Calendar Spread Simulator

Run Monte Carlo simulations of delta-hedged calendar spread positions with customizable parameters.

About This Simulator

This tool runs Monte Carlo simulations of delta-hedged calendar spread positions. Each trial simulates daily P/L over the option's lifetime using different random price paths.

Important: Stock and strike prices reset to $100 each day to isolate volatility and time decay effects.

Parameters

Monte Carlo Settings

Number of Trials

Stock Parameters

Realized Volatility

M1 Option Parameters

M1 Position TypeM1 Days to ExpirationM1 VRP (as % premium)

M2 Option Parameters

M2 Position TypeM2 Days to ExpirationVol Steepness (% premium/discount to M1 IV)

Run a Monte Carlo simulation to see results