This may be a dumb question. I'll ask it anyway. I was fooling around on TOS with options on futures and noticed that that the calendar spread position I was messing around with on emini S&P did not change it's risk profile with changes in volatility. I'm sure it's absurd, but does this actually mean than a calendar options spread, when put on using options on futures, has no volatility risk, unlike a normal calendar spread option on a stock? If so, such positions could be highly advantageous. What's the catch?
Try it using an equivalent spx position. I'm not sure but I don't think their analysis tab is really set up for futures options. I think since futures risk is calculated differently...you should get a better answer from tech support. They are pretty helpful.
No, the calendar spread will definitely be sensitive to vol. Trading horizontal spreads in futures options might require you to hedge in the underlying futures spread if the carry is large (months are far apart) I have never used TOS but i'll bet the reason it is having a problem understanding the risks is because it sees the options as settling into different underlyings i.e. it sees futuresexpiry1 as a separate product to futuresexpiry2.
You need to be very careful with calendar spreads on futures. You might be trading two completely different contracts that move independent of each other. You are exposing yourself to basis risk which can be quite large depending on the product.