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February 12, 2013  Tue 10:11 AM CT

BSX: SEE CHART GET CHAIN FIND STRATEGIES
Boston Scientific has gone a scorching run higher in recent months, but a large trade today is positioning for a potential pullback.

A trader bought 5,000 March 7 puts for the ask price of $0.07, according to optionMONSTER's Depth Charge system. The volume was twice the previous open interest, so it was a new position.

The put buying isn't tied to any trading in the underlying shares identified by our systems today, though it could be hedging against an existing long position. If it is an outright bearish play, the trader is making a cheap bet with the delta of those puts at just 0.12--meaning that there is a 12 percent probability that they will be in the money at expiration. (See our Education section)

BSX is down 0.4 percent to $7.60 this morning but has run up from support at $5 in the last three months. The medical-device maker hit a 52-week high last week and is now up against resistance that has held up for the last three years.
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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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