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Lehman LEH (news,
chart,
quote) - LEH puts active at higher implied Volatility prior to Lock up Expiration 11/30
LEH employee lock up expiration ends on 11/30. LEH is expected to report EPS during the 2nd week of December. LEH option implied volatility of 26 is above its 26-week average of 22. LEH intra-day call option volume of 4,387 contracts compares to intra-day put volume of 9,969 contracts. Heavy put volume on higher implied volatility indicates option market makers are concerned about LEH downside price risk.
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