Wyeth (NYSE: WYE) is recently trading at $42.06, above its close of $38.83. Pfizer (NYSE-PFE) is in talks to acquire WYE in a deal valued at $60B, reported the WSJ. WYE is expected to report Q4 EPS on January 29. WYE February and March option implied volatility of 46 is near its 26-week average of 43, according to Track Data, suggesting non-directional price movement.

PFE is recently trading at $16.77, below its close of $17.21. PFE is expected to report Q4 EPS on January 28. PFE February volatility of 37 is near its 26-week average according to Track Data, suggesting non-directional price movement.

Crucell NV (NASDAQ: CRXL), a biopharmaceutical company, and WYE confirmed on January 7 the two firms are in discussion to combine. CRXL closed at $22.39 and was recently trading this morning at $19.91. CRXL February option implied volatility of 70 is above its 26 week average of 63, according to Track Data, suggesting larger price movement.

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

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