Options Update: Elan (ELN) volatility up into strategic review

Elan (NYSE: ELN) said it is initiating a strategic review which could result in a minority investment, a strategic alliance, a merger, or a sale. ELN closed at $8.03 Monday. ELN February call option implied volatility is at 103, puts are at 112, above its 26-week average of 100 according to Track Data, suggesting larger price movement..

Biogen Idec (NASDAQ: BIIB) closed at $48.45 Monday. BIIB and ELN have a 50-50 stake in the multiple sclerosis drug Tysabri. ELN said it is initiating a strategic review which could result in a minority investment, a strategic alliance, a merger or a sale. BIIB February option implied volatility of 56 is near its 26-week average according to Track Data, suggesting non-directional price movement.

Crucell NV (NASDAQ: CRXL), a biopharmaceutical company, and Wyeth (NYSE: WYE) confirmed on January 7 the two firms are in discussion to combine. CRXL closed at $22.63 Monday. CRXL February option implied volatility of 58 is near its 26-week average of 61, according to Track Data, suggesting non-directional price movement.

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