FORM 4 Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940

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(Print or Type Responses)

1. Name and Address of Reporting Person * FIEHLER SHARON D   2. Issuer Name and Ticker or Trading Symbol PEABODY ENERGY CORP [BTU] 5. Relationship of Reporting Person(s) to Issuer (Check all applicable) _____ Director _____ 10% Owner __X__ Officer (give title below) _____ Other (specify below) EVP - Human Resources & Admin. (Last) (First) (Middle) 701 MARKET STREET 3. Date of Earliest Transaction (Month/Day/Year) 05/02/2006 (Street) ST. LOUIS, MO 63101 4. If Amendment, Date Original Filed(Month/Day/Year) 6. Individual or Joint/Group Filing(Check Applicable Line) _X_ Form filed by One Reporting Person ___ Form filed by More than One Reporting Person (City) (State) (Zip) Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned

1.Title of Security (Instr. 3) 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code (Instr. 8) 4. Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5) 5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4) 6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4) 7. Nature of Indirect Beneficial Ownership (Instr. 4) Code V Amount (A) or (D) Price Common Stock 05/02/2006   M   2,932 A $ 7.3875 4,899 (1) (2) D   Common Stock 05/02/2006   M   11,876 A $ 7.2975 16,775 (1) (2) D   Common Stock 05/02/2006   M   9,215 A $ 10.4875 25,990 (1) (2) D   Common Stock 05/02/2006   M   5,864 A $ 19.3275 31,854 (1) (2) D   Common Stock 05/02/2006   S(3)   29,887 D $ 67.9133 1,967 (1) (2) D   Common Stock               104,468 (1) I By Family Trust

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Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)

1. Title of Derivative Security (Instr. 3)

2. Conversion or Exercise Price of Derivative Security

3. Transaction Date (Month/Day/Year)

3A. Deemed Execution Date, if any (Month/Day/Year)

4. Transaction Code (Instr. 8)

5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4, and 5)

6. Date Exercisable and Expiration Date (Month/Day/Year)

7. Title and Amount of Underlying Securities (Instr. 3 and 4)

8. Price of Derivative Security (Instr. 5)

9. Number of Derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)

10. Ownership Form of Derivative Security: Direct (D) or Indirect (I) (Instr. 4)

11. Nature of Indirect Beneficial Ownership (Instr. 4)

Code

V

(A)

(D)

Date Exercisable

Expiration Date

Title

Amount or Number of Shares

Employee Stock Option (right to buy) (4)

$ 7.3875

05/02/2006

M

2,932

04/01/2005

04/01/2012

Common Stock

2,932

(5)

0 (6)

D

Employee Stock Option (right to buy) (4)

$ 7.2975

05/02/2006

M

11,876

01/02/2006

01/02/2013

Common Stock

11,876

(5)

0 (6)

D

Employee Stock Option (right to buy) (4)

$ 10.4875

05/02/2006

M

9,215

01/02/2006

01/02/2014

Common Stock

9,215

(5)

9,217 (6)

D

Employee Stock Option (right to buy) (4)

$ 19.3275

05/02/2006

M

5,864

01/03/2006

01/03/2015

Common Stock

5,864

(5)

11,728 (6)

D

Reporting Owners

Reporting Owner Name / Address	Relationships
	Director	10% Owner	Officer	Other
FIEHLER SHARON D 701 MARKET STREET ST. LOUIS, MO 63101			EVP - Human Resources & Admin.

Signatures

Sharon D. Fiehler By: Joseph W. Bean, Attorney-in-Fact		05/04/2006
**Signature of Reporting Person		Date

Explanation of Responses:

*	If the form is filed by more than one reporting person, see Instruction 4(b)(v).
**	Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(1)	Amounts have been adjusted to reflect the 2-for-1 stock split effected by the Company in February 2006.
(2)	Includes 1,967 shares held by the reporting person in the Company's Employee Stock Purchase Plan.
(3)	This sale was effected pursuant to a pre-existing Rule 10b5-1 trading plan adopted by the reporting person.
(4)	The number of outstanding stock options and corresponding exercise prices have been adjusted to reflect the 2-for-1 stock split effected by the Company in February 2006.
(5)	Not applicable.
(6)	The numbers reported in this column 9 of Table II do not include an additional 339,270 options with different expiration dates and exercise prices.

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