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Implied Stock-Price Moves for U.S. Companies Reporting Results

July 25 (Bloomberg) -- The following table shows the expected stock-price move for U.S. companies about to release quarterly results, according to options data as of the last close compiled by Bloomberg. Definition and criteria are listed below the table.

Bloomberg search function: {EQS /SAMPLE 9474672 /RESULTS <GO>}. For calculations, type {97 <GO>}. For U.S. earnings, see {BBEA9 <GO>}.


REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/26 Bef-mkt NEE*     NEXTERA ENERGY         2.11     0.56     3.03     2.10
07/26 Bef-mkt UTX*     UNITED TECH CORP       3.41     1.14     3.25     2.34w
07/26 Bef-mkt LINE     LINN ENERGY LLC        2.27     0.84     4.65     1.85
07/26 Bef-mkt HOT*     STARWOOD HOTELS        7.38     2.75    10.22     5.07
07/26 Aft-mkt SBUX*    STARBUCKS CORP         5.85     2.27     5.51     2.78w
07/26 Bef-mkt WM*      WASTE MANAGEMENT       4.59     1.82     5.44     1.77
07/26 Bef-mkt MJN*     MEAD JOHNSON           6.52     2.93     8.26     6.04
07/26         UAL      UNITED CONTINENT       6.43     3.08    11.63     2.37
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/26 23:00   KLAC*    KLA-TENCOR CORP        5.40     2.60     7.59     3.65
07/26         CELG*    CELGENE CORP           4.56     2.23     6.22     3.98
07/26 16:05   VRSN*    VERISIGN INC           3.86     2.18     6.34     2.65
07/26 Bef-mkt NUS      NU SKIN ENTERP-A       7.78     4.44    11.79     5.24
07/26 Aft-mkt AMGN*    AMGEN INC              3.64     2.16     5.96     4.55
07/26 Bef-mkt XOM*     EXXON MOBIL CORP       2.24     1.32     2.31     1.95w
07/26 Bef-mkt BC       BRUNSWICK CORP         6.74     4.40     9.79     2.01
07/26 Bef-mkt CL*      COLGATE-PALMOLIV       3.10     2.13     4.31     4.40
07/26         IP*      INTL PAPER CO          4.35     3.00     7.67     2.41
07/26 Aft-mkt VECO     VEECO INSTRUMENT       7.68     5.30    12.43     3.90
07/26 Aft-mkt CB*      CHUBB CORP             3.35     2.34     4.59     3.16
07/26 Bef-mkt PHM*     PULTEGROUP INC         6.30     4.41    12.21     1.28
07/26 Aft-mkt QLIK     QLIK TECHNOLOGIE       8.31     5.82    14.44     2.54
07/26         DECK     DECKERS OUTDOOR       13.86     9.85    16.50     7.01
07/26 Bef-mkt PCP*     PRECISION CASTPT       3.71     2.62     5.53     8.90
07/26 07:00   CNX*     CONSOL ENERGY          5.74     4.17    11.71     3.45
07/26         NBL*     NOBLE ENERGY INC       2.94     2.17     6.17     5.20
07/26 07:00   RTN*     RAYTHEON CO            2.31     1.79     4.52     2.50
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/26 Aft-mkt CERN*    CERNER CORP            6.43     5.01     8.15     6.15
07/26 Bef-mkt BG       BUNGE LTD              5.83     4.59     6.92     4.29
07/26         IPG*     INTERPUBLIC GRP        9.87     7.89    11.00     1.23
07/26 Aft-mkt AMZN*    AMAZON.COM INC         8.72     7.32     8.07    18.00w
07/26 Bef-mkt ABC*     AMERISOURCEBERGE       2.88     2.44     5.42     2.07
07/26 Bef-mkt NOV*     NATL OILWELL VAR       3.65     3.09     7.70     5.22
07/26 Aft-mkt EXPE*    EXPEDIA INC            9.71     8.45    12.20     5.65
07/26 Bef-mkt ASH      ASHLAND INC            5.80     5.29     8.41     5.55
07/26 Bef-mkt KMB*     KIMBERLY-CLARK         3.03     2.77     3.95     3.30
07/26 16:00   MXIM     MAXIM INTEGRATED       3.58     3.32     9.60     2.40
07/26 16:30   CA*      CA INC                 4.80     4.48     7.08     1.80
07/26 Bef-mkt HSY*     HERSHEY CO/THE         3.19     2.97     4.25     2.99
07/26 Bef-mkt DOW*     DOW CHEMICAL CO        3.80     3.57     6.99     2.10
07/26 Aft-mkt CSTR     COINSTAR INC           9.55     9.78    12.60     7.64
07/26         OXY*     OCCIDENTAL PETE        3.35     3.43     4.11     3.44w
07/26         MMM*     3M CO                  3.13     3.41     3.24     2.86w
07/26 Aft-mkt INFA     INFORMATICA CORP       6.67     7.49    12.11     3.33
07/26 Bef-mkt MYL*     MYLAN INC              2.55     2.89     5.48     1.18
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/26 Aft-mkt APKT     ACME PACKET INC        9.03    10.68     9.28     1.51w
07/26 Bef-mkt CME*     CME GROUP INC          2.99     3.61     6.07     3.10
07/26 16:05   GILD*    GILEAD SCIENCES        2.78     3.56     7.10     3.63
07/26         DDD      3D SYSTEMS CORP        8.94    14.60    14.18     4.90
07/26 Aft-mkt NTRI     NUTRISYSTEM INC        6.63    10.93     9.61     1.02
07/26 Bef-mkt RCL      ROYAL CARIBBEAN        4.30     7.23     8.83     2.12
07/27 Bef-mkt KKR      KKR & CO LP            3.81     2.60     6.76     0.95
07/27 Bef-mkt DHI*     DR HORTON INC          4.62     3.20     8.95     1.67
07/27         ALR      ALERE INC             10.08     7.04    12.97     2.30
07/27 08:30   CVX*     CHEVRON CORP           1.12     1.07     2.50     2.66w
07/27 Bef-mkt NEM*     NEWMONT MINING         2.30     2.51     4.24     1.88w
07/27         CVH*     COVENTRY HEALTH        4.73     5.39     6.58     2.10
07/27 Bef-mkt MRK*     MERCK & CO             1.25     1.47     4.03     1.72

* - Company in Standard & Poor’s 500 Index.
w - Weekly option.

Definition:
Implied 1-Day% Move: Absolute percentage change in stock price around the next
earnings date estimated from option volatilities, see attachment for
detailed calculations or type {97 <GO>}.
Average Post Earnings% Move: The average absolute percentage changes in
stock price after earnings from previous eight quarters.
Straddle Implied% Move: Absolute percentage change in stock price, estimated
from the cost of the front-month (or the weekly option if available),
at-the-money straddle divided by the price of the underlying from the last
trade.
Straddle Cost: Cost to purchase front-month (or the weekly option if
available),at-the-money call and put option contracts.

Criteria: The screen used to build this table looked for U.S.
stocks with at least $200 million in market value, options
trading volume yesterday of 500 or more, total open interest
of 10,000 contracts, and share prices at $10 or higher.

To contact the reporter on this story: Wendy Soong in New York at at csoong@Bloomberg.net.

To contact the editor responsible for this story: Alex Tanzi at at atanzi@Bloomberg.net

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