Microsoft (NASDAQ: MSFT) July straddle in line with previous levels prior to EPS. MSFT is expected to report EPS of $0.31 according to Thomson Financial on July 19. MSFT announced a $1.15 billion charge last week related to an Xbox design flaw. MSFT July straddle is priced at $1.14. MSFT August option implied volatility of 23 is near its 26-week average according to Track Data, suggesting non-directional risk.

Playtex (NYSE: PYX) options active prior to ENR paying $18.30 per share cash. PYX agreed to be sold to Energizer (NYSE: ENR) for $18.30 a share in cash plus the assumption of PYX debt. The total enterprise value is $1.9 billion. PYX option volume was heavy prior to the announcement of ENR buying PYX. A total of 7,299 PYX contracts traded on 7/11, 4,208 contracts traded on 7/12; above its approximate one month average of 245 contracts a day. PYX overall option implied volatility of 37 was near its 26-week average of 35 according to Track Data, suggesting non-directional risk.

Daily Option Update is provided by Stock Options Specialist Paul Foster of theflyonthewall.com.