The biggest trade that we saw today from the CBOE’s VIX pit was a
broker buying for a customer 35,000 Nov 20-30 Call Spreads for $0.78.
November VIX Expiration is Wednesday, November 21st.
VIX closed today at 18.42, November VIX futures closed 18.10.
Breakdown of the Trade:
Buy VIX November 20 strike call 35,000 times
Sell VIX November 30 strike call 35,000 times
Risk: $78 per 1 lot
Reward: $922 per 1 lot
Total Amount of Cash Outlayed for the Trade: $2.73 million