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July 18, 2014  Fri 11:14 AM CT

XHB: SEE CHART GET CHAIN FIND STRATEGIES
A large trade is looking shares of the SPDR Homebuilders Fund to stay range-bound in coming months.

A block of 13,300 September 30 puts traded for $0.69 this morning, in the middle of the bid/ask spread, optionMONSTER systems show. This is a new position, as the volume was above the strike's previous open interest of 11,289 contracts.

Exactly a minute later, 492,100 shares of the XHB were sold for $30.82. The combination of stock and options creates on overall delta-neutral strategy that is looking for sideways trading and/or for volatility to be lower than that implied by the put prices. (See our Education section)

The XHB is up 0.88 percent to a session high of $31 in midday trading, following its lowest close since May 21 yesterday. The exchange-traded fund was above $33 at the start of the month.
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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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