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October 3, 2013  Thu 9:12 AM CT

XLB: SEE CHART GET CHAIN FIND STRATEGIES
Despite today's market selloff and rise in volatility, put selling still seems to be the popular trade, as we see this morning in the SPDR Materials Fund.

More than 12,000 XLB October 41 puts have traded, already above its full-session daily average and topping the previous open interest at that strike. Those puts were sold, with the big block of 9,500 going for the bid price of $0.24, according to optionMONSTER systems.

The put seller sees the XLB holding above $41 through mid-October, though the trader may look to close the position before the debt ceiling is hit the day before that expiration. (See our Education section)

The XLB is down 0.73 percent to $41.99 this morning, continuing to stay in its range of the last week. The exchange-traded fund was at a high of $43.78 two weeks ago and last closed below $41 a month ago.
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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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