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).