Double Calendar / Diagonal
Scan double calendars and double diagonals across DTE pairs
Volatility OSP playbook — what to look for & live signal measured
Profit mechanism. Short near-dated ATM call+put, long far-dated OTM call+put (small debit). Multi-edge: front theta decays ~√T faster, AND front IV > back IV crushes, AND short-ATM/long-OTM skew capture.
Look for:
- iv_term_edge (front IV/back IV > 1, backwardation) — scorer wt 0.20
- ev_quality EV/½·max-loss (wt 0.25) + theta_edge ≥2%/day (wt 0.20)
- reward_risk ≥ 1.2×, breakevens ≥ 2× near-EM, tight spreads (<25%)
- Gate: PoP ≥ 40% AND expected_value > 0
Edge / reality: Stacks theta + term backwardation + skew. MEASURED: backwardation occurs ~25% of days and the front IV then crushes +1.5vp over 2 days (lift vs non-signal), ~30% reaching ≥3vp. Dies in contango / IV spike / realized > implied.
Live-signal caveat: Signal→crush now measured at the PER-STRIKE level too — real option bars: term_ratio>1 → front crush +1.5vp/2d (SPY/QQQ/IWM). Per-strike put-skew captured; skew→PM measurement pending.
reading live VIX term structure…
Scanning Double Calendar / Diagonal — querying live Alpaca option chain…
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