Yes, if they were Weeklys. Looking at SPX, let’s consider buying one 1975 Put (Oct 24 expiration) and Selling 1 1975 put (Oct 10 expiration). The long is around 24 days from expiration and the short is about 10 days from expiration. The cost or debit with SPX around 1975 is around $865 for 1 contract. The trade is relatively neutral with SPX around $1975. The positive theta is $37 daily and the Vega is 71. The Calendar is positive theta because our short option is decaying quicker than the long option because it expires quicker. Theta to Vega The ratio of theta to Vega is approximately 2:1, this means if Implied Volatility decreases 1 point, the trade will lose approximately $75 from Vega. 2 Days of theta will make up for this. Contrasting this with a farther out Calendar consisting of selling November and buying December, things are much different. If I buy 1 December 1975 Put and sell 1 November 1975 Put, the debit is around $1200. The theta is 6 and the Vega is 71. The Theta /Vega ratio is around 12:1. Implied Volatility This means if Implied Volatility decreases 1 Point, the Vega tells us we […]