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

Aug. 2 (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$
=============================================================================
08/03 Bef-mkt HNT      HEALTH NET INC        12.54     6.03    13.41     3.01
08/03         ED*      CONS EDISON INC        1.44     0.83     2.41     1.55
08/03 02:30   NYX*     NYSE EURONEXT          4.09     2.39     5.50     1.37
08/03 Bef-mkt PG*      PROCTER & GAMBLE       1.91     1.75     2.36     1.51w
08/03 08:00   VIAB*    VIACOM INC-B           2.61     2.80     4.95     2.29
08/06         LNG      CHENIERE ENERGY        7.79     3.32    11.07     1.55
08/06         ISIS     ISIS PHARM            10.22     4.66    14.83     1.75
08/06 Aft-mkt GDP      GOODRICH PETRO         7.50     4.00    17.70     2.05
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/06 Aft-mkt PAA      PLAINS ALL AMER        1.72     1.02     3.66     3.15
08/06 Bef-mkt CTSH*    COGNIZANT TECH-A       7.30     4.88     8.44     4.75
08/06 Bef-mkt TSN*     TYSON FOODS-A          6.37     4.25     7.28     1.10
08/06 Bef-mkt NGLS     TARGA RESOURCES        2.77     1.95     8.69     3.35
08/06 Aft-mkt LOPE     GRAND CANYON EDU       9.50     7.02    19.22     3.10
08/06         MDR      MCDERMOTT INTL        12.08    10.11    13.08     1.50
08/06 Aft-mkt CHK*     CHESAPEAKE ENERG       5.54     5.29     3.48     0.65w
08/06 Aft-mkt CLNE     CLEAN ENERGY FUE       5.74     5.80     9.42     1.29
08/06 Aft-mkt CF*      CF INDUSTRIES HO       4.44     4.67     2.61     5.07w
08/06 Aft-mkt MTW      MANITOWOC CO           7.06     9.85    11.67     1.40

* - 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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