Sharp move seen in Japan fund
Chris McKhann | firstname.lastname@example.org
optionMONSTER's Depth Charge system detected the purchase of 15,000 February 12 puts for the ask price of $0.22 yesterday. The volume far eclipsed the strike's previous open interest of 3,526 contracts, clearly indicating that this is a new position.
Less than a minute later, the largest block of EWJ shares traded with 705,000 bought for $12.0413. Combined with the puts, this creates an overall delta-neutral position that would profit from a sharp move in either direction and/or for volatility to be higher than that implied by the options. (See our Education section)
The EWJ finished the day at $12 even, down fractionally on the session. The exchange-traded fund is in the middle of an increasingly tight range.
Its 20-day historical volatility is down to 13.6 percent, near the lowest levels of the last year. The implied volatility of those puts was just above that.