Musannaf Ibn Abi Shayba 21:93

Ibn al-Mubarak narrated to us, from Abd al-Rahman ibn Yazid ibn Jabir, from Ibn Abi Zakariyya, who said: It reached me that whoever hears the sound of thunder and says, "Glory be to Allah and by His praise" (Subhan Allah wa bi-hamdihi), a lightning bolt will not strike him.