Beginning back in the spring there was a very large 1 x 2 VIX Call spread that was rolled from month to month for several months. With the excess volatility it appears the trade was exited earlier this week. But that is apparently not the end of the story….
Yesterday there was a buyer of about 92,000 VIX Oct 15 Calls for 8.00 who sold about 184,000 VIX Oct 21 Calls at 4.80 which boils down to a credit of 1.60 per spread. The payoff, if held to October expiration, appears below[...]