# Futures Options Calendar Spread Strategy AI Agent Connect

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

## Overview
- **Category:** finance
- **Price:** Free
- **Endpoint:** https://edge.vinkius.com/vk_preview_UAJtfWv0J2EWTUCrvqrQjnx8nWAgfoq0MHR23igD/ai-agent-connect
- **Tags:** futures, options, calendar-spread, volatility, trading-signals

## Description

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.

## Tools

### 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

## Prompt Examples

**Prompt:** 
```
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.
```

**Response:** 
```
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
```

**Prompt:** 
```
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.
```

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

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

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

## Frequently Asked Questions

**What is a calendar spread?**
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.

**How are trading signals generated?**
Signals are generated via `analyze_calendar_spread` by evaluating IV term structure, liquidity (Open Interest), and time to expiration to identify profitable volatility mispricings.

**What are the liquidity requirements?**
The strategy requires both the near-term and far-term options to have an Open Interest (OI) greater than 300 to ensure sufficient market liquidity.