Options Update: Lehman (LEH) & Goldman Sachs (GS)
Lehman (LEH)
LEH April Volatility Aggressive At 133 As Shares At Three Year Lows
LEH is recently trading at $32.80 in pre-open trading, below its close of $39.26.
LEH said "Our liquidity position is and continues to be strong."
JPM agreed to purchase BSC for $2 a share to avert a bankruptcy.
LEH is expected to report Q1 EPS on March 18.
LEH March 40 straddle was priced at $9.60 on March 14.
LEH April option implied volatility of 133 is above its 6-month average of 51, suggesting larger price movement.
Goldman Sachs (GS)
GS Volatility Elevated As Shares Near 18-Month Low
GS is recently trading at $141.97 in pre-open trading, below its close of $156.96.
GS is expected to report EPS on March 18.
JPM agreed to purchase BSC for $2 a share to avert a bankruptcy.
UBS Warburg lowered its rating on GS to Neutral from Buy.
GS April option implied volatility of 65 is above its 26-week average of 43, suggesting larger price movement.
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About Paul Foster
Paul Foster is a former member of the Chicago Board Options Exchange with 21-years of professional experience in the capital markets, investments, trading, corporate finance, arbitrage, options and mergers & acquisitions. His writing about the options market has appeared in a wide variety of publications.
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