Some options players are using today's rally as a jumping-in point for bearish bets on the Financial Select Sector SPDR (NYSEARCA:XLF - 15.50), which is up more than 2% today.

The June 2013 16-strike put has seen more than 5,150 contracts trade on open interest of just 2,543. The lion's share of the volume has gone off at the ask price, suggesting at least some of the contracts are being bought to open. This strategy represents a bet the security will be trading south of the $16 strike when June options expire in nine months.

The average breakeven price is $14.27, as the option's volume-weighted average price (VWAP) today is $1.73. This is almost an 8% drop from current levels.

Schaeffer's Volatility Index (SVI) for the XLF is just seven percentage points shy of an annual low. This effectively means option prices are toward the lower end of their range, perhaps making premium buying a more attractive strategy of late.