In this particular case, I'm looking to go "synthetic covered call" in VIX . In an ordinary covered call situation, you buy the underlying stock and then sell calls against that stock in order to reduce your cost basis in the shares. Here, I'm buying a long-dated, far ITM VIX call to stand in as my long stock against which I will sell calls to reduce my cost basis of my "synthetic long." (As a side note, you can't buy shares in VIX -- only options, so even assuming I wanted to go covered call, I couldn't with this particular instrument).
Currently, the Sept 21st VIX 10 call will have a cost basis of about $1035, and the May 18th short call will bring in about a $455 credit, meaning that I will have reduced the cost basis of the long option by about 44% from the get-go. The debit you pay to put the setup on is the difference between the long call ($1035) and the short ($455). Between putting the trade on and expiry, I will repeatedly roll the short call out in time, collecting additional credit and further reducing my cost basis in the long ... . Naturally, the notion is that sometime between now and September, we'll see VIX north of 14, at which time I'll look at taking profit in the setup.
Here are the metrics (what there are of them):
Probability of Profit: Unknown
Max Profit: Unknown
Buying Power Effect/Risk: $580/contract; defined
Break Evens: Unknown
Notes: The reason why the prob of profit, max profit, and break evens are unknown is because you don't know how soon VIX might break 14, how many times you will be able to roll for a reduction of cost basis, etc. You may be able to roll several times before taking profit, but the amount of credit you receive for each roll will naturally vary as the credit received will be, in part, a function of price's relationship to the 14 strike.