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Option Update: Calpine volatility flat into NRG $11.3B buyout proposal

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NRG Energy (NYSE: NRG) confirmed an all-stock transaction with an exchange ratio of 0.534 for CPN shares, valuing the potential transaction at $22.70.

Calpine (NYSE: CPN) closed at $21.28 Wednesday.

CPN overall option implied volatility of 41 is near its 16-week average of 43 according to Track Data, suggesting non-directional risk.

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DJIA+30.6910,464.40
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S&P 500+4.981,110.63

Last updated: November 25, 2009: 05:11 PM

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