Yesterday, we saw some significant upside call-selling in shares of

UAL Corp

( UAUA), parent company of United Airlines.

In the first 30 minutes of trading Wednesday, more than 9,500 of the June 2009 $17.50 calls were sold for a price of $2.35. Then later in the day, there was more selling, this time in the June 2009 25 strike calls, with more than 5,000 sold at a price of $1.10.

No significant news regarding UAL or United emerged yesterday, but the company did announce Tuesday that it had raised $150 million by entering into a sale-and-lease-back deal of 15 Boeing 757 airplanes. This $150 million is certainly not a number to sneeze at, but it's hardly the reason for these calls to be sold. Shares of UAL finished Wednesday down 16 cents at $10.36.

So what can we say about this type of action in the calls? Well, for starters, remember we're talking about 14,500 contracts of a $10 stock. That amounts to only 1,450 contracts of a $100 stock, or a meager 483 lot of a $300 stock like


(GOOG) - Get Report


Secondly, note that even the $17.50 calls are more than 65% out of the money. This could very well be a long holder who is taking advantage of elevated premium levels to earn some income. In exchange, the investor is willing to let his shares go up 65%.

This activity in UAUA is something that investors should watch. As I pointed out in my

column Tuesday

, we are starting to see option sellers return to the market place. For the past two months now, the CBOE Volatility Index, or VIX, has been solidly above 50, spiking as high as 80 on given days.

But investors remember that as rapidly as the VIX has risen, it has plenty of room to fall. In my Tuesday column, I discussed how call sellers in


(LOW) - Get Report

and a strangle seller in



heightened volatility in those stocks' options. The activity in UAUA yesterday joins those ranks.

This call-selling activity does not mean that investors should run right out and sell the underlying stock. But it does demonstrate that some investors are starting to come out of the woodwork to take advantage of these historically high implied volatility levels to add some income to their portfolios in exchange for giving up potential upside.

In the case of UAUA, the investor is giving up upside, but not until the stock has moved up another 65%. I am not endorsing the trade one way or the other, but with a risk-reward level like that you can at least justify why one investor is doing it.

Jud Pyle is the chief investment strategist for Options News Network and the portfolio manager of Options Alerts. Click here for a free trial for Options Alerts. Pyle writes regularly about options investing for

Jud Pyle 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."