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Volatility
ATM Vol Term Structure.
Notes:
Contract Size - $50 x S&P 500 Index.
Tick Size: Outright: 0.25 index points=$12.50
Trading Hours: CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with trading halt 4:15 p.m. - 4:30 p.m.
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E-Mini S&P
Below are charts for reference.
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Strategies
Below is an example of a calendar put to the downside and reverse calendar to the upside.
The calendar put has positive vega which benefits the position as price declines while the reverse calendar has the opposite (negative vega). As price goes higher with the latter, there is an additional benefit with decline in IV as prices move higher.
The % yield shown in the diagrams below represent an estimated return on margin from projected dates shown below.
Put Calendar
Reverse Calendar
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