Another volatility play in China ETF

optionMONSTER

Volatility traders targeted the iShares China Large-Cap Fund yesterday for the second session in a row.

optionMONSTER systems show that a block of 20,000 November 35 puts traded for $1.01 yesterday, in the middle of the bid/ask spread, with volume above the previous open interest. A minute later, a block of 600,000 FXI shares traded for $37.9317.

Given the delta of the puts, this is a market-neutral strategy that is focused on how much the stock moves rather than its direction. The implied volatility of the puts is 20 percent, which compares to a 20-day historical volatility of 11.5 percent. (See our Education section)

The trade followed a long-volatility play that involved September puts a day earlier .

The FXI was fractionally to close at $37.99 yesterday. Friday's level was its highest since the last day of 2013.


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