Pro Scanner
Calendar Spread Scanner
Vega-aware horizontal spreads sourced from term-structure dislocations across liquid underlyings.
Quantitative research outputs — not trading instructions. Execution remains user-directed.
Sample output
Pro
Calendar Spread Scanner — Pro access required
The full ranked output for this scanner is part of the Pro tier. Sign in to view sample coverage; upgrade to unlock the full ranking.
Quantitative research outputs — not trading instructions. Execution remains user-directed.
How we rank calendar structures
- Term-structure dislocation scored across the liquid expiration grid for each underlying.
- Vega exposure quantified at strike and adjacent strikes to surface vega-balanced candidates.
- Theta carry measured net of vega risk — premium decay alone is not the ranking signal.
- Liquidity enforced on both legs (front and back month) before a candidate is admitted.
- Event windows (earnings, dividends, macro releases) are flagged when they fall between the front and back legs.
- Composite rank balances carry, vega exposure, capital required, and event sensitivity.
What generic screeners miss
- Most calendar screens rank by raw IV percentile rather than term-structure shape.
- Vega is rarely measured at the position level (front leg minus back leg) — only at the contract level.
- Liquidity on the back-month leg is often ignored, producing unfillable structures.
- Earnings inside the window are treated as binary go/no-go rather than a quantified risk input.
Free vs Pro access
Free
- Methodology transparency
- Sample preview (blurred)
Pro
- Full ranked calendar output across all liquid underlyings
- Cross-strategy comparison against covered calls and diagonals on the same name
- Portfolio exposure aggregator with vega aggregation
- Historical calendar research data
- CSV export
Frequently asked questions
- What is a calendar spread?
- A position with two options on the same underlying and same strike but different expirations — typically selling the nearer expiration and buying the farther one.
- How does this differ from a diagonal?
- Calendars use the same strike across both legs; diagonals use different strikes. The vega and delta profiles differ accordingly.
- Are these signals?
- No. The output is a ranked list of structures the model considers analytically attractive. Execution decisions remain user-directed.
- Do you handle earnings windows?
- Yes. Candidates with earnings or ex-dividend dates between the front and back legs are flagged so the additional risk is explicit.
- Why is this Pro-only?
- Calendar evaluation requires multi-leg liquidity checks and cross-strategy context that materially differs from single-leg covered call ranking.
Related scanners
Covered Call Scanner
Diagonal Spread Scanner
Iron Condor Scanner
Credit Spread Scanner
Quantitative research outputs — not trading instructions. Execution remains user-directed.