Q2. A calendar spread is a combination of two options with different time to expiration. Calendar spread is also known as a time spread.

IV is $2/day. Underling is currently priced at $100. Assume normal distribution and zero interest rate.

You decided to long a 2 week ATM CALL option (DTE=1) and short a 1 week ATM CALL option (DTE=5).

Q2a. What is your net cost of the calendar spread when initially bought?

Q2b. What should be the cost of your calendar spread at $1/day or $4/day volatility?

Q2c. What is the delta/theta/gamma of the calendar spread when initially bought?

Q2d. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $100 one day later, BASED on theta/gamma/delta?

Q2e. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $99 one day later, BASED on theta/gamma/delta??

Q2f. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $101 one day later, BASED on theta/gamma/delta?

Q2g. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $102 one day later, BASED on theta/gamma/delta?

Q2h. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $98 one day later, BASED on theta/gamma/delta??

Q2i. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $104 one day later, BASED on theta/gamma/delta?

Q2j. What is the value of the calendar (aka how much you can sell the spread for) if underlying trades at $96 one day later, BASED on theta/gamma/delta?

Q2k. What is the breakeven size of underlying movement for your calendar spread?