25,000 VIX March 30 calls were bought for .62, 25,000 more for .63 & 50,000 VIX March 35 calls were sold at .26 against it.?
The CBOE Volatility Index, when quoted at 21.27 with an IV30 of 89.70 and an HV10 of 96.25, saw a large call spread trade.? The Index with an ADV of 574,000 contracts and OI of 5.3 million contracts saw a customer buy the March 30/35 call spread.? Barclays Bank bought 25,000 of the VIX March 30 calls for .62 and 25,000 for .63 and against it sold 50,000 of the 35 calls at .26.? The trade was executed partially in the crowd but most of the trade was crossed.
This trade is most likely a hedge set up for Barclays (which runs VXX among other ETP?s) could be hedging its exposure to redemptions or creation of the etf and or the credit risk associated with the ETP.? It?s entirely a hedge against this exposure.
This trade should be considered bullish VVIX and bullish VIX.