I was playing around with different expiration combinations for a calendar spread in SPX and I came across an oddball combination that seems to make a glitch in the TOS projection of the T+0 line and P/L calculation
Looking at the monthly 15 OCT 84 DTE and 29 OCT on the 4350 Put strike the price for the calendar is 14.35 Delta is -.36 Theta is 41.4 Vega is 677 and the p/l is around 6.60 This is after the market is closed
So comparing that to the weekly OCT 85 DTE which is just one extra day and keeping everything else the same I get
Delta is -.33 Theta is 42.9 Vega is 663 and the p/l is around -1.42
So as you can see the greeks and pl are fairly close but now let's see what happens when I advance the date by one
The biggest difference is a huge jump in p/l to 571.82 for the monthly and actually even lower for the weekly to -2.82
It's only after this hiccup start that the p/l would continue to advance with the normal theta value for both
It is also messed up when going backward I get 484 with -1 date for the monthly and -86 for the weekly
Again continuing lower will be at the theta rate
I was wondering if anyone has an explanation for this
Looking at the monthly 15 OCT 84 DTE and 29 OCT on the 4350 Put strike the price for the calendar is 14.35 Delta is -.36 Theta is 41.4 Vega is 677 and the p/l is around 6.60 This is after the market is closed
So comparing that to the weekly OCT 85 DTE which is just one extra day and keeping everything else the same I get
Delta is -.33 Theta is 42.9 Vega is 663 and the p/l is around -1.42
So as you can see the greeks and pl are fairly close but now let's see what happens when I advance the date by one
The biggest difference is a huge jump in p/l to 571.82 for the monthly and actually even lower for the weekly to -2.82
It's only after this hiccup start that the p/l would continue to advance with the normal theta value for both
It is also messed up when going backward I get 484 with -1 date for the monthly and -86 for the weekly
Again continuing lower will be at the theta rate
I was wondering if anyone has an explanation for this