Implied Volatility Alert: ELN, HGSI
07/02/09
ELN July volatility collapses to 77 from 96 on $1 billion JNJ deal
Elan Corp. (ELN) is recently up 96 cents to $7.96 on news that Johnson & Johnson (JNJ) will acquire 18.4% stake in ELN for $1 billion.
ELN call option volume of 41,445 contracts compares to put volume of 7,154 contracts.
ELN July option implied volatility is at 77, below a level of 96 from last night; August is at 74, below a level of 86 from last night; verses its 26-week average of 88, according to Track Data, suggesting decreasing price movement.
HGSI straddles expensive into Phase III data
Human Genome Sciences (HGSI) is recently up 1 cent to $2.93.
HGSI is expected to report top-line Phase III BLISS-52 data on LymphoStat-B this summer.
HGSI July 2.5 straddle is priced at 80 cents; August 2.5 straddle is priced at $1.85; October 2.5 straddle is priced at $2.20, according to Track Data, suggesting large price movement.
Posted at 11:45 a.m.
More Implied Volatility Alerts
Researcher Paul Foster has 23 years of professional experience in the capital markets, investments, trading, corporate finance, arbitrage, options, and mergers and acquisitions.
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