Front Month IV problems in double calendars
I’m currently running a double calendar which I opened on Monday of this week, my shorts expire this Friday and my longs expire the next Friday. Price in the underlying has barely moved, IV has inflated proportionately on both my longs and my shorts and the value of the calendar has not moved an inch. When I traded single calendars, the theta decay would most definitely have kicked in especially when price revisits but that’s not happening here. For those of you who trade calendars, how would you recommend I fix this problem? I can provide details as necessary but this is a general overview!