Whole Foods Shares Range-Bound?

Whole Foods Market (WFMI) did not announce any news today, but one investor boosted options activity on a bet that the natural and organic foods supermarket’s stock is range bound.

An investor sold approximately 5,000 Nov. 25-33 strangles at $1.54 per spread with the stock trading around $30.30. The out-of-the-money Nov. 25 puts, currently trading down 10 cents, are home to current open interest of 11,500 contracts, while the out-of-the-money Nov. 33 calls, currently trading up two cents so far on the day, are home to current open interest of 10,200 contracts, according to ONN.tv’s Sidewinder report. This price of $1.54 translates to an implied volatility of approximately 46, which is right in line with the 63-day realized volatility of 46. Remember, lower implied volatility affects option prices, regardless of movement in the underlying security.

WFMI shares are only 3% off their 52-week high of $31.20. Additionally, WFMI shares have been trading between $25 and $30 since the beginning of August, which could be why the investor is betting by selling the strangle. WFMI has not confirmed when they will announce earnings, but it is likely that they will be announced around November 5. This strangle seller can lose money if these shares rise or fall. So given that November options include the earnings event, this seller must have a great deal of conviction that earnings are not likely to move the stock outside of the anticipated range.