Has the VIX Finally Bottomed?

Paper (a hedgefund, mutual fund, retail bank or BIG trader) initiated a 3 way trade in VIX Options earlier today.

They bought 35,000 VIX April 17-18 Bull Call Spreads and sold 35,000 April 13 Puts for even money.

The reasong behind this 3-way trade might be that they feel the VIX (cash VIX closed today at 13.53, up 0.05, while April VIX futures closed at 15.55, unchanged) may have hit bottom, and could drift higher in the next 45 days. This trader would be LONG the Vix under 13 and have risk below that level, but also be long the VIX between 17 and 18.

The Trade: 

Customer bought 35,000 VIX April 17 calls and sold 35,000 April 18 calls, also selling 35,000 April 13 puts for even money

Risk per 1 lot: $1300

Reward per 1 lot: $100 per 1 lot (if VIX above 18 at April expiration)

Breakeven: 13 – 17. All long and short options would expire if April VIX closed between 13 and 17.

Greeks of this Trade:

Delta: Positive

Gamma: Negative

Vega: Negative

Theta: Positive


Andrew Keene



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