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June 26, 2013  Wed 4:14 AM CT

FXI: SEE CHART GET CHAIN FIND STRATEGIES
A large trader is looking for lower volatility in the iShares China 25 Fund.

optionMONSTER systems show that a block of 20,000 FXI August 31.50 puts traded for $1.43 on a penny-wide spread. The previous open interest was 747 contracts, so this is a new position.

About a minute later, the largest block of FXI stock traded when a print of 940,000 shares was sold for $31.5913. The combination of the stock sale and the short puts creates a delta-neutral play that will profit from lower volatility than that implied by the options. (See our Education section)

The FXI rose 1.93 percent to finish the session at $31.70 after hitting a new 52-week intraday low. Shares were at a 52-week high of $41.97 on the first days of 2013 and were above $38 a month ago. The implied volatility of the FXI options is up to 34 percent, double where it was a month ago.
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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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