On CNBC's "Options Action," Mike Khouw said he saw over two times the average daily put volume in Walt Disney Co (NYSE:DIS) on Wednesday. The company is scheduled to report earnings on Thursday after the bell, and the options market is implying a move of 4.3% by the end of the week.
The average move for the event over the last eight quarters was 3%.
The big trade that Khouw saw was in the November $130 puts. Over 11,500 contracts were traded for $1. The trade was maybe even paired with the November $147 calls, said Khouw. It looks to him that somebody tried to finance the purchase of puts by selling the November $147 calls for $1.