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

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July 30 (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$
=============================================================================
07/31 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:
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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