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/AVvXsEiSjMY-mc0spB0XVOSYFj3wdPvmRAB6BXzUSP7Xa2MEL2rfeDXyUDQzC1eu5szRJQZ4W6TNakNFCGx5oBULMZQA0xleGXE1OxDQ9jMWO4eSRdtuJNKdWEo6RFS-YwWOXyN0hsMiT3XefytF/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/AVvXsEieckiOFDBexY02Yjaa7emB1krCON5UWDbxk98qkdHdtN4ubDxbr__Aa3dX6yMIppOYmBF8sgnsQXbUD3v0SP4vCubQ9_dAXsZmIqWb4XF5IK2DioPZFuVQ0VoBbpEa-2FqLHRcZ1aXsuPd/s400/eem_stats.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj0ufjk6QHlTUbTYXBSzpsZs1DB0mYrIkuMhyPSX30_g98wzsG_XeQu2noZDKgd4_KK6MyNey-7_Z0XkGPCYjMkDkGl2GJKiiNr8dBSPywEJw_tjsgqP0hnULVYlrJdaoFwSJdilqddwBfC/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/AVvXsEhU7sE2GhXXWsbaHKJ_RfAgtG5md7nBSflydlWaj912ya5GhE0vO5wwfBch4t84Hh9qegoegs0tBPdBeHgkzhWckW753eoZsBy9DdHe4xV0T9tlNxgHcmQy0j0Np8iSdubkik7CjxRsc30g/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/AVvXsEiLjVPohlgjyrfU180Ty7s3A0dW6piHya2L5fDuBebhvVzi6hvb8-rx5WdawNBVeTpBrg2xS3I1akniQceTJCXEA-kTAa8lRljHI7e9jfU_58oF0y00zlYFnZsO7v6rYtdS8z6QxCzy7MUz/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/AVvXsEgjNK-chzMRVCCnnnVOSCLJH2tXZgc2wyQ8aGQI7G4Sr9M-9AX9aYPIUOXSENUBl455TbiwgtJ16U3po0KsdNPc1yebjYIaVJaHtbL8TGkg6aK_Fs4eBZdQIhIgj20FMgBEMav4dJAFMAaV/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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