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

A longer-dated call spread in Abercrombie & Fitch ( ANF) crossed the tape during today's trading session thanks to an investor who expressed moderate bullishness on the clothing retailer.

ANF shares closed up 46 cents to $45.32 without any news from the company today. ANF has not announced its next earnings release, but the market expects the quarterly report sometime around May 13. ANF reached a 52-week intraday high of $45.74 Thursday, and the call-spread action we saw today suggests investors anticipate the stock will climb much higher throughout the longer term.

Around 12:33 p.m. EST, nearly 10,000 January 2011 55-65 call spreads were purchased for a premium of $1.60 per spread. An investor paid $2.35 per contract for the January 55 calls and sold the January 65 calls for 75 cents per contract. This means investors will make money if ANF shares close higher than $56.60 at January 2011 options expiration, but the spread protects against significant losses (any losses are capped at the premium paid of $1.60 per spread) if the stock stays lower than $55.

ANF stock has a 30-day historical volatility of 43%, and the January 55 calls have an implied volatility of 35%, while implied volatility of the January 65 calls is 33%. The January 55 calls have gained 19 cents so far on the day, while the 65-strike calls are currently up 12 cents on the day.

It's interesting that the options action we saw cross the tape today suggests ANF is due for a big rally, and the stock could climb a whopping 44% prior to January 2011 options expiration.

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. Mr. Pyle writes regularly about options investing for
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."