By Jud Pyle, CFA, chief investment strategist for the Options News Network

NEW YORK (

TheStreet

) --

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 2 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 it will announce earnings, but it is likely that they will be announced around Nov. 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.

-- Written by Jud Pyle in Chicago

Jud Pyle is the chief investment strategist for Options News Network (www.ONN.tv) and the portfolio manager of TheStreet.com Options Alerts. Click here for a free trial for Options Alerts. Mr. Pyle writes regularly about options investing for TheStreet.com.

Jud Pyle, CFA, is the chief investment strategist for Options News Network. Pyle started his career in finance in 1994 as a derivative analyst with SBC Warburg. After four years with Warburg, Pyle joined PEAK6 Investments, L.P., in 1998 as an equity options trader and as chief risk officer. A native of Minneapolis, Pyle received his bachelor's degree in economics and history from Colgate University in 1994. As a trader, Pyle traded on average over 5,000 contracts per day, and over 1.2 million contracts per year. He also built the stock group for all PEAK6 Investments, L.P. hedging, which currently trades on average over 5 million shares per day, and over 1 billion shares per year. Further, from 2004-06, he managed the trading and risk management for PEAK6 Investments L.P.'s lead market-maker operation on the former PCX exchange, which traded more than 10,000 contracts per day. Pyle is the "Mad About Options" resident expert. He is also a regular contributor to "Options Physics."