French Bank Options Prices Surge to Six-Year Highs; Shares Fall
Credit Agricole SA (ACA) and BNP Paribas (BNP) SA options prices rose to the highest level since at least 2005 and Societe Generale SA’s reached a two-year high as the cost of insuring French government bonds increased. The shares plunged.
Implied volatility, the key gauge of option prices, for at- the-money BNP options expiring in 30 days jumped to 129.44 as of 5 p.m. in Paris, triple the 40.24 average over the past four years. Credit Agricole’s surged to 194.23. SocGen’s rose to 100.35, the highest since March 2009, as the lender’s stock had a record decline and led a drop in French banking shares.
Societe Generale SA, Credit Agricole SA and BNP Paribas SA slumped more than 9.9 percent, leading France’s CAC 40 Index down 4.5 percent to 3,032.28 at 5:01 p.m. in Paris.
Societe Generale (GLE) plunged a record 15 percent to 22.08 euros, while Credit Agricole tumbled 14 percent to 5.92 euros, its lowest price ever, and BNP fell 11 percent to 35.15 euros, its lowest level since April 2009.
The cost of insuring debt of Societe Generale SA rose 29 basis points to a record 299 basis points, according to CMA prices for credit-default swaps.
To contact the reporters on this story: Jeff Kearns in New York at jkearns3@bloomberg.net; Cecile Vannucci in Amsterdam at cvannucci1@bloomberg.net
To contact the editor responsible for this story: Michael P. Regan at mregan12@bloomberg.net
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