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The Procter & Gamble Company (NYSE:PG) is bucking the broad-market trend lower today, thanks this morning's second-quarter profit win and news of an impending brand overhaul. In fact, the stock is easily outperforming its fellow Dow components, up 3.5% to trade at $80.04. Option traders are responding in kind, scooping up calls at a rate almost five times the intraday average. Meanwhile, in the wake of this morning's scheduled announcement, the security's 30-day at-the-money implied volatility has plunged 11.6% to 12.4% -- in the low 30th percentile of its annual range.
The most active PG option this afternoon is the August 81 call, and it appears a number of speculators are eyeing more upside for the blue chip over the next two weeks. The majority of the 6,588 contracts traded here have done so at the ask price, and volume handily outstrips open interest -- two signs of buy-to-open activity.
The volume-weighted average price (VWAP) for the calls is $0.50, making breakeven at the close on Friday, Aug. 15 -- when front-month options expire -- $81.50 (strike plus VWAP). Gains are theoretically unlimited beyond this point, while losses are capped at the premium paid, should The Procter & Gamble Company (NYSE:PG) finish south of the strike at expiration. Thanks to today's earnings-induced pop, delta on the call has jumped to 0.32 from 0.083 at last night's close.