Question, is it advisable to own the underlying when constructing a Calendar Spread or a Reverse Calendar Spread? Thanks
Probably not at initiation imo. What would be the intent for doing so? If you already own it, it doesn’t really matter - you then have to treat the calendar as either a dependent/independent position, it’s your call.
Anybody looked at doing this on the VIX… I was thinking of doing this or possibly a Long Strangle… Leaning towards the strangle due to my frustration at Obama.
…then you’d be trading forward vol of vol (calendar) - that’s going to be highly model dependent. If it were me and I was expecting increased vol in X months time, I’d just buy an SPY straddle. my2c.