1. February 14, 2006
Equity Volatility Snapshot
Ryan Renicker, CFA • Industry group returns and volatility. We analyze last week’s returns and changes in implied
1.212.526.9425 volatility across S&P 500 industry groups. This, combined with changes in call and put skews, can
ryan.renicker@lehman.com shed light on the risk expectations and potential directional biases the option market is pricing for
Devapriya Mallick each underlying industry group.
1.212.526.5429
dmallik@lehman.com
• Expiration Watch. We highlight call and put strikes that are within 1% of the stock’s closing
price having high open interest relative to the average volume in the underlying. This might
indicate the stock is more likely to become “pinned” to the respective strike on expiration.
• Volatility Screen/Earnings Watch. We update our Volatility Screen to identify stocks possibly
having rich or cheap options. We also update our Earnings Watch to estimate the expected stock
price reaction the options market is pricing in for upcoming earnings releases.
Lehman Brothers does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of
interest that could affect the objectivity of this report.
Customers of Lehman Brothers in the United States can receive independent, third-party research on the company or companies covered in this report, at no cost to them,
where such research is available. Customers can access this independent research at www.lehmanlive.com or can call 1-800-2LEHMAN to request a copy of this research.
Investors should consider this report as only a single factor in making their investment decision.
PLEASE SEE ANALYST(S) CERTIFICATION AND IMPORTANT DISCLOSURES BEGINNING ON PAGE 7.

2. Equity Derivatives Strategy | Equity Volatility Snapshot
Industry Returns and Changing Risk Expectations
We analyze last week’s1 performance of S&P 500 industry groups, and incorporate option market
information to infer how each group’s risk expectations and potential directional biases (changes in put
or call skews) reacted to each respective industry’s performance. As Figure 1 illustrates, last week’s
returns tended to be negatively correlated with changes in implied volatility (which is typical). In Figure
2, we present last week’s changes in put and call skews for each industry group2.
Last week, the Telecom Services industry group gained 2.3% although its weighted-average 3-month
ATM implied volatility rose as well, consistent with its trend since late January. This industry group also
had the highest increase in its weighted-average call skew, possibly indicating a decline in demand
for out-of-the-money calls on Telecom names.
Implied volatility for the Auto & Components industry group ended higher last week, after the group
declined about 1.5%. However, the industry’s put skew and call skew increased during the
retracement, which we believe could be a signal that investors could have been buying downside
protection and selling upside participation.
Another industry group having interesting volatility vs. performance patterns was Software & Services,
within which ATM implied volatility remained relatively flat, even as the group declined about 1.2% for
the week. In addition, its put skew declined and at-the-money implied volatility rose relative to out-of-
the-money call implied volatility.
Figure 1: Last Week’s Performance vs Change in 3M Implied Vol. Figure 2: Last Week’s Change in Put and Call Skew (in vol pts.)
Put Skew Change Call Skew Change
Tech Hard & Equip Industry Group
(1 week) (1 week)
Telecom Svc
House & Pers Prod 0.03% -2.41%
Comml Svc & Suppl
Capital Goods Semi & Semi Equip 0.29% -0.64%
Insurance Pharma & Biotech 0.09% -0.43%
H Care Equip & Svc Utilities 0.10% -0.25%
Semi & Semi Equip Food Bev & Tobacco 0.33% -0.22%
Transportation Insurance -0.10% -0.19%
Pharma & Biotech Cons Dur & Apparel 0.13% -0.13%
Consumer Services Comml Svc & Suppl 0.20% -0.12%
Banks Capital Goods -0.13% -0.11%
Media Tech Hard & Equip 0.40% -0.06%
Retailing Energy -0.10% -0.06%
Food Bev & Tobacco Banks 0.09% -0.03%
Divers Financ
Divers Financ 0.12% -0.03%
Food & Stpls Retail
Transportation 0.06% -0.02%
Real Estate
H Care Equip & Svc 0.11% 0.00%
Utilities
Real Estate 0.37% 0.00%
House & Pers Prod
Materials -0.36% 0.01%
Softw are & Services
Retailing 0.10% 0.03%
Auto & Components
Cons Dur & Apparel Media -0.92% 0.13%
Materials Consumer Services -0.04% 0.23%
Energy Food & Stpls Retail 0.17% 0.45%
Software & Services -0.16% 0.85%
-7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4%
Auto & Components 0.38% 1.14%
1-w eek Return Implied Vol Change (1 w eek)
Telecom Svc 0.29% 1.38%
Source: Lehman Brothers, OptionMetrics Source: Lehman Brothers, OptionMetrics
1
We define “last week” as the time period between the close on 2/6 and the close on 2/13.
2
We calculate each industry group’s put skew by taking the difference between the market-cap weighted 20 delta put
implied volatility and ATM implied volatility for each constituent within the industry group. We calculate the call skew by
taking the difference between the market-cap weighted-average ATM implied volatility and the 20 delta call implied
volatility for each constituent within the industry group.
February 14, 2006 2

3. Equity Derivatives Strategy | Equity Volatility Snapshot
Expiration Only 3 Days Away: Stocks to Watch
We found the return distribution on expiration for stocks closing near a strike price before expiration
tends to have a higher probability of returns relatively close to 0%, versus the average S&P 500 stock.
In addition, the probability of stocks becoming “pinned” to their respective strike price tends to be
increase if their open interest of contracts outstanding is relatively high versus their average daily
volume3. This phenomenon is possibly due to delta-hedging activity among traders who are long
gamma, which is likely to dampen moves in the underlying since it involves buying the underlying
shares as their price declines and selling shares as they rise.
With expiration only 3 days away (2/17), we highlight the calls and puts (for stocks within the S&P
500) expiring on Friday whose strikes are within 1% of last night’s closing price for each respective
stock. Figure 3 and Figure 4 display the strike prices having the largest number of contracts
outstanding as a proportion of the average daily volume in their underlying. The PRU 75 strike, HSP
45 strike and UPS 75 strike have the highest total open interest (puts + calls) as a proportion of their
respective average daily stock volumes.
Figure 3: Calls With Highest Open Interest / Volume Ratio Figure 4: Puts With Highest Open Interest / Volume Ratio
Open Open
Open Average Stock Distance from Open Average Stock Distance from
Ticker Strike Close (2/13) Interest / Ticker Strike Close (2/13) Interest /
Interest Volume (20d) Closing Price Interest Volume (20d) Closing Price
Volume Volume
PRU 75 11,657 74.61 1,935,455 0.5% 60% PRU 75 7,301 74.61 1,935,455 0.5% 38%
HSP 45 3,708 45.26 632,450 0.6% 59% HSP 45 2,132 45.26 632,450 0.6% 34%
KSS 45 19,465 45.15 3,969,209 0.3% 49% UPS 75 9,515 75.03 2,878,580 0.0% 33%
UPS 75 13,047 75.03 2,878,580 0.0% 45% ABK 75 1,650 75.48 540,645 0.6% 31%
SIAL 65 1,533 64.87 397,547 0.2% 39% TIN 45 2,945 44.62 1,002,500 0.9% 29%
SHLD 120 4,905 119.28 1,391,904 0.6% 35% COP 60 32,177 59.45 12,281,621 0.9% 26%
RAI 100 2,014 100.94 605,870 0.9% 33% IBM 80 16,988 80.44 6,948,270 0.5% 24%
ABK 75 1,669 75.48 540,645 0.6% 31% IP 32.5 6,574 32.7 2,823,560 0.6% 23%
ABT 42.5 12,866 42.83 5,125,129 0.8% 25% AMZN 37.5 18,090 37.86 8,220,290 1.0% 22%
GDT 75 12,683 74.9 5,168,400 0.1% 25% KMI 90 1,871 90.44 900,515 0.5% 21%
HD 40 20,227 39.7 8,425,745 0.8% 24% SHLD 120 2,796 119.28 1,391,904 0.6% 20%
COH 35 6,763 35.33 2,861,535 0.9% 24% CMI 100 1,744 99.5 875,985 0.5% 20%
GD 120 2,071 119.92 881,270 0.1% 24% GDT 75 9,576 74.9 5,168,400 0.1% 19%
MS 60 8,826 59.81 3,840,444 0.3% 23% WHR 85 1,965 85.83 1,090,820 1.0% 18%
AXP 52.5 13,156 53.02 5,777,820 1.0% 23% AA 30 9,445 30.24 5,778,825 0.8% 16%
JPM 40 26,350 39.77 11,681,051 0.6% 23% PD 140 5,529 139.84 3,404,610 0.1% 16%
AT 60 5,320 59.9 2,362,020 0.2% 23% ADP 45 4,253 45.41 2,627,360 0.9% 16%
NKE 85 5,465 84.28 2,450,665 0.9% 22% KSS 45 6,356 45.15 3,969,209 0.3% 16%
BOL 70 1,927 70.05 907,370 0.1% 21% HD 40 13,439 39.7 8,425,745 0.8% 16%
TIN 45 2,128 44.62 1,002,500 0.9% 21% COH 35 4,324 35.33 2,861,535 0.9% 15%
CLX 60 2,003 60.31 1,013,735 0.5% 20% CLX 60 1,521 60.31 1,013,735 0.5% 15%
IBM 80 13,630 80.44 6,948,270 0.5% 20% MAS 30 4,015 29.91 2,714,950 0.3% 15%
TGT 55 7,373 54.54 3,965,574 0.8% 19% NUE 80 4,682 79.36 3,181,790 0.8% 15%
KLAC 52.5 8,758 52.89 4,740,525 0.7% 18% GS 140 5,814 139.65 4,064,250 0.3% 14%
CMI 100 1,564 99.5 875,985 0.5% 18% XOM 60 30,370 59.6 21,462,878 0.7% 14%
DG 17.5 5,982 17.41 3,402,770 0.5% 18% DD 40 6,975 40.15 5,245,469 0.4% 13%
AET 100 3,740 99.5 2,159,740 0.5% 17% IPG 10 3,228 10.08 2,448,130 0.8% 13%
DD 40 8,772 40.15 5,245,469 0.4% 17% HUM 50 2,964 50.42 2,386,240 0.8% 12%
COP 60 19,952 59.45 12,281,621 0.9% 16% CI 120 1,351 119.69 1,102,635 0.3% 12%
PG 60 12,615 59.44 7,924,454 0.9% 16% YUM 50 1,686 50.09 1,420,765 0.2% 12%
Source: Lehman Brothers, OptionMetrics Source: Lehman Brothers, OptionMetrics
3
Please see our report Impact of Option Expiration on Underlying Price Changes, Options Strategy Monthly, February
2006 for further details.
February 14, 2006 3

4. Equity Derivatives Strategy | Equity Volatility Snapshot
Lehman Brothers Volatility Screen
We update the list of stocks identified by the Lehman Brothers Volatility Screen as possibly having rich
or cheap options. This screen allows investors to identify potentially rich or cheap one or three month
options to efficiently express directional views on the underlying stock or identify attractive long or short
volatility candidates. In Figure 5, we present the current list of stocks having relatively rich options.
Figure 5: Stocks Displaying “Rich” Volatility Characteristics
Std Devs from Std Devs from Std Devs from
Lehman Expected 3-Month
Lehman Mean (3-Month Mean (3-Month Mean (3-Month
Ticker Name GICS Sector Company Price Earnings Implied Rich/Cheap
Sector View Implied vs Implied vs Implied vs S&P
Rating Date Volatility
Realized) Sector) 500)
AAPL APPLE COMPUTER INC Information Technology 2-Equal weight 2-Neutral 64.71 4/13/2006 48% 1.2 1.2 1.4 Rich
ALEX ALEXANDER & BALDWIN INC Industrials 0-Unrated 0-Unrated 47.45 4/27/2006 29% 1.3 1.6 1.6 Rich
ALL ALLSTATE CORP Financials 1-Overweight 1-Positive 52.64 4/20/2006 19% 1.2 1.5 1.5 Rich
ASO AMSOUTH BANCORPORATION Financials 3-Underweight 2-Neutral 26.92 4/19/2006 19% 1.5 1.6 1.5 Rich
AVP AVON PRODUCTS INC Consumer Staples 3-Underweight 2-Neutral 27.24 5/2/2006 29% 1.1 1.5 1.4 Rich
BEC BECKMAN COULTER INC Health Care 0-Unrated 0-Unrated 58.71 2/17/2006 29% 1.8 2.0 2.0 Rich
BHI BAKER HUGHES INC Energy 2-Equal weight 1-Positive 69.26 2/16/2006 39% 1.6 1.6 4.3 Rich
BKH BLACK HILLS CORP Utilities RS-Rating Suspe2-Neutral 34.37 5/9/2006 23% 2.3 1.8 1.6 Rich
BLI BIG LOTS INC Consumer Discretionary 0-Unrated 0-Unrated 13.22 2/23/2006 40% 1.9 1.7 1.6 Rich
BTU PEABODY ENERGY CORP Energy 1-Overweight 1-Positive 85.51 4/19/2006 47% 1.6 1.5 2.0 Rich
CAKE CHEESECAKE FACTORY (THE) Consumer Discretionary 2-Equal weight 2-Neutral 36.19 4/19/2006 30% 2.3 1.4 1.8 Rich
CAT CATERPILLAR INC Industrials 2-Equal weight 2-Neutral 68.62 4/24/2006 27% 1.3 1.9 1.8 Rich
DELL DELL INC Information Technology 1-Overweight 2-Neutral 31.57 2/16/2006 26% 1.0 1.5 1.8 Rich
DLX DELUXE CORP Industrials 0-Unrated 0-Unrated 26.17 4/28/2006 26% 1.2 2.6 2.4 Rich
DNR DENBURY RESOURCES INC Energy 2-Equal weight 1-Positive 26.55 2/23/2006 46% 2.8 1.4 2.1 Rich
DVN DEVON ENERGY CORPORATION Energy 1-Overweight 1-Positive 58.00 5/4/2006 39% 1.2 1.9 2.1 Rich
EOP EQUITY OFFICE PROPERTIES TR Financials 3-Underweight 2-Neutral 30.02 4/28/2006 22% 1.4 1.2 1.1 Rich
ESRX EXPRESS SCRIPTS INC Health Care 2-Equal weight 2-Neutral 91.63 2/22/2006 37% 1.8 2.4 2.1 Rich
EXC EXELON CORP Utilities 1-Overweight 3-Negative 55.59 4/25/2006 25% 2.4 1.6 1.4 Rich
FLR FLUOR CORP Industrials 2-Equal weight 2-Neutral 81.12 3/1/2006 29% 2.7 1.3 1.3 Rich
FPL FPL GROUP INC Utilities RS-Rating Suspe3-Negative 41.66 4/26/2006 19% 1.3 1.0 1.2 Rich
GM GENERAL MOTORS CORP Consumer Discretionary 2-Equal weight 3-Negative 22.00 4/19/2006 70% 1.0 2.1 2.0 Rich
GPC GENUINE PARTS CO Consumer Discretionary 2-Equal weight 3-Negative 42.14 2/21/2006 20% 2.0 1.6 1.8 Rich
HNZ HJ HEINZ CO Consumer Staples 2-Equal weight 3-Negative 35.26 2/28/2006 19% 2.9 2.9 2.2 Rich
HPQ HEWLETT-PACKARD CO Information Technology 1-Overweight 2-Neutral 31.74 2/15/2006 32% 1.7 2.3 2.4 Rich
ISRG INTUITIVE SURGICAL INC Health Care 0-Unrated 0-Unrated 101.02 4/21/2006 60% 1.4 2.4 2.2 Rich
JP JEFFERSON-PILOT CORP Financials RS-Rating Suspe2-Neutral 58.46 4/27/2006 29% 4.7 5.0 4.8 Rich
KRI KNIGHT RIDDER INC Consumer Discretionary 3-Underweight 3-Negative 62.48 4/13/2006 25% 3.0 2.1 1.8 Rich
KSE KEYSPAN CORP Utilities 2-Equal weight 2-Neutral 36.03 2/24/2006 17% 1.2 1.2 1.9 Rich
LEA LEAR CORP Consumer Discretionary 3-Underweight 3-Negative 22.36 4/21/2006 53% 1.7 2.7 2.5 Rich
LTR LOEWS CORP Financials 0-Unrated 0-Unrated 95.72 2/16/2006 21% 2.5 1.7 1.5 Rich
MAS MASCO CORP Industrials 2-Equal weight 2-Neutral 29.91 2/14/2006 25% 1.8 1.8 1.8 Rich
MHK MOHAWK INDUSTRIES INC Consumer Discretionary 2-Equal weight 2-Neutral 80.63 2/15/2006 25% 1.5 2.1 2.4 Rich
MI MARSHALL & ILSLEY CORP Financials 2-Equal weight 2-Neutral 42.23 4/12/2006 19% 2.9 2.3 1.9 Rich
MO ALTRIA GROUP INC Consumer Staples 2-Equal weight 1-Positive 71.25 4/20/2006 28% 1.4 1.4 1.4 Rich
MRBK MERCANTILE BANKSHARES CORPFinancials 1-Overweight 2-Neutral 37.00 4/26/2006 22% 3.2 2.8 2.6 Rich
MYG MAYTAG CORP Consumer Discretionary 0-Unrated 0-Unrated 16.61 4/21/2006 64% 1.9 2.8 2.9 Rich
NAV NAVISTAR INTERNATIONAL Industrials 0-Unrated 0-Unrated 27.32 2/28/2006 39% 1.2 1.7 1.7 Rich
NUE NUCOR CORP Materials 2-Equal weight 1-Positive 79.36 4/21/2006 43% 1.9 1.0 1.6 Rich
OKE ONEOK INC Utilities 1-Overweight 2-Neutral 26.59 2/22/2006 24% 2.3 1.0 1.2 Rich
ORI OLD REPUBLIC INTL CORP Financials 0-Unrated 0-Unrated 21.26 4/28/2006 20% 1.1 1.1 1.2 Rich
REG REGENCY CENTERS CORP Financials 0-Unrated 0-Unrated 61.83 5/3/2006 22% 1.9 1.3 1.3 Rich
RL POLO RALPH LAUREN CORP Consumer Discretionary 0-Unrated 0-Unrated 55.00 6/9/2006 29% 1.2 1.2 1.4 Rich
RYN RAYONIER INC Financials 0-Unrated 0-Unrated 41.14 4/26/2006 21% 1.1 1.2 1.2 Rich
SAFC SAFECO CORP Financials 1-Overweight 1-Positive 51.66 4/19/2006 23% 1.9 2.3 2.1 Rich
SFG STANCORP FINANCIAL GROUP Financials 3-Underweight 2-Neutral 51.70 4/26/2006 27% 1.6 2.1 1.9 Rich
SHW SHERWIN-WILLIAMS CO/THE Consumer Discretionary 0-Unrated 0-Unrated 53.03 4/21/2006 27% 2.3 3.5 2.8 Rich
SII SMITH INTERNATIONAL INC Energy 2-Equal weight 1-Positive 38.52 4/25/2006 41% 1.3 1.3 4.3 Rich
SOV SOVEREIGN BANCORP INC Financials RS-Rating Suspe1-Positive 20.64 4/19/2006 26% 1.5 1.4 1.4 Rich
STR QUESTAR CORP Utilities 1-Overweight 2-Neutral 74.92 2/14/2006 31% 1.4 1.2 1.2 Rich
SWN SOUTHWESTERN ENERGY CO Energy 0-Unrated 0-Unrated 32.64 2/28/2006 56% 2.1 1.2 1.5 Rich
TRB TRIBUNE CO Consumer Discretionary 3-Underweight 3-Negative 30.74 4/13/2006 24% 1.6 1.5 1.4 Rich
VRX VALEANT PHARMACEUTICALS INTHealth Care 0-Unrated 0-Unrated 17.08 2/24/2006 72% 2.3 2.6 2.5 Rich
WHR WHIRLPOOL CORP Consumer Discretionary 0-Unrated 0-Unrated 85.83 4/21/2006 30% 1.1 1.1 1.4 Rich
WMI WASTE MANAGEMENT INC Industrials 1-Overweight 1-Positive 33.04 2/14/2006 20% 1.2 1.0 1.8 Rich
WTR AQUA AMERICA INC Utilities 0-Unrated 0-Unrated 27.28 2/17/2006 30% 3.6 1.9 1.8 Rich
X UNITED STATES STEEL CORP Materials 2-Equal weight 1-Positive 54.28 4/26/2006 55% 2.6 3.1 4.1 Rich
Source: Lehman Brothers, OptionMetrics, Bloomberg, FAME
Note: This screen does not exclude stocks with illiquid options. Investors should consider liquidity before entering into an options position. Stocks that appear as unrated are either
not covered by Lehman Brothers fundamental analysts or are currently subject to research restrictions. Our universe includes stocks included in either the S&P 500 or the NDX.
In Figure 6, we provide the current list of stocks having relatively cheap options.
Figure 6: Stocks Displaying “Cheap” Volatility Characteristics
Std Devs from Std Devs from Std Devs from
Lehman Expected 3-Month
Lehman Mean (3-Month Mean (3-Month Mean (3-Month
Ticker Name GICS Sector Company Price Earnings Implied Rich/Cheap
Sector View Implied vs Implied vs Implied vs S&P
Rating Date Volatility
Realized) Sector) 500)
ACS AFFILIATED COMPUTER SVCS-A Information Technology 0-Unrated 0-Unrated 62.49 4/21/2006 23% -2.4 -1.9 -1.2 Cheap
C CITIGROUP INC Financials 1-Overweight 1-Positive 45.68 4/13/2006 15% -1.7 -1.1 -1.1 Cheap
CSCO CISCO SYSTEMS INC Information Technology RS-Rating Suspe2-Neutral 19.55 5/10/2006 21% -1.3 -2.1 -1.4 Cheap
DGX QUEST DIAGNOSTICS Health Care 1-Overweight 2-Neutral 51.96 4/21/2006 18% -1.1 -1.2 -1.3 Cheap
EW EDWARDS LIFESCIENCES CORP Health Care 0-Unrated 0-Unrated 43.31 4/21/2006 20% -2.0 -1.2 -1.0 Cheap
HC HANOVER COMPRESSOR CO Energy 2-Equal weight 1-Positive 16.16 2/15/2006 31% -1.6 -1.9 -1.1 Cheap
MNST MONSTER WORLDWIDE INC Industrials 0-Unrated 0-Unrated 46.96 4/26/2006 36% -1.2 -1.3 -1.3 Cheap
PLCM POLYCOM INC Information Technology 1-Overweight 2-Neutral 19.23 4/20/2006 34% -2.2 -2.3 -1.6 Cheap
SMTC SEMTECH CORP Information Technology 2-Equal weight 1-Positive 19.06 3/1/2006 34% -2.4 -1.9 -1.4 Cheap
UVN UNIVISION COMMUNICATIONS-A Consumer Discretionary 1-Overweight 3-Negative 34.40 3/2/2006 27% -1.1 -2.0 -1.6 Cheap
Source: Lehman Brothers, OptionMetrics, Bloomberg, FAME
Note: Acquisition targets with very low volatility have been removed from this list. Stocks that appear as unrated are either not covered by Lehman Brothers fundamental analysts or
are currently subject to research restrictions. Our universe includes stocks included in either the S&P 500 or the NDX.
February 14, 2006 4

5. Equity Derivatives Strategy | Equity Volatility Snapshot
Earnings Watch: Companies Reporting 2/14 – 2/24
We incorporate implied volatility information to ascertain the expected stock price reaction priced in
by the options market for upcoming earnings announcements. Please see Options Strategy Monthly:
th
Low Volatility in the 7 Inning? (January 10, 2006) for further details.
In Figure 7, we present this week’s edition of the Earnings Watch.
Figure 7: Expected Absolute Stock Price Reactions to Upcoming Earnings Announcements
Average Absolute Stock Price Average Stock Price Move
Expected Implied 1-day Stock
Ticker Name Price (1/23/06) Move Following Earnings Following Earnings
Earnings Date Price Move
Announcements Announcements
DE DEERE & CO 14-Feb-06 73.80 2.7% 4.7% -0.2%
SIAL SIGMA-ALDRICH 14-Feb-06 64.87 0.9% 2.9% 0.7%
AMAT APPLIED MATERIALS INC 15-Feb-06 19.86 3.1% 1.7% 0.4%
BIIB BIOGEN IDEC INC 15-Feb-06 43.71 1.1% 2.0% 1.0%
DTE DTE ENERGY COMPANY 15-Feb-06 42.23 0.5% 0.9% -0.4%
FE FIRSTENERGY CORP 15-Feb-06 48.84 0.8% 0.9% 0.1%
GENZ GENZYME CORP 15-Feb-06 67.54 2.2% 3.6% 1.2%
HPQ HEWLETT-PACKARD CO 15-Feb-06 31.74 4.8% 5.3% 1.0%
JNY JONES APPAREL GROUP INC 15-Feb-06 31.64 4.4% 3.6% -0.1%
NTAP NETWORK APPLIANCE INC 15-Feb-06 31.43 5.2% 8.0% 3.2%
ODP OFFICE DEPOT INC 15-Feb-06 32.94 3.1% 3.4% 1.2%
PGN PROGRESS ENERGY INC 15-Feb-06 44.18 1.2% 0.8% -0.3%
BHI BAKER HUGHES INC 16-Feb-06 69.26 1.0% 2.3% -0.2%
DELL DELL INC 16-Feb-06 31.57 3.6% 4.8% 1.2%
INTU INTUIT INC 16-Feb-06 53.08 2.8% 4.9% -1.6%
JCP J.C. PENNEY CO INC 16-Feb-06 55.40 1.9% 2.9% 0.6%
LTR LOEWS CORP 16-Feb-06 95.72 1.3% 1.6% 0.9%
NVDA NVIDIA CORP 16-Feb-06 44.05 5.6% 10.4% 0.4%
PLD PROLOGIS 16-Feb-06 50.75 0.8% 1.7% -0.2%
TGT TARGET CORP 16-Feb-06 54.54 1.5% 2.0% 0.9%
WPI WATSON PHARMACEUTICALS INC 16-Feb-06 32.12 3.2% 5.7% 0.4%
CPB CAMPBELL SOUP CO 17-Feb-06 29.45 0.7% 2.7% 0.0%
PCG P G & E CORP 17-Feb-06 36.75 0.8% 0.9% -0.3%
RSH RADIOSHACK CORP 17-Feb-06 21.52 3.0% 4.4% -0.7%
CCU CLEAR CHANNEL COMMUNICATIONS 21-Feb-06 28.66 1.0% 1.3% -0.6%
GPC GENUINE PARTS CO 21-Feb-06 42.14 0.9% 2.9% 1.7%
NOVL NOVELL INC 22-Feb-06 9.07 1.5% 6.0% -2.7%
RRD RR DONNELLEY & SONS CO 22-Feb-06 31.75 1.0% 1.4% 0.4%
S SPRINT NEXTEL CORP 22-Feb-06 22.96 1.4% 1.9% 0.3%
SRE SEMPRA ENERGY 22-Feb-06 46.70 0.9% 1.3% 0.3%
BLI BIG LOTS INC 23-Feb-06 13.22 1.7% 3.9% 3.2%
CMS CMS ENERGY CORP 23-Feb-06 14.15 0.9% 1.9% -0.9%
DCN DANA CORP 23-Feb-06 4.08 4.7% 2.4% 0.3%
GPS GAP INC/THE 23-Feb-06 18.00 0.8% 2.0% -1.1%
LTD LIMITED BRANDS INC 23-Feb-06 23.84 1.0% 2.1% -1.2%
SWY SAFEWAY INC 23-Feb-06 22.44 0.1% 3.3% -0.5%
AIG AMERICAN INTERNATIONAL GROUP 24-Feb-06 67.94 0.7% 1.9% 1.0%
CZN CITIZENS COMMUNICATIONS CO 24-Feb-06 12.26 0.7% 1.1% -0.2%
KSE KEYSPAN CORP 24-Feb-06 36.03 0.7% 1.1% -0.1%
Source: Source: Lehman Brothers, Bloomberg
Note: This list does not exclude illiquid options. Investors should consider liquidity of options before entering a trade. For details on the methodology we use to calculate the implied
stock price move, please see “Earnings Impact on Implied and Realized Volatility”, included in the Options Strategy Monthly, January 10, 2006.
February 14, 2006 5

6. Equity Derivatives Strategy | Equity Volatility Snapshot
Volatility Screen User Interface
Obtain Implied Volatility
Analytics for an
Individual Stock
Screen Universe for
Rich/Cheap Volatility, By
Sector, Analyst Rating,
Earnings Period
Implied and Realized Volatility Implied and Realized Rich/Cheap Indicators for
for Individual Stock Screened Individual Stock Screened
Note: Stocks that appear as unrated are either not covered by Lehman Brothers fundamental analysts or are currently subject to research restrictions.
Volatility Screen Summary Output
Number of Standard Deviations Above or Below
Spreads’ 2-Year Average
Current 1-Month If > 1 then “Rich”. If < -1 then “Cheap”
Implied Volatility
Rich/Cheap Metrics: Rich/Cheap Metrics:
Company Details 1-Month 3-Month
Implied Volatility Implied Volatility
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7. Equity Derivatives Strategy | Equity Volatility Snapshot
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8. Equity Derivatives Strategy | Equity Volatility Snapshot
Distribution of Ratings:
Lehman Brothers Equity Research has 1859 companies under coverage.
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