A three-way combination trade today’s option activity Petrobras as shares fall back toward lows.
optionMONSTER systems shows that a trader sold 9,950 June 15 calls for the bid price of $0.56 in volume below the previous open interest of 10,300. At the same time, he or she bought 9,950 July 15 calls for their ask price of $1 and sold the same number of the July 16 calls for $0.45. The volume at each of those strikes was well above the open interest, creating a new call spread.
So the trader is rolling out of the June in-the-money calls and opening the the July vertical spread. The July 15 calls were $0.46 in the money at the time of the trade, and with that the investor is taking $0.01 off the table in the roll.
— Option Monster