I have not talked much about calendar spreads a lot before, preferring to focus on strategies like the iron condor or covered straddles. I have tried both of them on Under Armour's options today but did not see much appeal in them. To remind, Under Armour's shares fell by over 4% today after close for no apparent reason: As I read about the stock's demise, one thought came into my mind: options are expensive. How do you capitalize on expensive instruments? You sell them. However, you do not want to sell options unhedged. Hedging costs money which is why conventional strategies like the iron condor do not work when all options with the same expiration are expensive. Moreover, when you sell options, you typically hope the stock does not move much until expiration. This is a big thing to hope for once stocks tumble. I started thinking that maybe short-term options are expensive, while the longer-tenor options are still priced reasonably. To check that, I looked at Under Armour's options with different expiration dates and found that there is less spread in time value for longer-term options than for the short-term (e.g. analyzed June 3rd and June 10th options vs June 10th and June 17th spread). This made me think that short-term options currently have more implied volatility in their pricing. As a result, I came up with the following trade: (Source: optionsprofitcalculator.com) Basically, I sell the back-month option (the longer-tenor one) and buy the front-month option (the shorter-term one) with the same strike price. As you can see, the spread is $25 per contract (100 options). You can check the longer-term options and see that the spread will be $10 per contract or so. As opposed to the iron condor strategy, you actually want the stock to move, even though you are a net seller. The benefit of this particular set-up is that the magnitude of the necessary move in order to keep the premium is very small (less than 2% in either direction): (Source: optionsprofitcalculator.com) Notice how the expected loss region narrows down with time! At expiration, the stock has to either be above $37.17 or below $35.87 per share. Given the size of historical volatility and the magnitude of the most recent price change, the chance of success of this strategy seems quite high to me. In addition, I like the fact that this is a quick trade with a decent theoretical edge. What do you like or dislike about this opportunity?