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January 24, 2013  Thu 11:44 AM CT

DVN: SEE CHART GET CHAIN FIND STRATEGIES
A trader is expecting range-bound trading in Devon Energy as its shares remain near their 52-week lows.

optionMONSTER systems show that 4,000 March 55 calls were sold for the bid price of $1.42 today. The volume was far above the strike's previous open interest of 166 contracts, so this is clearly a new position.

Two minutes after the calls were sold, a block of 180,000 DVN shares traded for $54.3444. The combination of stock and options creates an overall strategy that is delta-neutral, looking for a drop in volatility rather than a specific direction in the share price. (See our Education section)

DVN is off 0.2 percent at $54.18 this afternoon. The oil and natural-gas company was trading above $75 last March and above $63 in October, but it hit a low under $51 on the last day of 2012.
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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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