A put diagonal calendar spread which is designed to profit on the expectation that the underlying would break out in either direction. More specifically, this strategy involves the selling of a long-term at-the-money put option and the buying of a short-term out-of-the-money put option.

This position provides maximum profit potential when the underlying breaks out upward to a level at which the time values of the long-term put options are entirely wiped out. This limited-loss strategy allows for a higher profit especially when the underlying breaks out to the upside. However, when the underlying breaks out to the downside, profits would be limited. Furthermore, creating a short put diagonal calendar spread comes at a cost embodied in the margin required for the position to be established.