---
title: "Long Call Calendar Spread"
description: "Long call calendar spread is a combination of a longer-term (far-leg/front-month) call and a shorter-term (near-leg/back-month) call."
canonical: https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies/long-call-calendar-spread
markdown: https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies/long-call-calendar-spread.md
language: python
source: https://github.com/QuantConnect/Documentation/tree/master/03%20Writing%20Algorithms/22%20Trading%20and%20Orders/08%20Option%20Strategies/09%20Long%20Call%20Calendar%20Spread
modified: 2026-10-29
index: https://www.quantconnect.com/llms.txt
---

# Long Call Calendar Spread

[Documentation](https://www.quantconnect.com/docs/v2.md) > [Writing Algorithms](https://www.quantconnect.com/docs/v2/writing-algorithms.md) > Trading and Orders > [Option Strategies](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies.md) > Long Call Calendar Spread

> Code examples are shown in Python. Append `?lang=csharp` to this URL for the C# version of this page.

## Introduction

**Long call calendar spread**, also known as **call horizontal spread**, is a combination of a longer-term (far-leg/front-month) call and a shorter-term (near-leg/back-month) call, where all calls have the same underlying stock and the same strike price. The long call calendar spread consists of buying a longer-term call and selling a shorter-term call. This strategy profits from a decrease in the underlying price. It also profits from the time decay value because the theta $\theta$ (the Option price decay by 1 day closer to maturity) of the shorter-term call is larger than longer-term call.

## Implementation

Follow these steps to implement the long call calendar spread strategy:

1. In the `initialize` method, set the start date, end date, cash, and [Option universe](https://www.quantconnect.com/docs/v2/writing-algorithms/universes/equity-options.md).
   ```python
   def initialize(self) -> None:
       self.set_start_date(2024, 9, 1)
       self.set_end_date(2024, 12, 31)
       self.set_cash(500000)

       self.universe_settings.asynchronous = True
       option = self.add_option("GOOG", Resolution.MINUTE)
       self._symbol = option.symbol
       option.set_filter(lambda universe: universe.call_calendar_spread(0, 30, 60))
   ```
   The `call_calendar_spread` filter narrows the universe down to just the two contracts you need to form a long call calendar spread.
2. In the `on_data` method, select the strike price and expiration dates of the contracts in the strategy legs.
   ```python
   def on_data(self, slice: Slice) -> None:
       if self.portfolio.invested:
           return

       # Get the OptionChain
       chain = slice.option_chains.get(self._symbol, None)
       if not chain:
           return

       # Get the ATM strike
       atm_strike = sorted(chain, key=lambda x: abs(x.strike - chain.underlying.price))[0].strike

       # Select the ATM call Option contracts
       calls = [i for i in chain if i.strike == atm_strike and i.right == OptionRight.CALL]
       if len(calls) == 0:
           return

       # Select the near and far expiry dates
       expiries = sorted([x.expiry for x in calls])
       near_expiry = expiries[0]
       far_expiry = expiries[-1]
   ```
3. In the `on_data` method, select the contracts and place the orders.
   **Approach A:** Call the `OptionStrategies.call_calendar_spread` method with the details of each leg and then pass the result to the `buy` method.
   ```python
   option_strategy = OptionStrategies.call_calendar_spread(self._symbol, atm_strike, near_expiry, far_expiry)
   self.buy(option_strategy, 1)
   ```
   **Approach B:** Create a list of `Leg` objects and then call the [combo_market_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders.md), [combo_limit_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders.md), or [combo_leg_limit_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders.md) method.
   ```python
   near_expiry_call = [x for x in calls if x.expiry == near_expiry][0]
   far_expiry_call = [x for x in calls if x.expiry == far_expiry][0]

   legs = [
       Leg.create(near_expiry_call.symbol, -1),
       Leg.create(far_expiry_call.symbol, 1)
   ]
   self.combo_market_order(legs, 1)
   ```

## Strategy Payoff

The long call calendar spread is a limited-reward-limited-risk strategy. The payoff at the shorter-term expiration is

$$ \begin{array}{rcll} C^{\textrm{short-term}}_T & = & (S_T - K)^{+}\\ P_T & = & (C^{\textrm{long-term}}_T - C^{\textrm{short-term}}_T + C^{\textrm{short-term}}_0 - C^{\textrm{long-term}}_0)\times m - fee\\ \end{array} $$ $$ \begin{array}{rcll} \textrm{where} & C^{\textrm{short-term}}_T & = & \textrm{Shorter term call value at time T}\\ & C^{\textrm{long-term}}_T & = & \textrm{Longer term call value at time T}\\ & S_T & = & \textrm{Underlying asset price at time T}\\ & K & = & \textrm{Strike price}\\ & P_T & = & \textrm{Payout total at time T}\\ & C^{\textrm{short-term}}_0 & = & \textrm{Shorter term call value at position opening (credit received)}\\ & C^{\textrm{long-term}}_0 & = & \textrm{Longer term call value at position opening (debit paid)}\\ & m & = & \textrm{Contract multiplier}\\ & T & = & \textrm{Time of shorter term call expiration} \end{array} $$

In this example, you bought a longer-term call at a strike of $800.00 for $20.00 and sold a shorter-term call at the same strike for $11.30.

The following chart shows the payoff at expiration:

![Long Call Calendar Spread strategy payoff at expiration](https://cdn.quantconnect.com/docs/i/writing-algorithms/trading-and-orders/option-strategies/long-call-calendar-spread.png)

The maximum profit is undetermined because it depends on the underlying volatility. It occurs when $S_T = S_0$ and the spread of the calls are at their maximum.

The maximum loss is the net debit paid, $C^{\textrm{short-term}}_0 - C^{\textrm{long-term}}_0$. It occurs when the underlying price moves very deep ITM or OTM so the values of both calls are close to zero.

If the Option is American Option, there is a risk of [early assignment](https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/options-models/assignment.md) on the contract you sell. If the buyer exercises the call you sell, you could lose all the debit you received if you don't close the long call and the underlying price drops below the long call strike price.

## Example

The following table shows the price details of the assets in the long call calendar spread:

| Asset | Price ($) | Strike ($) |
| --- | --- | --- |
| Longer-term call at the start of the trade | 4.40 | 835.00 |
| Shorter-term call at the start of the trade | 36.80 | 767.50 |
| Longer-term call at time $T$ | 31.35 | 835.00 |
| Underlying Equity at time $T$ | 829.08 | - |

Therefore, the payoff at time $T$ (the expiration of the short-term call) is

$$ \begin{array}{rcll} C^{\textrm{short-term}}_T & = & (S_T - K)^{+}\\ & = & (828.07-800.00)^{+}\\ & = & 28.07\\ P_T & = & (C^{\textrm{long-term}}_T - C^{\textrm{short-term}}_T + C^{\textrm{short-term}}_0 - C^{\textrm{long-term}}_0)\times m - fee\\ & = & (31.35-28.07+11.30-20.00)\times100-1.00\times2\\ & = & -544 \end{array} $$

So, the strategy loses $544.

The following algorithm implements a long call calendar spread Option strategy:

```python
class LongCallCalendarSpreadStrategy(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.set_cash(500000)

        option = self.add_option("GOOG", Resolution.MINUTE)
        self.symbol = option.symbol
        option.set_filter(self.universe_func)

    def universe_func(self, universe: OptionFilterUniverse) -> OptionFilterUniverse:
        return universe.call_calendar_spread(0, 30, 60)

    def on_data(self, data: Slice) -> None:
        # avoid extra orders
        if self.portfolio.invested: return

        # Get the OptionChain of the self.symbol
        chain = data.option_chains.get(self.symbol, None)
        if not chain: return

        # get at-the-money strike
        atm_strike = sorted(chain, key=lambda x: abs(x.strike - chain.underlying.price))[0].strike

        # filter the call options from the contracts which is ATM in the option chain.
        calls = [i for i in chain if i.strike == atm_strike and i.right == OptionRight.CALL]
        if len(calls) == 0: return

        # sorted the optionchain by expiration date
        expiries = sorted([x.expiry for x in calls], key = lambda x: x)

        # select the farest expiry as far-leg expiry, and the nearest expiry as near-leg expiry
        near_expiry = expiries[0]
        far_expiry = expiries[-1]

        option_strategy = OptionStrategies.call_calendar_spread(self.symbol, atm_strike, near_expiry, far_expiry)
        # We open a position with 1 unit of the option strategy
        self.buy(option_strategy, 1)
        # self.sell(option_strategy, 1) if short call calendar spread
```

### Other Examples

For more examples, see the following algorithms:

**Demonstration Algorithm**

- [IndexOptionCallCalendarSpreadAlgorithm.py](https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/IndexOptionCallCalendarSpreadAlgorithm.py) (Python)
- [LongAndShortCallCalendarSpreadStrategiesAlgorithm.py](https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/LongAndShortCallCalendarSpreadStrategiesAlgorithm.py) (Python)