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April 8, 2013  Mon 9:50 AM CT

SNDK: SEE CHART GET CHAIN FIND STRATEGIES
As SanDisk pushes higher this morning, one trader is apparently looking for the stock to make a sharp move higher or lower.

A trader bought 2,550 July 62.50 calls for the ask price of $1.27, optionMONSTER systems show. The volume was 5 times the strike's open interest before the session began, clearly indicating new activity.

About 90 seconds later the biggest SNDK stock trade went off, with 61,200 shares sold for $54.9017. The combination of stock and option activity creates an overall position that is delta-neutral and therefore focused on higher volatility as opposed to the stock's direction.

The trader is looking for shares of the memory-chip maker to make a big move one way or the other and/or for the actual volatility to be greater than that implied by the option price. (See our Education section)

SNDK is up 0.85 percent to $55.23 today. That would be the stock's best close in more than five years, though shares were higher intraday on a number of occasions the previous two weeks.
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Education & Strategy

Gamma

As we continue to discuss the Greeks, we come to the first of the strike based Greeks called Gamma. Gamma is known as the second derivative, while delta is the first.

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