NVDA Call Calendar — Nov 20 / Dec 18 '26 240: Long Back, Short Front ($230 Debit)

P/L Curve — Three Time Horizons (calendar profile)

Strategy: Long Back-Month / Short Front-Month Call Calendar

A call calendar spread is the classic time-decay arbitrage on an equity option chain: sell the front-month ATM call (fast-decaying, theta-rich) and use the premium to fund the purchase of the back-month ATM call (slower-decaying, vega-rich). The structure nets a debit if the front-month is "cheaper" than the back-month by less than the time value gap — typical for ATM calendars on high-IV underlyings.

At entry (today, Aug 6 2026):

• Front Nov 20 240C: 106 DTE, IV 43.5%, mid $12.40
• Back Dec 18 240C: 134 DTE, IV 43.3%, mid $14.70
• The $2.30 spread between front and back is the time-value gap (28 days of additional premium)
• Calendar "theta-positive" because the front decays faster than the back

At front expiry (Nov 20 2026):

• Short Nov 20 240C expires; P/L on the position depends entirely on where NVDA is at the Friday 4 PM close
• If NVDA = $240 exactly: short expires worthless, long Dec 18 still has ~28 DTE and ~$10-11 value → profit ~$7-8/share = $700-800/contract
• If NVDA > $240 (say $250): short expires worthless, long Dec 18 has ~$16-17 value → profit ~$14-15/share = $1,400-1,500/contract
• If NVDA < $240 (say $220): short expires worthless (still OTM), long Dec 18 has ~$5-6 value → small profit or near breakeven
• If NVDA << $240 (say $200): both legs lose value, but short front decays faster than long back; loss capped at $230 (debit) if NVDA < $180 at Nov 20

At back expiry (Dec 18 2026):

• Position = long Dec 18 240C only (front already expired)
• P/L = max(NVDA − 240, 0) − $2.30
• Profitable only if NVDA > $242.30 at Dec 18 close

The classic calendar profile: the position P/L curve at front expiry has a hump centered at the strike, peaking when NVDA = $240 and declining on either side. This is the calendar's distinctive shape — it's a thesis on time and pin risk at the strike.

Why This Structure

A long-call calendar on NVDA at the ATM strike 240 (9.6% OTM from spot $218.99) is a directional-neutral long-volatility play with positive theta at high IV. The 43.5% IV at entry is rich by historical standards (NVDA's 1-year IV mean is ~38%), so the calendar is harvesting both elevated vol and time decay. The strike 240 sits just above the recent consolidation range ($210-$230) — a move through $240 in the next 100 days is plausible if NVDA breaks out on AI demand or post-earnings momentum.

Why NVDA: NVDA is the highest-vol single name in mega-cap tech (43.5% IV vs SPY at 14-15%, QQQ at ~17%). The vol premium on a calendar is the trade — the front-month short pays you for time decay while the back-month long keeps the position vega-positive. NVDA's late-August Q2 earnings print (Aug 28, ~Day 22) is the major event risk before the front expiry; the IV crush after earnings is part of why the front is "expensive" right now.

Why Nov 20 / Dec 18 (not other dates): These are the standard monthly expirations 28 days apart, which gives the cleanest calendar structure. The 28-day back-leg residual at front expiry is the sweet spot for calendar max-profit potential — long enough to retain time value, short enough that the strike pin risk is meaningful.

Why 240 strike (vs 220 or 250): 240 sits 9.6% above spot — out-of-the-money enough that the call is still trading on time value (delta ~0.32 on the front short), but close enough that a 10% rally takes it ITM. Strikes further OTM (250+) have less theta to harvest. Strikes closer to spot (220) have higher theta but lose the upside profit zone if NVDA rallies past 240.

Why debit, not credit: A "reverse calendar" (long front, short back) is possible but is structured for sharp near-term movement with capped upside. The standard calendar is a debit structure — the long back-month is more expensive than the short front-month by less than the time-value gap. This produces a small, defined max loss (the debit) with a wide profit zone.

Risk

Greeks Snapshot (Black-Scholes, at entry)

Numbers computed at entry spot $218.99, IV 43.5% (front) / 43.3% (back), r=4.5%, no dividend yield adjustment. Per-contract = per-share × 100.

Intraday Setup (order filled at mid)

• Pre-market context: Wednesday August 6, 2026. NVDA spot $218.99. NVDA IV ~43.5%. Live chain quote at order time: Front Nov 20 240C bid $12.25 / ask $12.55 (mid $12.40); Back Dec 18 240C bid $14.50 / ask $14.90 (mid $14.70); spread $2.30 mid (debit).
• Fill: Filled at mid ($2.30 debit, $230/contract). Limit placed at $2.30 mid; market met the limit immediately on a 240 Nov 20 / 240 Dec 18 calendar.
• Sizing: 1 contract. Total debit $230. Per-trade cap is 0.25% of NLV ($300k book = $750 cap); $230 is 0.077% of NLV — well under the cap.
• Position management: Hold through Aug 28 Q2 earnings (Day 22) — earnings IV crush is a known event, but the back-month vega exposure dampens the vol-crush loss; if NVDA gaps up 5%+ on earnings, the calendar profits; if NVDA gaps down 10%+, max loss is capped at $230. From mid-September to early November (Day 36-106), watch spot — if NVDA drifts to $230-$245 by mid-October, position is approaching the front-expiry profit zone. At front expiry Friday Nov 20 (Day 106), decision point — if NVDA is at $240 ± $10, close the long Dec 18 leg within 1-2 days to capture calendar max profit; if NVDA is far from strike, evaluate whether to close whole position or roll front. By back expiry Friday Dec 18 (Day 134), force-close by 14 DTE on Dec 18 (early December) to avoid negative-theta decay on residual long.

Management Plan

• Open through Aug 28 earnings: Hold. Theta works for you; the structure has a defined max loss and positive vega.
• Aug 28 post-earnings: Evaluate. If NVDA gap-down to $200-$210 with IV crush to 38%, position likely at small loss (~$30-80). Decide: hold for theta recovery OR close at the loss.
• September 1-30: Watch spot. Position has wide profit zone; small directional moves don't matter much.
• October 1-31: Decision zone. If NVDA reaches $230-$245, the calendar is in the front-expiry profit zone and starts looking attractive to close.
• Front expiry Nov 20: Close decision. Calendar profits peak at NVDA = $240 at Nov 20 close. Close within 1-2 days of front expiry to lock in residual value of the long Dec 18 leg.
• Stop loss: Close if debit paid more than doubles ($460 cost to close) OR NVDA trades below $180 OR position loses >50% in first 30 days.
• Roll front option: If at Nov 20 the position is at small profit but the setup is intact, consider rolling the short Nov 20 leg to Dec 18 (no, that's the back leg — would need to roll to a different expiry). Standard practice: roll short to the next available monthly (e.g., short Dec 18 instead of Nov 20 — but that's the back leg, not possible). Actually the natural roll is from front to next monthly after back expiry (e.g., roll Nov 20 → Jan 15 2027); but that extends the structure by 28 days. Skip unless profit is meaningful.

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