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February 26, 2013  Tue 10:40 AM CT

CAT: SEE CHART GET CHAIN FIND STRATEGIES
A large trader is looking for higher volatility in Caterpillar.

optionMONSTER's Depth Charge system shows that a trader bought 3,000 January 60 puts for the ask price of $1.50. The volume was twice the strike's open interest before the session began, clearly showing that this is a new position.

Less than a minute later, a block of 30,000 CAT shares was purchased for $89. The delta of the options was -0.1, so this would make the overall position market-neutral and thereby focused on volatility rather than the stock's direction. (See our Education section)

CAT is up fractionally today at $89.19. The construction-equipment giant gapped higher on the first day of the year and tested resistance just below $100 at the start of February, but it has been falling since.

More than 24,500 CAT options have already changed hands today, compared with a full-session average of 15,440 in the last month.
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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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