VIX Trade of the Day

This trade was done a little earlier today. At 2:00pm CST the VIX Cash was trading at 15.40, off 1.01. December VIX Futures were at 16.85, down 1.35.

An Institutional client bought 35,000 of the VIX December 16 – 23 Call Vertical Spreads (bought the 16 strike call, sold the 23 strike) for $1.50. December VIX Expiration is Wed. Dec 19th. This 7-point bullish vertical spread shows the following:

Risk: $150 per 1 lot

Reward: $550 per 1 lot

Breakeven: $17.50 (long 16 strike call plus 1.50)

Cash Outlayed: $5,250,000 above numbers exclude transaction costs.


Delta: Positive

Gamma: Positive

Theta: Negative

Vega: Positive

Directional Bias: Bullish


Andrew Keene


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