*** ALL THINGS MONEY >>>> ATM ***

[griff]

One trader came into the VIX pit mid-day on Friday with what could be considered a massive trade.
With VIX at 9.76 and the standard October contract at 13.70 someone came in with a three-leg bullish trade on VIX. They sold 262,441 VIX Oct 12 Puts for 0.75, purchased 262,441 VIX Oct 15 Calls for 1.45 and then finished things up with a sale of 524,882 VIX Oct 25 Calls at 0.45.
The result is a spread that is short 1 12 put, long 1 15 call and then short 2 25 calls for a net credit of 0.20.
The payoff below depicts this trade at October expiration along with an assumption of how this would work based on different October VIX futures pricing half way to expiration.

http://www.cboe.com/blogs/options-hub/2017/07/21/weekend-review-of-vix-futures-and-options---7-17-2017---7-21-2017