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April 12, 2013  Fri 11:17 AM CT

GLD: SEE CHART GET CHAIN FIND STRATEGIES
As gold plunges to a 22-month low, one large trader sees even more volatility ahead.

optionMONSTER systems show that a trader bought 25,000 April 140 puts in the SPDR Gold Shares Fund for the ask price of $0.51. The volume is more than double the previous open interest in the strike, clearly showing that this is a new position.

Less than a minute later, a block of 450,000 shares of the GLD was bought for $145.90. The combination of stock and options creates a delta-neutral trade that is betting on higher volatility in the shares and/or a sharp move in either direction. (See our Education section)

The GLD is down 3.62 percent to $145.59 this afternoon, its lowest level since June 2011. Shares were trading at $174 in early October. 
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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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