Arsenal made a move for the Foxes star on Friday, activating a £20million release clause in his contract.
The Gunners had hoped to have a deal concluded before the end of the weekend, but Vardy has left them waiting on a decision as he focuses on Euro 2016 with England.
The move from the Gunners took many by surprise, with the bid very much coming out of the blue from Arsene Wenger’s side.
There is fierce debate about whether Vardy would fit in at the Emirates, and Merson has questioned it, saying he was shocked by the move.
"I'm shocked. I'm absolutely flabbergasted with it,” he told talkSPORT.
“Leicester suits Jamie Vardy, in my opinion. He is perfect for them. If he goes to Arsenal, I just don’t see it. I’m not saying he won’t get goals but I don’t think he will get enough opportunities [at Arsenal].”
It would certainly be interesting to see how Vardy would fit in at Arsenal should he make the move to the Emirates this summer.
There is no denying that Arsenal employ a much different style to the direct one that has helped him be such a success at Leicester.
However, perhaps the fact that he is the complete opposite to what the Gunners currently have is why Wenger is so keen to add him to his squad.