Forward-Factor Calendar Spread

A calendar spread that fires only when front-month implied volatility is at least 16% richer than the implied forward volatility, harvesting the term-structure premium. Forward IV is derived from two listed expirations via variance additivity: σ_fwd² = (σ_back²·T₂ − σ_front²·T₁) / (T₂ − T₁). The Forward Factor is FF = (σ_front − σ_fwd) / σ_fwd. Educational only.

Live signal Universe scan › 12-week backtest › User manual ›

Watch: How to use the Forward-Factor Calendar Spread (2 min) Click to expand

Video walkthrough: how the Forward Factor is derived from two listed expirations, what the ≥16% richness gate means, and how to fire the live signal + universe scan + 12-week backtest. No signup required.

Strategy config

Underlying Option type Front DTE target / tolerance

Back DTE target / tolerance

FF threshold (default 0.16) Min OI / Min volume / Max spread %

My calendar positions

No open positions. Scan a signal above and click Open as paper trade.

Stored in this browser. No account required.

Risk disclosures

Calendars have a defined maximum loss equal to the net debit paid. You can lose 100% of the debit. The strategy is path-dependent and can lose money even when the entry Forward Factor is favorable.

American-style options can be assigned early. SPY, QQQ, individual stocks, and most ETFs trade American-style. If t