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May 21, 2013  Tue 9:15 AM CT

XLP: SEE CHART GET CHAIN FIND STRATEGIES
A large put trade tops the option activity in the SPDR Consumer Staples Fund as it lags the broader market today.

optionMONSTER's Depth Charge system shows that a trader bought 2,000 July 41 puts for $0.16 and sold 4,000 July 38 puts for $0.16. The volume at each strike was more than 10 times the previous open interest, so this was a new position.

The put spread--also known as a ratio because one leg has twice as many contracts as the other--cost $0.34 to open, which is the amount at risk if shares remain above $41. The maximum profit would be realized with the fund at $38, and below that the trader is effectively long shares. (See our Education section)

The XLP is up fractionally today at $41.43. The exchange-traded fund has been trending higher this year after finishing 2012 below $35 but has been slipping since reaching a hit a high of $42.20 last week. 
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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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