Wyndham Worldwide (WYN) is up 25 cents to $17.45 and the 12K Nov 17.5 calls that traded for about $1.22 might be part of a buy-write. The top trade (10.8K) was marked “tied” and coincided with a block of 574K shares at $17.43. Implied volatility (average) is up to 63.3 (+2.25) ahead of an Oct 28 (before market) earnings release.

Recall that, in most buy-writes, the investor sells 1 call for every 100 shares. In this example, the strategist is possibly taking advantage of elevated premium heading into earnings to sell the November at-the-money calls. Assuming they collected $1.20 for the Nov 17.5 calls and bought shares for $17.45, their cost basis (and breakeven) on the position is $16.25. The upside is limited to the strike price of the call. Should shares move to $17.50 or beyond by the November expiration (25 days), the calls will be assigned and shares will be sold for $17.50, and a 7.7 percent profit (excluding commissions).