Huge 1 x 2 VIX Call Spread Rolled Today

Things are relatively quiet today with the S&P 500 topping 2100 for the first time in months and then losing its grip on that round number. However, despite the relative quiet a big trade hit the VIX pit just before lunch time that has traders talking. There were four legs to the trade, which turned out to be a large volatility player rolling a position from May to July. I have no idea what they have against June.

A May spread was exited –

Sell 82,129 VIX May 23 Calls at 0.43 + Buy 164,242 VIX May 30 Calls at 0.17 for a 0.09 credit on each 1 x 2 spread

Then a July spread was entered into –

Buy 100,063 VIX Jul 23 Calls at 1.50 + Sell 200,126 July 30 Calls at 0.75 for even money on each 1 x 2 spread.

I did a little digging and it turns out the May 23 / 30 Spread was entered on March 2nd. I’m guessing the same trader purchased 82,129 May 23 Calls at 2.20 and sold 164,262 May 30 Calls at 1.10 for even money on that 1 x 2 spread. This means the exiting trade on the May spread was for a profit of 0.09.

By the way on March 2nd 75,631 VIX Mar 23 Calls were sold for 0.53 while 151,262 VIX Mar 30 Calls were purchased at 0.15 each for a credit of 0.23 per spread. I can keep going back in time, but I think everyone gets the picture now. I’ll keep a close eye on the VIX Jul 23 and VIX Jul 30 Calls and when something happens I’ll report back in this space.