Option Update: Lehman volatility elevated into $6 billion capital raise

Posted Jun 9th 2008 9:30AM by Paul Foster
Filed under: Options, salesforce.com inc (CRM), Lehman Br Holdings (LEH)

Lehman (NYSE: LEH) is recently trading at $29.73 in pre-open trading, below its close of $32.29 Friday.

LEH intends to raise $6 billion through an offering of common stock and non-cumulative mandatory convertible preferred stock. LEH expects Q2 loss of $2.8 billion and EPS of ($5.14) versus consensus of (22c).

LEH June 30 straddle is priced at $5.95, July 30 straddle is priced at $8.55. LEH June option implied volatility of 126 is above its 26-week average of 61 according to Track Data, suggesting larger price movement.

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

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