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

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July 26 (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$
=============================================================================
07/27         ALR      ALERE INC             13.24     7.04    26.32     4.60
07/27 07:00   LM*      LEGG MASON INC         5.94     3.23     9.12     2.26
07/27 Bef-mkt DHI*     DR HORTON INC          5.29     3.20     9.23     1.66
07/27 Bef-mkt NWL*     NEWELL RUBBERMAI       5.75     5.15     7.17     1.25
07/27 Bef-mkt NEM*     NEWMONT MINING         2.78     2.51     2.99     1.37w
07/27 Bef-mkt MRK*     MERCK & CO             1.36     1.47     3.68     1.57
07/27         CVH*     COVENTRY HEALTH        4.72     5.39     8.39     2.55
07/27 08:30   CVX*     CHEVRON CORP           0.90     1.07     2.09     2.22w
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/27         GPRO     GEN-PROBE              1.69     4.64      na       na
07/30 Aft-mkt HTZ      HERTZ GLOBAL HOL       9.13     2.71    13.65     1.45
07/30 Aft-mkt VRTX     VERTEX PHARM           4.68     2.84      na       na
07/30 Aft-mkt APC*     ANADARKO PETROLE       3.35     2.60     2.85     1.98w
07/30 16:00   CRUS     CIRRUS LOGIC INC      15.07    11.80    16.68     4.50
07/30 Aft-mkt MAS*     MASCO CORP             6.08     5.84    10.84     1.40
07/30 Aft-mkt BGC      GEN CABLE CORP        10.34    10.82    12.64     3.18
07/30 Bef-mkt CIT      CIT GROUP INC          1.91     2.95     6.85     2.36

* - 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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