Is the VIX Expecting More Upside in April?

A broker in the CBOE’s Vix Pit bought 5,000 April 17 Calls for $1.725and possible more Upside in the Vix in the future. The brokerrepresents an order from a hedge fund, mutual fund, retail bank, orbig trader. Lets give a little breakdown of the trade.

Trade: Bought 5000 April 17 Calls for $1.725
Risk: $172.50 per 1 lot
Reward: Unlimited
Breakeven: $18.725
Cash Outlay: $862,500

Lets Breakdown the Greeks of This Trade.
Deltas: Long
Gamma: Long
Theta: Short
Vega: Long

While the cash VIX was near 13.91, the April VIX Future was at 16.10, up 0.10 on the day. The 17 strike call is out-of-the-money, but maybe not that far.


Andrew Keene