Volume Spike Investor

We are starting to see an in increase in the CALL options in Cisco Systems inc. (NASDAQ: CSCO) ahead of tomorrow’s earnings report.  This is generally accepted as the traders would want to pay for less and less time value if they are trying to capture the event risk premium volatility for a move in their direction.  We’d also go ahead and use this as an alert to brace you for more of the same Tuesday ahead of the FOMC and ahead of Cisco’s earnings.  Here you can see the CALL option, strike, Volume (as of 2:05 PM EST), and the prior day’s open interest as a reference point:

CALL (Strike)   Volume    OpInt
AUG08 $21.00    16,202    50,100
AUG08 $22.00    17,893    49,985
AUG08 $23.00    7,612     40,332
AUG08 $24.00    1,022    42,250
AUG08 $25.00    1,545    11,351
SEP08 $21.00    1,439     18,938
SEP08 $22.00    1,824     9,099
SEP08 $23.00    2,243     4,367
SEP08 $24.00    1,048     17,105
OCT08 $21.00   17,019  15,070

Jon C. Ogg
August 4, 2008