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February 15, 2013  Fri 9:48 AM CT

RIG: SEE CHART GET CHAIN FIND STRATEGIES
As Transocean gives up gains from yesterday, one trader is looking for the offshore oil and gas driller to make a sharp move higher or lower in coming months.

optionMONSTER systems detected the sale of 5,000 May 62.50 calls for $1.15 this morning. The volume was more than 4 times higher than the strike's open interest of 1,132 before trading began today, clearly showing that this is a new position.

A large block of RIG stock traded less than a minute later as 150,000 changed hands for $56.5333. The combination of stock and options could create a delta-neutral strategy that is focused on changes in volatility, profiting from a big move in either direction. (See our Education section)

RIG is down 5.03 percent to $56.31 this morning after climbing to $59.50 yesterday, a 52-week high. Shares were below $44 at the end of 2012.
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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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