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February 5, 2013  Tue 2:45 AM CT

EEM: SEE CHART GET CHAIN FIND STRATEGIES
A large trader is apparently expecting a sharp move in iShares Emerging Markets Fund.

optionMONSTER's Depth Charge system shows that a trader bought 8,500 September 36 puts for $0.65 yesterday. This clearly a new purchase, as the volume was more than 9 times higher than the strike's open interest of 908 contracts before the session began.  

A minute later 119,000 shares of EEM were bought for $44.05. Combined with the puts, this creates a so-called delta-neutral strategy that is betting on higher volatility. This means that the trader is looking for a big move either up or down in the exchange-traded fund. (See our Education section)

The EEM fell 1.31 percent to $43.92 yesterday, its second-lowest close so far this year. It hit a 52-week high of $45.33 on the first day of 2013 but has been slowly losing ground since.
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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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