A week or so back (2nd April) I sold a calendar put spread for DCX. Sold the April 45 puts for average 3.69 with stock at 43 and IV of 94%. Then bought the Jul 45 puts for average 4.63 with IV of 42%. The months were traded in the ratio of 7 short Aprils to 10 long July's. The p/l curve was very attractive, with a profit at all levels below 50, and I reasoned that if the stock price fell the IV would increase making the curve even more attractive. Price has fallen to 40.63 but IV for the July has dropped from 42 to 28, and the position is underwater - only by a small amount I admit, but never-the-less it is really frustrating to see the price move in what should be an advantageous way and for the position to be severely damaged by the IV crush. How would you guys have played it? How can I spot the potential for an IV crush? IV of 42% was not high for DCX. How would you play it now? I'm tempted to buy back the April 45's which are ITM (price 4.3/4.5) with stock at 40.55/40.64 (so time value negligible). Then just play the long puts, maybe turning it into a spread by selling the July 40's for 2.1. Another thought is having bought back the Aprils, sell (say) 20 July 40 puts, and buy 10 July 35's to turn it into a butterfly, and then deltahedge with stock. Any ideas gratefully received.