nice tradin, can you explain this to someone with a lower iq. "I know what you mean as if the var drops so will the puts as the vol of vol won't exceed the convergence, but the calls will drop to compensate"
That if variance is low then the puts can suffer as well, even under the convergence of Nov to the lower cash number. Var is actually fairly high as we're rally big numbers. We're now ITM which results in peak gamma. SPX falls, vol/var(usually) up, VIX up. Smile more pronounced. Skew mitigated slightly by stickiness (as 20-strike becomes ATM/ITM). A lot of moving parts in reality, but not an issue for a quick flip of a few days. I'd wish I'd held it here and would've been better off selling Nov outright.