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

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Aug. 7 (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$
=============================================================================
08/08 Aft-mkt CXW      CORRECTIONS CORP       7.13     1.85      NA       NA
08/08         SPPI     SPECTRUM PHARMAC      12.95     6.62    13.49     1.85
08/08 Aft-mkt MNST*    MONSTER BEVERAGE      10.93     5.88    10.97     7.24
08/08 Aft-mkt SGEN     SEATTLE GENETICS      10.53     6.09    10.22     2.52
08/08 Bef-mkt HFC      HOLLYFRONTIER CO       4.21     2.45     6.22     2.45
08/08 Aft-mkt MRX      MEDICIS PHARM-A       11.32     8.07    11.37     3.75
08/08 Aft-mkt CTL*     CENTURYLINK INC        3.76     2.84     3.66     1.53
08/08 Bef-mkt NRG*     NRG ENERGY             2.87     2.38     5.77     1.13
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/08         DISH     DISH NETWORK-A         5.83     4.89     6.85     2.09
08/08         M*       MACY’S INC             4.46     3.76     5.51     2.03
08/08 Aft-mkt PANL     UNIVERSAL DISPLA      14.63    12.41    15.78     5.20
08/08 Aft-mkt AFFY     AFFYMAX INC            9.13     8.13    13.76     2.30
08/08 08:00   RL*      RALPH LAUREN COR       7.79     7.10     7.89    11.84
08/08 Bef-mkt PPL*     PPL CORPORATION        1.57     1.56     2.26     0.65
08/08 Aft-mkt CLR      CONTL RES INC/OK       4.75     4.93     8.06     5.35
08/08 Bef-mkt DF*      DEAN FOODS CO          8.92    10.57    10.15     1.24
08/08 16:00   NWSA*    NEWS CORP-A            3.32     4.43     4.87     1.15
08/08 08:00   CSC*     COMPUTER SCIENCE       7.37    10.21     8.12     2.04
08/08 Bef-mkt LAMR     LAMAR ADVERTIS-A       6.91     9.68     7.21     2.25
08/09 Bef-mkt VPHM     VIROPHARMA INC         8.74     4.08    10.37     2.35
08/09 Aft-mkt LGF      LIONS GATE             6.80     3.24     8.21     1.07
08/09         VHC      VIRNETX HOLDING        5.31     2.82     8.91     2.44w
08/09 16:20   NVDA*    NVIDIA CORP            7.51     5.78     7.14     1.00w
08/09 Bef-mkt AAP      ADVANCE AUTO PAR       8.17     6.92     8.18     5.65
08/09         WIN*     WINDSTREAM CORP        4.53     3.94     5.08     0.51
08/09 Aft-mkt JWN*     NORDSTROM INC          3.67     3.24     5.00     2.72
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
08/09 Bef-mkt RGLD     ROYAL GOLD INC         2.63     2.44     4.70     3.70
08/09 07:00   KSS*     KOHLS CORP             3.75     3.71     5.46     2.84
08/09         DV*      DEVRY INC              6.60     8.94     8.97     1.75

* - 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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