IV Calendar Comparison
In a calendar strategy, you sell the near-term option with higher IV and buy the longer-term option with lower IV. This setup benefits from faster time decay in the short leg while the long leg retains more value.
Type
ATM Straddle
ATM CE
ATM PE
Strikes
Short Near Expiry
23150CE
23150PE
23100CE
23100PE
23200CE
23200PE
23050CE
23050PE
23250CE
23250PE
23000CE
23000PE
23300CE
23300PE
22950CE
22950PE
23350CE
23350PE
22900CE
22900PE
23400CE
23400PE
22850CE
22850PE
23450CE
23450PE
22800CE
22800PE
23500CE
23500PE
22750CE
22750PE
23550CE
23550PE
22700CE
22700PE
23600CE
23600PE
22650CE
22650PE
23650CE
23650PE
22600CE
22600PE
23700CE
23700PE
22550CE
22550PE
23750CE
23750PE
22500CE
22500PE
23800CE
23800PE
22450CE
22450PE
23850CE
23850PE
22400CE
22400PE
23900CE
23900PE
22350CE
22350PE
23950CE
23950PE
22300CE
22300PE
24000CE
24000PE
22250CE
22250PE
24050CE
24050PE
22200CE
22200PE
24100CE
24100PE
22150CE
22150PE
24150CE
24150PE
22100CE
22100PE
24200CE
24200PE
22050CE
22050PE
24250CE
24250PE
22000CE
22000PE
24300CE
24300PE
Long Far Expiry
23150CE
23150PE
23100CE
23100PE
23200CE
23200PE
23050CE
23050PE
23250CE
23250PE
23000CE
23000PE
23300CE
23300PE
22950CE
22950PE
23350CE
23350PE
22900CE
22900PE
23400CE
23400PE
22850CE
22850PE
23450CE
23450PE
22800CE
22800PE
23500CE
23500PE
22750CE
22750PE
23550CE
23550PE
22700CE
22700PE
23600CE
23600PE
22650CE
22650PE
23650CE
23650PE
22600CE
22600PE
23700CE
23700PE
22550CE
22550PE
23750CE
23750PE
22500CE
22500PE
23800CE
23800PE
22450CE
22450PE
23850CE
23850PE
22400CE
22400PE
23900CE
23900PE
22350CE
22350PE
23950CE
23950PE
22300CE
22300PE
24000CE
24000PE
22250CE
22250PE
24050CE
24050PE
22200CE
22200PE
24100CE
24100PE
22150CE
22150PE
24150CE
24150PE
22100CE
22100PE
24200CE
24200PE
22050CE
22050PE
24250CE
24250PE
22000CE
22000PE
24300CE
24300PE