Thanks for the reply/replies atticus. A calendar spread as you described would have the greek characteristics that I want. Has anyone seen studies on the es return versus change in IV or VIX on a daily or intraday basis. How has this relationship changed over time or has it been stable? What would you estimate the parameters of the equation to be (IVreturn = a + b(ESreturn))? To begin with is it even a linear relationship? With change in IV being so closely linked to ES return, I think it would be interesting to discuss how to embed that relationship knowledge into our trading positions/decisions.