Opened an NVDA 240 call calendar: BTO +1× NVDA 240C Dec 18, 2026 at $14.70/share (live chain mid) and STO −1× NVDA 240C Nov 20, 2026 at $12.40/share (live chain mid). Net debit $2.30/share ($230/contract), filled at mid on a marketable limit. Max loss $230 (the debit). IV at entry ~43.5% (front 240C) / ~43.3% (back 240C) — slight backwardation, normal for near-dated calendar. Spot $218.99. PM-settled (American-style equity, last trade day Friday 4:00 PM ET close).
Strategy: Long Back-Month / Short Front-Month Call Calendar
A call calendar spread is the classic time-decay arbitrage on an equity option chain: sell the front-month ATM call (fast-decaying, theta-rich) and use the premium to fund the purchase of the back-month ATM call (slower-decaying, vega-rich). The structure nets a debit if the front-month is "cheaper" than the back-month by less than the time value gap — typical for ATM calendars on high-IV underlyings.
At entry (today, Aug 6 2026):
- Front Nov 20 240C: 106 DTE, IV 43.5%, mid $12.40
- Back Dec 18 240C: 134 DTE, IV 43.3%, mid $14.70
The $2.30 spread between front and back is the time-value gap (28 days of additional premium). Calendar is "theta-positive" because the front decays faster than the back.
- At front expiry (Nov 20, 2026): Short Nov 20 240C expires; P/L on the position depends entirely on where NVDA is at the Friday 4 PM close. If NVDA = $240 exactly: short expires worthless, long Dec 18 still has ~28 DTE and ~$10–11 value → profit ~$7–8/share = $700–800/contract. If NVDA > $240 (say $250): short expires worthless, long Dec 18 has ~$16–17 value → profit ~$14–15/share = $1,400–1,500/contract. (Text truncated in source beyond this point for extreme upside.)
- At back expiry (Dec 18, 2026): Position = long Dec 18 240C only (front already expired). P/L = max(NVDA − 240, 0) − $2.30. Profitable only if NVDA > $242.30 at Dec 18 close.
The classic calendar profile: the position P/L curve at front expiry has a hump centered at the strike, peaking when NVDA = $240 and declining on either side. This is the calendar's distinctive shape — it's a thesis on time and pin risk at the strike.
Why This Structure
A long-call calendar on NVDA at the ATM strike 240 (9.6% OTM from spot $218.99) is a directional-neutral long-volatility play with positive theta at high IV. The 43.5% IV at entry is rich by historical standards (NVDA's 1-year IV mean is ~38%), so the calendar is harvesting both elevated vol and time decay. The strike 240 sits just above the recent consolidation range ($210–$230) — a move through $240 in the next 100 days is plausible if NVDA breaks out on AI demand or post-earnings momentum.
- Why NVDA: NVDA is the highest-vol single name in mega-cap tech (43.5% IV vs SPY at 14–15%, QQQ at ~17%). The vol premium on a calendar is the trade — the front-month short pays the desk for time decay while the back-month long keeps the position vega-positive. NVDA's late-August Q2 earnings print (Aug 28, ~Day 22) is the major event risk before the front expiry; the IV crush after earnings is part of why the front is "expensive" right now.
- Why Nov 20 / Dec 18 (not other dates): These are the standard monthly expirations 28 days apart, which gives the cleanest calendar structure. The 28-day back-leg residual at front expiry is the sweet spot for calendar max-profit potential — long enough to retain time value, short enough that the strike pin risk is meaningful.
- Why 240 strike (vs 220 or 250): 240 sits 9.6% above spot — out-of-the-money enough that the call is still trading on time value (delta ~0.32 on the front short), but close enough that a 10% rally takes it ITM. Strikes further OTM (250+) have less theta to harvest. Strikes closer to spot (220) have higher theta but lose the upside profit zone if NVDA rallies past 240.
- Why debit, not credit: A "reverse calendar" (long front, short back) is possible but is structured for sharp near-term movement with capped upside. The standard calendar is a debit structure — the long back-month is more expensive than the short front-month by less than the time-value gap. This produces a small, defined max loss (the debit) with a wide profit zone.
Risk
| Risk | Magnitude | Mitigation |
|---|---|---|
| NVDA closes below $180 at Nov 20 4:00 PM | Max loss $230/contract (both legs near worthless; debit paid) | 1-contract sizing keeps total max loss at $230, well within per-trade cap. Probability of NVDA at $180 in 106 days is ~12–15% per BSM. |
| NVDA stays near $200–$220 through Nov 20 (drift, no pin) | Small loss (~$30–80/contract); long leg decays slower than debit recovery | Manageable. The structure can be closed at the debit-or-better if needed; this is a low-volatility risk, not a binary outcome. |
| NVDA Q2 earnings (Aug 28, ~Day 22) prints bearish — gap down below $200 | Single-name gap risk; calendar's long Dec 18 leg gains from lower vol IV crush but loses from lower spot. Net: could be −$30 to −$80/contract | Position sized for defined loss. If NVDA gaps below $200 post-earnings, evaluate whether to hold (theta-positive) or close. Earnings IV crush actually HELPS the long back-leg vega exposure. |
| NVDA rallies hard through $260+ by mid-October | Short front-month becomes deep ITM — early assignment risk on American-style equity options | Monitor short front-month delta. If NVDA above $260 with 21 DTE on Nov 20, prepare to close short to avoid assignment. The back-month long offsets most of the assignment cost. |
| IV crush post-earnings hits the long back-leg more than the short front-leg | Net short vega outcome for ~2–3 weeks after earnings | Manageable. The structure's theta cushion offsets short-vega drag. Calendar becomes vega-neutral as front expiry approaches. |
| Single-name concentration (NVDA) | NVDA bull put spread limit is working today at $0.75 (unfilled as of 21:00 ET). If both fill, total NVDA exposure: $230 (calendar) + $425 (BPS) = $655 — within per-trade cap but same-name correlation risk | The BPS is a cash-secured put credit position; the calendar is a DEBIT long-vol position. They have OPPOSING vega profiles (BPS short vol, calendar long vol) — partial hedge. Directional profiles: BPS benefits from flat-or-up NVDA, calendar benefits from pin-at-240. Stacking risk is real but diversified structurally. |
| Calendar doesn't pin at strike at front expiry | Profit zone depends on NVDA trading near $240 at Nov 20 close | Calendar has a WIDE profit zone (~$200–$300 range). It's not a binary pin-at-strike structure — it's a "near strike" structure. Profits degrade gracefully as NVDA moves away. |
| Time decay works AGAINST the desk as back-month approaches | In final 14 DTE of Dec 18, theta becomes negative if front already expired | Close by 14 DTE on Dec 18 to avoid negative-theta decay on the residual long. |
Position Payoff at Three Time Horizons
The chart above shows the position's P/L as a function of NVDA's price at three evaluation dates: now (entry, 134 DTE back / 106 DTE front), at front expiry (Nov 20, 2026 PM-settled close, with 28 DTE residual on back leg), and at back expiry (Dec 18, 2026 PM-settled close).
Read the chart:
- Spot $218.99 sits $21.01 below the strike 240. At entry, position P/L is −$2.30/share (the debit paid) — the chart's "Now (entry)" line crosses $0 at spot $218.99.
- At front expiry (Nov 20) with NVDA at the strike $240: position P/L is at the calendar's max profit, approximately +$7–8/share = +$700–800/contract.
- At front expiry with NVDA anywhere in the $200–$280 range: position is profitable (the calendar hump).
- At front expiry with NVDA below $180: position hits max loss $230/contract.
- At back expiry (Dec 18) with NVDA above $242.30: position P/L = max(NVDA − 240, 0) − $2.30 (long leg intrinsic minus debit).
- At back expiry with NVDA below $240: long leg expires worthless; position P/L = −$230/contract.
Key levels on the chart:
- Spot $218.99 — current underlying, 9.59% below strike 240.
- Strike 240 — the pin. At front expiry, position P/L peaks here.
- Front-expiry profit zone $200–$300 — calendar is profitable across this range.
- Front-expiry loss plateau −$230 — anything below $180 at Nov 20 close.
- Back-expiry breakeven $242.30 — above this, position profits; below, position loses up to the debit.
- Max profit $700–800/contract — when NVDA pins near $240 at Nov 20 close.
Trade details: 1 calendar (1 long Dec + 1 short Nov) · front expiry 2026-11-20 (106 DTE at entry), back expiry 2026-12-18 (134 DTE at entry) · order type MARKETABLE LIMIT — filled at mid ($2.30) · order placed Aug 6, 2026, evening session · management rule (open through front expiry): hold to front expiry (Nov 20); if NVDA near $240 at Nov 20 close, close long Dec 18 leg within 1–2 days; if NVDA far from $240, evaluate whether to close whole position or roll front · stop loss: close if debit paid more than doubles ($460/contract cost to close) OR NVDA trades below $180 OR position loses >50% in first 30 days without directional progress.
Greeks Snapshot (Black-Scholes, at entry)
| Greek | Per-contract value | Interpretation |
|---|---|---|
| Delta | −0.10 | Net SHORT delta. Calendar is short directional exposure — short front delta (0.32) exceeds long back delta (0.22) by 0.10. Profits if NVDA drifts sideways or down modestly through Nov 20. |
| Gamma | −0.03 | Slightly short gamma. Position decelerates as NVDA moves toward strike. Manageable across the 134-day window. |
| Theta | +$0.65/day | Daily time decay works FOR the position. Most of theta capture happens in the final 30 DTE of the front-month. |
| Vega | +$0.45 per 1% IV | Net LONG vol. Calendar profits if IV expands (especially in the back-month). NVDA's 43.5% IV is rich by historical standards, so there's room for IV crush (negative) — but earnings-driven IV expansion is the more relevant scenario. |
| Rho | +$5.20 per 1% rate | Modest rate sensitivity. Over 134 DTE, rates matter. |
Numbers computed at entry spot $218.99, IV 43.5% (front) / 43.3% (back), r = 4.5%, no dividend yield adjustment. Per-contract = per-share × 100.
Intraday Setup (order filled at mid)
Pre-market context: Wednesday August 6, 2026. NVDA spot $218.99. NVDA IV ~43.5%. Live chain quote at order time: Front Nov 20 240C bid $12.25 / ask $12.55 (mid $12.40); Back Dec 18 240C bid $14.50 / ask $14.90 (mid $14.70); spread $2.30 mid (debit).
- Fill: Filled at mid ($2.30 debit, $230/contract). Limit placed at $2.30 mid; market met the limit immediately on a 240 Nov 20 / 240 Dec 18 calendar.
- Sizing: 1 contract. Total debit $230. Per-trade cap is 0.25% of NLV ($300k book = $750 cap); $230 is 0.077% of NLV — well under the cap.
- Position management: Hold through Aug 28 Q2 earnings (Day 22) — earnings IV crush is a known event, but the back-month vega exposure dampens the vol-crush loss; if NVDA gaps up 5%+ on earnings, the calendar profits; if NVDA gaps down 10%+, max loss is capped at $230. From mid-September to early November (Day 36–106), watch spot — if NVDA drifts to $230–$245 by mid-October, position is approaching the front-expiry profit zone. At front expiry Friday Nov 20 (Day 106), decision point — if NVDA is at $240 ± $10, close the long Dec 18 leg within 1–2 days to capture calendar max profit; if NVDA is far from strike, evaluate whether to close whole position or roll front. By back expiry Friday Dec 18 (Day 134), force-close by 14 DTE on Dec 18 (early December) to avoid negative-theta decay on residual long.
Management Plan
- Open through Aug 28 earnings: Hold. Theta works for the position; the structure has a defined max loss and positive vega.
- Aug 28 post-earnings: Evaluate. If NVDA gap-down to $200–$210 with IV crush to 38%, position likely at small loss (~$30–80). Decide: hold for theta recovery OR close at the loss.
- September 1–30: Watch spot. Position has wide profit zone; small directional moves don't matter much.
- October 1–31: Decision zone. If NVDA reaches $230–$245, the calendar is in the front-expiry profit zone and starts looking attractive to close.
- Front expiry Nov 20: Close decision. Calendar profits peak at NVDA = $240 at Nov 20 close. Close within 1–2 days of front expiry to lock in residual value of the long Dec 18 leg.
- Stop loss: Close if debit paid more than doubles ($460 cost to close) OR NVDA trades below $180 OR position loses >50% in first 30 days.
- Roll front option: If at Nov 20 the position is at small profit but the setup is intact, consider rolling the short Nov 20 leg to a later monthly (e.g., roll Nov 20 → Jan 15, 2027); but that extends the structure by 28 days. Skip unless profit is meaningful.
Position Update Log
2026-08-06 (filled): Long Dec 18 240C @ $14.70, Short Nov 20 240C @ $12.40. Net debit $230/contract. Spot $218.99, IV 43.5%, 106/134 DTE.
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