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November 21, 2012  Wed 2:45 AM CT

AET: SEE CHART GET CHAIN FIND STRATEGIES
Aetna has been consolidating for more than a year, and one investor apparently wants protection on the name.

optionMONSTER's Depth Charge tracking program detected the purchase of 7,000 July 40 puts for $3.20 and the sale of an equal number of July 33 puts for $1.02. There was barely any open interest at either strike before the trade appeared, so this is a new position.

The trade cost $2.18 and will earn a maximum profit of 221 percent if the health-insurance stock closes at or below $33 on expiration. (See our Education section for more on the strategy, which is known as a bearish put spread because it leverages a move between two price points.)

AET rose 0.34 percent to $41.85 yesterday. The stock rallied about 28 percent between July and October but has been falling again this month.

Yesterday's option trader probably bought shares on the last pullback and now is using the put spread to hedge that long position. Total option volume was triple the daily average, with puts outnumbering calls by 24 to 1.
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The Strike-Based Greeks

The other Greeks (Gamma, Vega, and Theta) are calculated by using month and strike data, and not by individual option. These are called strike-based Greeks. Gamma, Theta, and Vega are all strike-based Greeks

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