60,000 of these same butterflies traded 5-24-2010 (four days ago).
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EEM (iShares MSCI Emerging Markets) is trading 38.10, down 1.7% with IV30™ up 8.8%. The LIVEVOL™ Pro Summary is below.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh95SzjM-gBkQXlWWuRDl7FDYf2CZYSK9TnZ0Tlb6EsHz7ev3b2NQ2M3TACPRzWky8AcWAyZ9CeHiZhwpw61FFLGUym58puHjc4XuL6Jz30gd7mS8DOVDNdb3y3FUqg7MayF3ujFInh0XJ9/s400/eem_summary.gif)
The ETF has traded over 500,000 options on total daily average option volume of 271,400. The puts have traded on an 8:1 put:call ratio. The largest trade, accounting for 300,000 contracts, was a Jun 25/30/35 put butterfly. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi3AL8EOpV_xmsgW-9CUEfhhSjwy-jNO6L-GoK3CCvIuL45DW-4Y4pU6T-8bUGv8OKKgVpmUmtm54qFYN0bGzEAwjDkXJgXHCimdtHcKMnodA2YEUY4rGkrzdVqCFRx0tE5WYFPbS28HQHl/s400/eem_stats.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhoheECqQGf9OI2fbG0N79Mg7A9wktLXJte1zqV90FvSbotK-CCA3KAYZlSj_eW8SFN1QSJe1ZFTuUljXh5cmC-eRvo8JQUOI7ff9Haf_nEFEAvD3GUBWbTNIcEuVFOkYPelK6b3LgMwkb1/s400/eem_trades.gif)
The 25/30/35 butterfly PnL is included (click to enlarge).
Price: $0.48 + $0.03 - 2*$0.11 = $0.29
Outlay (Max Loss): 100 * 75,000 * $0.29 = $2,175,000
Max Gain: 75,000*100*($5 - $0.29) = $35,325,000
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGy7hVKQWvZMtgSSD8MLg6GGrkG6t7e9upSGYqh9xG2SPQnh3s4JxCpDC6WRoYkWb96rwMt68hkQdqj95hAwKNFd_mMCPEq3AB8A3b2qtgcN9616nyA8DpDkTCOaUghqgzFCQFpCHVGSTG/s400/eem_pnl.gif)
The trade makes $35 million at expo if EEM pins at or near $30. The Skew Tab snap (click to enlarge) illustrates the vols in the trade.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj-vGVE2PFM8xT4pXQncT1LJ5FKsPyJNM5MzE4vWrLwi7hilp-y-IQZSQi5FsewawMD__M0bXt86bCPkPohCUxWbVRP5ON12O1i0G86SWCqhXnot1_Znc9dciRQo9tzqmrma62wuYEYHOpZ/s400/eem_skew_5-28-2010.gif)
It's actually a very pretty skew. Essentially a perfect shape. I don't see this as a skew bet, it's a delta bet.
Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhefJiPtCaMN8Pcg5aH_u-FdG3Hnwd2ioYmMffA1aXHcq-zuY0YsEN7BrE78ndJOMtbFElEyXCL9A_3XrZ9LCLvIllj4o4mWEiV9EOzVujuSHEm2Y1VGm7kH64oMmrL3PeOy9irn0ipD9Ma/s400/eem_charts.gif)
The 52 wk. range is [30.12 46.66]. The one phenomenon that jumps out at me is the color of the volume bars at the bottom (circled). You can see they are mostly red - this indicates a pre-dominance for open order put purchases by customers on ISE. Or, in English, bearish customer order flow.
Make no mistakes - this is a bet that reaches max gain if the Emerging Markets Equity Index hits a new low in the next four weeks.
This is trade analysis, not a recommendation.
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