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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$
=============================================================================
08/01 Bef-mkt DTG      DOLLAR THRIFTY         9.37     2.86    12.45     9.40
08/01 Aft-mkt WLT      WALTER ENERGY         10.12     5.08     8.81     3.06w
08/01 Bef-mkt HSP*     HOSPIRA INC            6.16     3.12     8.74     3.05
08/01 16:00   CAVM     CAVIUM INC             7.92     4.38    11.03     3.03
08/01 Bef-mkt AVP*     AVON PRODUCTS         10.31     5.92    11.97     1.85
08/01 Bef-mkt CMCSA*   COMCAST CORP-A         3.32     2.06     4.84     1.56
08/01 Bef-mkt ADP*     AUTOMATIC DATA         1.99     1.32     2.88     1.65
08/01 16:30   CNQR     CONCUR TECH INC        7.82     5.41     8.76     5.95
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/01 Aft-mkt FSLR*    FIRST SOLAR INC        9.74     6.80    11.54     1.64w
08/01 Aft-mkt RGR      STURM RUGER & CO       9.15     6.39    11.89     5.85
08/01 Bef-mkt TWX*     TIME WARNER INC        3.04     2.13     4.36     1.68
08/01 Aft-mkt CAR      AVIS BUDGET GROU       8.84     6.97    12.53     1.85
08/01 Bef-mkt RRD*     RR DONNELLEY & S       5.00     3.98    10.33     1.24
08/01 Aft-mkt MET*     METLIFE INC            2.67     2.17     6.23     1.91
08/01 Bef-mkt OC       OWENS CORNING          7.45     6.12     9.71     2.60
08/01 16:15   HIG*     HARTFORD FINL SV       6.02     4.97     8.61     1.41
08/01         LF       LEAPFROG ENTERPR      10.54     8.78      na       na
08/01 Bef-mkt MRO*     MARATHON OIL           3.76     3.15     6.17     1.66
08/01 Aft-mkt ONXX     ONYX PHARM             2.44     2.10     7.72     5.95
08/01 Aft-mkt TSO*     TESORO CORP            3.30     2.91     6.53     1.81
08/01         AGN*     ALLERGAN INC           3.64     3.26     4.92     4.20
08/01 Bef-mkt DVN*     DEVON ENERGY CO        3.61     3.34     5.61     3.32
08/01 Aft-mkt SGY      STONE ENERGY           6.05     5.58    10.88     2.92
08/01 Aft-mkt GMCR     GREEN MOUNTAIN        23.06    22.41    20.22     3.68w
08/01 Bef-mkt HOG*     HARLEY-DAVIDSON        7.36     7.42     8.81     3.92
08/01 Aft-mkt WMB*     WILLIAMS COS INC       3.75     3.82     4.03     1.28w
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/01 Aft-mkt WTW      WEIGHT WATCHERS       12.88    13.89    13.20     6.60
08/01 Aft-mkt PRU*     PRUDENTL FINL          2.87     3.16     5.39     2.62
08/01         MA*      MASTERCARD INC-A       4.12     4.61     4.54    20.05w
08/01 Aft-mkt MAKO     MAKO SURGICAL          9.88    11.45    16.08     2.15
08/01 Aft-mkt IPI      INTREPID POTASH        3.75     5.20     6.47     1.50
08/01         MUR*     MURPHY OIL CORP        3.20     4.50     5.87     3.20
08/01 Bef-mkt EPD      ENTERPRISE PRODU       1.45     2.13     3.73     2.00
08/01 06:00   HUN      HUNTSMAN CORP          5.54     8.55    10.38     1.30
08/01 Bef-mkt CLMT     CALUMET SPECIALT       0.45     1.96     4.53     1.15
08/02 06:30   CI*      CIGNA CORP             5.44     2.34     7.57     3.13
08/02         NFG      NATL FUEL GAS CO       5.40     2.41     8.49     4.20
08/02 Bef-mkt CAH*     CARDINAL HEALTH        4.04     1.98     4.80     2.08
08/02         MCHP*    MICROCHIP TECH         3.28     1.64     6.36     2.12
08/02 07:30   SEE*     SEALED AIR CORP        5.19     2.62    10.24     1.65
08/02 Bef-mkt TDC*     TERADATA CORP          6.40     3.40     8.65     5.85
08/02 07:00   INCY     INCYTE CORP            7.18     4.21    11.29     2.88
08/02         NILE     BLUE NILE INC         18.18    10.93    19.36     4.90
08/02 Aft-mkt AIG*     AMERICAN INTERNA       4.50     2.83     5.11     1.62w
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/02 Aft-mkt ATVI     ACTIVISION BLIZZ       6.39     4.02     7.15     0.86
08/02 Aft-mkt PBI*     PITNEY BOWES INC       7.90     5.14     9.52     1.26
08/02 Bef-mkt SE*      SPECTRA ENERG          1.86     1.20     5.19     1.60
08/02         EXPD*    EXPEDITORS INTL        4.34     2.90     6.66     2.40
08/02 Aft-mkt SWN*     SOUTHWESTRN ENGY       5.15     3.74     8.67     2.97
08/02 Aft-mkt OPEN     OPENTABLE INC         12.93     9.76    15.36     5.65
08/02 Bef-mkt PXP      PLAINS EXPLORATI       4.93     3.72     8.27     3.40
08/02 Aft-mkt MCP      MOLYCORP INC           8.38     6.95     8.89     1.56w
08/02 16:00   KFT*     KRAFT FOODS INC        2.28     1.91     3.47     1.37
08/02 Bef-mkt UPL      ULTRA PETROLEUM        4.19     3.75     8.68     2.09
08/02 Aft-mkt SYNA     SYNAPTICS INC          6.38     5.84    10.43     2.75
08/02         PSA*     PUBLIC STORAGE         1.28     1.23     3.07     4.60
08/02         OCN      OCWEN FINL CORP        3.35     3.26     7.41     1.45
08/02 Aft-mkt CBS*     CBS CORP-B             3.11     3.04     5.37     1.80
08/02 08:00   K*       KELLOGG CO             3.24     3.19     3.59     1.70
08/02         EXH      EXTERRAN HOLDING      10.15    10.04    14.46     2.20
08/02 14:00   APA*     APACHE CORP            2.92     2.93     3.74     3.28w
08/02         DTV*     DIRECTV-A              2.79     2.80     4.48     2.21
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/02 Aft-mkt FLR*     FLUOR CORP             5.09     5.10     6.79     3.40
08/02 Bef-mkt XEC      CIMAREX ENERGY C       6.81     6.80    13.80     8.06
08/02         BDX*     BECTON DICKINSON       2.83     2.91     3.54     2.70
08/02 Aft-mkt ZAGG     ZAGG INC               4.91     5.38    11.58     1.30
08/02 Bef-mkt CLX*     CLOROX CO              2.12     2.41     3.08     2.25
08/02 Bef-mkt WNR      WESTERN REFINING       5.52     6.27     8.80     2.05
08/02 Bef-mkt GTLS     CHART INDUSTRIES       6.17     7.76    10.70     7.04
08/02 Bef-mkt ARIA     ARIAD PHARM            3.12     4.01     7.86     1.50
08/02 Bef-mkt PWR*     QUANTA SERVICES        5.38     6.86     6.45     1.50
08/02 Bef-mkt CBOE     CBOE HOLDINGS IN       2.41     3.23     5.61     1.60
08/02         PEET     PEETS COFFEE &         2.37     4.30     2.78     2.10

* - 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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