Implied Volatility Alert: PEP, VIX
10/07/09
PEP volatility low into EPS, currency and commodity outlook
PepsiCo (PEP) is recently up 47 cents to $61.34.
The company is scheduled to report Q3 EPS on Oct. 8.
PEP expects to close on the acquisition of PepsiAmericas (PAS) and Pepsi Bottling Group (PBG) in early 2010.
Deutsche Bank said, "Remain positive on PEP Q3."
PEP October option implied volatility is at 24, and November is at 22, versus its 26-week average of 26, according to Track Data, suggesting decreasing price risk after EPS.
VIX down to 24.76
The CBOE Volatility Index (VIX) is recently down 94 cents to 24.76.
Its 10-day moving average is 26.04.
Posted at 3:40 p.m.
More Implied Volatility Alerts
Researcher Paul Foster has 23 years of professional experience in the capital markets, investments, trading, corporate finance, arbitrage, options, and mergers and acquisitions.
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