Note: The Daily Option Update is provided by Stock Options Specialist Paul Foster of theflyonthewall.com.

Volatility Index S&P 500 Options-VIX down 1.47 to 15.80

Chicago Mercantile Exchange Holdings, Inc. (NYSE:CME) - April option implied volatility increases on ICE offer for BOT.
CME is recently down $14.94 to $548.78. The ICE announced an offer to issue 1.42 shares for each BOT share. CME and BOT announced a merger on 10/17/06. CME is paying 0.3006 shares for each BOT share. Shareholder votes by CME and BOT shareholders are set for 4/4/07. Smith Barney says: "if the CME/BOT deal does not go through, investors could bid up NMX shares on speculation of a CME/NMX deal." SBSH has a Hold rating on CME. CME April option implied volatility of 31 is above its 26-week average of 29 according to Track Data, suggesting slightly larger risk.

NYSE Group Inc. (NYSE:NYX) call volume heavy on spreaders adjusting on evolving Fundamentals.
NYX is recently up $0.70 to $83.01. The ICE announced an offer to issue 1.42 shares for each BOT share. CME is paying 0.3006 shares for each BOT share. Shareholder votes by CME and BOT shareholders are set for 4/4/07. Smith Barney says "if the CME/BOT deal does not go through, investors could bid up NMX shares on speculation of a CME/NMX deal." NYX call option volume of 38,141 contracts compares to put volume of 10,864 contracts. NYX April option implied volatility is at 33, puts are at 43. NYX 26-week average option implied volatility is 40 according to Track Data. NYX puts are expensive because NYX is difficult to borrow.

Option volume leaders today were: Accredited Home Lenders Holding Co. (NYSE:LEND), NYSE Group Inc. (NYSE:NYX) and Apple Inc. (NASDAQ:APPL).

The Volatility Index S&P 500 Options-VIX is down 1.64 to 13.60.

Monster Worldwide (NASDAQ: MNST): implied volatility and volume low as MNST rallies on upgrade. MNST is recently up $2.19 to $49.74. MNST has market cap of $6.3 billion. Smith Barney upgraded MNST from Hold to Buy on EPS leverage, robust customer position, potential for share buybacks and positive review of new website. MNST call option volume of 688 contracts compares to put volume of 289 contracts. MNST option implied volatility of 35 is below its 26-week average of 38 according to Track Data, indicating decreasing stock price risk.

Grant Prideco (NYSE: GRP): implied volatility suggests flat risk; rally continues on report. GRP, engaged in drill stem technology development and drill pipe products and services, is recently up $1.95 to $47.16. RBC Capital Markets says, "GRP possible target of Vallourec. GRP jumped 5.6% yesterday due in large part to a story in Challenges magazine citing Vallourec as a suitor. There is a clear industrial fit in the drill pipe and premium connections businesses. However it strikes us as odd that VK would be pursuing an acquisition concurrently with announcing a special dividend." GRP traded 9,482 contracts March 7. GRP call option volume of 2,282 contracts compares to put volume of 844 contracts. GRP April option implied volatility of 40 is near its 26-week average of 42 according to Track Data, suggesting non-directional risk.

Option volume leaders today were: KBR (NYSE: KBR), Haliburton (NYSE: HAL), Altria (NYSE: MO) & Microsoft (NASDAQ: MSFT).