Season of Fear?

Do options traders sense a holiday massacre?

There was a massive trade that went up on Vix options at the December expiry. Specifically, one customer sold 28,000 of the December 45-strike calls and then bought 56,000 of the December 60-strike calls.

Basically, this customer is betting that the VIX will stay below the 45-level by December expiration. However, if volatility goes crazy, said investor would profit as he/she is long those 60-strike calls.

"Basically, this customer is saying heads I win, tails I win," said "Options Action" contributor and Cantor Fitzgerald's Mike Khouw.

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