Financial firm KeyCorp (KEY - 7.00) has been the target of some interesting options activity today. In late-morning trading, the stock has seen roughly 5,200 calls and 2,300 puts cross the tape -- already exceeding its average daily volume of fewer than 2,000 calls and 900 puts. What's more, it appears a large chunk of today's action is related in the form of a straddle strategy.

Specifically, symmetrical blocks of puts and calls traded at the December 7 strike, both marked "spread." Both sets of contracts crossed closer to the ask price -- the puts for 34 cents, the calls for 36 cents -- suggesting they were bought. Plus, implied volatility (IV) on the newly front-month call was last seen 2.4 percentage points higher, while IV on the put was last seen 0.7 percentage point higher, pointing to the initiation of new positions. As such, it appears the options trader constructed a long straddle on KEY for a net debit of 70 cents per pair of options.

By implementing this neutral volatility play, the investor's profit will accumulate with each step KEY takes beyond one of two breakeven rails: the $6.30 level (strike minus net debit) on the lower end, or the $7.70 level (strike plus net debit) on the higher end. However, even if KEY remains glued to the $7 level through options expiration, the most the strategist can possibly lose is capped at the 70 cents paid to establish the trade.

At last check, $7 is exactly where KEY finds itself, with the stock down 1.1% in the wake of broad-market headwinds.