Fear was heightened on Monday and Greece and then China was making news. VIX was high there and there was a trade that came into the VIX pit taking advantage of the move. As the day came to a close, VIX was at 19.66 and the July Futures were more than a point lower. Someone saw that they could sell VIX Jul 32.50 Calls for 0.25 and purchase VIX Jul 35.00 Calls for 0.15 taking in a credit of 0.10.
July VIX expiration is the 22nd so as long as VIX does not go up about 65% and the July futures follow the index to the upside this trade will be OK. If we do get a volatility spike to 35 or higher this trade ends up with a loss 2.40 a spread.