Shares of iShares Dow Jones Transportation Average (IYT) are trading up .40 today to $95.22. IYT is trading close to 52-week highs.
Paper looked buy a ratio call spread and finance it with a short put.? The IYT Jan 96/100 1 x 2 call spread with the Jan 89 puts with up for 1.15/.30 and .38 respectively.? Volume of 2,000 and 4,000 calls and 2,000 puts traded. The trade went up for a .17 debit overall if the put was sold.? Average contract volume is over 1,056 contracts per day.? Open Interest is below 100 on the calls and the puts for these strikes.? The implied volatility is unchanged in January suggesting the spread was vega neutral on an opening trade.
30-day implied volatility is 16%.?? 10-day implied volatility is 8%.? 30-day implied volatility is trading just over the 10-day historical volatility. ?
iShares Dow Jones Transportation Average Index Fund (the Fund) is a non-diversified fund. The objective of the Fund is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of Dow Jones Transportation Average Index.