NFLX calendar call spread: selling time twice

Same strike, two expiries. The short Aug 28 call decays on a steep curve; the long Sep 18 call decays on a shallow one. The difference between those two decay rates is the entire profit engine — which is why the position wants the stock to sit still.

Max profit occurs with NFLX pinned at $72 on August 28, 2026: the short call expires worthless and you still own a 21-days-longer call. The engine values that peak at $146 against the $107 debit, which is also the maximum loss.

Calendars are LONG vega, unlike most short-premium trades. The back month has more vega than the front, so rising implied vol helps you. At 36% ATM on the front expiry, NFLX is the 10th richest of the 20 underlyings on this site — calendars are best opened when front-month vol is rich relative to the back.

Because the legs expire on different dates, there is no single expiry payoff: the numbers on this page are marked to model at the near expiry (August 28, 2026) using each leg's own implied vol — the same convention the builder uses.

The loss shape is a tent: profitable near $72, losing as NFLX moves either way. A large move in EITHER direction costs money — calendars are short gamma even though they are long vega.

Vol term structure can move against you: if back-month IV falls while front-month holds, the position loses on vega even with the stock exactly where you wanted it.

Implied vol can fall while the stock moves. Long-vol structures lose money in that scenario despite the thesis technically working, which is the single most common way these trades disappoint.

The cleanest single-event vol trade on this list. The whole quarter's move happens on one date, so the term structure into it is nearly vertical and the crush the next morning is total. Own the vol early, sell it into the ramp, and never plan to hold through the release.

NFLX's Aug 28 strikes are $1 apart near the money (1.39% of spot). That is a coarse ladder: one rung is a large fraction of the implied move, so precision on the short strike is an illusion. 27k contracts of open interest on Aug 28 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 32 strikes on that expiry — 50% of the board — carry prints that agree with their own implied volatility and hold up across the ladder, and those are the strikes priced here. Liquid around the money; the wings can be wide, and legging a four-sided structure here costs real money.

Skew is inverted: the 25-delta CALL implies 1.5% more vol than the put. That is the market pricing upside risk above downside risk — a squeeze, a takeover rumour, or a crowded short. Owning upside on an inverted skew means paying the expensive side of the surface, which is worth knowing before you buy the call. The term structure is flat inside 1.5% between the two captured expiries, so there is no calendar edge to harvest and no event visibly priced into one month over the other.

At 36% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $7.03 over 27 days — roughly −9.8% to +9.8%, or $64.68 to $78.74. That is the number the long-vol trade above has to beat — not match. Breakevens sit outside it by construction, because you paid the spread as well as the vol.

The specific way people lose money on NFLX: Holding any short-vol structure through the print because the delta looked safe. The implied move on this name is routinely exceeded.