VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future. 

VIX Term Structure Table

As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month.  However, it seems skipping March is in vogue among VIX traders with many of last week’s block trades looking to April.  This week’s trade review involves a common structure often discussed in this space. 

Mid morning Wednesday, a trader decided to sell VIX Apr 13 Puts 0.65, purchase the VIX Apr 17 Calls for 1.72 and complete the trade by selling the VIX Apr 22 Calls for 1.00.  The trade size was 13,500 contracts at a net debit of 0.07.  The outcome for this trade, if held to expiration, appears below.  Of course a volatility spike would probably result in some trading around this position.  
VIX PO