Retailer JC Penney reported earning before the bell this morning and shares initially gapped higher, popping nearly 6% to $41, but have now reversed and are down 2% to $37.70 on the day. Option volume is running 4x the daily average with some 12,500 puts to 3,500 calls traded. The most active strikes are the June $37, 38 and $39 strikes. The notable trade was a spreading in the June $40/$38 puts which traded 1,180 times (now total of 2,140) in what looks like part of a roll up downside protection as the 2,100 of the $37 puts were sold to close. This occurred around 11:15 ET just as shares were dipping back toward the unchanged line.