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). 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.