📝Seen Large Buying Of VIX February Calls: UBS Strategy

On Friday, over 500k. of February VIX calls were bought across the 15, 16, 17, and 18 calls, spending $40 mh premium and buying $15 mn Vega. This flow is different than past large VIX call buying, as the strikes are in the mid-teens, ratter than mid-20s, meaning they will rapidly pickup delta on a moderate S&P pullback and could result in a dealer short-gamma vol squeeze. Additionally, the desk has usually seen these positions built over a few weeks, so very atypically to have all the buying in one day. - UBS Strategy