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).