Paper bought 60,000 VIX Sep 13/15/19/21 iron condor, collecting 1.04.
Earlier today, the CBOE Volatility Index was trading 15.75 with an IV30 of 96.17 and an HV10 of 290 (in the cash not the futures).? A customer executed an iron condor in September in the index that averages 600,000 contracts a day and has OI of just under 6.5 million.? With the September future around 1950, a customer bought 60,000 of the Sep 13 puts for .13, sold 60,000 of the Sep 15 puts at .55 sold 60,000 of the Sep 19 calls at 3.00 and bought 60,000 of the Sep 21 calls for 2.40.? Net the customer collected 1.04 on the Sep 13/15/19/21 iron condor.
The customer thinks that over the next three months VIX is likely to stay in a range between 15 and 19, and over that time the Sep future will slowly meander lower toward the middle of this iron condor.? With a payout ratio of better than 50/50 the customer only gets beat of VIX settles above 20.04 or below 11.96.?
This trade should be considered neutral to slightly bearish VIX and aggressively bearish VIX volatility.