I found this webinar on CBOE website - http://accordent.powerstream.net/008/00124/presentations/SL20080515/index.htm Itâs called Circus calendars strategy. Description of the strategy: Initial position: - 2x ATM Call Calendar Spreads - 1x OTM Call Calendar Spread, located 1/2 of std deviation or more - 1x OTM Put Calendar Spread, located 1/2 of std deviation or more The risk curve looks like a circus tent, hence the name circus calendars. The recommendation is to open the calendars in consecutive months, because according to the webinar "Further-out distant long strikes will increase the vega risk of the position". Adjustments: - when the price hits one of the outside/wing strikes, then: - close the opposite side's calendar spread - open a new OTM calendar spread in the direction of the price move - adjust the multiple lot position, if needed According to their backesting (using SPX) this strategy returned about 53% annualized in 2006 and about 188% annualized in 2007. Has someone used this strategy? Does it have a real advantage to open double lots for ATM spreads? How does this strategy compare to double calendars? What would be the best underlying (SPX? RUT? NDX? OEX?).