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

Looking at the April 40 calls in ConocoPhillips ( COP), we find that they have traded more than 39,000 times so far today vs. current open interest of 2,452 for an average price of around $1.36. What is interesting about this call activity is that most of the activity is from buyers of the options.

In order for these calls to be profitable at expiration, the stock needs to be higher than $41.36, which is the strike price plus the option premium. Shares of COP are currently trading $35.20, but closed at $41.79 as recently as Feb. 19.

It is worth noting that COP was highlighted by Warren Buffett in his annual investor letter. Buffett noted that he felt COP was one of his bigger blunders in 2008, because he bought too much with oil at its peaks.

Now with oil off more than $100 from those levels, maybe this call buyer is willing to gamble that a rebound could be in the offing.

The activity in these calls has seen large blocks of both buyers and sellers of calls. But as I mentioned above, the majority of the trading was on the buy side, and that served to push up implied volatility.

Last night, the calls closed 1.15 vs. $35.13 stock. That was an implied volatility of 54.

At the time that I write this, with the stock at $35.20, the calls are marked 1.23. That is an implied volatility of 56.

Intuitively, as well, you can tell that there is more buying interest than selling because the call price has gone up 8 cents with the stock up only 7 cents at the time of this writing.

An out-of-the-money call option should never rise more than the stock does unless implied volatility rises.

This buying activity is similar to other buying activity that I have written about in this column over the past couple of weeks.

For example, last week we talked about call buying in Hewlett-Packard ( HPQ). Like COP, the call-buying there was in a stock that had slid, and the breakevens on the call purchase only needed the stock to retrace ground that it had lost in the prior few days.

As the market continues to plumb new lows not seen since 1997, this type of bottom-fishing in call options might continue as investors wait for some semblance of a rebound.

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."

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