The VIX, was trading at 12.04 with the June future trading 13.25, when 40,000 of the June 15 calls traded for .38.? This is appears to be an opening buy order as the market was .35-.40 at the time of trade.? With Non-farm payrolls due Friday and an ECB announcement due as well, a trader could be making a play on the VIX having some sort of incremental bounce.
The VIX has traded below 12.5 for almost 2 weeks now, this is an extremely long time for VIX to stay this low, although that doesn?t necessarily mean that IV is going to go to 20.? Traders looking to piggy back could consider buying the June 12.5-15 call spread for around .75 or so.? The risk reward and odds of success are better, although it has a capped upside.
This trade should be viewed as either a hedge or bullish vol, my guess is the former.