Normally when the IVs are high,one should not implement the Calendar strategy. This is because if the IVs cool down, the long legs will lose value and show a loss.
However, I decided to do a part of the quantity today itself.
I bought the 17700CE of October & sold the 17600 and 17650 CEs of 23rd Sept.
To salvage the situation caused by the rise in volatility and the plunge in the Nifty, i sold 20 lots of the 17700CE of the 23rd SEP expiry. I will also roll down the 16600 and 16650 CEs.
The naked short sale of 17700CE backfired on me because the Nifty surged to 17800+. I moved from 17700 to 17750 and salvaged the situation to some extent. I booked a gain of Rs 80000.
I also had an Iron Fly in the Bank Nifty which yielded a gain of Rs 104000.