Investor Makes Mammoth VIX Bet That Could Pay Out $265 Million Big bet on a powerful resurgence in market turbulence sees ‘fear gauge’ at 25 by October https://www.wsj.com/articles/invest...bet-that-could-pay-out-265-million-1500917145
Just as VIX is well on its way to hit a new all time closing low... If Oct VIX futures end up settling arnd where we are now, this trade will lose arnd $67mio.
This trade's risk isn't necessarily limited to the number I've given. Its reward, on the other hand, is capped at the max given in the OP's article. This is what the payoff looks like at expiry:
And you have to be crazy precise to earn that reward. When does the VIX hit 25 and vix vol (and vixset volatililty) remain low?
is it possible that the news services got the side wrong? the other side sounds a lot better as a tail hedge.