Option update: Bear Stearns (BSC) volatility at 44 after Buffett rumors

Posted Sep 26th 2007 3:55PM by Paul Foster
Filed under: Deals, Products and Services, Merrill Lynch (MER), Goldman Sachs Group (GS), Options, Bear Stearns Cos (BSC)

Bear Stearns (NYSE: BSC) is recently up $9.76 to $124.16. The NY Times is reporting Warren Buffett & others are looking at a stake in BSC. BAC call option volume of 27,438 contracts compares to put volume of 29,491 contracts. BSC October option implied volatility of 44 is near its 26-week average of 43 according to Track Data, suggesting flat price movement.

Merrill Lynch (NYSE: MER) is recently down $2.04 to $70.08. Goldman Sachs-(NYSE:GS) says "MER appears to be caught in the cross hairs of a number of headwinds in the quarter -- leveraged loan losses, mark to market losses on their CDO exposure, and deteriorating mortgage fundamentals." MER call option volume of 21,310 contracts compares to put volume of 20,870 contracts. MER October option implied volatility of 41 is above its 26-week average of 30 according to Track Data, suggesting larger risk.

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

Tags: BAC, BSC, Goldman Sachs, GoldmanSachs, MER, NY Times, NyTimes, Warren Buffett, WarrenBuffett