VIX showed signs of life last week with a move to the lower teens.  November settlement Wednesday morning came in at the highest level (13.79) since April.  However, when the week came to an end VIX finished only 0.14 higher.  The VIX futures rose slightly as well, with the farther dated futures uncharacteristically gaining more than the nearer dated contracts. 

VIX Table Term Structure

Monday with VIX around 11.50 and the November 29th VIX future at 11.90 a trader put on a position that looks like they expect a volatility move by the end of November.  Using VIX Weeklys they purchased 200 of the VIX Nov 29th 12 Calls for 1.08 and sold 200 of the VIX Nov 29th 14 Calls at 0.63 for a net cost of 0.45.  The payoffs at expiration and half way to expiration based on various prices for the November 29th futures appears below. 

VIX PO 11172017

With time value entering the equation a volatility spike half way to expiration doesn’t necessarily result in the maximum profit being realized by this spread.  However, take a look at the purple line just below where the Nov 29th futures price is being highlighted.  It’s down about 0.05 or so.  The point is that this spread will hold a good portion of value leading up to expiration.  We often see spreads like this being rolled when there is a week or so left to expiration, I have a feeling that is a result of the value being held resulting in a consistent long volatility exposure without giving up too much to time decay.