Bullish VIX November Call Spread Goes Up

As of mid-day, today’s biggest trade in the VIX was the Nov 22-25 Call Spread. An institutional client bought 20,000 VIX Nov 22 calls and sold 20,000 VIX November 25 strike calls, the bullish spread costing $0.30.

Let’s breakdown this trade:

Trade: Bought the VIX Nov 22-25 Call Spread for $0.30 debit (20,000 times, or $600,000).

Risk: $30 per 1 lot

Reward $270 per 1 lot (with VIX settling at 25.00 or higher)

Breakeven: 22.30

Notes: Paper (institutional client) bought 20,000 of these call spreads. 

November VIX expiration is late, it’s Wednesday November 21st. That’s the week after regular (3rd Friday) option expiration, and is the day before Thanksgiving. VIX had a big range today, trading as high as 17.98 before closing on the low of the day at 16.62, off 0.44 in the Monday session. The November VIX Future last traded at 17.35, off 0.25 after trading as high as 18.14 earlier in the session. The VIX overall volume was roughly 300,000 contracts today.


Andrew Keene


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