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
Near Expiry Strikes
26200CE
26200PE
26150CE
26150PE
26250CE
26250PE
26100CE
26100PE
26300CE
26300PE
26050CE
26050PE
26350CE
26350PE
26000CE
26000PE
26400CE
26400PE
25950CE
25950PE
26450CE
26450PE
25900CE
25900PE
26500CE
26500PE
25850CE
25850PE
26550CE
26550PE
25800CE
25800PE
26600CE
26600PE
25750CE
25750PE
26650CE
26650PE
25700CE
25700PE
26700CE
26700PE
25650CE
25650PE
26750CE
26750PE
25600CE
25600PE
26800CE
26800PE
25550CE
25550PE
26850CE
26850PE
25500CE
25500PE
26900CE
26900PE
25450CE
25450PE
26950CE
26950PE
25400CE
25400PE
27000CE
27000PE
25350CE
25350PE
27050CE
27050PE
25300CE
25300PE
27100CE
27100PE
25250CE
25250PE
27150CE
27150PE
25200CE
25200PE
27200CE
27200PE
25150CE
25150PE
27250CE
27250PE
25100CE
25100PE
27300CE
27300PE
25050CE
25050PE
27350CE
27350PE
25000CE
25000PE
27400CE
27400PE
24950CE
24950PE
27450CE
27450PE
24900CE
24900PE
27500CE
27500PE
Far Expiry Strikes
26200CE
26200PE
26150CE
26150PE
26250CE
26250PE
26100CE
26100PE
26300CE
26300PE
26050CE
26050PE
26350CE
26350PE
26000CE
26000PE
26400CE
26400PE
25950CE
25950PE
26450CE
26450PE
25900CE
25900PE
26500CE
26500PE
25850CE
25850PE
26550CE
26550PE
25800CE
25800PE
26600CE
26600PE
25750CE
25750PE
26650CE
26650PE
25700CE
25700PE
26700CE
26700PE
25650CE
25650PE
26750CE
26750PE
25600CE
25600PE
26800CE
26800PE
25550CE
25550PE
26850CE
26850PE
25500CE
25500PE
26900CE
26900PE
25450CE
25450PE
26950CE
26950PE
25400CE
25400PE
27000CE
27000PE
25350CE
25350PE
27050CE
27050PE
25300CE
25300PE
27100CE
27100PE
25250CE
25250PE
27150CE
27150PE
25200CE
25200PE
27200CE
27200PE
25150CE
25150PE
27250CE
27250PE
25100CE
25100PE
27300CE
27300PE
25050CE
25050PE
27350CE
27350PE
25000CE
25000PE
27400CE
27400PE
24950CE
24950PE
27450CE
27450PE
24900CE
24900PE
27500CE
27500PE