Strategy Source

Creator/Channel: To King

Published Date: October 11, 2024

Link: To King – THIS IS IT! How To Trade The Calendarized 112

Trade Setup

Action (Sell (-)/Buy (+))	Leg	DTE	Strike Price / Delta Target	Width
Sell (-)	Naked Puts (x2)	30	8 to 10 Delta	N/A
Sell (-)	Short Put (Debit Spread Leg)	150	100 points below Long Put	100
Buy (+)	Long Put (Debit Spread Leg)	150	Out-of-the-money	N/A

• Total Capital Required: Not detailed in source transcript (utilizes SPAN margin).
• Execution Context: The video discusses a theoretical model and the structural evolution of an existing trading style using index futures (like ES).

Strategy Application

The “Calendarized 112” (or “11x”) is a powerful evolution of the traditional 112 bear trap strategy. Instead of keeping all your options legs in the same expiration cycle, this strategy intentionally splits them up to build a layered defensive wall over time.

Here is exactly how the mechanics work:

• The Time Differential: You are buying a put debit spread way out in time at 150 Days to Expiration (DTE), but you are selling the income-generating naked puts much closer at 30 DTE. Because of Theta (“Time decay” mechanics), those 30 DTE short puts will decay rapidly. Once they expire or are bought back, you are left with a 120-day put debit spread that acts as a completely “free” downside hedge.
• Targeting the Buffer Zone: To fund the long-term debit spread, you sell naked puts far below the current market price. The creator specifically targets the 8 to 10 Delta (Strike metric / Directional bias or “probability of success”). Because these are placed at a closer expiration, you have to sell a slightly higher Delta than standard long-term 112s to capture enough premium, but it still leaves a massive safety cushion.
• The Accumulation Effect: By continuously laddering this trade every month, the short naked puts drop off, but the long-term put debit spreads stack up. Over time, you build a “put wall” (targeting a ratio of 5 put debit spreads for every 2 active naked puts) to protect against severe market drops.
• Market Environment: This trade thrives in a stable or slowly grinding down market. The goal is to capture income seamlessly while actively building a defensive hedge for when market conditions inevitably turn sour.

Risk Profile

• Wing Widths: The put debit spread is widened to a bold 100 points wide (an upgrade from the standard 50-point width). This wider structure gives the spread much more room to expand in value and actively protect your portfolio if the market slides into the “trap.”
• Undefined Naked Risk: The short puts are completely naked (no protective wings below them). If the market rapidly crashes through your buffer zone, your downside risk is theoretically substantial.
• Vega Vulnerability: Because you are selling naked options at 30 DTE, you face elevated Vega (“Volatility risk” or the impact of implied volatility). If volatility drastically spikes, the pricing of those short puts will inflate rapidly, creating short-term drawdowns.
• Leverage & Span Margin Expansion: Selling puts at 30 days requires significantly more buying power in SPAN margin than selling them at 120 days. The creator explicitly warns against overleveraging. If the market moves against you, margin requirements will aggressively expand and can lead to massive account damage if your position sizing is reckless.

Expected Outcome

1. The “Tail” (Your Base Win)

The market grinds higher, chops sideways, or doesn’t drop far enough to challenge your strikes. The 30 DTE naked puts decay to zero. You keep the initial premium collected, and you are left holding a 120-day put debit spread that you acquired for essentially zero cost.

2. The “Trap” (The Bonus Win & Hedge)

The market experiences a slow, grinding selloff and falls into your 150 DTE put debit spread. Because volatility is increasing and the market is dropping, the put debit spread expands in value. You profit from the income of the naked puts plus the bonus payout of the debit spread trap.

Management & Exit Triggers

• Primary Profit Target: Close the 30 DTE naked puts when they reach 90% to 95% max profit (which usually takes about 21 to 25 days).
• Defensive Adjustment (Rolling): If the Delta of your naked puts doubles, it is a strict mechanical signal to evaluate your risk. If the asset is high quality (like the S&P 500), roll the naked puts out in time and down in strikes to lower your immediate risk and give the trade more time to recover.
• Defensive Stop / Risk Reduction: If market conditions briefly improve during a drawdown, exit the naked puts early (even if you only retain about 10% of the original credit) just to clear the risk off the table entirely.