Paper bought 10,000 VIX Jan 18/23 call spreads & sold 10,000 VXX March 18/23 call spreads against it.?
The iPath S&P 500 VIX Short Term Futures ETN is trading at 19.03, down .36. VXX has an IV30 of 73 and an HV 10 of 79%. Today, VXX saw a large call spread swap in which a trader bought 10,000 of the Jan 18/23 call spreads and against it sold 10,000 of the March 18/23 call spreads.? The trader did a small piece of the trade in small bits then put up 7776 in one large block.? Net the trader paid 1.23 for the Jan 18/23 call spread and collected 1.25 for the March 18/23 call spread a net credit of .02 per swap.? Based on the open interest in both strikes this appears to be a roll, with the trade closing a short position in Jan and reopening the position out to march.?
The trader could be trying to buy time for his or her short call spread to work as VXX decays.? On the other hand despite the open interest there is still the possibility this was an open in Jan and the customer is looking to finance a long March positions, however that appears unlikely.
This trade should be considered a heavily short volatility play.