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November 25, 2013  Mon 2:14 AM CT

GLD: SEE CHART GET CHAIN FIND STRATEGIES
A long-term position combined stock and options in the SPDR Gold Shares Fund as it traded near multi-year lows on Friday.

optionMONSTER systems show that the biggest option trade was in the January 2015 expiration. A trader sold 15,000 of the 161 calls for the bid price of $1.52 and bought 15,000 of the 105 puts for $5.

Less than 2 minutes later, 555,000 GLD shares were bought for $120.2165. So it appears that the combination was delta-hedged and therefore not an outright bearish play. (See our Education section)

The GLD was down fractionally to $119.92 on Friday, its worst close since coming off the lows of early July. Shares were up at resistance at $137 in late August.

Total option volume in the GLD reached 127,000 contracts on Friday against the daily average of 72,000.
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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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