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Just wanted to follow up on my original post about ToS margin requirements on VIX calendars. First off, I violated one of the hardest rules I've learned in my short time trading, fully understand the trade before you execute. Have a pretty good handle on stock derived options, but haven't traded many futures derived options or European style options, of which VIX is both. Have learned a bit more in the past day and this still looks like a good risk/reward trade that I would be comfortable executing. That said, I had a chance to talk to ToS at length this morning and they are hard and fast on treating a VIX calendar as two separate trades and requiring margin separately for each leg. Their position is that different month VIX option have different underlings which are calculated 30 day IV numbers on a specific date for each different month, unlike options on a stock where all months have the same underlying. Therefore they treat a VIX calendar as if you were creating one calendar with options from two different stocks. I get it technically and understand that in the case of a call calendar a very quick and large spike in the VIX could lose significantly because the underlying calculated IV for the back month (long) option may not increase nearly as much as the front month and you could have a huge loss. Plus, with calls, there is technically no ceiling as to how large the spike could be. However, it's hard for me to create a scenario where a put calendar with strikes near the VIX at it's current level could see a price differential between the short put and long put that could ever get near the actual strike price (which is what their margin requirement implies). ToS wouldn't (couldn't?) give me a credible scenario that would get there. In studying up I found an old article (below) that probably explains why ToS have this policy. I've also attached an explanation from OptionsHouse on why they have the same policy. Just thought I share with others what I found. Thanks. http://online.wsj.com/article/SB123695294636919681.html http://www.optionshouse.com/blog/the-special-risks-with-vix-calendar-spreads/