MCP For Claude Marketplace
Futures Options Calendar Spread Strategy

Futures Options Calendar Spread Strategy MCP Connector for Claude

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Deterministic decision engine for futures options calendar spreads using volatility term structure and time decay analysis.

2 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides a deterministic decision engine for executing calendar spreads on futures options. By analyzing the relationship between near-term and far-term implied volatility (IV term structure), time decay (theta), and cost-to-strike ratios, it generates precise trading signals. Use analyze_calendar_spread to evaluate specific setups for BUY or SELL signals based on volatility backwardation or contango, liquidity filters, and gamma risk constraints. You can also use calculate_spread_metrics to derive specific components like the calendar spread debit and theta benefit.

futuresoptionscalendar-spreadvolatilitytrading-signals

2 tools expose this connector's capabilities to your AI agent.

analyze_calendar_spread

Evaluates a specific calendar spread setup to generate a trading signal based on volatility, time, and cost constraints

calculate_spread_metrics

Performs the underlying mathematical derivations for the spread components without generating a signal

See how to talk to your AI agent using Futures Options Calendar Spread Strategy.

Analyze this calendar spread: strike 4500, near-term premium 50, far-term premium 120, near-term 20 days to expiry, far-term 60 days to expiry, near-term IV 25%, far-term IV 20%, near-term OI 500, far-term OI 600.

Strike: 4500, Near-term Premium: 50, Far-term Premium: 120, Calendar Spread Debit: 70, IV Term Structure: -0.05, Max Profit: 150, Max Loss: 70, Signal Direction: BUY

Calculate the metrics for a spread with near-term premium 40, far-term premium 100, near-term IV 15%, far-term IV 22%, and strike 3800.

Calendar Spread Debit: 60, IV Term Structure: 0.07, Max Profit: 110, Max Loss: 60, Theta Benefit: 4.50

Should I trade a calendar spread with near-term 5 days to expiry and near-term IV 30% vs far-term IV 25%?

No signal generated. The setup is skipped because near-term days to expiry is less than 7, which introduces excessive gamma risk.

A calendar spread is an options strategy where a trader sells a near-term option and buys a far-term option at the same strike price.

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