Option update: Risk increases for investment bankers/mortgage dealers

Posted Aug 14th 2007 5:00PM by Paul Foster
Filed under: Countrywide Financial (CFC), Goldman Sachs Group (GS), Options, Lehman Br Holdings (LEH), Bear Stearns Cos (BSC)

Goldman Sachs (NYSE: GS) volatility increase suggests greater Crises. GS is recently down $7.62 to $169.99. GS September option implied volatility of 57 is above its 26-week average of 30 according to Track Data, suggesting larger risk.

Bear Stearns (NYSE: BSC) implied volatility increase suggests greater Crises. BSC is recently down $2.31 to $107.41. James E. Cayne is chairman of the board and CEO of BSC. BSC has been a board member since 1985. BSC call option volume of 7,419 contracts compares to put volume of 10,103 contracts. BSC September option implied volatility of 78 is above its 26-week average of 38 according to Track Data, suggesting larger price movement.

Lehman (NYSE: LEH) September volatility of 73 above 26-week average of 33. LEH is recently down $2.55 to $54.79. LEH call option volume of 18,902 contracts compares to put volume of 33,956 contracts. LEH August 55 straddle is priced at $4.60. LEH September option implied volatility of 73 is above its 26-week average of 33 according to Track Data, suggesting larger risk.

Countrywide Financial (NYSE: CFC) volatility of 130 suggests greater Crisis. CFC, the largest U.S. home mortgage lender, is recently down $1.66 to $24.97. SBSH say's "we still believe CFC's $46 billion in 'highly reliable funding should help them through this difficult time." CFC August 25 straddle is priced at $3.30. CFC September option implied volatility of 130 is above its 26-week average of 52 according to Track Data, suggesting larger price risks.

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