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Rebecca Engmann Darst co-authored this article.

Wendy's International Inc. (NASDAQ:WEN) We hate to mingle fast food metaphors, but a whopper of a trade in Wendy's January 40 calls early this afternoon contributed to the single-largest call volume day for its options since the height of speculation over a possible Nelson Peltz bid for the burger chain back in mid-November. Overall volume in Wendy's options spiked to nearly nine times the normal level on the trade. It's interesting to note the degree to which option implied volatility has remained consistently high in the interim, and the current reading of 48.4% is a near juicy-double of the 25.8% historic reading. Directionally, we're interested in this transaction, as existing open interest built up over the fall, prior to Peltz's first bid, when the prevalent mood was still one of hyperbolic enthusiasm as regards the kind of price that Peltz's fund might be willing to bid for Wendy's. The value of the position has eroded mightily in the interim, trading at just a nickel, making it hard to see why a trader would have shorted the calls prior to the Peltz bid only to close the trade now.

iShares MSCI Emerging Markets ETF (NYSEARCA:EEM) Shares in the Emerging Markets ETF surrendered 1.7% of their value today as broader equity markets suffered and volatility surged in the wake of the assassination of Pakistan's opposition leader and presidential candidate Benazir Bhutto. With shares trading at $152.44, still within 7% of the standing 52-week high, we observed nearly 13,000 lots bought in the January 135 puts. Our interest was captured by this trade given the simple fact that the ETF last traded at the $135 mark in mid-September, and our immediate sense was that the transaction was a play on risk aversion following today's subversive political event. A look at open interest will confirm whether the unusual volume was an opening or closing position, but we'll note here that open interest has remained largely level since November 8, when similar volume traded at premiums of some $6.20. Today's price tag on the same position, while 29% dearer than yesterday, owing to this morning's chilling reminder of the political precariousness facing the world on the cusp of 2008, is just $1.10.

Cree Inc. (NASDAQ:CREE) Shares in Cree, the maker of semiconductors used in the light-emitting diodes that illuminate computers, advanced 8% this afternoon to $28.10. Today's move compounded gains yesterday on back of a research report suggesting that LED technology might be considered as an energy-efficient and environmentally sound means of powering homes. With nearly 48,000 options trading this afternoon, Cree options were among the most actively traded contracts to pass through our market scan this afternoon. Volume favored calls by a factor of 1.4. Of note here is fresh positioning we observed in the February contract on either side of the 30 line, where 15,000 contracts were sold on the call side at around $2.05, while an equal amount were bought on the put side at around $5.00 apiece. The move suggests a very confident expectation on the part of a trader that the LED-inspired Cinderella run for Cree's share price has a limited shelf life, and that the price will have receded well below the $30 come February expiry.

(NASDAQ:AAPL) Apple Inc. Talk about momentum! Despite a down day for the market as investors digest weakness in retail sales for the holiday season, shares at Apple Inc. have reached a fresh record high in thin post-holiday trade at $202.96. Investors still seem to love the appeal of the company that has continually reshaped itself through the development of not only a fresh product offering but also within the product line. The iPod Touch offers the features of the iPhone launched earlier in June, but doesn't offer the cellphone capability. Options traders bought nearly three times the amount of calls than puts today, confirming further optimism in Apple's management to continue delivering strong numbers. January calls were bought through the 250 strike, while some more ambitious traders sought the right to buy Apple shares at $270 ahead of next month's expiration. Option traders currently assign only a 2.5% chance of that occurring. Still, earlier this year, for those of you with longer memories, shares in Apple began 2007 trading at around $80. Early morning volume of around 100,000 lots made this today's most active single stock family.

(NYSE:GE) General Electric slipped by less than the broader market this morning and that was accompanied by interest in put plays on the stock. The March and June options contracts saw greatest volume in what appears to be a calendar spread involving the purchase of March puts against the sale of June puts at the 35 strike. An investor may be combining this strategy with a long stock position and rolling existing protection further along the time horizon. The options market now infers volatility of 21.5% ahead for GE, where historical stock price volatility has measured around 27.4%.

(NYSE:C) Citigroup Inc. Shares in this global banking conglomerate are teetering on the brink of a 52-week low and back under $30 per share for just the fifth time this year. The move follows a blunt warning from analysts at another major investment bank that Citigroup may need to preserve capital further by axing its dividend in half. Such weakness to some option traders provoked call sales centered on the March 35 calls. By selling calls short, investors can take in the premium in exchange for backing the right to sell shares in the company should they reach $35 before expiration. Clearly, some investors feel that the premium of 64 cents per contract is worth having compared to the risk that Citigroup's share price will rally by 17.6% during the next three months. Investors sold 12,266 calls this morning, with option implied volatility running at 43%.

(NASDAQ:CSUN) China Sunergy Co. Ltd. ADR. The American Depositary Receipts of solar cell producer gained 13% to $17.44 today and the move was accompanied by fresh option positioning in the January contract. Call buyers lifted options at the 17.5 and 20 strikes where little existing open interest exists. Options conveying rights to buy shares in the company at $17.50 by January's expiration more than doubled on the session to a premium of 2.80 meaning that for current buyers, shares will need to follow through to $20.30 at expiration in order to break even. We see fresh little by way of headlines for the company, whose third quarter earnings turned to a net 44.4 million loss despite sales growth of 32%. It would seem that solar stocks, especially Asian powered companies, are flavor-of-the-day in recent months. Investors also turned to put selling in the January 15 puts to take in premium of around 1.50 per contract. Such optimism indicates that investors expect the rise in the share price to remain. Almost 2,000 puts changed hands at that strike as the premium declined just 20% on the session.

VIX – CBOE Volatility index. The current weakness in the stock market elicited by those warnings from observers of the retail sector have helped shore up the "fear gauge," which rose today by 4.8% to stand at 19.56. Volume was light, but two 1,000 lot orders in the February contract stood out. Puts at the 20 strike and calls at the 30 strike both traded at a combined premium of 1.75. If an investor bought both contracts and placed a strangle combination, volatility would need to exit the range by more than the premium paid. A seller of such a strategy would look for the VIX to settle above the put strike and below the call strike. That's a 10-point window within which the investor could keep the premium. The strategy is perhaps more likely to become perilous below a VIX measure of 18.25 if investors collectively decide to pay less for volatility in 2008. That trend might already be building as the investment banking confessions have already been spewed out onto the Wall Street sidewalks. As that happens there is less and less danger of news that could shock investors' worlds further.

Source: Thursday's Options Report: Emerging Markets ETF Battered After Assassination