I am interpolating the vol surface for 6 months maturity from price data for S&P500 options. For this vol smile I compute the ATM strike. I then assume I can buy a call option at this strike, delta hedge it and hold it for one day and then close the position and the hedge. The next day I compute the price of my previous day ATM option by again interpolating a vol surface for 6 months minus one business day. I have plotted the total PnL of this strategy as well as the Vega PnL and the Gamma+Theta (GT) PnL. As expected, the GT PnL has a strong downward drift, since usually implied volatility is higher than the realised one, so there is a risk premium for the option seller. However, I am very confused about the vega PnL. I would have expected there to be a downward drift, since the vol term structure is usually upward sloping, so an option will lose a bit of implied vol by getting one day closer to maturity. I thought this was the idea behind volatility carry strategies. Also, during we are looking at, the S&P performed very well and since implied volatility is usually negatively correlated to changes in spot, I would have expected this to further pull down implied volatility. But this doesn’t seem to happen at all in the plot. In fact, periods with strong S&P performance, such as 2013-2015 and 2019 have strong Vega PnL as well.
Is there any explanation for this behaviour? enter image description here


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