Lehman (NYSE: LEH) closed at $21.10 Wednesday. LEH August option implied volatility of 114 is above its 26-week average of 64 according to Track Data, suggesting larger price movement.
Merrill Lynch (NYSE: MER) closed at $33.81 Wednesday. MER August option implied volatility is at 66; January is at 52. MER average option implied volatility over the last 26-weeks is 55 according to Track Data, suggesting decreasing price movement in the next four-months.
Option Update is provided by Stock Specialist Paul Foster of theflyonthewall.com
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