Ive been doing some calendars and I have a question about the skew on index options Now I trade the XJO options on the ASX, probably the equivalent of the SPX options. There are futures on the XJO called SPI options, probably the equivalent of the Emini S&P options Now Ive been told that when you trade calendars be careful to avoid trading the futures options when the underlyings are on different contracts i.e. be careful doing a Mar/Apr calendar on the Emini as the Mar uses the Mar futures as the underlying and the Apr uses the Jun futures as the underlying - as the skew can blow out during the life of the trade Now as I understand it the SPX is based upon the price of the S&P500 index so if you do a Mar/Apr calendar the skew should maintain its form during the trade I placed a small trade - Mar/Apr calendar on the XJO options and Ive noticed the skew has started to be quite volatile - so Ive been following the SPI equivalents and the skew on the XJO options seems to mimc the skew on the SPI Now does anyone have an explanation for this? Does the SPX options skew follow the Emini options skew, or the other way around? Is the skew there so that it stops traders arbing between the cash and futures options around these quarterly expriries? If the SPX options are based on the S&P Index, should there be no real skew between the serial months and quarterly months? Thanks for any replies Cheers Pinozi