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Calendar Spread
neutral Capped lossSell time decay against a longer-dated option.
When to use it
LOW IV environment expecting sideways-to-gradual movement. Sell a near-term option, buy the same strike further out. Profits from faster front-month decay.
Max profit
Near expiry of the front leg, if price sits at the strike.
Max loss
The net debit paid.
Payoff at expiry
illustrative shape — not to scale
■ profit zone
■ loss zone
X axis = stock price at expiry →
How it's built
Strikes shown low→high. Sell = collect premium · Buy = pay premium for protection or upside.
Hermes-evaluated setups
High-conviction per-ticker applications — setups with a confidence-adjusted win rate ≥ 80% over ≥20 backtested trades (95% lower bound — honest for the sample size, never a raw 100%). Avg P/L is the mean profit/loss per one-contract position.
| Ticker | Win Rate | Avg P/L / contract | Sharpe | Trades | DTE |
|---|---|---|---|---|---|
| V | 96% | +$117 | 9.2 | 84 | — |
| JPM | 96% | +$89 | 7.4 | 84 | — |
| TMO | 96% | +$281 | 12.2 | 84 | — |
| MA | 96% | +$201 | 9.9 | 84 | — |
| PG | 96% | +$55 | 12.2 | 84 | — |
| KO | 96% | +$21 | 11.2 | 84 | — |
| IWM | 96% | +$94 | 15.3 | 84 | — |
| TLT | 96% | +$33 | 11.4 | 84 | — |
| XLF | 96% | +$15 | 10.4 | 84 | — |
| XLU | 96% | +$13 | 14.9 | 84 | — |
| ALK | 96% | +$38 | 10.2 | 84 | — |
| AMAT | 96% | +$145 | 5.9 | 84 | — |
| ARKW | 96% | +$70 | 8.7 | 84 | — |
| BKNG | 96% | +$81 | 8.1 | 84 | — |
| BNY | 96% | +$30 | 7.5 | 84 | — |
| CBOE | 96% | +$82 | 7.0 | 84 | — |
| CCJ | 96% | +$44 | 4.7 | 84 | — |
| CEVA | 96% | +$28 | 8.3 | 84 | — |
| COIN | 96% | +$254 | 6.3 | 84 | — |
| CPA | 96% | +$58 | 7.9 | 84 | — |
| CTRE | 96% | +$11 | 8.5 | 84 | — |
| CVLT | 96% | +$80 | 4.3 | 84 | — |
| DASH | 96% | +$121 | 6.7 | 84 | — |
| DLR | 96% | +$75 | 12.8 | 84 | — |
| DXPE | 96% | +$51 | 4.1 | 84 | — |
| FFIV | 96% | +$126 | 6.9 | 84 | — |
| FTNT | 96% | +$55 | 6.7 | 84 | — |
| GE | 96% | +$85 | 4.5 | 84 | — |
| GH | 96% | +$67 | 5.9 | 84 | — |
| GOOG | 96% | +$100 | 7.0 | 84 | — |
| GS | 96% | +$256 | 6.3 | 84 | — |
| HGV | 96% | +$32 | 12.8 | 84 | — |
| HLT | 96% | +$99 | 9.7 | 84 | — |
| ICE | 96% | +$54 | 10.2 | 84 | — |
| KC | 96% | +$15 | 4.9 | 84 | — |
| COF | 96% | +$97 | 8.1 | 84 | — |
| TMUS | 96% | +$81 | 7.0 | 84 | — |
| MDB | 96% | +$379 | 7.6 | 84 | — |
| CAT | 96% | +$199 | 4.7 | 84 | — |
| TSM | 96% | +$116 | 5.3 | 84 | — |
| ASML | 96% | +$625 | 7.6 | 84 | — |
| MARA | 96% | +$32 | 5.0 | 84 | — |
| NTNX | 96% | +$39 | 6.7 | 84 | — |
| P | 96% | +$44 | 4.7 | 84 | — |
| PYPL | 96% | +$70 | 5.9 | 84 | — |
| QCOM | 96% | +$108 | 6.6 | 84 | — |
| RDVT | 96% | +$28 | 7.6 | 84 | — |
| REMX | 96% | +$57 | 7.3 | 84 | — |
| RIOT | 96% | +$23 | 6.1 | 84 | — |
| SAP | 96% | +$94 | 6.6 | 84 | — |
Backtested results are not a guarantee of future performance.