Options Update: Merrill Lynch (MER) & JP Morgan Chase (JPM)
Merrill Lynch (MER)
MER April Volatility Elevated At 107; Shares Near Five-Year Low
MER closed at $41.18.
Wachovia Securities says, "MER is the riskiest of the remaining monocline banks. MER had gross sub-prime CDO exposure of $30.4 billion, 3.3x the group average. MER also had the worst liquidity ratio at 52%."
MER April option implied volatility of 107 is above its 26-week average of 45, suggesting larger risk.
MER implied volatility is near a level attained in October of 1987.
JP Morgan Chase (JPM)
JPM Volatility Elevated At 71 As Shares Rally On BSC Buy
JPM closed at $40.31.
Wachovia Securities says, "While JPM only paid $237 million for BSC, its market capitalization has increased approximately $10 billion. today."
JPM April option implied volatility of 71 is above its 6-month average of 38, suggesting larger price movement.
"
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.
View Paul Foster's post archive >
