Merrill Lynch (NYSE: MER) is recently trading at $31.96 in pre-open trading, below its close of $33.05.

Lehman expects MER to post a Q2 write-down of $5.4 billion.

MER July option implied volatility of 76 is above its 26-week average of 53 according to Track Data, suggesting larger price movement.

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