March 17 (Bloomberg) -- Lehman Brothers Holdings Inc. options prices surged to a record as traders increased bets that the shares may drop by half in the next month.

Implied volatility, a measure of how much investors are paying to insure against stock losses, jumped 72 percent for Lehman to a record 226.54. That's almost as big a gain as Bear Stearns Cos. posted on March 14, the day of its Federal Reserve- led bailout.

``There's a lot of speculation about whether Lehman is going to go the same route as Bear,'' said Brian Overby, an options analyst at TradeKing Inc. in Charlotte, North Carolina. ``The market is extremely wiling to pay a lot for these options. This is an enormous spike in implied volatility.''

Lehman had its biggest ever loss, sliding 19 percent to $31.75 on the New York Stock Exchange. The price of today's third-most active contracts, which give the right to sell the stock for $15 before next month's options expire on April 18, doubled to $2.70. March $25 puts, the most-active, more than doubled to $3.30. For those wagers to pay off, the shares must lose 21 percent by March 20.

Trading in put options of the fourth-biggest U.S. securities firm exceeded 396,000 contracts, more than six times the 20-day average. Those bearish bets outnumbered bullish ones, or calls, by more than 1.7-to-1.

Bear Stearns, Lehman's biggest rival in mortgage bonds, agreed yesterday to be purchased by JPMorgan Chase & Co. for about 93 percent less than its March 14 closing price.

Puts give the right to sell a security for a certain amount, the strike price, before a given date. Calls convey the right to buy.

New York-based Lehman's stock has lost 53 percent this year.

To contact the reporter on this story: Jeff Kearns in New York at jkearns3@bloomberg.net.

Last Updated: March 17, 2008 16:51 EDT