Options activity for Lehman Bros. and the financial sector as a whole continues to be extremely volatile, according to one analyst.

"Despite actions by the Fed to bring down some fraught nerves, and outlook for the fact that some of these rumors might die down a bit, implied volatility still remains very high, and we're still seeing a high level of activity at these July $10 puts in Lehman," said Rebecca Darst of Interactive Brokers on CNBC. "Again, it's very susceptible to rumor and there's a lot of speculative activity going on here, so that's one to watch." (See her full comments in the video).

Over the weekend regulators took over IndyMac Bancorp. The move rattled a sector already beseiged by credit and liquitidy worries. That is being reflected in the options traffic on the financial sector as represented in the XLF

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[XLF  Loading...      ()   ] exchange traded fund.

"What we've seen in the XLF was heavy buying pressure earlier today in the July 17th and 18th strikes," said Darst. "That would indicate traders being very defensive for the rest of this week, expecting possible continued erosions below the lows."

Darst observed that one particular bank stock, Washington Mutual, was seeing a lot of activity.

"Keep an eye on Washington Mutual," sha said. "When I spoke to your producers at about 10:30 a.m. this morning, its implied volatility was up 37 percent. When I left the office to come to the studio here, it was up 101 percent, and again we saw traders selling volatility in the front month."

Check the Lehman Options Chain here.

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