RAI fell 0.54 percent to $39.04 yesterday but is up 26 percent in the last year. It's been riding a wave of bullishness in the sector, where rivals such as Altria and Lorillard are also near highs.
The company's next quarterly report will come out before the bell on Tuesday, Oct. 25. It missed estimates the last time it released earnings results on July 22.
Yesterday's calls were in the money—the $37.50 strike is below the stock price—so they will closely track the performance of the shares. For the calls to turn a profit, Reynolds' stock needs to gain at least 3 percent by the time the options expire on Jan. 20.
Overall option volume in the name was triple its daily average in the session.
Second Opinion: What About Lorillard?
—Russell has no positions in RAI.
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David Russell is a reporter and writer for OptionMonster.