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January 14, 2013  Mon 9:57 AM CT

EEM: SEE CHART GET CHAIN FIND STRATEGIES
Huge call volume tops today's option activity in the iShares Emerging Markets Fund, but it doesn't appear overly bullish.

More than 262,000 EEM contracts have already changed hands, with action focused on the February 45.50 strike. A trader sold blocks of 113,000 and then 25,000 calls for the bid price of $0.36 in volume that was well above the previous open interest of 17,525, clearly signaling new positions.

The call selling appears tied to large purchases in EEM shares, which saw blocks of 3.955 million and 1.113 million bought around the same time for $44.50 and $44.47 respectively. So the combination of stock and options appears to be a delta-neutral strategy looking for actual volatility to be less than that implied by the options. (See our Education section)

The EEM is trading at $44.55, up fractionally on the day. The stock hit a high of $45.33 on the first trading day of 2013 and is in the middle of its range of the last couple of weeks.
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The Strike-Based Greeks

The other Greeks (Gamma, Vega, and Theta) are calculated by using month and strike data, and not by individual option. These are called strike-based Greeks. Gamma, Theta, and Vega are all strike-based Greeks

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