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Volatility strategy taking aim at Sony

Mike Yamamoto (mike.yamamoto@optionmonster.com)

One trader is focused on the volatility of Sony shares, rather than a specific move up or down.

optionMONSTER's tracking systems show that 2,000 October 20 puts were sold yesterday afternoon, led by a print of 1,950 that went for $1.32. The volume was well above the strike's open interest of 532 contracts before the trade appeared, indicating that this is a new position.

Two minutes later, a print of 64,350 SNE shares traded for about $21.58. The stock trade, combined with the short puts , creates an overall delta-neutral position that is looking at volatility levels rather than a particular direction. (See our Education section)

SNE fell 0.69 percent to $21.61 yesterday. Shares of the once-mighty electronics giant hit all-time lows under $10 last November but have run up sharply since then, first with the Japanese government's stimulus measures and then with a proposal by activist investor Dan Loeb to break up the company.

The stock spiked to a two-year high of $23.38 on May 22 but has traded mostly sideways since then. Sony's next earnings report is scheduled for Aug. 1.

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