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

Aug. 3 (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$
=============================================================================
08/06         ISIS     ISIS PHARM            10.41     4.66    14.51     1.70
08/06         LNG      CHENIERE ENERGY        6.43     3.32    10.82     1.49
08/06 Aft-mkt GDP      GOODRICH PETRO         7.28     4.00    15.39     1.73
08/06 Aft-mkt PAA      PLAINS ALL AMER        1.65     1.02     3.19     2.74
08/06 Bef-mkt TSN*     TYSON FOODS-A          6.70     4.25     7.59     1.15
08/06 Aft-mkt CXO      CONCHO RESOURCES       5.45     3.60     7.56     6.55
08/06 Bef-mkt CTSH*    COGNIZANT TECH-A       6.52     4.88     8.17     4.60
08/06 Aft-mkt BSFT     BROADSOFT INC         17.79    14.61    16.36     3.90
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/06         MDR      MCDERMOTT INTL        11.17    10.11    12.52     1.40
08/06 Aft-mkt CHK*     CHESAPEAKE ENERG       5.47     5.29     8.09     1.45w
08/06 Bef-mkt HCN*     HEALTH CARE REIT       1.29     1.32     3.57     2.22
08/06 Aft-mkt CF*      CF INDUSTRIES HO       4.21     4.67     5.34    10.39w
08/06 Aft-mkt MTW      MANITOWOC CO           8.88     9.85    10.71     1.24
08/06 Aft-mkt CLNE     CLEAN ENERGY FUE       5.04     5.80     9.36     1.25
08/07 Aft-mkt INFI     INFINITY PHARMAC       7.84     3.19    11.49     1.90
08/07         RAX      RACKSPACE HOSTIN      12.56     5.84    13.17     5.65
08/07         EXPD*    EXPEDITORS INTL        5.56     2.90     6.39     2.25
08/07 Bef-mkt FE*      FIRSTENERGY CORP       1.82     1.13     2.63     1.30
08/07 Bef-mkt CRZO     CARRIZO OIL&GAS        6.60     4.16     9.50     2.32
08/07         TAP*     MOLSON COORS-B         4.19     3.02     5.35     2.20
08/07 Bef-mkt FOSL*    FOSSIL INC            15.17    12.45    17.29    11.50
08/07         BID      SOTHEBY’S              6.01     4.96    10.77     3.05
08/07 Bef-mkt EMR*     EMERSON ELEC CO        3.36     2.97     4.96     2.35
08/07 Bef-mkt CVS*     CVS CAREMARK COR       3.12     3.16     4.19     1.88
08/07 Aft-mkt ESRX*    EXPRESS SCRIPTS        4.02     4.07     5.84     3.28
08/07 Bef-mkt CDE      COEUR D’ALENE MN       5.71     5.84     8.42     1.35
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/07 16:00   CREE     CREE INC               9.04     9.37    10.26     2.48w
08/07 Aft-mkt PCLN*    PRICELINE.COM          8.60     8.95     8.79    57.04w
08/07 Aft-mkt ETP      ENERGY TRANSF PA       1.54     1.67     5.40     2.35
08/07 16:15   DIS*     WALT DISNEY CO         3.62     4.25     4.61     2.26
08/07 Aft-mkt ATLS     ATLAS ENERGY LP        2.94     4.30     6.23     1.95
08/07 Aft-mkt VVUS     VIVUS INC              3.59     6.08    12.48     2.59
08/07         CVC*     CABLEVISION SY-A       3.62     6.43     6.94     1.04

* - 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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