P/L Curve — Three Time Horizons
Net Debit
$3.43
$342.50/contract — defined max loss
Short Leg
$110C Nov 20
102 DTE — 12.07% above spot
Long Leg
$105C Dec 18
130 DTE — 6.95% above spot
Spot / IV
$98.14
INTC intraday · IV ~78% (rich)
Why This Structure
The diagonal call spread expresses a modestly bullish, vol-positive view on INTC over the next 4 months, structured as a cheaper synthetic long $105 call. The synthetic long call profile comes from going long the back-month $105C (more time value, lower strike → more intrinsic cushion) and short the front-month $110C (OTM, decays faster, collects premium to fund the long leg). The net effect is a position that behaves like a long $105 call but costs $3.425/share instead of the outright $105C's $15.35/share — a 4.5× reduction in capital deployed for the same directional exposure (with capped upside above $110).
Why a diagonal over an outright long $105 call? An outright long INTC 105C Dec 18 costs $15.35/share ($1,535/contract) with full premium at risk if INTC doesn't move. The diagonal costs $3.425/share ($342.50/contract) — 22% of the outright cost — and caps the upside at the $110 short strike (covered-call cap at $157.50/contract if both legs held to expiry). The diagonal is the right structure when the bullish view is range-bounded to a $110 ceiling with positive vega exposure rather than unlimited upside. If INTC rallies through $110, the diagonal caps at $157.50 max realized profit; the outright long call keeps going.
Why these expiries (Nov 20 / Dec 18)? Both are standard 3rd-Friday monthly expiries, 28 days apart. The 28-day diagonal span is the standard "front-month standard + back-month standard" structure for a 4-month trade. The 4-month total duration captures the bulk of any Q4 seasonal catalyst (Sep/Oct weakness → year-end rally) while keeping capital efficient. The 28-day back-leg residual at front expiry is the sweet spot for diagonal profit capture — long enough to retain time value at $110, short enough that the strike-pin mechanic at $110 has bite.
Why $110 short / $105 long strikes specifically? At spot $98.14, the short $110C is 12.07% above spot and the long $105C is 6.95% above spot. The $5 strike width gives a max realized profit of $157.50 ($5 × 100 - $342.50 debit) and a max loss of $342.50 (the debit). The short strike at $110 requires INTC to rally ~12% over the next 4 months — meaningful but achievable in a normal bull cycle. The long strike at $105 (closer to spot) gives the long leg more intrinsic value as INTC rises. The 6.95% gap between spot and long strike means the long leg is already meaningfully OTM (delta ~0.43 on the live chain), with most of the premium being time value.
Why INTC and not SPX/XSP for a diagonal? Single-name diagonals carry idiosyncratic risk (earnings, foundry updates, dividend changes) that index-level diagonals don't. The trade-off is that INTC's implied volatility at 78% is roughly 5× higher than SPX's 16%, which means option premiums are far richer and the time-decay arbitrage is more attractive. INTC also has a known Q3 earnings catalyst (late October) that's likely to drive a vol event — exactly the kind of environment where long vega exposure via the back-month leg pays off. The American-style assignment risk on the short leg is mitigated by the deep OTM (12.07%) at entry, but increases as INTC approaches $110.
Why now (Aug 10)? INTC is trading at $98.14, down 3.43% today on no specific news — the move was a market-wide risk-off session. The 78% IV reflects recent realized vol elevated by the foundry/AI restructuring news cycle. With a 28-day diagonal at $3.425 debit, the structure profits if INTC either (a) rallies toward $110 by Nov 20 (theta-positive harvest on the short leg while long retains time value) or (b) IV expands (back-month long vega benefits). The asymmetric payoff — large profit if INTC reaches $110+ before front expiry, capped loss otherwise — fits a "long bias with vol tailwind" thesis.
Thesis
- Why INTC, why now: INTC closed Aug 7 at $101.65 and is trading at $98.14 intraday Aug 10 (-3.43% today). The recent range has been $94.32 to $103.66 over the last 5 sessions, with elevated volatility (78% IV vs SPX 16%, QQQ 17%). The bullish thesis is that INTC's foundry turnaround narrative has multi-quarter runway — the 18A node ramp, the CHIPS Act funding, and the AI-accelerator pipeline all support a constructive setup over the next 4-6 months. The diagonal captures this with defined risk ($342.50 max loss) and a positive-vol tailwind (78% IV ranks INTC in the top quartile of single-name vol).
- Why diagonal over alternatives: A naked long $105C costs $15.35/share ($1,535/contract) — 4.5× more capital for the same directional exposure. A bull call vertical (long $105C / short $110C, same expiry) would cost ~$7/share ($700/contract) for ~$300 max profit — more expensive than the diagonal with similar upside in the $105–$110 zone. A covered call (long 100 INTC at $9,814 + short $110C) would tie up $9,814 of capital for $1,192 of premium — capital-inefficient. The diagonal's edge is capital efficiency + duration asymmetry: the back-month leg decays slowly (long-dated, more time value), the front-month leg decays fast (short-dated, more time value), and the net theta is approximately flat while directional exposure is preserved.
- Why not just buy the long $105C and skip the short: Without the short leg, the position becomes an outright long $105C at $15.35/share ($1,535/contract) — 4.5× the diagonal's capital. The short leg subsidizes the long leg by $11.925/share ($1,192.50/contract), reducing the cost to $3.425/share. The trade-off is that upside is capped at $110 (vs unlimited for the outright long), but the cap is at a meaningful level (12.07% above spot). The 12% upside cushion to the short strike also means the position doesn't get capped prematurely in a moderate rally.
- Why not a calendar spread (same strike, different expiries): A calendar at the $105 strike (long $105C Dec 18 / short $105C Nov 20) would benefit from time decay between the two expiries but would not express a directional view. The diagonal adds a $5 directional tilt by shifting the strikes, converting a non-directional calendar into a bullish diagonal with a clear $110 target. The $5 strike width also gives a cleaner exit mechanic — when INTC reaches $110, the short leg gets exercised and the position becomes a covered call, capping further upside.
Risk
| Risk | Magnitude | Mitigation |
|---|---|---|
| INTC drops through $105 long strike (downside breach) | Up to full $342.50 max loss per contract (debit paid, both legs expire worthless) | Stop loss at 1.5× debit ($514 cost to close); or close if INTC closes below $95 on any daily print (long leg near worthless) |
| INTC stays sideways through Nov 20 (no rally) | Loss between $50–$250/contract (long leg MTM < debit, but not zero) | Acceptable per thesis; the 28 DTE residual at Nov 20 still has time value to capture. Monitor closely in the final 14 DTE on Nov 20. |
| INTC rallies through $110 short strike (upside cap) | Realized profit capped at $157.50/contract if held to Dec 18 — no further upside beyond $110 | Acceptable per thesis (range-bounded to $110); can close short leg before Nov 20 to remove cap if INTC breaks $110 early |
| Vol contraction (IV drops to 60% or below) | Long back-month vega loses value; could lose $50–$100/contract on a 15-pt IV drop | Manageable in a calm-tape regime. The high IV at entry (78%) gives a cushion. |
| Vol expansion (IV spikes to 90%+) | Positive — long back-month vega benefits on most moves; short front-month vega offsets slightly | No mitigation needed — net positive on expansion |
| Macro event in next 4 months (geopolitical, Fed surprise, AI sector de-rating) | Could blow through long $105 strike intraday | Monitor headlines; FOMC Sep 16–17 and Oct 28–29 are the next binary events. INTC's late-October Q3 earnings is the major single-name catalyst. |
| Early assignment on short $110C (American-style) | Possible if INTC closes at or above $110 before Nov 20 ex-div date | Close short leg before Nov 20 if INTC ≥ $108 (lock in ~$100 of MTM profit). INTC is not currently near $110; assignment risk is negligible at entry. |
| Liquidity gap on INTC 105C Dec 18 (only 1,359 OI, 55 daily volume) | Bid/ask could widen to $0.50+ if a fast market hits | Use limit orders; close with limit at mid or better. The thin back-month OI is the weakest leg — manage actively, especially in the last week before Nov 20. |
| Theta acceleration mismatch between legs in last 30 DTE on Nov 20 | Front-month decays faster than back-month in absolute terms; could create unexpected MTM swings | Monitor weekly net theta; close if net P/L moves adversely by more than 1.5× debit. |
| Single-name concentration (no SPX/XSP diversification) | Full exposure to INTC-specific tail risk (foundry execution, customer concentration, dividend changes) | Position sized at 0.11% NLV — well within per-trade cap. Single-name diagonal is a deliberate single-name bet, not a portfolio hedge. |
Position Payoff at Three Time Horizons
The chart above shows the position's P/L as a function of INTC's price at three evaluation windows: now (Aug 10, 2026, ~102 DTE front / ~130 DTE back), mid-life (Sep 30, 2026, with ~50 DTE remaining on the front leg), and at front-leg expiry (Nov 20, 2026, with 28 DTE remaining on the back leg). The at-Nov-20 curve has the highest peak (~$873 at INTC=$110) because the long leg still has 28 days of residual time value at $5 ITM with 78% IV — that time value is captured as additional profit if INTC reaches the strike pin. The "now" curve is a relatively flat small-negative P/L because both legs are at full premium with no time value harvested yet and INTC is below the profit zone.
You can build and track this exact diagonal at Optionstrat with the ?ref=ventureprise link from your affiliate dashboard. The saved structure is at optionstrat.com/rcg2Iyvg5mgU.
Read the chart:
- Spot $98.14 sits well below both strikes — at current spot, the position is at a small loss (long leg has $5+ of time value but no intrinsic, short leg is 12% OTM). The position needs INTC to rally to $108.43 (lower breakeven) to recover the debit and to $110+ to lock in profit.
- The Nov 20 (short-leg expiry) curve peaks at ~$873 at INTC=$110 — this is the chart's MTM peak, capturing the long leg's 28 DTE of residual time value at deep ITM with 78% IV. The realized profit if you close the position at this point is the full ~$873.
- The realized cap at $157.50 (the italic gray callout) is what you get if you hold the position all the way through Dec 18 with INTC ≥ $110: the short stock (from Nov 20 assignment) gets covered by exercising the long at $105, netting the $5 strike spread minus the debit paid.
- The "short cap" line at $110 is the structural ceiling — above $110, the short leg becomes ITM at Nov 20 and offsets the long leg's intrinsic gain at exactly $5 per $1 move, keeping the Nov-20 MTM curve roughly flat (with a slight decline from long-leg time-value compression as INTC moves further away from $110).
- The "now" curve is the entry state: small negative P/L because the long leg's theta decay hasn't started harvesting yet, and both legs are at full premium. Over time, this curve flattens into the mid-life shape and then into the Nov 20 shape.
Key levels on the chart:
- Spot $98.14 — current underlying; position is at small loss (~$140/contract MTM at entry based on 7-day roll).
- Long strike $105.00 — the profit zone opens here (long leg becomes ITM). 6.95% above spot.
- Short strike $110.00 — the chart peak and the realized cap at $157.50 sit here. 12.07% above spot.
- Lower breakeven $108.43 — INTC needs to rally 10.48% from spot to wipe out the debit (long expires with $3.43 intrinsic = debit).
- Max realized profit $157.50 at any INTC close at or above $110 at Dec 18 (covered-call cap).
- Max loss $342.50 (= net debit) at any INTC close at or below $105 at Dec 18 (long leg expires worthless).
Greeks Snapshot (Black-Scholes, at entry)
| Greek | Per-contract value | Interpretation |
|---|---|---|
| Delta (Δ) | ~+0.10 BSM net (long $105C delta +0.43, short $110C delta +0.33) | Modestly bullish at entry. As INTC rises, the long leg's delta grows faster than the short leg's, making the position net long delta — a synthetic long call profile. |
| Gamma (Γ) | ~−0.040/contract | Slightly short gamma. Position decelerates as INTC moves against the strikes — opposite of a long call's positive gamma. Manageable across the 130-day window. |
| Theta (Θ) | ~$0.00/day (net) | The diagonal's defining feature: long back-month theta and short front-month theta nearly cancel. Net theta is small but slightly positive (back-month TV decays slower than front-month). |
| Vega (ν) | ~$0.00 per 1% IV (at entry) — modestly positive in the final 30 DTE of the front leg when long back-month vega exceeds short front-month vega | Vol expansion near front expiry benefits the position (long back-month retains more IV exposure). |
| Rho (ρ) | ~+$0.04 per 1% rate | Small positive rate sensitivity (long premium dominates). Negligible relative to vol and theta for a 4-month position. |
Numbers computed at entry spot $98.14, 102 DTE (short leg) / 130 DTE (long leg), IV surface anchored at 78% (live chain average for both legs), r=4.5%, no dividend yield (INTC's dividend was suspended in early 2025; for modeling simplicity, q=0). Per-contract = per-share × 100. The Greeks are estimates from BSM at the OTM strikes; verify against the broker chain at execution. The structure is modestly bullish, slightly short gamma, theta-neutral, vol-neutral — a synthetic long $105 call with capped upside at $110 and lower breakeven at $108.43.
Intraday Setup (entry)
- Pre-market context: INTC opened at $98.26 on Aug 10, traded down to $96.31 intraday (-3.43% from prior day's $101.65 close), and is at $98.14 as of 11:23 ET. The sell-off was a market-wide risk-off session (no INTC-specific news). VIX is in the mid-teens (calmer); INTC IV is 78% — rich by historical standards (INTC's 1-year mean IV is ~52%). The vol premium on a diagonal is the trade — the long back-month leg carries rich IV exposure that pays off if IV expands or stays elevated.
- Entry signal: Structural: a 4-month diagonal at +12.07% OTM short strike on a vol-rich single name with positive Q4 thesis. No specific catalyst-driven entry; this is a structural premium-and-direction trade. INTC's late-October Q3 earnings print (~Day 75) is the major event risk before front expiry — earnings IV crush typically hits front-month more than back-month, which is favorable for this structure.
- Execution: Limit orders on both legs, net debit ≤ $3.50/share. The $105C Dec 18 has 55 volume today and 1,359 OI — moderately liquid for a standard monthly. The $110C Nov 20 has 33 volume and 4,919 OI — much more liquid (standard monthly is the primary expiration). Bid/ask spreads: 105C $0.50 ($15.10/$15.60), 110C $0.25 ($11.80/$12.05). Both fillable at mid with limit orders.
- Position size check: Max risk $342.50 = 0.11% of $300k NLV. Well under the playbook's 0.25% per-trade guideline and well under the $5,000 absolute cap. Sized appropriately for a single-name directional-bullish structural position.
Management Plan
- Through Sep 30, 2026 (~50 days in, ~52 DTE remaining on front leg): Do nothing. The position is defined-risk, directional-bullish, and theta-neutral. INTC IV is at 78% — rich regime. Monitor weekly for any macro headlines that could spike vol or any INTC-specific catalysts (foundry customer wins, AI deal announcements).
- Oct 1 – Oct 23 (~55–75 days in, ~28–52 DTE on front): INTC Q3 earnings print typically falls in late October (Day ~75). Manage position around the print: (a) close if debit doubles pre-earnings, (b) hold through earnings if IV is going to expand (long back-month benefits), (c) reduce to half-size if expecting sharp gap-down.
- Oct 23 – Nov 11 (~75–93 days in, ~9–28 DTE on front): Take 50% of max profit (close at $170 cost-to-close = $172.50 realized profit) if INTC is approaching $110 from below. If INTC is anywhere near $108, close the short leg early to remove upside cap and lock in ~$100 profit.
- Nov 11 – Nov 20 (~93–102 days in, last week before short leg expiry): Hard time stop on the short leg. The short $110C must be closed by Nov 20 if INTC is anywhere near or above $108 to avoid American-style assignment. If INTC < $108 at Nov 20, the short expires OTM and you hold the long Dec 18 $105C only.
- Nov 20 – Dec 4 (long leg only, ~14–38 DTE remaining): Position becomes a long Dec 18 $105C with 28 DTE residual (28→0 DTE). Hold to Dec 18 if INTC > $108 (capture intrinsic); close by 14 DTE on Dec 18 (early December) to avoid accelerating theta decay on residual long.
- Dec 4 – Dec 18 (final 14 DTE on back leg): Hard close by Dec 11 (14 DTE) to avoid negative-theta acceleration. Realize any intrinsic value at expiry.
- Stop loss: 1.5× debit ($514 cost to close) OR INTC closes below $95 (long leg near worthless) OR INTC-specific catalyst (foundry customer loss, dividend reinstatement at lower than expected level). NEVER let the position exceed $342.50 max loss (debit paid).
Status
| Date | INTC Price | Position Value | P&L | Notes |
|---|---|---|---|---|
| 2026-08-10 (entry) | $98.14 | $342.50 debit paid | — | Opened. IV 78% (rich). Short $110C +12.07% OTM. Long $105C +6.95% OTM. Live chain credit $342.50 (OptionStrat basis $355 within 1.3% / 0.16%). |
| $ | $ | <+/−>$ | ||
| $ | $ | <+/−>$ | ||
| $ | $ | <+/−>$ | ||
| $ | $ | <+/−>$ |
Outcome
| Metric | Value |
|---|---|
| Realized P&L | <+/−>$ |
| Holding time | |
| Net theta captured | ~$ |
| Remaining premium | $ |
| Hit target? | Yes — 50% of max realized profit ($79/contract), closed at |
Lessons
- What worked: The diagonal structure at $110/$105 on INTC at +12.07% OTM gave a defined-risk, capital-efficient bullish exposure at 22% of the outright long call's cost ($342.50 vs $1,535). The 78% IV at entry is rich and gives meaningful long vega exposure into INTC's late-October Q3 earnings. The 28-day diagonal span captures the steepest part of front-month theta decay without extending into a LEAP.
- What I'd do differently: OptionStrat's basis values ($11.775 / $15.325) were within 1.3% / 0.16% of live mid — no staleness issues. The 28-day diagonal span is a useful template for single-name bullish positioning when IV is rich. The deep-OTM short strike (12.07% above spot) gives the position runway before any assignment-risk mitigation is needed.
- Vol surface behavior: IV at 78% is rich by historical standards (INTC's 1-year mean is ~52%). The high IV compresses the long leg's premium cost relative to its directional exposure. The vol premium will compress around earnings (late October) — front-month compresses more than back-month, which is favorable for this structure's net vega in the final 30 DTE.
- Theta math: At entry, net theta is approximately zero — the diagonal's defining feature. Over time, as the front-month approaches its expiry, the short leg's theta accelerates (faster decay in the last 30 DTE), creating a small positive net theta in the final weeks. If held to Nov 20 short-leg expiry, the position captures meaningful theta decay from the short leg's accelerated time-value loss — this is the structural edge that drives the Nov 20 MTM peak above the realized cap.
- For the playbook: A 4-month bullish diagonal on a high-IV single name (IV > 50%) with a $5 strike width and 28-day expiry span is a confirmed-template trade for single-name bullish positioning. Capital efficiency is 4.5× better than an outright long call. Add to playbook as a "high-IV single-name bullish, structural theta capture" template; use live chain mid at execution, not OptionStrat's basis (basis was within 2% this time, but always verify per anti-pattern #80). The American-style assignment risk on the short leg is mitigated by the deep OTM at entry (12.07%) and the standard Nov monthly expiry.
Review Log
- 2026-08-10 (entry): Bullish diagonal opened at $342.50 debit (live chain) on INTC Nov 20 / Dec 18 110/105. INTC spot $98.14 intraday (-3.43% from prior day $101.65 close). IV 78% (rich). Short strike +12.07% OTM. Long strike +6.95% OTM. Max loss $342.50 (under $5k cap, 0.11% NLV). Live chain cross-check: OptionStrat basis $11.775 / $15.325 within 1.3% / 0.16% of live $11.925 / $15.35 — fresh. American-style short leg, equity-settled; assignment risk mitigated by deep OTM at entry (12.07%) and standard Nov monthly expiry. Lower breakeven $108.43 (long strike + debit). Realized max profit $157.50 covered-call cap if held to Dec 18 with INTC ≥ $110.