After Dour ISM Data, Volatility sellers Target Cemex

With U.S. stocks flattish ahead of tomorrow's election and amid an unsurprisingly dour ISM manufacturing index number out this morning, shares in Mexican cement maker Cemex (CX - commentary - Cramer's Take) chalked up a 4% gain today to $7.85. Large-sized short-strangle plays in the December contract sent options volume in Cemex to twice the norm, according to data from Interactive Brokers.

Implied volatility in Cemex options has come off by one-third since topping out at 183.4% on Oct. 10, but at 121.1% there's still some risk premium against the 115% historic reading on Cemex stock, and this seems to have been elevated enough to encourage some traders to turn sellers of volatility. A seller of the 7.50/10.00 strangle today receives $1.65 in premium, betting on rangebound activity in the share price that will establish near-term support for Cemex shares right around current levels, while keeping shares from exceeding a level more than one-third of its 52-week high.

Premium-sellers also targeted the volatility outlook for coal producer Alpha Natural Resources (ANR - commentary - Cramer's Take), where shares dropped 3% to $34.62. A 5,000-lot call spread appears to have been either sold out or closed a January call spread between strikes 65 and 85, possibly calling for shares to remain well below the strikes involved in that particular position. The activity here was enough to send overall option volume to three times the normal level according to Trade Alerts data.

Shares in the Biotech HOLDRs Trust (BBH - commentary - Cramer's Take), the equity fund whose components include the likes of Genentech (DNA - commentary - Cramer's Take), Amgen (AMGN - commentary - Cramer's Take) and Gilead Sciences (GILD - commentary - Cramer's Take), are up nearly 3% to $177.73 today, roughly at the midpoint between its 52-week high and low.

Today, however, it looks like option traders are looking for the price to tilt decisively toward the bullish side over the next month. A sixfold increase in trading volume materialized in fresh positioning in December 185 calls, which were bought at $5.50 apiece, requiring at least 7% to the upside by Dec. 19. Calls have outnumbered puts by 2:1 since early October.

Finally, Crocs (CROX - commentary - Cramer's Take) calls are active today ahead of the fad shoe maker's earnings report after the bell today, sending overall volume to five times the normal level. The 17% gain in the stock to $2.94 is impressive in percentage terms, but considering that this is a stock trading off a 52-week high of $46.80, one realizes that this is a stock riddled with about as many holes as an actual pair of Crocs. Call-buyers are picking up positions in excess of open interest at the November 4.0 strike and the December 3.0 strike, which could suggest some upside from current levels in this beaten-down stock.

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At the time of publication, Darst had no positions in the stocks mentioned.

Rebecca Engmann Darst is the Portfolio Manager for TheStreet.com?s Options Alerts Portfolio newsletter and an equity options analyst for RealMoney Each Thursday at 6:30 a.m. EST, she delivers the early-morning lowdown on option volume and sector trends on CNBC's "Squawk Box." Prior to her work in the equity options market, she spent seven years in Scandinavia as a Copenhagen-based chief reporter for a European Commission news service, correspondent for Spanish daily El Mundo and Radio Netherlands, followed by stints at Nordea Bank and Saxo Bank.