The fall in the ViX is a major problem with Calendars. My Bank Nifty Calendar is already bleeding because the ViX plunged immediately after I set it up. However, the position is safe because it is right in the middle of the tent. If it remains within the tent on expiry, I will get a positive outcome from the trade.
(https://zerodha.trade/zerodha-uploads/Calendar-301221.png)
The steep plunge of 500+ points by the Bank Nifty in the morning and the dramatic recovery thereafter caused the ViX to spike up 6%. This benefited the Calendar and caused a MTM gain of about 1.5% of the capital. However, if the ViX cools down, the gains may evaporate into thin air.
(https://zerodha.trade/zerodha-uploads/Calendar-301221-2.png)
I closed the Calendar for a handsome profit of Rs. 60,000. Though there was a lot of juice left in the Calendar, I decided that a more optimum situation would be to come closer to the spot.
(https://zerodha.trade/zerodha-uploads/Calendar-301221-3.png)
I created a new Calendar with strike prices closer to the spot. To my good luck, that is also showing a good MTM profit at the EOD.
(https://zerodha.trade/zerodha-uploads/Calendar-301221-4.png)
The market has remained in a very tight range. The ViX has also remained stable. The result is that the Calendar is sparkling with hefty MTM gains of Rs. 71000.
(https://zerodha.trade/zerodha-uploads/Calendar-301221-5.png)