VIX was higher last week, but on the chart and table below that’s all that moved up.  The entire curve was lower as the steep contango that everyone has been talking about got a little less steep.

VIX Curve Table

On Friday, the biggest VIX option trade appears to be expecting VIX to rally sometime in the next few weeks and take the September futures with it.  With spot VIX around 11.50 and the September VIX futures around 15.00 someone came in and purchased the VIX Sep 17 Calls for 1.24 while also selling the VIX Sep 20 Calls for 0.81.  The result is a bull call spread that cost 0.43 and can make up to 2.57 if VIX settlement next month starts with a ‘2’.