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December 17, 2012  Mon 12:21 PM CT

Oil refiners have been incredibly bullish, and one investor apparently thinks that Valero Energy isn't done running yet.

optionMONSTER's tracking programs detected the purchase of about 5,500 June 32 calls for $4.06 and the sale of an equal number of June 33 calls for $3.46. Volume was below open interest at the lower strike, so there are two possible explanations of the trade.

One is that the investor owns VLO shares and had sold the 32s as part of a covered call strategy. He or she then bought them back and rolled the position to the higher strike. While it cost them $0.60, they now have the right to sell their stock for $1 more.

The other possibility is that the trader opened a new vertical call spread, though that is less likely because both strikes are in the money. (See our Education section)

VLO is at $33.84 this afternoon, up 1.41 percent on the day and 17 percent since the beginning of last month. Our tracking programs also showed unusual activity in the March 36 calls last week, which have appreciated more than 25 percent since the post.

Total option volume in VLO is twice the daily average so far today, with calls outnumbering puts by more than 4 to 1.
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