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June 28, 2013  Fri 2:45 AM CT

CHK: SEE CHART GET CHAIN FIND STRATEGIES
A large volatility trade is looking for a sharp move up or down in Chesapeake Energy.

optionMONSTER systems show that a trader bought 17,500 September 20 puts, led by a single print of 14,335 that went for $1.19. This is a new position, as the strike's open interest was a mere 29 contracts before the trade appeared.

Less than a minute later, a block of 615,000 CHK shares was bought for $20.90. Combined with the puts, this creates a delta-neutral play that is looking for higher volatility and/or a big move in either direction. (See our Education section)

CHK finished the day at $20.58, up 1 percent. The natural-gas and oil company was just shy of $23 a month ago and down near support at $18 in mid-April.

More than 36,000 CHK options changed hands yesterday, twice its daily average.
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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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