All Correlations Go to One: David Romeo on Double Calendars and Tail Risk
David Romeo had 10 double calendars that looked uncorrelated until one move hit them all. Here is how he now builds a portfolio around tail risk instead.
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Calendars & Diagonals
15 posts tagged Calendars & Diagonals.
Double Long Diagonals on SPX: Tom Lei on Calendars, Theta and Flies
Tom Lei explains where a double calendar's edge comes from and why he moved into double long diagonals with a built-in floor of about $10 of intrinsic value.
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JJ Kinahan on Position Sizing and the 2 Spreads to Learn First
Cboe's JJ Kinahan tells Dan Sheridan why new traders should learn verticals and calendars first, start with one contract, and stay inside their risk band.
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From Wall Street Bets to Risk Manager: Tom Lei on SPX Options
Tom Lei went from WSB-era long calls to SPX calendars and double diagonals: two risk pillars, why he rarely worries about win rate, and his backtested target.
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A Vol Desk Veteran on 0DTE, Gamma Walls and What Changed in 2026
Former bank vol desk head Imran Lakha reviews two Option Omega backtests: a VIX-filtered reverse iron condor and a 5/7 double calendar that moved earlier.
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Beyond 0DTE Iron Condors: RIC, Stalingrad and Scorpion Backtests
Three backtested concepts beyond 0DTE iron condors (a long-vol RIC, the Stalingrad double calendar and the Scorpion ratio spread) and how to stress-test them.
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Moving From Risk to “Risk-Free”: Tomas Byron Explains the Condor Nest
Tomas Byron explains the Condor Nest, which starts with a double calendar and converts it into an iron condor to change the risk profile and provide margin relief.
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3 SPX Options Setups Beyond 0DTE Credit Selling: DLD, DC and RIC
Three SPX backtests for traders heavy in short-vega 0DTE credit trades: a double long diagonal, a double calendar and a 0DTE reverse iron condor.
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How a Professional Trader Uses Backtesting: Tomas Byron on Premium Data
Tomas Byron uses Option Omega backtests as a data source, not a strategy finder. Here is his method, plus his views on volatility premium and calendars.
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Tesla Options Trade Ideas: A Ratio Diagonal Instead of 100 Shares
Erik from Outlier Trading builds a long Tesla trade with options, from chart context to a ratio diagonal modeled in Option Omega, plus the bearish put version.
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5 Principles of an Options Portfolio: How Dan Sheridan Builds One on SPX
Dan Sheridan builds a four-trade SPX options portfolio, about $2,000 per trade, to show how he spreads entry days, strategies, durations, deltas and theta.
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High VIX SPX Options Trades: Calendars, Put Spreads and Butterflies
With VIX near 27, Dan Sheridan models three 21-day SPX trades (a calendar, a 20-delta put spread and a 70/65 broken wing butterfly) and how he manages each.
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Covered Calls on MSFT: $41,000 vs a $1,300 Poor Man's Covered Call
Dan Sheridan compares a $41,000 Microsoft covered call with three long diagonals costing $4,300, $1,300 and about $1,500, modeled in Option Omega.
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SPX Options Portfolio Management: Managing Multiple Trades by the Greeks
Dan Sheridan combines a put calendar, a 70/65 butterfly and a put credit spread on SPX into one position and shows how to manage it by its combined Greeks.
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Does Options Automation Match the Backtest? 8 Weeks of Live QQQ Trades
We automated a QQQ double calendar and compared eight weeks of live trades with the backtest, looking at strike selection, fills, and exit timing.
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