VIX Credit Spread With April Options

Paper (an order from a hedge fund, mutual fund, retail bank, or big trader) sold 3500 CBOE’s Vix April 20-26 Bear Call Spreads for $.325.

Lets check out a breakdown of this trade:

Trade: Selling April 20-26 Bear Call Spread for $.325 (selling the April 20 VIX call and buying the April 26 VIX call).

Risk: $ 5.675 per 1 lot

Reward: $32.50 per 1 lot

Breakeven: $20.325

VIX cash was last at 13.23, while April VIX Futures were at 15.19.

Greeks of the Trade:

Delta: Short

Gamma: Short

Theta: Long

Vega: Short

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Andrew Keene

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