Microsoft will release its fiscal third-quarter earnings report Thursday after the bell. Nathan noted that the options market is implying a 5 percent one-day post-earnings move. In the last four quarters, the average post-earnings move was 7.5 percent, with two 10 percent rallies.
"I think if you're playing for a move like that you want to define your risk. Options premiums look pretty reasonable on Thursday after the close," said Nathan.
Analysts are estimating earnings of 64 cents per share, with a revenue estimate of $22.1 billion according to FactSet.
Microsoft shares were down slightly on Tuesday, but are still up 3 percent so far this week.