Someone bought 5000 LEH 10 puts for 1.45.

In this case, why would you want to bet on a specific company (that, for all you know, might get rescued)? Why not pick up some puts on XLF or decide on the cheapest generic index?

 

Does anybody know what would happen if GS goes private?

 

If it's delisted, the shares and options would still trade on the pink sheets. If, however, GS goes back to being private via stock buyback, the stock will be fixed at the buyout price and the option will (for practical purposes) immediately.