A calendar strangle that is designed to profit as the underlying is expected to break out in either direction. This strategy involves the purchase of a near-term strangle (i.e., a long strangle) and the sale of a longer-term strangle (i.e., a short strangle). More specifically, an investor pursuing a short calendar strangle strategy should buy a short-term out-of-the-money call option and a short-term out-of-the-money put option, and sell a long-term out-of-the-money call and a long-term out-of-the-money put, all at the same time.

Notwithstanding the direction taken by the underlying, the time values of all the options involved would deteriorate over time. Therefore, the calendar straddle embarks on the difference between the gain in time value on the long-term options bought and loss in time value on the short-term options purchased.

The short calendar straddle is superior to the short calendar straddle in terms of its lower margin requirements. However, and like a short calendar straddle, this strategy provides a position that requires no cash upfront to be established.

The short calendar strangle is also called a short horizontal strangle.