Strangled. Cigna (CI) options are active today ahead of an earning report due out tomorrow morning before the opening bell. The June 45 calls and June 40 puts are the most actives. An order for 2,000 of the June 45 calls recently traded for $1.82. 4,000 of the June 40 puts traded for $1.15. This appears to be strangle buying and a play on some possible post-earnings volatility in CI. Implied volatility of the June options is in the mid and upper 30s, compared to the mid and upper 40s for the May contract.