Deere shares are up $2.10 to $66.60, a new 52-week high and option volume is 3x the daily average driven a Sep. 65 – 67.5 strangle, which traded 3,710 contracts on ISE at $5.09. ISEE sentiment data indicate that both legs are opening customer buyers and therefore a volatility play on the farm equipment and machine maker. It might be a play on earnings, due Aug 18. Shares are up and implied volatility down about 2.5 percent to 34 today, as corn, wheat and soybeans all see sharp rallies Friday.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

Option volume in banking technology firm Fidelity National averaged just a few hundred contracts per day through April but saw dramatic growth in early May, to 15,000 contracts daily as total open interest grew 10-fold to nearly 200,000 contracts. Today’s open interest is 400,000 contracts and highly concentrated in the August 35 calls and puts. The option volume increase is related to a strategy for the share buyback program launched by the company, in which they will use a modified Dutch Tender auction process to purchase shares in the $29-$31 level, slightly above current price of $28.63. The 35 strike volume and OI has come from conversion/reversal trading, in which shares are bought against a synthetic short position in the options. The buyer then tenders the shares in hopes of capturing part of the premium to current market price. Deadline is Aug 3rd, so the option volume is likely to return to pre-tender levels very soon.

*Scanning all single-stocks subject to 2500 contracts minimum call or put volume

Energy Select Sector ETF (XLE) lost 22 cents to $53.73 a share after crude oil slipped 65 cents to $77.71 a barrel Friday. One options strategist seems to expect volatility in the fund and bought the August 53 – 55 strangle at $1.69, 10000X on PHLX. Looks like a new position. XLE is one of nine Select Sector Funds. Collectively, the nine funds hold all of the S&P 500 stocks. XLE holds all of the energy-related names. Implied volatility in the fund is now 26, compared to S&P 500 volatility, as measured by VIX, at 24.5.

Oracle (ORCL) shares fell late Thursday and are down 26 cents to $23.44 this morning on news the company is being sued by the Department of Justice for alleged software contract fraud. The news triggered a flurry of activity in Oracle’s August 23 adn 24 puts late yesterday. The 23s traded 14,789X (78 percent Ask) and open interest increased by 9,349. The 24s traded 13,800X and created 10,741 in new open interest. In all, open interest in Oracle puts increased by 24K yesterday (vs. +267 calls) and implied volatility jumped to 31.5 from 25.

The top two options trades so far today are in Citi (C) after a strategist sold 22,429 Jan2012 puts at the 4 line to buy 23,000 Jan12 calls at the 7.5 strike. They collected a 61-cent credit (as if one-to-one) on this bullish risk-reversal and are possibly willing to buy the stock at $4 through the 2012 expiration. The trade was tied to 1.3 million shares at $4.09. Implied volatility in Citi is down 2.5 percent to 34.5 today, compared to a 52-week high and low of 82 and 32.75. Shares are up fractionally today on news Citi has agreed to pay $75 million to settle regulatory charges with the SEC.