High VIX SPX Options Trades: Calendars, Put Spreads and Butterflies
With VIX near 27, Dan Sheridan models three 21-day SPX trades (a calendar, a 20-delta put spread and a 70/65 broken wing butterfly) and how he manages each.
When VIX is high, the same delta sits farther from the market. On the day Dan Sheridan recorded this video, with VIX near 27, a 20-delta put three weeks out sat about 375 points below SPX. With VIX at 15 to 18, he estimated the same delta would be only about 250 to 300 points away. The catch, as Dan put it: the room is there because the market is going down.
Dan, a longtime Cboe veteran, used the Option Omega modeling tool to walk through three defined-risk SPX trades he was using in a high-VIX market: a calendar, a put credit spread and a broken wing butterfly he calls the “Sherman Tank.” His goal was to give viewers a feel for how each trade looks when VIX is high, and how that differs from a calmer market with VIX around 17.
The market on the day
Dan recorded on Friday, March 6, 2026, about a week into the war with Iran. SPX was around 6750, down roughly 80 points on the day, and VIX had jumped about 3.5 points to around 27. SPX had spent 2026 in a range of roughly 6775 to 7,000 and was just below the bottom of it.
All three trades are 21 days to expiration. Dan likes more duration when the market is volatile, and he doesn’t do a lot of trades going into a weekend. When he does, he likes to be a couple of weeks out, so a 100-point move on Monday is manageable. All three are range-bound trades, which need some kind of range to work.
What counts as “high” VIX
Dan’s comfortable VIX range over the past year, leaving out April’s spike to about 50, is roughly 14 to 23. Above 23 or 24, he is more careful with range-bound trades. He wants to sell high volatility, but not “when the world’s ending.” He wants to see some stability first.
Trade 1: the calendar spread
| Leg | Strike | Expiration |
|---|---|---|
| Sell | 6750 (near the money) | 21 days |
| Buy | 6750 | 25 days |
The debit is the max risk, about $840 in this example. Dan typically plans to hold a calendar for about 30% of the short option’s duration, which here is about a week. A week in, the model showed the trade could theoretically be up roughly 20–25% in much of the profit zone, because the 21-day short decays faster than the 25-day long.
The upside of high VIX: the break-evens are much wider. The lower break-even was about 6570, roughly 170 points below the middle of the graph near 6740. With VIX at 20, Dan said the profit area might be much narrower.
The risk: a calendar is long vega. This one had vega of about 58, meaning a one-point change in implied volatility moves the trade about $58. Using Option Omega’s per-expiration volatility controls, Dan showed that if the longer-dated option’s volatility falls more than the short’s, the trade can get hurt.
Dan said calendars had been working pretty well for him for most of the year, with VIX in the 20 to 24 area, because volatility stayed “sticky.” His tip: he doesn’t normally open calendars on a day VIX is up. On the day he recorded, with VIX up 3.5 points, “ain’t no way I’m putting a calendar on today.” Not that it wouldn’t work, he said, but because it’s a long-vega trade, he would rather open it when volatility is down.
Trade 2: the 20-delta put credit spread
Dan prefers to open put credit spreads on down days. It takes “a little bit of intestinal fortitude” and some contrarianism.
| Setting | Value |
|---|---|
| Days to expiration | 21 |
| Short put | 6370 (20 delta) |
| Long put | 6350 |
| Width | 20 points |
| Credit | About $270 |
| Max loss | About $1,730 |
| Potential yield | About 15% (270 / 1,730) |
| Room to short strike | About 375 points |
Dan reads the 20 delta as about a 20% chance of finishing below 6370 in the next 21 days. He noted that smaller or newer traders could go 5 or 10 wide instead of 20.
He is clear that the risk/reward on its own is not great. Higher probability means worse risk/reward, and vice versa. In his view, neither is better; it comes down to how you manage the trade. Higher VIX gives a somewhat better credit, but he sees the main benefit as the extra room.
Risk management: 10% target, 20% max loss
This is one way of many to manage the spread, and Dan uses it only for this type of trade, not for butterflies or calendars.
- Profit target: about 10% of the capital. 10% of $1,730 is about $170. Sold at $2.70, he would buy it back around $1.00.
- Max loss: about 20% of the capital. 20% of $1,730 is about $340. That means if the spread sold for $2.70 reaches about $6, he buys it back.
Why 20% and not tighter? A 20-delta put has about a 20% chance of finishing in the money, but Dan puts the chance of price touching the strike at about 40%. He wants to let the trade breathe. A 15% stop sounds better, but in his view it would produce more losers, because the trade often hits down 15% and comes back.
Aiming for the full credit is fine too, Dan said, but it means staying in the trade longer, which gives SPX more time to move.
Trade 3: the 70/65 broken wing butterfly (“Sherman Tank”)
| Leg | Strike | Distance from short |
|---|---|---|
| Buy | 6680 call | 70 points below |
| Sell | 6750 calls (at the money) | — |
| Buy | 6815 call | 65 points above |
Dan sells at the money because that is where options carry the most extrinsic value. The lower wing is 70 points wide and the upper wing 65, so the butterfly is unbalanced, or broken wing. In a balanced butterfly, both wings are the same distance from the short strike.
The position came out about half a delta short. For SPX, Dan considers plus or minus one to two deltas to be delta neutral. It is short vega and positive theta, with about $12 of theta at the start.
He likes this butterfly once VIX gets above about 17 or 18. In his view it is a little stronger to the downside. The model showed it could handle a lot of heat to the downside. There was a little red on the upside, but Dan expects volatility to come down as the market rises, and lowering volatility in the model turned that area green.
Using the modeling tool to learn the Greeks
Dan likes the modeling tool as a teaching aid. Users can step time forward, zoom in on a price range, change volatility, view the graph in 2D or 3D, and look at each Greek on its own. On the butterfly, theta was highest in the middle of the graph, fell as price moved away, and grew as time passed from 21 days to 14.
He ran out of time before covering an iron condor. For his iron condor framework, see iron condors explained: strikes, deltas and where trades go wrong.
Key takeaways
- High VIX gave more room on the day he recorded: about 375 points to a 20-delta short put three weeks out, versus the roughly 250–300 Dan estimated with VIX at 15 to 18.
- Dan doesn’t treat the extra room as a free lunch. He wants high volatility with some stability, not a market that is still falling apart.
- Calendars: wider break-evens in high VIX, but they are long vega. Dan doesn’t normally open them on a day VIX spikes.
- Put credit spreads: one way Dan manages them is a 10% profit target and a 20% max loss on the capital, to give the trade room to breathe.
- The 70/65 broken wing butterfly is a defined-risk trade Dan favors once VIX is above about 17 or 18.
Model and test these trades
You can build each of these trades in Option Omega’s modeling tool to see how time and volatility change the graph, then backtest them with VIX filters, profit targets and stop losses to see how the rules held up across past high-VIX periods.
Watch the full video: High VIX Trading: SPX Options Money Makers.
Trades in this post were modeled, not backtested. It is educational only, and options trading involves substantial risk.
