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American Capital attracts volatility trade

Chris McKhann (chris.mckhann@optionmonster.com)

A short-term trade is looking for a sharp move in American Capital Agency.

optionMONSTER systems show that a trader picked up 10,000 June 23 puts for $0.32. Open interest in the strike was just 624 contracts before the session began, so this is clearly a new position.

About a minute later the largest print of stock traded, with 240,000 shares of AGNC bought for $25.525. Combined with the puts, this creates a delta-neutral position that is looking for higher volatility than that implied by the options. That means that the trader isn't concerned about which way the stock moves, only that it moves a lot. (See our Education section)

AGNC is down fractionally today at $25.33, which would be a three-year closing low for the stock. The mortgage real-estate investment fund was above $33 a month ago. 

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