 | −₹6,006 |
| 2024-12-19 | NIFTY | time | ₹26,312 | +₹7,524 |
| 2024-12-20 | SENSEX | stop | ₹17,093 | −₹6,325 |
| 2024-12-27 | SENSEX | time | ₹16,507 | +₹4,628 |
| 2025-01-02 | NIFTY | stop | ₹14,999 | −₹5,748 |
| 2025-01-03 | SENSEX | stop | ₹9,864 | −₹3,345 |
| 2025-01-07 | SENSEX | time | ₹18,219 | +₹2,597 |
| 2025-01-09 | NIFTY | time | ₹17,332 | +₹286 |
| 2025-01-14 | SENSEX | time | ₹17,781 | +₹664 |
| 2025-01-16 | NIFTY | time | ₹16,071 | +₹4,208 |
| 2025-01-21 | SENSEX | stop | ₹17,455 | −₹6,803 |
| 2025-01-23 | NIFTY | time | ₹18,749 | +₹307 |
| 2025-01-28 | SENSEX | time | ₹27,991 | +₹6,274 |
| 2025-01-30 | NIFTY | time | ₹28,490 | +₹6,228 |
| 2025-02-04 | SENSEX | stop | ₹16,236 | −₹5,764 |
| 2025-02-06 | NIFTY | time | ₹17,817 | −₹610 |
| 2025-02-11 | SENSEX | stop | ₹14,148 | −₹4,315 |
| 2025-02-13 | NIFTY | time | ₹15,753 | +₹2,637 |
| 2025-02-18 | SENSEX | target | ₹15,524 | +₹7,416 |
| 2025-02-20 | NIFTY | time | ₹15,418 | +₹1,691 |
| 2025-02-25 | SENSEX | time | ₹14,736 | +₹807 |
| 2025-02-27 | NIFTY | time | ₹15,448 | −₹980 |
| 2025-03-04 | SENSEX | time | ₹14,906 | +₹378 |
| 2025-03-06 | NIFTY | stop | ₹13,986 | −₹5,819 |
| 2025-03-11 | SENSEX | time | ₹13,356 | −₹474 |
| 2025-03-13 | NIFTY | time | ₹13,231 | −₹2,951 |
| 2025-03-18 | SENSEX | time | ₹12,902 | −₹2,984 |
| 2025-03-20 | NIFTY | stop | ₹13,000 | −₹5,104 |
| 2025-03-25 | SENSEX | time | ₹13,081 | +₹3,197 |
| 2025-03-27 | NIFTY | time | ₹13,605 | +₹2,811 |
| 2025-04-01 | SENSEX | stop | ₹15,327 | −₹7,008 |
| 2025-04-03 | NIFTY | time | ₹15,581 | +₹1,070 |
| 2025-04-08 | SENSEX | time | ₹23,518 | +₹8,731 |
| 2025-04-09 | NIFTY | target | ₹25,486 | +₹12,246 |
| 2025-04-15 | SENSEX | time | ₹20,139 | +₹934 |
| 2025-04-17 | NIFTY | stop | ₹18,522 | −₹6,959 |
| 2025-04-22 | SENSEX | time | ₹18,078 | +₹821 |
| 2025-04-24 | NIFTY | time | ₹19,854 | +₹4,741 |
| 2025-04-29 | SENSEX | time | ₹20,119 | −₹565 |
| 2025-04-30 | NIFTY | time | ₹24,924 | +₹1,835 |
| 2025-05-06 | SENSEX | time | ₹20,957 | +₹609 |
| 2025-05-08 | NIFTY | time | ₹23,030 | +₹3,481 |
| 2025-05-13 | SENSEX | stop | ₹17,827 | −₹5,838 |
| 2025-05-15 | NIFTY | stop | ₹18,954 | −₹8,058 |
| 2025-05-20 | SENSEX | stop | ₹21,425 | −₹8,370 |
| 2025-05-22 | NIFTY | time | ₹16,838 | +₹5,963 |
| 2025-05-27 | SENSEX | target | ₹21,169 | +₹10,019 |
| 2025-05-29 | NIFTY | time | ₹22,818 | +₹1,536 |
| 2025-06-03 | SENSEX | time | ₹19,747 | −₹742 |
| 2025-06-05 | NIFTY | time | ₹18,928 | −₹278 |
| 2025-06-10 | SENSEX | time | ₹17,570 | +₹1,213 |
| 2025-06-12 | NIFTY | stop | ₹15,636 | −₹6,212 |
| 2025-06-17 | SENSEX | time | ₹17,196 | +₹3,304 |
| 2025-06-19 | NIFTY | time | ₹18,148 | +₹3,934 |
| 2025-06-24 | SENSEX | stop | ₹17,167 | −₹7,326 |
| 2025-06-26 | NIFTY | stop | ₹15,961 | −₹6,332 |
| 2025-07-01 | SENSEX | time | ₹15,031 | +₹5,069 |
| 2025-07-03 | NIFTY | time | ₹14,424 | −₹175 |
| 2025-07-08 | SENSEX | time | ₹14,332 | −₹290 |
| 2025-07-10 | NIFTY | time | ₹13,195 | −₹748 |
| 2025-07-15 | SENSEX | time | ₹13,469 | +₹528 |
| 2025-07-17 | NIFTY | time | ₹12,022 | −₹1,040 |
| 2025-07-22 | SENSEX | time | ₹11,630 | −₹839 |
| 2025-07-24 | NIFTY | stop | ₹11,450 | −₹5,102 |
| 2025-07-29 | SENSEX | time | ₹13,820 | −₹1,960 |
| 2025-07-31 | NIFTY | time | ₹12,737 | +₹3,239 |
| 2025-08-05 | SENSEX | time | ₹13,973 | +₹862 |
| 2025-08-07 | NIFTY | time | ₹12,587 | +₹530 |
| 2025-08-12 | SENSEX | time | ₹11,737 | −₹580 |
| 2025-08-14 | NIFTY | time | ₹11,996 | +₹4,425 |
| 2025-08-19 | SENSEX | time | ₹13,095 | +₹392 |
| 2025-08-21 | NIFTY | time | ₹11,934 | +₹1,731 |
| 2025-08-26 | SENSEX | time | ₹14,206 | −₹2,111 |
| 2025-08-28 | NIFTY | time | ₹9,464 | −₹1,858 |
| 2025-09-02 | NIFTY | time | ₹11,885 | +₹667 |
| 2025-09-04 | SENSEX | time | ₹10,897 | −₹2,401 |
| 2025-09-09 | NIFTY | time | ₹11,430 | +₹3,596 |
| 2025-09-11 | SENSEX | time | ₹11,268 | +₹3,512 |
| 2025-09-16 | NIFTY | time | ₹11,902 | −₹1,444 |
| 2025-09-18 | SENSEX | time | ₹10,515 | +₹2,029 |
| 2025-09-23 | NIFTY | time | ₹11,999 | +₹2,095 |
| 2025-09-25 | SENSEX | stop | ₹10,110 | −₹4,173 |
| 2025-09-30 | NIFTY | time | ₹12,155 | −₹1,293 |
| 2025-10-01 | SENSEX | stop | ₹11,990 | −₹4,728 |
| 2025-10-07 | NIFTY | time | ₹10,033 | +₹4,053 |
| 2025-10-09 | SENSEX | time | ₹10,087 | −₹952 |
| 2025-10-14 | NIFTY | stop | ₹10,793 | −₹4,304 |
| 2025-10-16 | SENSEX | time | ₹10,721 | −₹1,641 |
| 2025-10-20 | NIFTY | time | ₹12,425 | +₹1,851 |
| 2025-10-23 | SENSEX | time | ₹13,222 | −₹577 |
| 2025-10-28 | NIFTY | time | ₹15,532 | +₹4,547 |
| 2025-10-30 | SENSEX | time | ₹13,966 | −₹2,217 |
| 2025-11-04 | NIFTY | time | ₹13,806 | −₹4,765 |
| 2025-11-06 | SENSEX | stop | ₹14,919 | −₹5,630 |
| 2025-11-11 | NIFTY | time | ₹14,274 | −₹902 |
| 2025-11-13 | SENSEX | time | ₹14,446 | +₹5,441 |
| 2025-11-18 | NIFTY | time | ₹14,238 | +₹3,556 |
| 2025-11-20 | SENSEX | time | ₹14,542 | +₹1,741 |
| 2025-11-25 | NIFTY | time | ₹14,771 | −₹458 |
| 2025-11-27 | SENSEX | time | ₹14,179 | +₹1,836 |
| 2025-12-02 | NIFTY | time | ₹13,309 | −₹3,450 |
| 2025-12-04 | SENSEX | time | ₹13,177 | −₹838 |
| 2025-12-09 | NIFTY | time | ₹12,792 | +₹2,281 |
| 2025-12-11 | SENSEX | time | ₹12,853 | −₹2,369 |
| 2025-12-16 | NIFTY | time | ₹11,499 | −₹801 |
| 2025-12-18 | SENSEX | time | ₹10,789 | +₹2,856 |
| 2025-12-23 | NIFTY | time | ₹10,927 | +₹1,557 |
| 2025-12-24 | SENSEX | time | ₹11,567 | −₹1,095 |
| 2025-12-30 | NIFTY | time | ₹10,864 | +₹1,598 |
| 2026-01-01 | SENSEX | time | ₹10,658 | +₹583 |
| 2026-01-06 | NIFTY | time | ₹11,278 | +₹791 |
| 2026-01-08 | SENSEX | stop | ₹9,937 | −₹3,880 |
| 2026-01-13 | NIFTY | stop | ₹11,873 | −₹5,193 |
| 2026-01-14 | SENSEX | time | ₹14,434 | +₹1,707 |
| 2026-01-20 | NIFTY | stop | ₹12,613 | −₹5,072 |
| 2026-01-22 | SENSEX | time | ₹14,767 | +₹3,510 |
| 2026-01-27 | NIFTY | time | ₹25,275 | −₹759 |
| 2026-01-29 | SENSEX | time | ₹21,129 | −₹888 |
| 2026-02-03 | NIFTY | target | ₹14,541 | +₹6,755 |
| 2026-02-05 | SENSEX | time | ₹15,685 | −₹1,969 |
| 2026-02-10 | NIFTY | time | ₹13,215 | +₹1,817 |
| 2026-02-12 | SENSEX | time | ₹12,445 | +₹274 |
| 2026-02-17 | NIFTY | time | ₹14,866 | −₹1,438 |
| 2026-02-19 | SENSEX | stop | ₹13,121 | −₹4,952 |
| 2026-02-24 | NIFTY | time | ₹15,847 | −₹1,217 |
| 2026-02-26 | SENSEX | time | ₹15,091 | +₹2,042 |
| 2026-03-02 | NIFTY | target | ₹21,619 | +₹10,261 |
| 2026-03-05 | SENSEX | time | ₹27,481 | −₹2,869 |
| 2026-03-10 | NIFTY | time | ₹30,157 | −₹401 |
| 2026-03-12 | SENSEX | time | ₹34,005 | +₹2,078 |
| 2026-03-17 | NIFTY | time | ₹29,630 | −₹5,804 |
| 2026-03-19 | SENSEX | time | ₹23,821 | −₹3,989 |
| 2026-03-24 | NIFTY | time | ₹32,464 | +₹3,053 |
| 2026-03-25 | SENSEX | time | ₹37,893 | −₹730 |
| 2026-03-30 | NIFTY | time | ₹46,004 | −₹6,854 |
| 2026-04-02 | SENSEX | stop | ₹36,578 | −₹13,324 |
| 2026-04-07 | NIFTY | time | ₹35,435 | −₹10,179 |
| 2026-04-09 | SENSEX | time | ₹23,750 | −₹2,439 |
| 2026-04-13 | NIFTY | time | ₹30,648 | −₹4,015 |
| 2026-04-16 | SENSEX | stop | ₹22,593 | −₹8,257 |
| 2026-04-21 | NIFTY | time | ₹24,980 | −₹491 |
| 2026-04-23 | SENSEX | time | ₹25,762 | −₹372 |
| 2026-04-28 | NIFTY | time | ₹23,033 | −₹3,013 |
| 2026-04-30 | SENSEX | time | ₹22,194 | +₹6,294 |
| 2026-05-05 | NIFTY | time | ₹22,536 | +₹2,738 |
| 2026-05-07 | SENSEX | time | ₹19,188 | +₹5,617 |
| 2026-05-12 | NIFTY | stop | ₹22,480 | −₹8,447 |
| 2026-05-14 | SENSEX | time | ₹22,627 | −₹145 |
| 2026-05-19 | NIFTY | time | ₹22,656 | −₹2,090 |
| 2026-05-21 | SENSEX | time | ₹17,984 | −₹481 |
| 2026-05-26 | NIFTY | time | ₹18,298 | −₹46 |
| 2026-05-27 | SENSEX | time | ₹19,271 | +₹1,040 |
| 2026-06-02 | NIFTY | time | ₹18,714 | −₹2,247 |
| 2026-06-04 | SENSEX | time | ₹18,852 | +₹1,883 |
| 2026-06-09 | NIFTY | time | ₹19,468 | +₹3,615 |
| 2026-06-11 | SENSEX | time | ₹18,286 | +₹2,636 |
| 2026-06-16 | NIFTY | time | ₹16,253 | +₹2,070 |
| 2026-06-18 | SENSEX | time | ₹15,096 | −₹1,429 |
| 2026-06-23 | NIFTY | stop | ₹13,247 | −₹5,898 |
| 2026-06-25 | SENSEX | time | ₹14,382 | +₹738 |
| 2026-06-30 | NIFTY | time | ₹14,904 | +₹56 |
| 2026-07-02 | SENSEX | time | ₹14,489 | +₹211 |
| 2026-07-07 | NIFTY | time | ₹12,607 | +₹1,332 |
| 2026-07-09 | SENSEX | time | ₹15,545 | +₹2,996 |
| 2026-07-14 | NIFTY | time | ₹16,400 | +₹3,158 |
| 2026-07-16 | SENSEX | time | ₹15,504 | +₹398 |
| 2026-07-21 | NIFTY | time | ₹15,574 | +₹619 |
| 2026-07-23 | SENSEX | time | ₹16,329 | +₹4,434 |
| 2026-07-28 | NIFTY | time | ₹14,089 | −₹882 |
| 2026-07-30 | SENSEX | time | ₹13,854 | +₹2,237 |
| 2026-08-04 | NIFTY | time | ₹12,246 | −₹2,757 |
| 2026-08-06 | SENSEX | time | ₹10,629 | +₹497 |
| 2026-08-11 | NIFTY | time | ₹11,980 | +₹2,268 |
| 2026-08-13 | SENSEX | time | ₹12,596 | +₹2,794 |
| 2026-08-18 | NIFTY | time | ₹12,103 | −₹58 |
| 2026-08-20 | SENSEX | time | ₹12,037 | +₹2,094 |
| 2026-08-25 | NIFTY | time | ₹11,489 | +₹1,059 |
| 2026-08-27 | SENSEX | time | ₹11,600 | −₹780 |
| 2026-09-01 | NIFTY | time | ₹11,960 | +₹35 |
| 2026-09-03 | SENSEX | time | ₹11,739 | +₹393 |
| 2026-09-08 | NIFTY | time | ₹11,131 | −₹1,037 |
| 2026-09-10 | SENSEX | time | ₹12,064 | −₹2,301 |
| 2026-09-15 | NIFTY | stop | ₹13,507 | −₹5,258 |
| 2026-09-17 | SENSEX | time | ₹13,882 | −₹229 |
| 2026-09-22 | NIFTY | time | ₹10,478 | −₹837 |
| 2026-09-24 | SENSEX | time | ₹10,588 | −₹165 |
Frequently asked questions
What is the Calendar spread option-buying strategy?
Can I be net long volatility while the expiring leg pays for part of it? Every expiry day at 09:20: sell the expiring ATM straddle and buy next week's straddle at the same strike. The loss is capped at about the net debit. Control: only next week's straddle bought, with no front leg sold. Exit: Take profit at +50% of the premium paid, stop at −35% (checked on each minute's close, filled at the next open), otherwise out at 15:15.
Did the Calendar spread strategy make money on NIFTY and SENSEX?
Over 206 trades on NIFTY and SENSEX weekly options (2024-10-03 to 2026-10-01), Calendar spread lost ₹37,300 net after brokerage, taxes and slippage: 50% win rate, profit factor 0.89, max drawdown ₹71,170. Year 1 +₹5,219, year 2 −₹42,519. Verdict: failed. NIFTY alone: −₹17,646 over 103 trades. SENSEX alone: −₹19,654 over 103 trades. Year 1 ends 2025-09-30; year 2 is the unseen test.
What does the backtest of Calendar spread show?
Selling the expiring leg turns a ₹2.03L loss into a ₹37k loss, but it is still a loss and year 2 is negative on both indices. The comparison with the control shows where the money is: the short expiring straddle earns the decay that sellers already collect, and the long back leg is what costs. Net, the calendar is mostly a diluted short straddle with a costly hedge.
Is Calendar spread a recommendation to trade?
No. It is a backtest on historical data at target and stop exits, one lot, intraday, and it did not pass the bar MarketCue set for it. Options buying can lose the whole premium paid. MarketCue is not a SEBI-registered investment adviser.
Backtest on historical data, not a live track record and not advice. Options trading can lose the whole premium paid. MarketCue is not a SEBI-registered investment adviser. See the disclaimer.