When VIX is at 10 and SPX is near all time highs, I like Call out-of-the-money Back spreads . Here is the trade in SPX at the $2390 price: Buy 2 June 19 2450 Call and Sell 1 June 19 2420 Calls for $3.40 Credit.
Position Greeks: Deltas -3 Gamma .21 Theta -4.70 Vega 71. Total Risk or Margin $2600. Total potential Yield if SPX under 2420 at Expiration in 38 Days is 14% ( credit divided by Risk or Margin).
Vega and Time Decay Risk
Because of the Vega and Time Decay Risk, would only stay in this trade till next Thursday or Friday. Looking for about 6% profit on risk of $ 2420 or about $145. Just executed this trade live at 2:11 pm central time on Friday ( today) May 12. Watch Blog next week for updates on this trade.