I had few questions about the Calendar spread and its robustness.
By default, The design of Calendar or Diagonal are not robust enough to trade all months. Because of few factors…
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Cons. 1. Too much Vega positive. 2. Option Modelling software will not plot Calendar profile properly. 3. Gamma effect.
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Let me address, how I fixed those Cons to make it work as All-rounder profile.
1.Too much Vega positive.
This is really good on falling market but not certainly for Raising market. The Positive Vega calendar spread will blead on bullish market.
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