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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$
=============================================================================
08/03 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:
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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