Double Diagonal

A double diagonal is a sophisticated four-leg strategy that combines calendar spreads on both call and put sides, creating a position that profits from time decay while maintaining protection against volatility expansion. This advanced strategy involves selling near-term out-of-the-money options and buying longer-term options at the same or different strikes, creating a position that benefits from the faster time decay of near-term options while maintaining long volatility exposure through the longer-term options. The strategy is ideal for professional traders who expect sideways movement in the near term but want protection against potential volatility spikes. Double diagonals require active management as the position dynamics change significantly as expiration approaches. The strategy performs best when near-term implied volatility is higher than longer-term volatility, creating favorable time decay characteristics

If NIFTY is at ₹25,800, set up: Sell weekly ₹26,000 Call for ₹45, Sell weekly ₹25,600 Put for ₹40, Buy monthly ₹26,100 Call for ₹65, Buy monthly ₹25,500 Put for ₹55, creating ₹35 net credit with profit potential from time decay and volatility management.