were you short the June because it had such a higher vega than March? I'm thinking June's vega is also higher (as well as its IV) because it has its own earnings date. I'm assuming Apr's IV will collapse more inline with March than Jun (Jun will hold up better).
Yes, I am short the June's because of high Vega. Anyway I wrote down all IV's so I can compare tomorrow. Did the same for HPQ.
closed today near midpoint (worst case). $100 loss per spread. IVs were 43% on both months. Conclusion: double reverse calendar is a way to go long a straddle but with reduced IV collapse risk, in exchange for limited reward. That as well as the typical reverse calendar is not an effective way to bank on IV collapse unless you can find high IVs and decent premium at a distant and unlikely strike. It also is directional. I think selling atm front month straddles and hedging with either same or distant month strangles is the way to this. Likewise you can be more directional and sell credit verticals in the front month as well. PS: for CRM trade, I readjusted and covered my short Mays and resold short Apr 55s. But I'm heavily biased short already.
I am still holding here, at a loss as well. Stock unchanged is worse case scenario. I have not had time to review IV crush yet.