How long-term trade is playing Delta

As Delta Airlines shares lose altitude, a long-term trade is looking for more turbulence.

optionMONSTER’s systems show that 7,000 January 2014 3 puts traded against open interest of just 789 contracts. The trader is buying those puts, which are the farthest out in time and strike price, with a single print of 6,127 going for $0.14.

The implied volatility of those puts is 73 percent, compred with an average of 43 percent and a 30-day historical volatility of 31 percent. The delta of the options is just 0.03, meaning that there is just a 3 percent probability that those puts will expire in the money.

There are some stock purchases just afterward, as 13,000 DAL shares were bought for $9.83, so this could be a delta hedge. Regardless, this trader is apparently looking for a lot more volatility.

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