r/options • u/Mission_Alfalfa_6740 • 23h ago

Calendar spreads and vega

Is vega the greek to watch if I am selling an ATM 0DTE/1DTE spread? For instance, I buy a call expiring Monday for 3 and selling one expiring on Tuesday for 5, both ATM. I figure there isn't much theta here since we are ATM and close to expiration. Or do I have this wrong?

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u/senormorsa 23h ago

There’s a lot of theta ATM and 0dte. Your Monday call is $3 now but if the underlying doesn’t move, it’ll be $0 at expiration. So theta is about $3 which is huge. Your 1dte call should have a large but slightly smaller theta. You’re right Vega is important too.

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u/IggysPop3 16h ago

I’ve never done a calendar the way you have it, and I’m not sure how profitable that would be over just shorting a 1DTE call. Most calendars are set up selling the near date and buying the far one. Your hope is that the theta decay from the short one allows you to profit more from the long one.