Good point, however I did a call spread, not an outright sell, so max risk on each done is 500-108 = 392 per. 392 * 6 = 2352 max risk overall, against max profit on the put side of 892 * 2 = 1784. Cost of the put spreads was 108 per, so assuming absolute worst case and held to expiration I'd see a loss of 2352 + 216 = 2578. Stinging but not catastrophic.
As you're probably aware, the diff between each strike on the VIX options isn't that high, and expands and contracts only slowly. So, as a practical matter, once you've done a spread the max risk on each spread would only come into play on a truly extreme and rapid move in the VIX, remembering that a rise in the implieds hits both sides of the spread, after all, firstly, and secondly the SPY put spread value would rise as well with a rise in overall implieds that a rise in the VIX is a measure of. Considering how wide I made those put spreads I'd see a nice increase in value on any increase in IV that accompanies a downmove. Overall IV on April puts according to TOS at the moment is only 15.4%, so there's a lot of room on the upside there.
Anyway, that's why I'm running the experiment, to see how all this interacts.
