Calendar spreads β selling time against time
Every spread in the course so far has been vertical: same expiry, different strikes (5-6 Put SpreadPut SpreadLong put + short put. Cheaper protection than a plain put, but with limited coverage.Read the lesson β, 5-11 CollarCollarAn options strategy: long put + short call + the underlying asset held. Caps both potential loss and potential gain.Read the lesson β). A calendar spread flips the axis β same strike, different expiries. You buy a long-dated option and sell a short-dated one against it. You earn not from the direction of the price, but from the fact that the short-dated option loses time value faster than the long-dated one.
A simple analogy
You hold a long-term lease on an apartment (105 days) and sublet the same apartment month by month. The monthly sublet, recalculated per day, costs more than your long lease β you collect that difference. But you can only sublet as many rooms as you rent yourself. One room more β and that is no longer a sublet, it is a promise you have nothing to back with.
What it is
| Term | Meaning |
|---|---|
| Calendar spread | Same strike, different expiries: long the far one + short the near one |
| Diagonal spread | Both the strike and the expiry differ |
| Base | The far-dated long option β your "long lease" |
| Layer | The near-dated short option at the same strike β the "sublet" |
There is one engine: time value does not decay in a straight line. The closer to expiry, the more time value an option loses in a single day (theta grows as the deadline approaches β 5-3). Numbers from a real book: a 14-day layer burns roughly 2.7 times faster per day than a 105-day base, a 49-day one about 1.5 times, a one-day one about 10 times. You sell what burns fast and hold what burns slowly.
Two roles, no third one
| Role | What it is | When it is opened |
|---|---|---|
| Base (long) | A quarterly pure strangle: long put + long call, both ~0.30β0.35 delta from spot | Only when DVOL is below 48β50 (vol is cheap) |
| Layers (short) | Monthly (and one-day) shorts at the same strike as the base | Only when DVOL is above 45 (the premium is worth it) |
- The base = the engine + the licence (the right to sell layers). The layers = the base's financing.
- Vol direction: buy cheap, sell expensive. Never the other way round.
- The base is a pure strangle with no same-expiry cap β there is no third "protective short" category. Why β see the section on the real campaign, where it cost money.
Where this runs
A book like this is run on an options exchange with margin β in the course that is DeribitDeribitA crypto options exchange. In our strategy this is where we buy put protection and sell covered calls.Read the lesson β, which does not hold an EU MiFID II licence: a Lithuanian trades through a third-country platform with no EU supervision. Details in lesson 5-4. ETH options there are coin-settled: 1 contract = 1 ETH, the premium and P&LP&LProfit & Loss β used to evaluate strategy results.Read the lesson β are counted in ETH (SOL_USDCSOLSolana's native token. Used to pay gas and as collateral.Read the lesson β is linear, contract of 10 SOLSOLSolana's native token. Used to pay gas and as collateral.Read the lesson β, premium in USDCUSDCA USD stablecoin issued by Circle. Regulated, audited monthly. Our primary stablecoin and loan asset in the Kamino/Aave strategies.Read the lesson β).
The coverage invariant β you check it, you don't feel it
Before any order, all four points must be green:
| # | Condition | What it protects |
|---|---|---|
| 1 | short puts β€ base long puts | Every short put has a long underneath it |
| 2 | short calls β€ base long calls | Every short call has a long above it |
| 3 | short call strike β₯ base call strike | In a rally the long call covers the short fully |
| 4 | short put strike β€ base put strike | In a drop the long put covers the short fully |
At least one violated β no new orders. This is the difference between "covered" and "naked": every short has a long that covers it both above and below. The course does not teach naked options (5-4, 5-7).
Without this table it is not a strategy
Selling layers on margin is risky in itself. Without the coverage invariant and the capital rule (below) this is not a calendar spread β it is a naked short position with a pretty name.
The layer cycle
Entry conditions β all of them together
| Condition | Limit |
|---|---|
| Nearest layer | β€ 7 days to expiry or already expired |
| MM after the new layer | below 65% |
| DVOL | above 45 |
| Coverage check | all 4 points green |
| Moratorium | no longer in force |
| Size | shorts β€ base longs (puts and calls counted separately) |
| Spot near the strike (delta above 0.40) | the layer is skipped |
What happens at expiry
| Scenario | Action | Result |
|---|---|---|
| Short OTM (the normal beat) | Nothing | The short disappears, the premium stays, the longs are untouched β a window for a new layer. The default state, ~8β9 months a year |
| Short ITM | Wait until expiry (extrinsic burns in your favour), on settlement day β the pair | Sell N same-strike base longs + (while the old cap exists) buy back N cap shorts. Settlement is paid with realised long profit, the book shrinks proportionally |
| Short has burned β₯ 85% or β€ 0.004 ETH remains | Buy back early | The remaining premium no longer pays for the risk; capacity is freed |
The pair β never separately
An ITMITMIn The Money β an option that has intrinsic value.Read the lesson β short is not closed early and not left open β it is paid off with the pair on expiry day. Selling a long on its own leaves naked shorts; buying back a short on its own throws away extrinsic that would still have burned in your favour.
The roll β the base is never held to expiry
With ~70 days left the whole book is moved to the next quarter. The order matters:
- New longs are bought first β coverage never breaks, not even for a day
- Strikes are reset to the new spot (0.30β0.35 delta), not copied
- Old longs: the winning side can ride to the pin, the dead one is closed for what is left
- Only then β new layers
If vol is high at roll time β a cash pause. The calendar does not pull.
The real campaign β with a liquidation and a minus
This is the author's real position, not a recommendation. The course executes no trades and holds no funds. All results, losses included, are published openly: dashboard.defiriskos.com/eth.html. State as of 2026-09-11, ETH $2,457.
The book (abridged)
| Instrument | Side | Qty | Days | Role |
|---|---|---|---|---|
| ETH-25DEC26-1500-P | LONG | 7 | 105 | base (put side) |
| ETH-25DEC26-2500-C | LONG | 5 | 105 | base (call side) |
| ETH-25DEC26-3000-C | SHORT | 5 | 105 | old cap β a mistake, carried until closed in pairs |
| ETH-12SEP26-2500-C | SHORT | 1 | 1 | layer (one-day) |
| ETH-25SEP26-2500-C | SHORT | 2 | 14 | layer |
| ETH-30OCT26-2500-C | SHORT | 2 | 49 | layer |
- Book net: delta β1.383 ETH Β· theta +$18.67/day Β· vega +1.41
- MarginMarginThe collateral deposit required to open a leveraged position or a sold option position.Read the lesson β: MM 28.4% ($1,317 / $4,637) Β· free $2,991
- PremiumPremiumThe price of an option. Paid by the buyer, received by the seller.Read the lesson β collected from layers: 0.0530 ETH ($130). One-day layers: 7 of them, 0.0384 ETH, 5/5 expired OTMOTMOut of The Money β an option with no intrinsic value, only time value.Read the lesson β
- ETH balance β0.110 (target +0.3β0.5) β the book is financed with USDCUSDCA USD stablecoin issued by Circle. Regulated, audited monthly. Our primary stablecoin and loan asset in the Kamino/Aave strategies.Read the lesson β collateral, interest is being paid
Results β openly
| Metric | Value (2026-09-11) |
|---|---|
| Net ETH accumulated (metric #1) | +0.0462 ETH ($113). Start 2026-08-21: β0.188 ETH β change +0.234 ETH |
| Realised since 08-01 | β0.0417 ETH (options β0.0361 Β· settlement β0.0045 Β· negative-balance interest β0.0011) |
| Liquidation 2026-08-19 21:07 | 5Γ 3000C forced buy-back, β0.2245 ETH. Cause: too little capital (~$2,500 against 10 shorts), not the strategy itself. Consequence: 14-day moratorium 08-19 β 09-02 |
| SEP/OCT layers | Sold when ETH was well below 2500 (avg. 0.006 / 0.0175 ETH) β now ATMATMAt The Money β an option whose strike sits at the current price.Read the lesson β, MTM deep in the red; only a pin saves them, if ETH β€ 2500 on settlement day |
What happened on 08-19 and why it is worth a lesson
The base long 2500C was capped with a short 3000C β that turned the base into a vertical 2500/3000 spread, which stops earning above 3000. But the layers (short 2500C) keep losing in a rally. Above 3000 the short calls add up: 5 layers + 5 caps = 10 vs 5 longs β 5 contracts naked. The coverage invariant (point 2) was violated, and ~$2,500 of capital was not enough for ten shorts. The result β a forced buy-back and β0.2245 ETH.
The conclusion, written into the doctrine on 09-07: the base must be a pure strangle. The cap is now carried until closed in pairs; ~22% probability it will be ITMITMIn The Money β an option that has intrinsic value.Read the lesson β by December.
Risk rules β "paid for in blood"
| Rule | Meaning |
|---|---|
| Moratorium | Any liquidation β 14 days of no new shorts |
| Size is a constant | After a loss the size is not increased; growth only follows equity β base β layers |
| The MM ladder | below 65% for new orders Β· 80% β buy back the nearest layer's calls (not the longs!) Β· 90% β deposit capital NOW |
| Capital | MarginMarginThe collateral deposit required to open a leveraged position or a sold option position.Read the lesson β balance β₯ 2Γ MM when spot = strike; β₯ ~$300 for every short contract; deposit when the distance to liquidation is less than 12% or MM is above 65% |
| Collateral currency | = the book's currency. Target +0.3β0.5 ETH standing balance. A negative ETH balance costs ~9.6% APRAPRAnnual Percentage Rate β the annual interest rate WITHOUT compounding. 10% APR = +10% per year.Read the lesson β. Do not convert settlement proceeds into USD |
| Vol direction | Buy with DVOL below 48, sell above 45. Never the other way round |
| Monetising the insurance | Long put ITMITMIn The Money β an option that has intrinsic value.Read the lesson β β sell half by levels, not all of it |
Closing by the speed of the move
| Move | Action |
|---|---|
| Sharp β (above 8% in 1β3 days) and MM above 80% | Buy back the nearest layer's calls. Do not touch the base longs β they are earning |
| Sharp β | Close nothing β this is the best side (the long puts). Take put profit in parts by levels |
| Slow β, spot crosses the layer strike Γ 0.97 | Pre-settlement: compare "settlement + pair" vs "buy-back". Wait β extrinsic burns in your favour; the pair only on expiry day, if ITMITMIn The Money β an option that has intrinsic value.Read the lesson β |
One account β one risk pocket
The campaign runs in the same cross-margin account that also holds the SOLSOLSolana's native token. Used to pay gas and as collateral.Read the lesson β strategy's insurance (the SOLSOLSolana's native token. Used to pay gas and as collateral.Read the lesson β puts). An ETH margin crisis would liquidate the SOL insurance too. Separate strategies in the same account are not separate.
Accounting in ETH, not USD
The campaign's goal is to accumulate ETH. Metric #1: net ETH accumulated = ETH balance + value of the longs β obligations of the shorts. Every decision is checked with one question: is that number larger afterwards?
An honest expectation
Not a money machine
- Today's theta (~17%/month on capital, 2026-09-11) is a pin bonus β the shorts sit exactly ATMATMAt The Money β an option whose strike sits at the current price.Read the lesson β. That is not a steady state.
- From zero, by the doctrine (e.g. a MAR27 2300P/3300C base, 6 cycles), the pin scenario β +0.11 ETH per unit β ~4%/month β a scenario from the campaign analysis, not an expectation for the reader.
- The strategy = a range bet with a limited loss (net debit). Realised P&LP&LProfit & Loss β used to evaluate strategy results.Read the lesson β since 08-01 is negative.
- One-day layers do not recover losses β they are the same bet, only shorter.
Summary
| Aspect | Meaning |
|---|---|
| Structure | Long quarterly strangle (base) + short monthlies at the same strike (layers) |
| Engine | The near option burns ~2.7Γ faster than the 105-day base (14-day layer) |
| Vol rule | Buy with DVOL below 48, sell above 45 |
| Coverage | The 4-point invariant β violated β no orders |
| ITMITMIn The Money β an option that has intrinsic value.Read the lesson β expiry | The pair on settlement day, never separately |
| RollRollRolling an option β closing the old one and opening a new one with a later expiry.Read the lesson β | With ~70 days left, new longs first |
| Capital | β₯ 2Γ MM at the pin, β₯ ~$300/short, 14-day moratorium after a liquidation |
| Real campaign | +0.0462 ETH net Β· β0.0417 ETH realised Β· β0.2245 ETH liquidation (2026-09-11) |
The task β run the real book through the coverage invariant and the capital rule by hand (~20 min). All on paper: no buying, no selling.
This is a PAPER check β we are learning to read a book, NOT to trade. Selling layers on margin without coverage and the capital rule is a naked position. DO NOT BUY OR SELL ANYTHING.
This is learning, not investing β use only small amounts you treat as tuition.