Interesting VIX Trade

Early this afternoon, Paper bought 20,000 VIX March 25-30 Bull Call Spreads for a $0.425 debit, when the March Futures were trading $18 even. Paper is an order from a hedge fund, mutual fund, retail bank, or big trader. Lets breakdown this trade:

The Trade: 

Bought 20,000 VIX March 25 Calls

Sold 20,000 VIX March 30 Calls for $0.425 each

Risk: $42.50 per 1 lot

Potential Reward: $457.50 per 1 lot

Breakeven: $25.425

Total Cash Outlay: $850,000


Delta: Long

Gamma: Long

Theta: Short

Vega: Long


Andrew Keene

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