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February 26, 2014  Wed 3:47 AM CT

FXI: SEE CHART GET CHAIN FIND STRATEGIES
A large trade is looking for a sharp move higher or lower in the iShares China Large-Cap Fund.

optionMONSTER's Depth Charge tracking system shows that 29,450 August 30 puts were bought for the ask price of $0.91 yesterday. This is a new position, as its volume is well above the strike's previous open interest of 17,514 contracts.

Just afterward, a block of 556,600 shares was bought for $34.79. That would make the overall position delta-neutral and therefore focused on a big move in either direction and/or higher volatility than that implied by the options' price. The implied volatility of the puts is 28 percent, just a bit above the FXI's 10-day historical volatility. (See our Education section)

The FXI fell 1.73 percent to $34.70 yesterday. The exchange-traded fund has been trending lower since hitting a 52-week high above $40 in early December.

More than 162,000 FXI options changed hands on the day, more than twice its daily average for the last month.
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The Movement of Delta

In our last column, we spoke about delta. You might remember that we discussed what delta was and what factors affected or changed delta. As you recall, we stated that three factors will have an effect on delta. They were movements of time, volatility, and underlying price. Today, we want to take a further look into the change of delta, this time focusing on change due to the movement in the underlying price. 

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