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Spring-planted cauliflower heads should be covered or blanched when 2 inches in diameter to exclude light and produce pure white heads. To blanch, tie the outer leaves up and over the developing head.

In order to keep the cauliflower head white, many people will tie the leaves over the head to "blanch" the head. This is normally done just as the heads have begun forming. Simply take the leaves and pull them up around the head and tie them together with string or something similar.

Simply pull up 3-4 large leaves and loosely fasten them over the cauliflower head either by using pantyhose or string. Some people also use clothespins to hold the leaves in place.

The following articles should be of some help to you: https://www.gardeningknowhow.com/edible/vegetables/vgen/what-is-bolting-what-it-means-when-a-plant-bolts.htm
https://www.gardeningknowhow.com/edible/vegetables/cauliflower/growing-cauliflower.htm

You probably bought a purple cauliflower. If you did not mean too, it was very possible the store mislabled it. They are as edible as the white variety and will turn white when cooked.

There are several reasons your cauliflower may not be heading. Too much nitrogen can give you leaves without flowers or your pH might be off. Cauliflower likes a pH around 6.5. It's too late in the season for your plant to develop heads now. I'd pull them. Take heart, though, cauliflower aren't the easiest garden plant to grow.