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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$
=============================================================================
08/07         RAX      RACKSPACE HOSTIN      12.31     5.84    13.04     5.90
08/07 Bef-mkt CRZO     CARRIZO OIL&GAS        6.75     4.16    10.94     2.70
08/07 Bef-mkt FE*      FIRSTENERGY CORP       1.73     1.13     2.53     1.25
08/07 Aft-mkt ETP      ENERGY TRANSF PA       2.23     1.67     4.02     1.75
08/07 Bef-mkt FOSL*    FOSSIL INC            14.79    12.45    16.86    11.54
08/07 Aft-mkt ANV      ALLIED NEVADA GO       5.16     5.00    10.09     2.70
08/07 Bef-mkt EMR*     EMERSON ELEC CO        2.79     2.97     4.64     2.25
08/07 Aft-mkt ESRX*    EXPRESS SCRIPTS        3.78     4.07     5.04     2.86
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/07 16:00   CREE     CREE INC               8.62     9.37    10.97     2.74w
08/07 Bef-mkt CDE      COEUR D’ALENE MN       5.21     5.84     8.12     1.31
08/07 Bef-mkt CVS*     CVS CAREMARK COR       2.77     3.16     4.00     1.79
08/07 Aft-mkt PCLN*    PRICELINE.COM          7.42     8.95     8.77     58.2w
08/07 16:15   DIS*     WALT DISNEY CO         3.39     4.25     4.22     2.10
08/07         CVC*     CABLEVISION SY-A       4.95     6.43      NA       NA
08/08 Aft-mkt CXW      CORRECTIONS CORP       6.49     1.85      NA       NA
08/08         SPPI     SPECTRUM PHARMAC      11.78     6.62    14.32     1.95
08/08 Aft-mkt NUAN     NUANCE COMMUNICA       7.47     4.31     9.42     2.02
08/08 Aft-mkt MNST*    MONSTER BEVERAGE       9.62     5.88    10.86     7.25
08/08 Bef-mkt HFC      HOLLYFRONTIER CO       4.01     2.45     7.08     2.72
08/08 Aft-mkt SGEN     SEATTLE GENETICS       9.66     6.09    11.68     2.88
08/08 Aft-mkt CTL*     CENTURYLINK INC        3.65     2.84     4.07     1.70
08/08         MRX      MEDICIS PHARM-A        8.42     8.07     7.74     2.60
08/08         DISH     DISH NETWORK-A         5.03     4.89     6.57     2.00
08/08 Aft-mkt PANL     UNIVERSAL DISPLA      12.56    12.41    17.15     5.30
08/08 08:00   RL*      RALPH LAUREN COR       7.13     7.10     8.44    12.29
08/08         M*       MACY’S INC             3.54     3.76     5.93     2.21
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/08 Bef-mkt PPL*     PPL CORPORATION        1.47     1.56     2.09     0.60
08/08 Bef-mkt NRG*     NRG ENERGY             1.89     2.38     5.82     1.13
08/08 Aft-mkt CLR      CONTL RES INC/OK       3.81     4.93     7.70     5.10
08/08 16:00   NWSA*    NEWS CORP-A            3.27     4.43     3.84     0.90
08/08 Aft-mkt CPNO     COPANO ENERGY-UN       1.61     2.49     5.13     1.45

* - 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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