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December 24, 2012  Mon 2:45 AM CT

MCK: SEE CHART GET CHAIN FIND STRATEGIES
McKesson hit an all-time high last week, and now one trader is expecting a sharp move up or down by pharmaceutical-service company.

optionMONSTER systems show that 2,000 May 92.50 puts were bought for the ask price of $2.70 on Friday. This is clearly a new position, as open interest in the strike was just 95 contracts at the beginning of the day. The delta of the options was -0.31, so the total delta of the position is -62,000.

One minute after the puts were bought, 62,000 MCK shares were bought for $97.8807. That would make the position delta-neutral, a long-volatility trade that would profit from a big stock move in either direction. (See our Education section)

MCK finished Friday at $98 even, down 1 percent on the day but up fractionally for the week. Shares have been running higher from support at $86 in the last three months and chalked up a lifetime high of $100 on Tuesday.
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Education & Strategy

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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