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April 11, 2014  Fri 11:13 AM CT

HZNP: SEE CHART GET CHAIN FIND STRATEGIES
A large trader is looking for a sharp move in Horizon Pharma.

optionMONSTER systems show that 5,000 May 13 calls were purchased for $1.55, above the listed ask price at the time on an already-wide bid/ask spread. This is clearly a new position, as the previous open interest at that strike was just 167 contracts.

Less than 2 minutes after the calls were bought, the session's biggest block of HZNP stock traded as 250,000 shares were sold for $12.60. That exactly matches the delta of the calls, so this is a directionally neutral play that is looking for a sharp move in either direction and/or for volatility to be higher than that implied by the options' price. (See our Education section)

HZNP is off fractionally at $13.02 in midday trading. The arthritis-drug developer briefly traded above $18 three weeks ago at a record high. The stock has been trending higher since August, when it was as low as $2.11.
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Education & Strategy

Gamma

As we continue to discuss the Greeks, we come to the first of the strike based Greeks called Gamma. Gamma is known as the second derivative, while delta is the first.

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