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
Cash Outlay: $300,000
Lets Breakdown the Greeks:
This is a great reward vs risk trade, but since the delta is so low most likely this trade will expire worthless.
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Full Disclosure: I am still long the March-Feb 15 Call Spread for $1.00