An institutional trader placed a reverse calendar spread trade today, which aims to profit from a large move up in SPY during the next 30-60 days followed by a correction into September-November 2021.
The reverse calendar spread was placed at 10:31am PST. The trader purchased 20K of the 30 July’21 $435 calls for $3.5m and sold the same number of 19 Nov’21 $480 calls for $1.2m (the trader paid $2.3m net for this trade). Below are the details of this transaction:
SPY, Long Calls
SPY, Short Calls
The ideal profitability path for this trade might look like this: