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

Shares of Cigna ( CI) are up more than 2% so far today to $21.30. The company is set to announce earnings before the market opens on Thursday, April 30, and at least one investor is bullish, expecting a potential bump in the stock. This investor has been active today at the May 25 call strike.

Looking at these back-month options, we find that more than 10,000 had traded in the first hour of trading this morning. Open interest in these calls was just 2,607, according to the Sidewinder report at www.ONN.tv.

As the day has worn on, the volume in the calls is now up to nearly 18,000. What is most noteworthy about this volume is that most of the activity is on the buy side, meaning there are more buyers of these calls than sellers.

As we mentioned, this buying activity could be a bet by an investor that shares of CI will continue to run if the earnings announcement has positive data. Another thing that could be driving the call buying is continued speculation that Aetna ( AET) might be interested in buying CI. There are various unconfirmed rumors circulating that AET might be interested in paying as much as $32 per share for CI.

The May 25 call options traded this morning for around 70 cents, with the stock near $21.20. At that price, the buyer needs the stock to be above $25.50 to be in the money at expiration, another 20% rally on top of the stock's 64% move since its closing low on March 5 of $12.87. CI has not traded above $25 since October.

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