Calendar Diagonal Spread Trading

objective

Trade calendar and diagonal spreads with term-structure diagnostics and carry controls.

workflow

1. define maturity view and strike-selection logic for spread construction.
2. build calendar or diagonal structures with target greek profile.
3. quantify carry, theta, and term-vol spread exposures.
4. stress against surface twists, spot moves, and vol crush.
5. deploy only when expected carry-adjusted edge is positive.

required diagnostics

• term-vol spread zscore and persistence metrics.
• theta carry versus vega risk decomposition.
• surface-twist sensitivity for calendar legs.
• legging slippage impact on net spread edge.
• post-event repricing behavior by maturity pair.