The Feb 2018 Volatility blowup seems to be a distant memory, however those embers of levered VIX inverse carry trades can still be seen smoldering around in different area of the VIX markets , namely the July Options on the VIX futures. There is news about a 200k block of a July 25-40 call spread with roughly a 6:1 payout. This means the trader is betting on a maximum payout of close to USD 300 million on a USD 40-50 million premium outlay. The eerie similarity between where the VIX front end- 3m curve in Jan of 2018 vs April 2021 portends a move that could be out of the ordinary. The spot -3m contango in Jan 2018 was about 5 points vs 7 points today . Negative carry is the harbinger of positive pain !
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