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

The following table shows the expected stock-price move for U.S. companies about to release quarterly results,

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:
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.
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