It Seems as if All They Do is Buy Upside Call Spreads …

With the Cash VIX last at 13.16, Paper (a hedge fund, mutual fund, retail bank, or big trader) bought 10,000 of CBOE’S Vix March 18-21 Bull Call Spreads for $.30 (buying 10,000 of the March 18 strike calls and selling 10,000 of the 21 calls).

This is a bullish trade, so lets look at the breakdown of this trade.

VIX is 13.16, March VIX Futures are at 14.95.

Risk: $30 per 1 lot
Reward: $270 per 1 lot
Breakeven: $18.30
Cash Outlay: $300,000

Lets Breakdown the Greeks:

Delta: Positive
Gamma: Positive
Theta: Negative
Vega: Positive

This is a great reward vs risk trade, but since the delta is so low most likely this trade will expire worthless.


Andrew Keene

I talk a lot about Unusual Options Activity in our LIVE Trading Room

Full Disclosure: I am still long the March-Feb 15 Call Spread for $1.00