The problem is that VIX calendar is not a "standard" calendar where the only capital requirement is the debit paid. Your risk is not similar to regular calendar spread. You may lose more than the debit you pay for. The reason is that VIX options are priced based on VIX futures, not VIX cash index.
Regular long calendar spreads don’t require margin. Your cost is the debit you pay. However, VIX calendar spreads requires margins. How to calculate margin requirement for VIX calendar spreads?
Margin requirement varies between brokers. I'm using IB (Interactive Brokers), and I believe they offer the most reasonable margin requirements: $150 per spread. Same requirement for put and call calendars and all strikes.
So what was the gain in our case?
We paid $0.25, but the capital requirement was $175 ($25+150). $55 gain equals to 31.4% gain, and this is what we will be reporting in our performance.
This was our seventh VIX winner this year. Previous winners included 65.5%, 38.9%, 22.2% gains, among others. All gains have been calculated using margin requirements.
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