A trader bought 40,000 Jan '12 $5 calls at $0.58, sold 40,000 Jan '12 $5.50 calls at $0.37, and sold 40,000 Jan '12 $4 puts at $0.23 for a credit of $0.02 or $80,000.
As you can see from the graph above, the bull vertical risk reversal is basically a bull vertical call spread that is partially financed by selling the $4 puts. Since we are naked long the puts, our max risk is being put the stock if the underlying drops below $4. The max risk is $15,920,000 if the stock goes to zero. The max gain would occur at or above an underlying price of $5.5 where the spread would be worth $2,080,000. Above an underlying price of $5.5, both the long and short calls would be in the money, therefore, limiting the profit potential. The break even price of the underlying is $3.98.
The line shown in the chart above is the underlying break even price. The 52-week range for C is a low of $3.34 and a high of $5.15. Citigroup traded 636,255 contracts today compared to an average of 813,793.