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Option Update: Lehman April volatility aggressive as shares at 3-year low

Posted Mar 17th 2008 7:14AM by Paul FosterPaul Foster RSS Feed
Filed under: JPMorgan Chase (JPM), Options, Lehman Br Holdings (LEH), Bear Stearns Cos (BSC)

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Lehman Brothers (NYSE: LEH) April volatility aggressive at 133 as shares at three year lows.

LEH is recently trading at $32.80 in pre-open trading, below its close of $39.26.

LEH said "our liquidity position is and continues to be strong."

JPMorgan (NYSE: JPM) agreed to purchase Bear Stearns (NYSE: BSC) for $2 a share to avert a bankruptcy.

LEH is expected to report Q1 EPS on March 18.

LEH March 40 straddle was priced at $9.60 on March 14. LEH April option implied volatility of 133 is above its 6-month average of 51 according to Track Data, suggesting larger price movement.

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

Tags: bsc, jpm, leh, lehman brothers, LehmanBrothers, option implied volatility, OptionImpliedVolatility

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S&P 500-19.141,091.49

Last updated: November 28, 2009: 09:18 AM

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