Bloomberg News

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

July 27, 2012

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.


REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/30 Aft-mkt HTZ      HERTZ GLOBAL HOL       8.71     2.71    15.02     1.60
07/30 Aft-mkt VRTX     VERTEX PHARM           4.77     2.84      na       na
07/30 16:00   CRUS     CIRRUS LOGIC INC      14.74    11.80    18.13     5.12
07/30 Aft-mkt APC*     ANADARKO PETROLE       3.02     2.60     2.57     1.83w
07/30 Aft-mkt SPN      SUPERIOR ENERGY        4.89     4.73    10.31     2.30
07/30 Aft-mkt MAS*     MASCO CORP             5.99     5.84    10.72     1.40
07/30 17:00   EMN*     EASTMAN CHEMICAL       3.25     3.33     8.47     4.20
07/30 Aft-mkt BGC      GEN CABLE CORP         9.63    10.82    11.89     3.16
REPORT        TICKER                         IMPLIED  AVG POST-   STRADDLE
DATE  TIME    SYM       COMPANY              1-DAY%    ERNS%   IMPLIED% COST$
=============================================================================
07/30 Bef-mkt CIT      CIT GROUP INC          2.39     2.95     6.55     2.24
07/31 Bef-mkt CIE      COBALT INTERNATI      19.04     4.89    22.24     5.20
07/31 Bef-mkt MLM      MARTIN MAR MTLS        6.18     2.77     8.56     6.70
07/31         COH*     COACH INC              7.69     4.33     9.55     5.70
07/31         LPX      LOUISIANA-PACIFI       6.77     4.52    11.86     1.26
07/31 Bef-mkt VLO*     VALERO ENERGY          2.32     1.76     8.74     2.23
07/31 Aft-mkt EA*      ELECTRONIC ARTS        8.15     6.49    10.87     1.19
07/31 06:00   AET*     AETNA INC              4.95     5.10     1.70     0.60w
07/31 Bef-mkt ADM*     ARCHER-DANIELS         4.51     5.15     6.33     1.72
07/31 Bef-mkt PFE*     PFIZER INC             2.18     2.63     2.98     0.70w
07/31 Aft-mkt BMC*     BMC SOFTWARE INC       4.31     5.54     6.39     2.55
07/31 Aft-mkt PPO      POLYPORE INTERNA       8.34    10.89    12.74     4.45
07/31 Aft-mkt PXD*     PIONEER NATURAL        3.13     4.20     9.05     8.10
07/31 16:05   ALL*     ALLSTATE CORP          2.66     3.62     4.60     1.57
07/31         X*       US STEEL CORP          3.93     5.50     2.79     0.51w
07/31 Bef-mkt MDC      MDC HOLDINGS INC       4.45     6.64     9.29     3.10
07/31 Bef-mkt CMI*     CUMMINS INC            2.60     4.62     7.91     7.05

* - Company in Standard & Poor’s 500 Index.
w - Weekly option.



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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