This SPX risk profile shows the maximum potential value of this 10-point wide short Call Diagonal is more than $1,500. Since it’s a 1-lot position that means that if SPX is exactly at the 6090 short strike at Friday’s Dec6 expiration then the Monday, Dec9 long Call at the 6100 strike will be 10 points OTM. That would then mean that the 10 point OTM Monday Call should be worth $1,500.
Looking at last Friday’s option chain after the close of SPX trading shows the 10 point OTM Call was worth about $700. That’s less than half of what the risk profile was indicating. Why such a big difference? You’ll have to ask your broker and they’ll probably tell you it’s because they have some really special algorithm that does all these complicated calculations to determine expected values.
Regardless of the reason it’s important to understand that the risk profile on SPX time spreads (Calendars and Diagonals) is often very inaccurate. In fact, when I look at the risk profile I usually divide the potential profit at expiry line by 2 to quickly estimate a realistic value. Many stocks and ETF’s seem to be reasonably accurate but it’s always a good idea to check the appropriate option chain to confirm an expected value.