RE: [TheOptionClub.com] IV/VIX question

 

It’s earnings season.  Earnings affects the near month (short options) more than the far month.

 

 

I’ve started trading option (SPX calendars and iron condors) recently and I’ve been always making this simplification that I can expect calendar to go up in value by more-less change in VIX multiplied by Vega of the calendar (in TOS you can adjust volatility on the risk chart and that’s what I’ve been doing). However it never works like that - today was the second time I lost money with a calendar on a down day with VIX shooting up - first one was in October. IV of the near month option goes up and far month option’s IV stays put or goes down a bit. I don’t understand that and would like to learn more about this. What would be a good place to start? What is a ‘normal’ IV skew for SPX options (ATM calendar)? Is what I am experiencing ‘a normal’ – meaning I should not be expecting SPX calendar to go up in value on a big down day when VIX is shooting up?

 

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