The developments at Lehman Brothers are making the options market swirl in general, according to Rebecca Darst of Interactive Brokers.
"In general, the brokerages, en masse, took a hit to morale on Lehman's ongoing struggle to survive, but if you take a look at the volatility developments, it certainly was most interesting in Merrill Lynch ," she said on CNBC's "Squawk Box" Thursday morning. "We saw a lot of seesaw action in Merrill Lynch options yesterday; actually, at one point, late in the morning, implied volatility on all Merrill Lynch options (check options here) blasted through those mid-July highs. ... There's still a large, large risk premium being priced into the options on Merrill, twice as many puts trading as calls. ... People are getting very defensive on Meriill." (See her full comments in the video)