* Nasdaq's going-private talks put option on radar -Tilly
* CBOE shares rise to highest level since 2010 IPO
* CBOE not undervalued compared with peers -analyst
By Ann Saphir
Feb 14 (Reuters) - The Chicago Board Options Exchange's parent company, which went public in 2010 after years of effort, would consider going private again if that would benefit shareholders, a top executive said on Thursday.
Monday's news that private equity firm Carlyle Group LP had recently approached stock exchange operator Nasdaq OMX Group Inc about going private raised the question of whether CBOE Holdings Inc might consider a similar move.
Doing so "would not have been a logical exploratory change in governance and ownership structure," CBOE's chief operating officer, Edward Tilly, told a Credit Suisse financial services forum on Thursday.
Such a move would go against the past decade's trend of exchange operators seeking to become publicly listed companies.
But in the wake of the revelation of the Nasdaq-Carlyle talks, said Tilly, "We still must act and are looking forward to acting in the best interest of our stockholders. If valuations as a result of conversations with Carlyle lift all boats, so be it ... We would have to entertain changes in our structure."
CBOE shares rose to a record $35.87 on Thursday, before paring gains to close at $35.69, up 2 percent on the day, on the Nasdaq.
CBOE Chief Executive Bill Brodsky waged a years-long campaign to convert CBOE from a private club run by members to a public company run for profit. Reversing that hard-won victory seems an unlikely step for Tilly, who is in line to take over as CEO in May.
Going public allowed CBOE for the first time in its nearly 40-year history to make strategic decisions without the cumbersome process of consulting hundreds of members, and to better compete in the crowded field of U.S. stock-options exchanges.
"We are getting into a nice rhythm as a public company," said Tilly, who joked that he would not have had the chance to leave Chicago's cold winter to speak at the investor forum, taking place in warm Miami, if CBOE were a private company.
Tilly's comments fell short of suggesting he is eager to take the exchange private, and a CBOE spokeswoman declined to comment on whether the company has engaged in any conversations along those lines.
But Tilly left the door open to the possibility in a way that the chief of Chicago's other major exchange operator, in remarks to the same forum, did not.
CME Group Inc's CEO, Phupinder Gill, said on Tuesday that he did not see "the advantage of going private at this time."
"I do have a sense that something is happening with CBOE, because the stock has just been bit by bit clawing its way forward," said Thomas Caldwell, chairman of Toronto's Caldwell Securities and the owner of about 1.8 million CBOE shares.
ACTIVE OPTIONS TRADING
Citing the regulatory expense of being a public U.S. company, and noting that other firms, including struggling computer company Dell Inc, have moved to go private, Caldwell said he could understand the move from a cost perspective.
"And it would also drag any potential suitor who was lurking in the bushes, out," he added.
The talks between Carlyle and Nasdaq fell apart over a disagreement on price, sources told Reuters on Monday.
CBOE would need to see an offer of $38 to $40 a share in order to get investors to tender their stock, Caldwell said.
"If (Tilly) plans go private at an exorbitant price, I am wildly in favor," Caldwell said. "I certainly can understand it, given the costs and pitfalls of being a public company."
Some investors saw CBOE privatization as a long shot. Unlike Nasdaq, which competes in the highly commoditized world of stock trading, CBOE offers a stable of exclusive, popular and highly profitable contracts tied to volatility.
Trading in options on CBOE's fear gauge, the VIX volatility index, was up 14 percent in 2012, compared with a 19 percent volume drop in U.S. stock trading.
That has helped boost CBOE's price-to-earnings ratio above 20, on par with NYSE Euronext and CME Group.
Nasdaq shares are trading at just 15 times earnings, making the company a more likely candidate for privatization because it is undervalued relative to peers, according to Herb Kurlan, managing member of Pykrete Capital Group, an investment advisory group based in San Francisco.
For CBOE, he said, "it wouldn't seem that going private would be considered unless they have some major restructuring or other activity planned that would put a damper on shareholder value and that being private would allow them more flexibility like the situation in Dell Inc."
Options trading on CBOE Holdings was impressive on Thursday. Overall volume was 5.4 times the recent daily average, with 14,000 calls and 1,361 puts traded near the close, according to options analytics firm Trade Alert.
More than half of the activity was driven by one call spread trade in the June options which reflected expectations for further gains in the shares through the first half of the year, said WhatsTrading.com options strategist Frederic Ruffy.
Calls are bets on a rise in the stock's value; puts provide insurance against a drop.