Option Update: JP Morgan Chase volatility elevated at 46 into EPS

Posted Apr 3rd 2008 9:50AM by Paul Foster
Filed under: JPMorgan Chase (JPM), Options, Bear Stearns Cos (BSC)

JP Morgan Chase (NYSE: JPM) closed at $46.24 Wednesday.

JPM is scheduled to report Q1 EPS on April 16. JPM April option implied volatility of 46 is above its 26-week average of 39 according to Track Data, suggesting larger price movement.

Bear Stearns (NYSE: BSC) volatility is at four-week lows as JPM buyout spread tightens.

BSC closed at $10.86 Wednesday. JPM revised its buyout offer for BSC on Mar. 25 to 0.21753 shares. BSC over all option implied volatility of 70 is at four-week lows according to Track Data, suggesting decreasing risk.

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

Tags: bear stearns, BearStearns, bsc, jpm, jpmorgan chase, JpmorganChase, option implied volatility, OptionImpliedVolatility

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Option Update: JP Morgan Chase volatility elevated at 46 into EPS