Triple Calendar

3-expiration calendar spread — short near + long mid + short far, all ATM

Volatility OSP playbook — what to look for & live signal measured
Profit mechanism. Six legs / three strikes laddered across TWO expiries — sell front, own back at each strike, a wide 3-peak theta tent. The scorer wants to OWN CHEAP BACKS (contango), not sell a rich front.
Look for:
  • iv_ratio (front/back IV) < 0.90 = CONTANGO — high ratio is REJECTED
  • Positive net theta (theta_per_day_est > ~10)
  • width_em strikes spread 0.8–3× expected move; roc > 0.10
  • avg bid-ask spread < 10%
Edge / reality: ⚠️ OPPOSITE regime to double_cal: harvests CONTANGO theta (owns cheap backs), rejects backwardation. MEASURED: contango holds ~75% of days, and after a contango entry the front stays cheap over the next 5 days 68% of the time (own-back theta safe) — ~1 in 3 sees a front spike. 3rd strike smooths the tent but costs ~50% more commission.
Live-signal caveat: Regime persistence is measured (VIX9D vs VIX). Code has no live gate (static scan); per-strike chain IV not measured here.
reading live VIX term structure…
Scanning Triple Calendar — querying live Alpaca option chain…
scan to load candidates…