SPCX Volatility Term Structure: How to Trade Event Risk
SPCX vol term structure is unusually steep around scheduled events (Starship tests, earnings). Calendar spreads exploit the shape.
Front-month IV
78%
6-month IV
54%
Event-month IV spikes
+15 vol pts
Reading the term structure
SPCX's vol term structure is downward-sloping from 78% (30-day) to 54% (180-day), with localized spikes in months containing known events (Starship test windows, earnings prints). The shape rewards calendar-spread structures that sell the rich front-month vol and buy cheaper longer-dated vol.
Standard structure: short front-month at-the-money straddle, long 90-day at-the-money straddle. Position is theta-positive (collects time decay) and short front-month vol. Risk: a major surprise inside the front month spikes both legs but the front-month leg moves more.
Key takeaways
- Downward-sloping term structure rewards calendar spreads
- Event-month spikes create localised mispricings to fade
- Theta-positive structures benefit from IPO-era IV decay
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