Option update 5-7-07: Wendy's rallies

Wendy's International Inc. (NYSE: WEN) overall implied volatility increases as WEN reviews strategic options.

• WEN is recently up $2.47 to $40.70.
  
• WEN announced "formation of a special committee of independent directors to review strategic options to enhance shareholder value on 4/26/07."
  
• WEN May option implied volatility is at 40 and June is at 39; above its 26-week average of 23 according to Track Data, suggesting larger risk.

IDM Pharma Inc. (NASDAQ: IDMI) options active and prices valued for Risk into 5/9 FDA outcome.

• IDMI is recently down $2.82 to $5.98.
  
• IDMI will hold a conference call on 5/9 to discuss the outcome of the U.S. Food and Drug Administration Oncologic Drugs Advisory Committee meeting for Junovan (treatment for non-metastatic respectable osteosarcoma).
  
• IDMI call option volume of 2,689 contracts compares to put volume of 2,364 contracts. IDMI May 5 straddle is priced at $3.60 according to Track Data, suggesting large price risks.

Option volume leaders today are: Dendreon Corp. (NASDAQ: DNDN), Elan Corp. (NYSE: ELN), Citigroup Inc. (NYSE: C) and Alcoa Inc. (NYSE: AA).

Daily Option Update is provided by Stock Options Specialist Paul Foster of theflyonthewall.com.