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October 29, 2013  Tue 3:16 AM CT

PVG: SEE CHART GET CHAIN FIND STRATEGIES
Pretium Resources is near all-time lows, and one trader is looking for a sharp move up or down in the precious-metals producer.

optionMONSTER systems show that a trader was buying March 2.50 puts yesterday, paying $0.60 for large blocks adding up to 15,500. This is clearly a new position, as open interest in the strike was a mere 70 contracts before the trade appeared.

Shortly afterward, a block of 286,000 shares was bought for $3.68. The combination of stock and puts creates a delta-neutral play that would profit from higher volatility than that implied by the options, rather than a specific directional move. (See our Education section)

PVG lost 3.01 percent yesterday to close at $3.54. The Canadian company was above $10 in late August but hit a lifetime low of $3.04 last week.

Overall option volume in the name was 16,513, topping the total open interest and eclipsing the daily average of 648 contracts.
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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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