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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$
=============================================================================
07/31 Aft-mkt DDR      DDR CORP               3.43     0.90      na       na
07/31 Bef-mkt CIE      COBALT INTERNATI      16.68     4.89    22.53     5.50
07/31         COH*     COACH INC              8.24     4.33     9.90     6.15
07/31 Bef-mkt MLM      MARTIN MAR MTLS        5.20     2.77     7.93     6.30
07/31 Bef-mkt VLO*     VALERO ENERGY          2.43     1.76     6.74     1.76
07/31         LPX      LOUISIANA-PACIFI       6.17     4.52    11.28     1.25
07/31 Aft-mkt EA*      ELECTRONIC ARTS        8.02     6.49    10.78     1.23
07/31         GT*      GOODYEAR TIRE          9.38     7.93    12.77     1.35
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/31 06:00   AET*     AETNA INC              4.66     5.10     6.44     2.36w
07/31         X*       US STEEL CORP          4.47     5.50     6.71     1.28w
07/31 Bef-mkt ADM*     ARCHER-DANIELS         4.15     5.15     6.32     1.74
07/31 Bef-mkt PFE*     PFIZER INC             1.92     2.63     2.98     0.71w
07/31 Aft-mkt FIRE     SOURCEFIRE INC         8.09    11.63    14.89     7.40
07/31 Aft-mkt PPO      POLYPORE INTERNA       7.28    10.89    12.81     4.70
07/31 16:05   ALL*     ALLSTATE CORP          2.26     3.62     4.12     1.43
07/31 Aft-mkt PXD*     PIONEER NATURAL        2.37     4.20     8.52     7.87
07/31 Bef-mkt MDC      MDC HOLDINGS INC       3.35     6.64     9.42     3.10
07/31 Bef-mkt CMI*     CUMMINS INC            2.28     4.62     6.80     6.30
08/01 Bef-mkt DTG      DOLLAR THRIFTY         8.45     2.86    12.51     9.50
08/01 Aft-mkt WLT      WALTER ENERGY          9.38     5.08    10.66     3.67w
08/01 Bef-mkt AVP*     AVON PRODUCTS         10.04     5.92    12.68     2.05
08/01 16:00   CAVM     CAVIUM INC             6.71     4.38    10.89     2.99
08/01 Bef-mkt HSP*     HOSPIRA INC            4.50     3.12     7.27     2.55
08/01 Aft-mkt RGR      STURM RUGER & CO       8.46     6.39    12.13     5.75
08/01 Aft-mkt FSLR*    FIRST SOLAR INC        8.00     6.80    10.83     1.56w
08/01 Bef-mkt ADP*     AUTOMATIC DATA         1.56     1.32     2.78     1.60
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/01 Bef-mkt CMCSA*   COMCAST CORP-A         2.18     2.06     4.43     1.43
08/01 Bef-mkt TWX*     TIME WARNER INC        2.25     2.13     4.41     1.72
08/01         ICE*     INTERCONTINENTAL       2.50     2.43     4.69     6.30
08/01 Aft-mkt LNC*     LINCOLN NATL CRP       3.06     3.01     7.43     1.51
08/01 16:15   HIG*     HARTFORD FINL SV       4.88     4.97     8.21     1.35
08/01 Aft-mkt CAR      AVIS BUDGET GROU       6.68     6.97    12.31     1.80
08/01 Aft-mkt WMB*     WILLIAMS COS INC       3.62     3.82     5.09     1.61w
08/01 Bef-mkt MRO*     MARATHON OIL           2.87     3.15     6.07     1.64
08/01         AGN*     ALLERGAN INC           2.83     3.26     5.19     4.48
08/01         D*       DOMINION RES/VA        0.90     1.06     2.18     1.20
08/01 Bef-mkt DVN*     DEVON ENERGY CO        2.84     3.34     5.84     3.44
08/01 Bef-mkt HOG*     HARLEY-DAVIDSON        6.34     7.42     8.63     3.85
08/01 Aft-mkt GMCR     GREEN MOUNTAIN        18.85    22.41    19.73     3.56w
08/01 Aft-mkt PRU*     PRUDENTL FINL          2.55     3.16     5.84     2.81
08/01 Bef-mkt OC       OWENS CORNING          4.86     6.12     7.68     2.10
08/01         MA*      MASTERCARD INC-A       3.50     4.61     4.45    19.45w
08/01 Aft-mkt MAKO     MAKO SURGICAL          8.45    11.45    16.92     2.25
08/01 Aft-mkt WTW      WEIGHT WATCHERS       10.01    13.89    11.72     5.98
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/01 Aft-mkt ONXX     ONYX PHARM             1.41     2.10     8.75     6.80
08/01 06:00   HUN      HUNTSMAN CORP          4.92     8.55    10.81     1.35
08/01 Aft-mkt MET*     METLIFE INC            1.14     2.17     6.37     1.94
08/01 Bef-mkt EPD      ENTERPRISE PRODU       1.07     2.13     3.56     1.90
08/01 Aft-mkt TSO*     TESORO CORP            1.41     2.91     7.13     1.99
08/01 Aft-mkt IPI      INTREPID POTASH        2.14     5.20     6.80     1.60
08/01 Bef-mkt RRD*     RR DONNELLEY & S       1.36     3.98    10.61     1.27
08/01         MUR*     MURPHY OIL CORP        1.37     4.50     5.62     3.05

* - 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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