Blogging Options: CBOE Mid-day Update

Stock Mover’s
 
Medco Health Solutions (MHS) and Express Scripts (ESRX) volatility decreases as share prices increase on merger
Medco Health Solutions (MHS) shares have rallied 15% and Express Scripts (ESRX) are up 5% following an agreement to merge, Medco shareholders will receive $28.80 in cash and 0.81 shares for each Medco share. Medco September call option implied volatility of 23 is below its 26-week average of 28.
 
Express Scripts (ESRX) August option implied volatility of 24 is below its 26-week average of 27.

 
PepsiCo (PEP) is recently down 4.4% after reporting Q2 profits increasing 18%, however 2012 guidance was less than expected on higher commodity costs. August 65 calls are active on flat option implied volatility of 16, October is at 14; compared to its 26-week average of 16.
 
Coca-Cola (KO) is recently up 0.8% with overall option implied volatility of 16 near its 26-week average as shares trade at an eleven-year high.
 
Hanson Natural (HANS) overall option implied volatility of 39 is above its 26-week average of 34 as shares trade near a record high.

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