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 along with yesterday's close for standard Sep VIX Futures and spot VIX.
There is no way of being certain that the same entity behind this trade is the same group involved in the 1 x 2 that was rolled several times this year and then exited earlier this week. However, assuming it is and it continues to be managed in the same manner, there will be a roll sometime in early October. Needless to say I’ll be keeping an eye on the VIX Oct 15 Calls and VIX Oct 21 Calls and if anything changes I’ll report back in this space.
For information on the origin of this trade check out the blog linked below -