SocGen, BNP Option Prices Surge as Credit-Default Swaps Rise

BNP Paribas 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 138.61 as of the close of French exchanges at 5:30 p.m. in Paris, more than triple the 40.24 average over the past four years. SocGen’s rose to 94.37, the highest since March 2009, as the lender’s stock had a record decline and led a drop in French banking shares.