My Trade: Buying the June-May 15-20 Call Spread Swap (same as buying the June 15-20 Call Spread and Selling the May 15-20 Call Spread for $.10 debit)
Risk: $500 per 1 lot
Reward: $500 per 1 lot
Goal of this Trade: Vix May Futures expire at $14.90 and June Futures stay at $18. The front month Call Spread will go to zero and the back month Call Spread will be worth around $3.
Greeks of this Trade:
Delta: Short
Gamma:Short
Theta: Long
Vega: Long
—
Andrew Keene
President/Founder
Andrew@KeeneOnTheMarket.com