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November 7, 2012  Wed 2:14 AM CT

WIN: SEE CHART GET CHAIN FIND STRATEGIES
Windstream has been falling for more than a month, and a large option trade is setting up for another leg down.

WIN fell 0.63 percent to $9.44 yesterday, its lowest close since August. Shares of the broadband technology company traded near resistance at $11 into late September before gapping lower.

More than 18,000 WIN options traded, compared with a daily average of 1,300. Most of the volume was in a large ratio spread, in which a trader bought 5,000 January 9 puts of $0.37 and sold 10,000 January 7.50 puts for $0.09.

This put spread costs the trader $0.19, which will be lost if WIN remains above $9 through expiration. The maximum profit would come if the stock is right around $7.50 at expiration. Below that, the trader is effectively long shares through the additional short puts. (See our Education section)
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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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