Trade Overview

This week I entered my standard 30Δ double calendar on Wednesday using the 15 DTE / 30 DTE structure.

• Underlying: SPX
• Price at Entry: 6902.84
• VIX at Entry: 20.29
• Structure: 15 DTE shorts / 30 DTE longs
• Strike Selection: ~30Δ on both sides

Term Structure at Entry

• Front Month IV (15 DTE): 19.3%
• Back Month IV (30 DTE): 20.5%
• Curve Condition: Contango
• Interpretation: Back-month IV exceeds front-month IV, reflecting stable term structure without front-loaded stress.

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Trade Construction

Short Legs (15 DTE)

• Short Put: 6775 – 2026-03-05
• Short Call: 7010 – 2026-03-05

Long Legs (30 DTE)

• Long Put: 6775 – 2026-03-20
• Long Call: 7010 – 2026-03-20
• Total Debit Paid: 68.65
• Buying Power Used: 6,865

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Execution Screenshot

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Risk Profile at Entry

• Max Profit (theoretical): Occurs if price pins near either short strike with favorable term structure behavior
• Max Loss (theoretical): 68.65 (debit paid)
• Breakeven Range: Between 6775 and 7010
• Width Between Shorts: 235 points
• Implied Volatility: 19.3% / 20.5%

This creates a balanced volatility structure with defined risk on both tails.

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Structural Assessment

Volatility Context

• Pre-entry volatility behavior: Stable within operating band
• Term structure posture: Mild contango
• Volatility tailwind or headwind: Neutral to modest tailwind if expansion occurs

Price Context

• Distance to short put (%): 1.85%
• Distance to short call (%): 1.55%
• Current market tone: Range

Greek Posture at Entry

• Net Delta: Near-neutral
• Net Vega: Net long
• Net Theta: Positive
• Gamma Risk Profile: Moderate at entry, increases as front expiration approaches

The objective is to capture mid-cycle theta while maintaining controlled gamma exposure.

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Trade Plan

• Take Profit: 10% of debit
• Stop Loss: 25% of debit
• Maximum Hold: 13 calendar days
• Exit Style: Mechanical, not discretionary

I will not hold into late-cycle gamma acceleration.

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Expected Behavior

This trade performs best if:

• Price remains contained within the short strikes
• Volatility stabilizes or expands moderately
• Movement is controlled rather than explosive

It underperforms during fast directional expansion or volatility collapse.