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September 19, 2013  Thu 3:16 AM CT

EWZ: SEE CHART GET CHAIN FIND STRATEGIES
The iShares Brazil Capped Fund attracted large volatility trades yesterday.

A trader bought 20,000 October 50 calls for $0.58 in the morning, followed by another block of 59,790 purchased for $0.58 about an hour later, according to optionMONSTER's tracking systems. These are clearly new positions, as open interest in the strike was 6,333 contracts before the session began.

Corresponding blocks of stock traded with the calls. First 479,520 shares were sold for $47.6667, then a print of 1,434,960 went for $47.5042. These blocks would match the delta of the calls, making the overall trades market-neutral positions looking for higher volatility rather than a specific direction in the stock. (See our Education section)

And that is exactly what they got after the Federal Reserve said it would not alter its accommodative monetary policy in the afternoon.

The EWZ jumped 5.07 percent to close at $49.72 yesterday, shooting higher after the central bank's announcement. The exchange-traded fund dipped below $41 in early July but is now at the highest level since early June.

More than 172,000 EWZ options change hands overall yesterday, triple its daily average in the last month.
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Education & Strategy

The Strike-Based Greeks

The other Greeks (Gamma, Vega, and Theta) are calculated by using month and strike data, and not by individual option. These are called strike-based Greeks. Gamma, Theta, and Vega are all strike-based Greeks

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