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

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Aug. 1 (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$
=============================================================================
08/02 06:30   CI*      CIGNA CORP             5.58     2.34     7.62     3.07
08/02 07:30   SEE*     SEALED AIR CORP        6.11     2.62     9.44     1.53
08/02 Bef-mkt CAH*     CARDINAL HEALTH        3.95     1.98     4.15     1.79
08/02 Bef-mkt TDC*     TERADATA CORP          6.65     3.40     8.87     6.00
08/02 Aft-mkt SBAC     SBA COMM CORP-A        3.20     1.67     3.52     2.08
08/02 Aft-mkt AIG*     AMERICAN INTERNA       5.19     2.83     5.44     1.70w
08/02 Aft-mkt PBI*     PITNEY BOWES INC       8.98     5.14    10.11     1.35
08/02         EXPD*    EXPEDITORS INTL        4.91     2.90     6.72     2.39
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/02 Aft-mkt AREX     APPROACH RESOURC       5.91     3.51    15.53     4.10
08/02 Bef-mkt UPL      ULTRA PETROLEUM        6.02     3.75     8.63     2.05
08/02 Aft-mkt ATVI     ACTIVISION BLIZZ       6.40     4.02     7.40     0.89
08/02 Aft-mkt ZAGG     ZAGG INC               8.40     5.38    12.61     1.40
08/02         NILE     BLUE NILE INC         16.59    10.93    19.08     4.90
08/02 Aft-mkt MHK      MOHAWK INDS            6.07     4.05     8.28     5.50
08/02 16:00   KFT*     KRAFT FOODS INC        2.78     1.91     3.40     1.35
08/02 Aft-mkt SWN*     SOUTHWESTRN ENGY       5.06     3.74     7.43     2.47
08/02         DNR*     DENBURY RESOURCE       6.74     5.16     9.92     1.50
08/02 Aft-mkt OPEN     OPENTABLE INC         12.83     9.76    15.68     5.70
08/02 Aft-mkt CBS*     CBS CORP-B             3.97     3.04     5.59     1.87
08/02 Bef-mkt PXP      PLAINS EXPLORATI       4.73     3.72     7.36     2.94
08/02         TIE*     TITANIUM METALS        3.44     2.90     9.95     1.16
08/02 Aft-mkt ROVI     ROVI CORP             12.16    10.44    15.77     2.11
08/02 Aft-mkt DLB      DOLBY LABORATO-A      10.21     9.08    11.21     3.95
08/02 Aft-mkt MCP      MOLYCORP INC           7.64     6.95     8.04     1.40w
08/02 Aft-mkt SYNA     SYNAPTICS INC          6.43     5.84     9.48     2.50
08/02         DTV*     DIRECTV-A              3.04     2.80     4.25     2.11
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/02 Bef-mkt RDC*     ROWAN COMPANIE-A       4.51     4.22     6.95     2.44
08/02 14:00   APA*     APACHE CORP            3.11     2.93     3.65     3.14w
08/02 Bef-mkt TWC*     TIME WARNER CABL       3.81     3.76     5.18     4.40
08/02 Bef-mkt WNR      WESTERN REFINING       6.22     6.27     8.93     2.10
08/02 Aft-mkt FLR*     FLUOR CORP             5.01     5.10     6.62     3.28
08/02         EXH      EXTERRAN HOLDING       9.29    10.04    16.25     2.40
08/02 08:00   K*       KELLOGG CO             2.84     3.19     3.77     1.80
08/02         OCN      OCWEN FINL CORP        2.86     3.26     7.09     1.40
08/02 Bef-mkt PWR*     QUANTA SERVICES        5.85     6.86     7.05     1.62
08/02         PEET     PEETS COFFEE &         3.54     4.30     3.58     2.70
08/02 Bef-mkt ARIA     ARIAD PHARM            3.06     4.01     8.10     1.55
08/02 07:00   DUK*     DUKE ENERGY CORP       0.69     1.01     2.80     1.90
08/03         SPPI     SPECTRUM PHARMAC      14.53     6.62    17.16     2.40
08/03         MNST*    MONSTER BEVERAGE      10.10     5.88    11.59     7.70
08/03 02:30   NYX*     NYSE EURONEXT          4.08     2.39     5.81     1.48
08/03 Bef-mkt PG*      PROCTER & GAMBLE       1.88     1.75     2.15     1.39w
08/03         EOG*     EOG RESOURCES          5.02     4.96     8.65     8.48
08/03         ED*      CONS EDISON INC        0.79     0.83     2.64     1.70
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/03 08:00   VIAB*    VIACOM INC-B           2.25     2.80     4.56     2.13

* - 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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