DIS Bullish Calendar Call Spread Appears to be a Steal at 65 Cents

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This DIS Calendar Call Spread Can Net 308%

Bullish play with a target stock price of $115

Strategy has +308% upside potential and 29% undervalued

Strategy: DIS Calendar Call Spread
Sell 01-Mar-24 115 Call0.77
Buy 15-Mar-24 115 Call1.42

Walt Disney Company has increased by +0.8% today to $110.15. The shares have been in a steady uptrend since January 31, based on DIS moving averages. Setting up this calendar spread with strikes at $115 gives you a bullish bias to tap into DIS stock's strength.

Option Profit Calculator Results for DIS Calendar Spread at 01-Mar-24 Expiration

In this scenario, the optimal stock price for the option strategy would be $115.00 on the date of the first expiration, March 1, 2024. This is equal to the strike price of the options in the spread. Since DIS is in a technical uptrend currently, and the strikes are above the current stock price of $110.11, the spread is taking advantage of the stock's upward momentum. If the stock price is $115.00 at expiration, we can benefit from the 01-Mar-24 call, which we sold, expiring worthless, and the option that we are long, the 15-Mar-24 call, will still have time premium built in.

Since we do now know what the exact implied volatility will be on March 1, we can use our historical data to make an educated estimate to help us calculate the value of the 15-Mar-24 option. Applying the median historical implied volatility of 27.8 from similar options, the theoretical value of the call is 2.65 at the date of the 01-Mar-24 expiration. Using the above assumptions gives us a potential upside of +308% for this calendar spread.

DIS Calendar Spread Value vs. Market Price

According to Market Chameleon estimated value, DIS Calendar Spread is trading at a 29% discount to historical benchmark.

If we use historical data to measure how similar spreads in DIS were priced in the market, the 4-year average price was 0.92, with a high mark of 1.19 and a low of 0.56.

Currently, the calendar call spread is bid at 0.61 and offered at 0.65. The midpoint of the spread is 0.63.

If we use 0.92 as our historical fair value benchmark, the current market ask price is at a 29% discount, while the current market midpoint represents a 31% discount.

Current PriceHistorical Values of Similar Spreads
Market Chameleon captures daily records of market data to calculate historical benchmarks and generate estimated values.


The DIS calendar call spread we've identified here can be a good way to play a bullish outlook because the option strategy has a +308% upside potential, is 29% underpriced relative to historical measures, and will benefit if the stock continues to trend higher to $115.

See how Market Chameleon can help you make smarter and more efficient trades!

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