Paper bought 113,000 VIX Jan 22 calls for 3.35 and sold 226,000 VIX Jan 30 calls at .95.
CBOE Volatility Index, VIX, was trading 26.21, down .80, earlier today. VIX, which has an IV30 of 118, an ADV of 540,000 contracts, and an OI of 5.15 million contracts, saw a large 1-by-2 call spread trade in January.? Paper bought 113,000 VIX Jan 22 calls for 3.35 and sold 226,000 VIX Jan 30 calls at .95.? Net paying 1.45 for the spread, the trade was untied, which means that there were deltas taken down by the trader.
This could be one of two things, and it is difficult to tell.? My sources say that no one can remember this exact spread going up the other way.? But based on the large OI the trader could have legged into the spread (traded the pieces separately).? If that is the case the trader is likely closing a trader that may have been a loser.? The alternative I would propose is that this is a trader that is taking advantage of high VVIX (VIX of VIX) As well as the spread between VIX Futures and VIX which currently stands at about 1.00.
This is sometimes called a ?pro? trade by professionals because of the nuance of the trade.? That said, if this is a hedge being unwound it did not do its job.