Hedging under illiquidity

Hedging under illiquidity - Pl. comment

How to Identify Calendars Spreads Implied Volatility is High

If the price is held constant and the time to expiration is fudged than if the resulting difference between the implied option expirations at different expiration are closer they are actually, then they can be used for a Calendar spreads since if there is a large decline of implied volatility that would impact the option further from expiration, the one closer would also lose a large amount at least by expiration.

Suminda Sirinath Salpitikorala Dharmasena