For a conventional long ATM Calendar spread, the main objective of this video is to determine its Risk to Reward profile defined by the Calendarâs Roll Value. The Roll Value is measured by the Calendar spreadâs Theoretical Price which has 2 parts to it, changes in Theta and changes in Implied Volatility. If you are blindly following a guideline of the return on a Calendar as being between 1.5 to 2 times the initial debit, you are guessing what the risk of the trade is. To have a consistent and sustainable method of trading Calendars, you must measure the precise risk of its first roll value. This video teaches you how to get to that precise measurement.
