Option update 7-25-07: investment banks volatility spikes on subprime-credit mortgage risk

Posted Jul 25th 2007 9:29AM by Paul Foster
Filed under: Merrill Lynch (MER), Goldman Sachs Group (GS), Options, Lehman Br Holdings (LEH)

Goldman Sachs (NYSE: GS) sold off to $198.15 on concern over subprime-credit mortgage risk. GS August option implied volatility of 36 is above its 26-week average of 27 according to Track Data, suggesting larger price risks.

Lehman Brothers (NYSE: LEH) sold off to $66.34 on concern over subprime-credit mortgage risk. LEH August option implied volatility of 37 is above its 26-week average of 29 according to Track Data, suggesting larger risk.

Merrill Lynch (NYSE: MER) sold off to $77.11 on concern over subprime-credit mortgage risk. MER August option implied volatility of 38 is above its 26-week average of 26 according to Track Data, suggesting larger risk.

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

Tags: GS, LEH, MER, option implied volatility, subprime-credit mortgage risk, Subprime-creditMortgageRisk