"The board are in the process of forming a shortlist of candidates and this will be finalised shortly," a statement from the club said.
"An appointment will be made following interviews with these candidates.
"There will be no further comment from the club until that time.
"It is important that the right individual, with the right desire and motivation is appointed to continue the long-term building process at the football club."
Ironically, Megson has now been installed as favourite to take over the managers role at Black-Country rivals Wolves, who sacked their manager Dave Jones on Monday!