Forward-Factor Calendar Spread

A calendar spread that fires only when front-month implied volatility is at least 16% richer than the implied forward volatility, harvesting the term-structure premium. Forward IV is derived from two listed expirations via variance additivity: σ_fwd² = (σ_back²·T₂ − σ_front²·T₁) / (T₂ − T₁). The Forward Factor is FF = (σ_front − σ_fwd) / σ_fwd. Educational only.

Live signal Universe scan › 12-week backtest › User manual ›

Strategy config

Underlying Option type Front DTE target / tolerance

Back DTE target / tolerance

FF threshold (default 0.16) Min OI / Min volume / Max spread %

My calendar positions

No open positions. Scan a signal above and click Open as paper trade.

Stored in this browser. No account required.

Risk disclosures

Calendars have a defined maximum loss equal to the net debit paid. You can lose 100% of the debit. The strategy is path-dependent and can lose money even when the entry Forward Factor is favorable.

American-style options can be assigned early. SPY, QQQ, individual stocks, and most ETFs trade American-style. If the short leg becomes deep in-the-money or if a dividend is upcoming that exceeds remaining extrinsic value, you may be assigned before front expiration. SPX and XSP are European-style and cash-settled and eliminate this risk.

The Forward Factor is an indication, not a guarantee. Historical edge does not guarantee future outcomes. Realized volatility, gap risk, and dividend timing can override the signal in any single trade.

See full disclaimer · methodology · about. Educational only. Not investment advice.

Live signal computed from Polygon.io delayed market data (~15 minutes during US market hours). Strike and expiration selection use nearest-listed logic with configurable tolerance windows. Greeks computed via closed-form Black-Scholes-Merton with continuous dividend yield set to zero in MVP. Last reviewed: 2026-06-28.