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?