Calendar Spread
The shared mechanics of two-expiry positions (the short leg expiring first, how a broker margins the pair, a chain of short legs on the tax return) are set out on the diagonal spread page; this page keeps to what the same strike changes. The share price used is BP's model level of 530p rather than its market price (it closed at 519.6p on 17 August 2026; price data: Yahoo Finance), and BP appears as a model underlying, not as a view on the company.
The October and November 530 calls
The debit is small against the size of either leg: the October call pays back 76.2% of the November call's price. That is typical of an at-the-money calendar with expiries a month apart, and it matters twice below, once for the dealing costs and once for what a two-point change in volatility does to a £75.00 position. Net delta is close to zero, so the price matters only through how far it moves; net vega is £1.94 a point, so the November volatility matters directly. Theta starts close to nothing (−£0.04 a day) rather than positive, because the November call's results premium makes its own daily decay as large as October's; it turns positive as October ages (the Greeks table below). The calendar is the simplest structure in the library that is long volatility and, for most of its life, earns time decay; the diagonal and the poor man's covered call share both features with a directional tilt.
Two events between the expiries
BP reports its third-quarter results on Friday 30 October 2026 and its shares go ex-dividend on Thursday 12 November (bp financial calendar 2026). Both fall after the October expiry and before the November one, so the short call never sees them and the long call carries both. Each changes the November call's price in a way the October call does not share:
The results premium also moves over time. If the market went on pricing the results as it did on 17 August, a fixed extra variance for one day on top of a 26% base, the November IV would drift up as the days before the results shrink, and fall back once they are out:
By 16 October, when the October call expires, that model puts the November IV at 31.13%, and at 33.8% on the eve of the results. A calendar held to the October expiry is therefore long a volatility that tends to rise into its exit, provided the market still expects the same results move. The worked example does not assume that: it holds each strike's IV fixed (sticky-strike, the model sheet's convention), and the grid further down shows what other November IVs would do.
Payoff on 16 October
A calendar has no expiry payoff line of its own: on 16 October the November call still has 35 days to run, so its value, and the tent above, depend on the model. At 530p the position is +£98.90 after the opening commission (+£97.50 once the November call is sold), more than the £77.80 it cost. It is profitable between 505.2p and 559.6p, a 54.4p window, or 506.6p to 557.2p after the opening and closing commissions; the model probability that BP finishes between the first pair is 37.2% (risk-neutral, lognormal, IV 26%), against a one-standard-deviation range to 16 October of 477.0p to 588.9p. Outside the window the losses flatten towards the debit: −£64.40 at 470p and −£52.80 at 600p.
Open this example in the strategy builder. Its BP defaults include the 12 November dividend; being a European pricer, it reads the November fill as a slightly higher volatility than 28%.
Value on 16 October across November volatility
Read across the 530p row: +£48.90 at 20%, +£73.90 at 24%, +£98.90 at 28% and +£124.10 at 32%, a range of £75.20 on a position that cost £77.80. At the price that looks ideal on the payoff chart, the result runs from about half the as-bought figure to a quarter more, depending only on the November volatility that afternoon. At the event model's 31.13%, the November call would be worth 19.64p and the calendar +£118.60. Away from the strike the volatility still matters but the price dominates: at 480p the row runs from −£72.30 to −£41.40.
Greeks, and a move that is not parallel
Two things happen as October runs down. Theta turns from −£0.04 to +£2.92 a day in the final week, and gamma deepens from −16.9 to −125.0 per 10p: the same short call that pays the most decay also punishes a move the most in its final days. A one-standard-deviation move on day one leaves the position at −£16.70 after a rise or −£25.40 after a fall, which is why the tent above needs the price to stay near 530p for most of the period rather than just to end there.
Net vega of £1.94 a point describes a parallel shift, when both months move together. A rise of four points in both, to 30% and 32%, changes the calendar's value by +£7.80. Volatility rarely moves that way. Short-dated IV does most of the moving, and in a sell-off the front month rises faster than the back (term structure). If October rises by eight points to 34% and November by two to 30%, the October call is worth 30.69p and the November 33.52p: the calendar's value changes by −£47.20 on day one, though both volatilities went up. Long vega is only true for moves in the back month.
After 16 October: the November call alone, through the results
The worked plan closes both legs on 16 October, the usual exit for a calendar: the October call has expired and what remains is simply a long November call. Keeping it is a different trade, a long call priced for the results. Suppose it is kept with BP still at 530p and the market pricing the results as the event model does (31.13%, the November call worth 19.64p). On Monday 2 November, after the results, with BP unchanged and the IV back to the 26% base, the call is worth 10.68p: −£89.60 a contract in 17 days. Of that, −£66.80 is the passage of time, including the results day itself (at an unchanged 31.13% the call would be worth 12.96p), and −£22.80 is the fall in IV once the results are known. The earnings page treats both sides of that trade. Ten days later the call also goes ex-dividend, which a holder of an in-the-money call would weigh against exercising the evening before (early exercise before an ex-date).
Why the loss stops at the debit, and where it does not
The maximum loss is the debit because, for ICE's American BP options, the November call is always worth at least as much as the October call at the same strike: anything the October call can do, the November call can do too, including being exercised the same day. The floor comes from American exercise, not from the model. Priced as European options at the deep in-the-money 400 strike, the October call is worth 132.50p and the November call only 128.17p, because a European November holder cannot collect the 12 November dividend. As an American option the November call is worth 133.93p. FTSE 100 options (ESX) are European and cash-settled, so no such guarantee applies and the floor rests on the model inputs. Deep in the money, the 3.05% dividend yield earned on the index outweighs the 3.75% interest on the smaller strike, and only the November call's extra time value keeps it above the October one: at an 8,000 strike, 2,747.72 against 2,746.06 points, and only just. In the defined-risk table the calendar's maximum loss is the debit at the front expiry; before then, an early assignment of the short call brings share delivery and SDRT into it (defined only at expiry).
Costs: the spread against a small debit
IBKR UK's tiered rate of £1.40 a contract per trade (checked 26 September 2026) is the commission used: £77.80 includes the £2.80 to open, and closing costs £1.40 for the November call plus £1.40 if the October call must be bought back. The bid-ask spread weighs more. At half the quoted spread per leg each way (cost conventions), quotes 10% wide on each leg cost £55.50 for the round trip, 74.0% of the £75.00 debit and 9.9 times the £5.60 of round-trip commission; at 5% it is £27.75, 37.0% of the debit. Because the debit is the difference between two larger premiums, a spread measured on each leg is large against it; a calendar's edge, if any, has to clear that before anything else.
Put calendar and double calendar
The same construction with puts places the tent below the market: sell the October 500 put (model 9.04p, sold at 9.00p), buy the November 500 put (model 17.04p, bought at 17.00p), £82.80 with commission. Adding a 560 call calendar above the market (October 12.00p sold, November 19.00p bought) makes a double calendar for £155.60 with four commissions: two tents, one at each strike, and a wider range at the cost of a lower peak.
Two UK details apply to the put side. A short put deep in the money is a candidate for early exercise once the interest on the strike outweighs its time value: at 450p on Thursday 8 October the October 500 put's American value is 50.00p, its intrinsic value, against a European 49.61p (early put assignment). And an assigned put writer buys 1,000 shares at 500p and pays the 0.5% SDRT, £25.00. The dividend helps the long November put, whose value rises when the share drops on the ex-date.
A FTSE 100 calendar
On the index, with the FTSE 100 at the 10,750 model level (the index closed between about 10,600 and 10,900 in August and September 2026) and each strike's IV from the library's FTSE surface (14.0% at 10,750), the at-the-money October/November 10,750 call calendar sells the October call (model 248.24 points, 248.0 on the 0.5-point tick) and buys the November (model 313.35, 313.5), a debit of 65.5 points, £658.40 at £10 a point with two £1.70 commissions. ESX options are European and cash-settled on the exchange delivery settlement price, so there is no early assignment and no SDRT, and the index has no single ex-date between the expiries. The index surface has no term structure of its own, so the November leg is not dearer per point of volatility than October here; a real chain can differ (FTSE 100 contracts).
Rolled across 5 April: the SA108 view
A calendar kept for several months becomes a chain of short calls against one long call, and the chain can straddle two tax years. The illustration uses the FTSE 100 so that no dividend dates intrude. On Friday 19 February 2027 the June 2027 10,750 call is bought (119 days; model 351.23 points, 351.0 filled) and the March call sold; each short call is bought back seven days before its expiry and the next month sold (each is a roll: roll mechanics; the tax of a roll). The FTSE is held at 10,750 on every date, the model level carried forward, not a forecast, and the pin a calendar is built for, so the short calls all make money: the point is where each figure lands. Commission is £1.70 a contract a trade.
The April call shows the rule that surprises most. It was written on 12 March, in 2026/27, and bought back on 9 April, in 2027/28. The buy-back is not a disposal: its cost is added to the grant (TCGA 1992 s148; HMRC CG55545), and the net result, +£1,046.60, belongs to 2026/27. So 2026/27 shows two grants and a gain of £1,888.20: £339.88 of tax at 18% or £453.17 at 24%, taking the annual exempt amount as used by other gains. 2027/28 holds the May grant and the long call's sale, together −£401.80. That loss cannot be carried back against 2026/27; it is carried forward (across 5 April). Over the whole chain the position made +£1,486.40, yet the tax falls on £1,888.20 in the first year. On the return, the grants and the long call belong in the SA108's "other property, assets and gains" boxes (which boxes). The same arithmetic on the options CGT calculator takes each event with its own date.
UK tax for the BP calendar
Closed on 16 October, the BP calendar is two computations, both in 2026/27: the October call's grant (a gain of the premium less commission if it lapses, or a net figure if it is bought back, s148) and the sale of the November call, a bought option. If the October call is assigned instead, the grant merges into the sale of 1,000 shares at 530p (s144(2)); an account without the shares is then short and must buy them, paying SDRT as the buyer (assigned without the shares). The general rules are on the tax worked examples page, and no option can be held in an ISA (wrappers).
Where a UK reader sees term structure
A calendar is a view on two volatilities, so it needs both. For the FTSE 100, FTSE Russell publishes the FTSE 100 IVI at 30, 60, 90, 180 and 360 days, a ready-made term structure (volatility indices). For a single ICE stock such as BP we could not find a free public source of implied volatility by expiry (checked 27 September 2026); a broker's option chain that shows IV for each expiry is the practical route, and the Greeks lab solves implied volatility from a quoted premium.
Account and permissions
Interactive Brokers lists a debit calendar at options Level 3 and a credit calendar at Level 4, and a spread of any kind needs a margin account there (account types and permissions). Held as a spread, the requirement is normally the debit (spread margin). BP has no ICE mini option, so every BP calendar is 1,000 shares a leg (contract sizes); October and November are both monthly serial expiries, well inside the one-year listing.