I'm slowly grinding my way toward intuition and possibly action... I'm trying to stress-test a position. In this example, it is a bull call spread on SPY. Long 427 call expiring Dec 17, IV 18.9%, 59 delta Short 434 call expiring Oct 29, IV 16.7%, 49 delta I test 4 end-member cases (over 16 days): SPY falls from 434 to 420, vol flat SPY rises from 434 to 446, vol flat SPY flat, VIX drops from 20 to 17 SPY flat, VIX rises from 20 to 27 (I realize that in reality you can't decouple the price and IV, but still.) Here's the P&L of the 4 cases (dotted lines). The solid lines are the price curves corresponding to the same color P&L. Is there anything else, beside price and vol, I should be perturbing for this kind of analysis? Is this analysis even valid, in your view?