There's a fishy options twist to the big announcement by Citigroup (C) - Get Report that it's buying Associates First Capital (AFS) .

The

Chicago Board Options Exchange

said it has initiated an investigation into the "unusual" recent trading activity in Associates First and Citigroup options.

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According to options market participants,

Salomon Smith Barney

brokers were buying call options for a customer Friday and Tuesday. Brokers act as agents for their customers on exchanges. Salomon is a unit of Citigroup, leaving the suggestion that perhaps someone knew something that no one else did.

Citigroup shares were recently off 3.4% and Associates First shares were up 40.2%.