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

Shares of

Goldman Sachs

(GS) - Get Report

are rallying today. Shares are up almost 12% as the prospects of a federal solution for buying toxic bank assets is lifting financial shares everywhere.

Also,

Wells Fargo

(WFC) - Get Report

announced earnings this morning that beat the Street, and that is helping drive the financials higher. But at least one investor was using the rally as a way to sell some upside calls.

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The GS March 100 calls traded more than 7,200 times in the first 35 minutes of trading, according to the Sidewinder report at ONN.tv. The calls were trading for around $2.40 at the time, with the stock around $84. That translated into an implied volatility of roughly 58. Last night, the options closed at $1.49 vs. a $78.26 stock, which was an implied volatility of 61. Currently, the options have crept back up to the $3.10 level, with the stock at $85.55, which is back to the 61 implied level.

So what can we say about this type of action in the calls? Well, for starters, the sale in the morning could very easily be an owner of the stock who feels that the shares of GS are unlikely to move much above $100. Remember that the break-evens for the initial sale at $2.40 are $102.40. The long holder might be thinking to himself that if he gets called away on the shares, he is happy to be out of his position up over 20% from here in less than two months.

Secondly, it is worth noting that after the seller sold the initial slug of options, buyers came in and pushed the implied volatility back up. Often times when we see a rally in shares, we will find an accompanying decline in the VIX, and of course the single stocks that make up the

S&P

index. But in this case at least, traders are willing to continue to pay an implied volatility of 61 for the March 100 calls. That is likely due to the fact that the realized historic volatility for GS is close to 109 for the past 21 trading days.

This activity in GS does not mean that investors should run right out and sell shares, or even pile on and do buy writes in GS, or buy the calls outright. But it is worth noting that at least one investor is willing to bet that GS will not close higher than $102.40 at March expiration. It also is worth noting that traders are willing to buy options on a 61 implied volatility for the March 100 strike.

Jud Pyle is the chief investment strategist for Options News Network 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."