Vix More Upside Direction?

I watch all the unusual options activity and often watch the volume in the VIX to help my trading.  Today, paper (hedge fund, mutual fund, retail bank, or big trader) bought 20,000 VIX May 18-23 Bull Call Spreads for $.42.

Lets break down this trade:

VIX cash at 14.70 and May VIX Futures near 14.88:

Bought 20,000 VIX May 18 strike calls

Sold   20,000  VIX  May 23 strike calls  for $0.42 per spread

Risk: $42 per 1 lot

Reward: $458 per 1 lot

Breakeven: 18.42

Total Cash Outlay: $840,000

Greeks of this Trade:

Delta: Long

Gamma: Long

Theta: Short

Vega: Long

example excludes transaction costs.

 

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Andrew Keene

keeneonthemarket.com

Andrew Keene was an independent equity options trader on the Chicago Board Options Exchange for 11 years. He spent most of that time as a market maker in over 125 stocks, including Apple, General Electric, Goldman Sachs, and Yahoo. From 2006-2009, Andrew was the biggest, independent on-the-floor Apple trader in the world…