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

NEW YORK ( TheStreet) -- Without any news from ICICI Bank Ltd. ( IBN), shares of the Mumbai-based regional bank were basically unchanged on the day. Afternoon trading action in IBN suggests one investor is calling for a drop in the stock during the near-term, and expects shares of the bank to revert to a level we haven't seen since September 2009.

IBN shares dropped 16 cents to $35.01 during afternoon trading, and the stock has not dipped below $30 since last fall. The July 30 puts and 34-strike puts were active during afternoon trading thanks to an investor who traded this put ratio front spread on a bet that the stock could be trading around $30 at options expiration in 38 days.

At 2:43 p.m. EST, a block of 7,400 July 30 puts crossed the tape for 75 cents per contract and 3,700 July 34 puts simultaneously traded for $2.05 per contract thanks to an investor who bought these put one-by-two spreads for a net debit of 55 cents per spread. The lower-strike puts are home to current open interest of 31 contracts while current open interest in the July 34 line is 54 contracts, indicating the investor traded this ratio spread to open.

The investor could make a profit of $3.45 per spread (the difference between the strikes minus the premium paid), or a total of $1,276,500 for 3,700 contracts. The investor begins to lose money if the stock drops lower than $26.55 or stays higher than $33.45 (maximum loss above this level is capped at the premium paid, or 55 cents per spread).

Implied volatility of the July 30 puts is 57% while the July 34 puts have an implied volatility of 50%. These volatility levels compare to the stock's 30-day historical volatility of roughly 60%.

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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