The long calendar spread is taught as a positive theta, positive vega trade. The spread’s positive vega exposure means it should profit from an increase in implied volatility.
There’s just one problem.
In this video, we’ll show you exactly why a long calendar spread position is NOT long volatility.
More specifically, you’ll learn how long calendar spreads can:
1. LOSE money from increases in implied volatility.
2. MAKE money from decreases in implied volatility.
We’ll show you real trade examples to prove these concepts to you.
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