26.03.2013
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
At The Money Implied Volatilities by Terms
S&P 500 Index
Ticker
Name
GICS_SECTOR_NAME
ATM Ref
Dividend Yield
Next ExDividend Date
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
MMM UN Equity
3M CO
Industrials
105.17
2.46%
22.05.2013
14.45
15.15
14.72
15.19
17.13
18.13
-0.499 -0.335 -0.315 -0.258 -0.220 -0.191
0.016
0.010
0.009
0.006
0.002
0.001
ABT UN Equity
ABBOTT LABORATORIES
Health Care
33.80
1.78%
10.07.2013
16.56
16.25
16.30
16.62
17.26
18.12
-0.395 -0.362 -0.301 -0.215 -0.165 -0.146
0.012
0.012
0.009
0.005
0.003
0.002
ANF UN Equity
ABERCROMBIE & FITCH CO-CL A
Consumer Discretionary
46.38
1.72%
30.05.2013
35.79
40.45
40.39
40.59
39.30
39.35
-0.228 -0.209 -0.185 -0.160 -0.129 -0.121
0.010
0.002
0.002
0.001
0.001
0.001
ACN UN Equity
ACCENTURE PLC-CL A
Information Technology
73.41
2.40%
10.04.2013
23.64
20.62
20.12
20.82
22.35
23.06
-0.232 -0.323 -0.296 -0.235 -0.191 -0.165
0.007
0.009
0.007
0.004
0.002
0.002
ACE UN Equity
ACE LTD
Financials
88.47
1.73%
26.07.2013
12.57
14.83
15.02
15.91
-0.352 -0.489 -0.406 -0.284
0.009
0.014
0.011
0.006
ADBE UW Equity ADOBE SYSTEMS INC
Information Technology
42.49
19.83
20.38
21.91
23.39
25.23
26.08
-0.402 -0.318 -0.262 -0.191 -0.166 -0.141
0.016
0.009
0.006
0.004
0.002
0.001
AMD UN Equity
ADVANCED MICRO DEVICES
Information Technology
2.51
61.39
60.36
60.85
58.92
61.20
62.65
-0.125 -0.105 -0.110 -0.121 -0.127 -0.138
0.013
0.005
0.004
0.003
0.002
0.002
AES UN Equity
AES CORP
Utilities
12.30
2.28%
26.04.2013
19.64
21.40
21.67
22.11
-0.076 -0.219 -0.232 -0.222
0.001
0.002
0.003
0.004
AET UN Equity
AETNA INC
Health Care
50.05
1.64%
09.07.2013
24.39
25.48
24.16
24.68
25.51
26.19
-0.319 -0.124 -0.161 -0.159 -0.114 -0.098
0.012
0.002
0.003
0.003
0.001
0.001
AFL UN Equity
AFLAC INC
Financials
51.52
2.80%
13.05.2013
17.95
20.06
20.85
21.76
22.45
22.97
-0.529 -0.357 -0.311 -0.265 -0.208 -0.177
0.018
0.012
0.008
0.004
0.003
0.002
A UN Equity
AGILENT TECHNOLOGIES INC
Health Care
41.13
1.17%
03.07.2013
23.19
25.92
26.34
26.73
27.36
28.65
-0.424 -0.296 -0.262 -0.212 -0.167 -0.139
0.014
0.009
0.006
0.003
0.002
0.001
GAS UN Equity
AGL RESOURCES INC
Utilities
41.32
4.57%
15.05.2013
12.10
12.10
12.10
12.10
0.000
0.000
0.000
0.000
0.000
0.000
APD UN Equity
AIR PRODUCTS & CHEMICALS INC
Materials
87.47
3.25%
05.07.2013
16.28
16.94
16.55
17.47
-0.244 -0.313 -0.324 -0.253
0.004
0.006
0.007
0.004
ARG UN Equity
AIRGAS INC
1.95%
14.06.2013
19.88
20.05
19.79
19.96
-0.352 -0.305 -0.318 -0.253
0.008
0.006
0.007
0.005
36.45
45.21
43.09
39.71
36.84
36.08
0.168 -0.066 -0.095 -0.106 -0.099 -0.099
0.019
0.003
0.002
0.001
0.001
0.000
1.43%
15.05.2013
26.06
24.71
24.78
26.16
28.84
30.43
-0.225 -0.054 -0.127 -0.102 -0.069 -0.046
0.013
0.009
0.004
0.004
0.002
0.001
27.88
31.21
31.34
31.64
31.43
32.05
-0.149 -0.194 -0.186 -0.170 -0.153 -0.138
0.006
0.007
0.004
0.002
0.001
0.001
0.000
0.000
Materials
97.57
AKAM UW Equity AKAMAI TECHNOLOGIES INC
Information Technology
34.40
AA UN Equity
ALCOA INC
Materials
8.42
ALXN UW Equity
ALEXION PHARMACEUTICALS INC
Health Care
92.35
ATI UN Equity
ALLEGHENY TECHNOLOGIES INC
Materials
31.35
2.30%
24.05.2013
33.23
36.09
35.48
36.08
38.31
39.14
-0.207 -0.251 -0.224 -0.171 -0.127 -0.112
0.008
0.007
0.004
0.002
0.001
0.001
AGN UN Equity
ALLERGAN INC
Health Care
110.80
0.18%
15.05.2013
17.82
19.60
19.44
21.25
23.14
23.04
-0.397 -0.326 -0.272 -0.222 -0.175 -0.152
0.012
0.010
0.008
0.004
0.002
0.001
ALL UN Equity
ALLSTATE CORP
Financials
48.48
2.12%
29.05.2013
16.89
18.34
17.49
17.90
19.37
19.90
-0.553 -0.286 -0.266 -0.234 -0.189 -0.165
0.022
0.011
0.009
0.006
0.003
0.002
ANR UN Equity
ALPHA NATURAL RESOURCES INC
Energy
8.33
56.82
58.88
57.43
57.07
57.90
58.35
-0.244 -0.217 -0.195 -0.151 -0.128 -0.117
0.011
0.005
0.003
0.002
0.001
0.001
ALTR UW Equity
ALTERA CORP
Information Technology
34.77
1.41%
10.05.2013
25.10
27.76
27.11
28.09
29.65
30.60
-0.215 -0.251 -0.226 -0.175 -0.137 -0.116
0.006
0.007
0.005
0.002
0.001
0.001
MO UN Equity
ALTRIA GROUP INC
Consumer Staples
33.88
5.46%
14.06.2013
12.36
13.24
13.03
13.71
16.05
17.20
-0.312 -0.374 -0.271 -0.198 -0.144 -0.112
0.008
0.012
0.009
0.007
0.004
0.003
28.01
32.36
29.99
30.02
31.77
32.77
-0.281 -0.243 -0.217 -0.169 -0.131 -0.114
0.016
0.005
0.005
0.003
0.001
0.001
0.033 -0.052 -0.203 -0.211
0.000
0.001
0.004
0.008
AMZN UW Equity AMAZON.COM INC
Consumer Discretionary
256.02
AEE UN Equity
AMEREN CORPORATION
Utilities
34.24
4.67%
10.06.2013
11.19
13.01
13.18
12.53
AEP UN Equity
AMERICAN ELECTRIC POWER
Utilities
47.66
4.11%
10.05.2013
11.07
10.96
11.06
11.83
13.50
14.56
-0.113 -0.150 -0.216 -0.213 -0.194 -0.169
0.001
0.003
0.006
0.006
0.004
0.002
AXP UN Equity
AMERICAN EXPRESS CO
Financials
66.10
1.35%
03.07.2013
17.12
17.28
17.45
18.85
21.14
22.17
-0.408 -0.366 -0.314 -0.247 -0.210 -0.176
0.018
0.015
0.011
0.005
0.002
0.001
AIG UN Equity
AMERICAN INTERNATIONAL GROUP
Financials
37.70
0.53%
09.09.2013
22.25
24.78
24.73
26.78
29.08
30.99
-0.232 -0.256 -0.225 -0.149 -0.111 -0.087
0.015
0.010
0.006
0.003
0.001
0.001
AMT UN Equity
AMERICAN TOWER CORP
Financials
76.26
1.42%
05.07.2013
15.50
17.95
17.53
18.61
20.25
21.07
-0.362 -0.303 -0.285 -0.254 -0.190 -0.158
0.009
0.007
0.008
0.005
0.002
0.002
AMP UN Equity
AMERIPRISE FINANCIAL INC
Financials
73.47
2.59%
01.05.2013
19.49
21.56
20.60
21.72
-0.208 -0.355 -0.314 -0.238
0.004
0.008
0.007
0.003
ABC UN Equity
AMERISOURCEBERGEN CORP
Health Care
50.59
1.78%
23.05.2013
17.35
18.86
18.52
18.33
-0.181 -0.259 -0.231 -0.191
0.005
0.007
0.006
0.004
AMGN UW Equity AMGEN INC
Health Care
96.81
2.10%
16.08.2013
18.41
19.89
19.28
20.05
21.93
22.97
-0.332 -0.195 -0.185 -0.182 -0.155 -0.137
0.018
0.007
0.007
0.004
0.002
0.001
APH UN Equity
AMPHENOL CORP-CL A
Information Technology
72.60
0.61%
10.06.2013
23.69
21.83
22.02
22.09
-0.253 -0.249 -0.207 -0.156
0.005
0.005
0.004
0.003
APC UN Equity
ANADARKO PETROLEUM CORP
Energy
87.29
0.53%
10.06.2013
26.42
28.62
28.25
27.84
29.30
29.91
-0.228 -0.197 -0.168 -0.135 -0.130 -0.122
0.008
0.009
0.006
0.002
0.001
0.001
ADI UW Equity
ANALOG DEVICES INC
Information Technology
44.64
3.09%
29.05.2013
19.26
19.94
20.38
21.19
22.43
22.73
-0.267 -0.252 -0.273 -0.209 -0.162 -0.139
0.005
0.005
0.006
0.003
0.002
0.001
AON UN Equity
AON PLC
Financials
61.16
1.03%
02.05.2013
14.47
17.19
16.38
16.74
-0.492 -0.257 -0.261 -0.218
0.014
0.005
0.006
0.004
APA UN Equity
APACHE CORP
Energy
74.63
1.07%
22.07.2013
21.18
23.11
23.43
24.02
0.002
0.001
AIV UN Equity
APARTMENT INVT & MGMT CO -A
3.23%
15.05.2013
18.22
19.55
19.58
19.65
41.54
41.38
43.15
Financials
30.07
APOL UW Equity APOLLO GROUP INC-CL A
Consumer Discretionary
18.25
AAPL UW Equity
APPLE INC
25.59
26.63
-0.201 -0.181 -0.187 -0.182 -0.165 -0.139
0.020
0.002
0.003
0.003
0.000
0.000 -0.149
0.000
0.000
0.000
0.005
45.11
46.59
46.17
-0.256 -0.168 -0.143 -0.121 -0.088 -0.084
0.012
0.006
0.004
0.002
0.001
0.001
0.000
Information Technology
463.58
2.59%
08.05.2013
28.10
30.32
28.49
28.28
29.91
30.84
-0.141 -0.111 -0.108 -0.095 -0.074 -0.056
0.014
0.004
0.003
0.002
0.001
0.000
AMAT UW Equity APPLIED MATERIALS INC
Information Technology
13.32
3.00%
26.08.2013
23.80
25.65
24.89
24.95
26.09
26.76
-0.188 -0.303 -0.243 -0.184 -0.137 -0.114
0.009
0.009
0.006
0.003
0.002
0.001
ADM UN Equity
ARCHER-DANIELS-MIDLAND CO
Consumer Staples
32.57
2.36%
14.05.2013
20.03
21.81
21.14
21.71
22.97
23.57
-0.297 -0.250 -0.209 -0.166 -0.130 -0.114
0.012
0.011
0.008
0.004
0.002
0.001
AIZ UN Equity
ASSURANT INC
Financials
44.00
2.18%
30.05.2013
20.19
22.45
22.42
23.28
-0.150 -0.284 -0.293 -0.202
0.003
0.006
0.006
0.003
T UN Equity
AT&T INC
Telecommunication Services 36.39
5.00%
05.04.2013
14.11
14.38
14.28
14.47
16.69
17.98
-0.363 -0.360 -0.293 -0.216 -0.146 -0.120
0.012
0.012
0.010
0.006
0.004
0.002
26.38
30.47
29.68
30.28
31.99
32.72
-0.263 -0.198 -0.195 -0.172 -0.140 -0.121
0.013
0.004
0.003
0.002
0.001
0.001
2.83%
12.06.2013
13.43
14.65
14.47
14.57
15.34
16.07
-0.264 -0.334 -0.321 -0.275 -0.207 -0.177
0.004
0.007
0.007
0.006
0.003
0.002
-0.182 -0.220 -0.177 -0.147
0.003
0.005
0.004
0.001
-0.314 -0.271 -0.236 -0.201 -0.156 -0.142
0.012
0.009
0.006
0.004
0.002
0.002
ADSK UW Equity AUTODESK INC
Information Technology
40.38
ADP UW Equity
AUTOMATIC DATA PROCESSING
Information Technology
63.93
AN UN Equity
AUTONATION INC
Consumer Discretionary
43.62
26.85
25.51
25.61
26.14
AZO UN Equity
AUTOZONE INC
Consumer Discretionary
393.33
16.95
18.18
19.68
19.44
AVB UN Equity
AVALONBAY COMMUNITIES INC
Financials
126.52
2.54%
28.06.2013
15.67
17.92
17.55
17.83
-0.366 -0.335 -0.279 -0.224
0.010
0.009
0.006
0.003
AVY UN Equity
AVERY DENNISON CORP
Industrials
42.85
2.87%
28.05.2013
20.57
20.09
19.00
19.34
-0.141 -0.171 -0.233 -0.209
0.001
0.003
0.006
0.005
AVP UN Equity
AVON PRODUCTS INC
Consumer Staples
20.01
1.20%
17.05.2013
29.78
33.98
32.28
32.10
32.70
32.27
-0.257 -0.281 -0.253 -0.199 -0.166 -0.152
0.005
0.006
0.004
0.002
0.001
0.001
BHI UN Equity
BAKER HUGHES INC
Energy
44.89
1.51%
09.05.2013
29.18
27.79
27.80
28.39
29.38
29.96
-0.437 -0.298 -0.279 -0.236 -0.182 -0.154
0.014
0.009
0.006
0.003
0.002
0.001
BLL UN Equity
BALL CORP
Materials
46.07
1.17%
30.05.2013
13.89
15.83
16.09
16.38
-0.194 -0.268 -0.263 -0.233
0.002
0.004
0.005
0.005
BAC UN Equity
BANK OF AMERICA CORP
Financials
12.40
0.32%
29.05.2013
29.77
29.63
29.18
29.37
31.39
32.47
-0.064 -0.149 -0.188 -0.155 -0.108 -0.086
0.005
0.006
0.004
0.003
0.002
0.001
BK UN Equity
BANK OF NEW YORK MELLON CORP
Financials
28.19
2.13%
01.05.2013
21.98
20.72
20.46
21.98
23.63
25.00
-0.596 -0.361 -0.295 -0.251 -0.192 -0.163
0.022
0.014
0.011
0.005
0.003
0.002
BAX UN Equity
BAXTER INTERNATIONAL INC
Health Care
70.80
2.75%
07.06.2013
24.75
28.96
27.26
24.32
22.14
22.13
0.071 -0.031 -0.080 -0.121 -0.128 -0.114
0.017
0.007
0.005
0.003
0.002
0.001
BBT UN Equity
BB&T CORP
Financials
30.82
3.05%
06.05.2013
19.35
18.08
18.13
19.43
21.08
21.71
-0.518 -0.377 -0.316 -0.217 -0.148 -0.121
0.017
0.011
0.009
0.004
0.002
0.001
BEAM UN Equity
BEAM INC
Consumer Staples
62.73
1.47%
06.05.2013
17.88
20.38
20.34
20.87
-0.056 -0.136 -0.180 -0.171
0.002
0.006
0.009
0.004
BDX UN Equity
BECTON DICKINSON AND CO
Health Care
92.43
2.22%
07.06.2013
14.60
15.70
15.66
15.47
-0.107 -0.201 -0.230 -0.193
0.002
0.005
0.006
0.004
31.50
26.72
26.10
26.15
26.13
26.44
-0.210 -0.183 -0.171 -0.157 -0.129 -0.115
0.009
0.007
0.005
0.002
0.001
0.001
2.66%
16.05.2013
12.57
14.28
14.84
15.71
0.007 -0.012 -0.075 -0.194
0.000
0.000
0.002
0.004
13.92
14.36
14.01
14.90
16.74
17.71
-0.323 -0.360 -0.328 -0.262 -0.207 -0.169
0.011
0.011
0.011
0.007
0.004
0.002
BBBY UW Equity BED BATH & BEYOND INC
Consumer Discretionary
BMS UN Equity
BEMIS COMPANY
64.19
20.02
20.19
Materials
39.50
BRK/B UN Equity BERKSHIRE HATHAWAY INC-CL B
Financials
102.40
BBY UN Equity
BEST BUY CO INC
Consumer Discretionary
23.20
42.74
43.69
45.24
41.93
39.34
36.16
-0.265 -0.325 -0.335 -0.242 -0.234 -0.228
0.017
0.006
0.004
0.003
0.002
0.001
BIG UN Equity
BIG LOTS INC
Consumer Discretionary
35.74
29.63
31.72
33.24
33.80
33.61
33.17
-0.088 -0.152 -0.166 -0.138 -0.095 -0.067
0.017
0.006
0.004
0.002
0.001
0.001
BIIB UW Equity
BIOGEN IDEC INC
Health Care
176.22
32.58
27.68
25.30
24.28
25.19
26.27
-0.373 -0.284 -0.254 -0.225 -0.153 -0.126
0.012
0.008
0.006
0.004
0.002
0.001
BLK UN Equity
BLACKROCK INC
Financials
251.82
20.33
19.27
19.46
19.86
20.40
20.63
-0.402 -0.283 -0.278 -0.232 -0.207 -0.180
0.015
0.008
0.006
0.004
0.001
0.001
BMC UW Equity
BMC SOFTWARE INC
Information Technology
45.70
30.89
31.53
28.38
26.00
22.92
21.37
-0.072 -0.088 -0.143 -0.201 -0.210 -0.208
0.003
0.004
0.005
0.002
0.002
0.001
BA UN Equity
BOEING CO/THE
Industrials
84.85
19.01
20.46
20.20
20.66
22.27
23.48
-0.386 -0.338 -0.294 -0.216 -0.182 -0.151
0.014
0.008
0.007
0.004
0.002
0.001
BWA UN Equity
BORGWARNER INC
Consumer Discretionary
76.02
22.35
25.54
25.73
27.00
-0.493 -0.220 -0.244 -0.223
0.018
0.006
0.004
0.003
BXP UN Equity
BOSTON PROPERTIES INC
Financials
14.33
15.33
15.39
16.64
-0.267 -0.325 -0.277 -0.222
0.007
0.010
0.009
0.005
BSX UN Equity
BOSTON SCIENTIFIC CORP
Health Care
7.32
BMY UN Equity
BRISTOL-MYERS SQUIBB CO
100.89
2.28%
2.74% 2.33%
26.06.2013
07.06.2013 08.05.2013
1.98%
28.06.2013
30.53
28.35
27.66
28.10
30.07
31.51
-0.070 -0.144 -0.148 -0.136 -0.100 -0.086
0.005
0.015
0.013
0.007
0.003
0.002
Health Care
40.26
3.50%
03.07.2013
15.24
16.31
16.11
16.52
18.06
19.41
-0.472 -0.338 -0.283 -0.216 -0.171 -0.147
0.018
0.012
0.008
0.005
0.003
0.002
BRCM UW Equity BROADCOM CORP-CL A
Information Technology
34.19
1.32%
22.05.2013
24.59
27.75
27.85
28.10
28.56
29.16
-0.366 -0.277 -0.229 -0.169 -0.140 -0.123
0.009
0.006
0.004
0.002
0.001
0.001
BF/B UN Equity
BROWN-FORMAN CORP-CLASS B
Consumer Staples
69.23
1.55%
06.06.2013
14.45
15.40
15.63
14.79
0.031 -0.195 -0.339 -0.132
-0.003 0.006
0.013
0.001
CA UW Equity
CA INC
Information Technology
25.05
3.99%
17.05.2013
19.99
22.61
22.36
22.48
22.47
23.76
-0.055 -0.228 -0.224 -0.179 -0.125 -0.115
0.005
0.008
0.006
0.004
0.002
0.001
CVC UN Equity
CABLEVISION SYSTEMS-NY GRP-A
Consumer Discretionary
14.84
4.04%
16.05.2013
32.50
34.09
33.69
32.45
32.58
33.99
0.121
0.064 -0.064 -0.033 -0.070 -0.090
0.004
0.007
0.003
0.002
0.002
0.001
COG UN Equity
CABOT OIL & GAS CORP
Energy
67.42
0.12%
17.05.2013
31.04
34.36
32.91
32.70
32.53
31.84
-0.177 -0.242 -0.186 -0.182 -0.166 -0.142
0.005
0.005
0.003
0.002
0.001
0.001
CAM UN Equity
CAMERON INTERNATIONAL CORP
Energy
63.79
26.89
28.81
28.93
29.62
30.66
31.70
-0.295 -0.297 -0.262 -0.207 -0.173 -0.151
0.006
0.006
0.004
0.002
0.001
0.001
CPB UN Equity
CAMPBELL SOUP CO
Consumer Staples
43.60
2.04%
11.07.2013
14.76
14.86
14.92
15.48
15.93
15.62
-0.114 -0.156 -0.179 -0.176 -0.144 -0.161
0.003
0.003
0.004
0.005
0.004
0.005
COF UN Equity
CAPITAL ONE FINANCIAL CORP
Financials
54.59
2.20%
17.05.2013
23.89
22.51
22.59
24.52
27.06
28.09
-0.400 -0.274 -0.293 -0.216 -0.148 -0.119
0.013
0.007
0.006
0.003
0.002
0.001
CAH UN Equity
CARDINAL HEALTH INC
Health Care
42.05
2.62%
27.06.2013
18.96
19.70
19.24
19.59
19.57
19.81
-0.225 -0.261 -0.265 -0.230 -0.178 -0.146
0.005
0.008
0.007
0.003
0.002
0.001
CFN UN Equity
CAREFUSION CORP
Health Care
34.39
18.23
19.85
19.48
19.97
-0.146 -0.215 -0.225 -0.235
0.002
0.005
0.006
0.004
KMX UN Equity
CARMAX INC
Consumer Discretionary
40.31
31.39
28.32
28.35
28.08
-0.167 -0.215 -0.217 -0.182
0.005
0.004
0.004
0.003
CCL UN Equity
CARNIVAL CORP
Consumer Discretionary
33.64
3.12%
22.05.2013
22.63
23.57
24.08
24.71
26.08
26.95
-0.240 -0.288 -0.249 -0.195 -0.150 -0.132
0.006
0.008
0.005
0.003
0.002
0.001
CAT UN Equity
CATERPILLAR INC
Industrials
86.64
2.61%
18.04.2013
20.10
22.08
21.97
23.41
25.79
26.93
-0.248 -0.254 -0.228 -0.194 -0.147 -0.124
0.019
0.010
0.006
0.003
0.002
0.001
CBG UN Equity
CBRE GROUP INC - A
Financials
24.68
27.72
31.55
29.05
29.69
31.07
31.17
-0.224 -0.306 -0.276 -0.202 -0.161 -0.142
0.004
0.006
0.004
0.002
0.002
0.001
CBS UN Equity
CBS CORP-CLASS B NON VOTING
Consumer Discretionary
45.42
17.65
22.22
23.06
25.13
26.71
27.68
-0.180 -0.244 -0.210 -0.149 -0.137 -0.119
0.003
0.006
0.007
0.003
0.001
0.001
24.35
26.81
27.08
27.52
29.71
31.89
-0.273 -0.197 -0.181 -0.166 -0.160 -0.141
0.013
0.008
0.006
0.003
0.002
0.001
1.19%
11.06.2013
CELG UW Equity CELGENE CORP
Health Care
111.79
CNP UN Equity
CENTERPOINT ENERGY INC
Utilities
23.41
3.58%
16.05.2013
20.59
21.14
21.53
21.82
20.96
21.31
-0.022 -0.157 -0.089 -0.028 -0.026 -0.042
0.004
0.008
0.004
0.002
0.003
0.002
CTL UN Equity
CENTURYLINK INC
Telecommunication Services 34.99
6.17%
07.06.2013
16.98
19.17
18.35
18.18
19.48
21.12
-0.234 -0.214 -0.229 -0.197 -0.121 -0.095
0.007
0.007
0.008
0.005
0.003
0.002
22.95
26.04
24.66
26.05
26.41
27.17
-0.157 -0.237 -0.211 -0.165 -0.151 -0.133
0.004
0.006
0.004
0.002
0.001
0.001
CERN UW Equity CERNER CORP
Health Care
CF UN Equity
Materials
191.51
0.84%
15.05.2013
24.57
26.77
27.31
28.16
29.69
30.28
-0.179 -0.226 -0.204 -0.155 -0.130 -0.116
0.015
0.005
0.002
0.001
0.001
0.000
CHRW UW Equity C.H. ROBINSON WORLDWIDE INC
Industrials
58.57
2.56%
05.06.2013
22.22
25.62
24.96
24.08
23.97
24.21
-0.207 -0.230 -0.208 -0.175 -0.154 -0.139
0.006
0.008
0.005
0.003
0.002
0.001
SCHW UN Equity SCHWAB (CHARLES) CORP
Financials
17.52
1.37%
08.05.2013
25.78
23.83
23.23
23.41
24.62
24.51
-0.115 -0.142 -0.201 -0.206 -0.158 -0.138
0.001
0.001
0.002
0.002
0.001
0.001
CHK UN Equity
CHESAPEAKE ENERGY CORP
Energy
20.35
1.90%
11.04.2013
37.22
38.76
36.58
35.44
36.87
37.30
-0.258 -0.214 -0.159 -0.134 -0.146 -0.136
0.016
0.008
0.006
0.003
0.002
0.001
CVX UN Equity
CHEVRON CORP
Energy
120.18
3.20%
17.05.2013
13.96
14.07
14.09
15.20
17.90
18.93
-0.535 -0.381 -0.334 -0.245 -0.211 -0.177
0.017
0.012
0.010
0.006
0.003
0.002
CMG UN Equity
CHIPOTLE MEXICAN GRILL INC
Consumer Discretionary
316.77
34.65
30.60
29.35
30.05
31.03
31.54
-0.330 -0.267 -0.233 -0.186 -0.155 -0.135
0.011
0.004
0.003
0.002
0.001
0.001
CB UN Equity
CHUBB CORP
Financials
86.51
2.08%
19.06.2013
13.18
13.20
13.21
14.50
-0.345 -0.403 -0.309 -0.232
0.009
0.013
0.010
0.005
CI UN Equity
CIGNA CORP
Health Care
61.61
0.10%
07.03.2014
20.91
22.22
21.76
22.48
0.001
0.001
CINF UW Equity
CINCINNATI FINANCIAL CORP
CF INDUSTRIES HOLDINGS INC
92.52
23.75
24.65
-0.411 -0.276 -0.238 -0.170 -0.125 -0.106
0.014
0.008
0.006
0.002
Financials
46.41
3.54%
17.06.2013
14.89
14.92
14.98
14.47
0.000 -0.080 -0.206 -0.252
0.000
0.003
0.007
0.007
CTAS UW Equity CINTAS CORP
Industrials
43.07
1.88%
05.11.2013
18.02
17.53
17.93
18.82
19.73
20.07
-0.218 -0.249 -0.258 -0.211 -0.162 -0.126
0.004
0.006
0.006
0.004
0.002
0.002
CSCO UW Equity CISCO SYSTEMS INC
Information Technology
20.85
2.88%
02.04.2013
20.67
23.92
22.60
22.62
24.57
25.36
-0.357 -0.314 -0.279 -0.190 -0.144 -0.118
0.010
0.008
0.005
0.004
0.002
0.002
C UN Equity
Financials
44.49
0.09%
09.05.2013
28.02
27.36
27.21
27.60
29.63
30.48
-0.323 -0.289 -0.278 -0.204 -0.168 -0.140
0.009
0.006
0.004
0.003
0.001
0.001
CTXS UW Equity CITRIX SYSTEMS INC
Information Technology
70.11
29.79
35.28
33.98
34.28
33.91
34.13
-0.073 -0.143 -0.184 -0.138 -0.131 -0.121
0.002
0.001
0.002
0.001
0.001
0.001
CLF UN Equity
CLIFFS NATURAL RESOURCES INC
Materials
21.66
2.77%
29.04.2013
52.40
53.73
50.63
48.08
47.00
45.55
-0.216 -0.185 -0.157 -0.133 -0.094 -0.082
0.014
0.006
0.004
0.002
0.001
0.001
CLX UN Equity
CLOROX COMPANY
Consumer Staples
86.38
3.14%
26.07.2013
11.52
12.23
12.03
12.29
13.23
13.90
-0.355 -0.290 -0.280 -0.227 -0.166 -0.141
0.008
0.006
0.007
0.005
0.003
0.002
CME UW Equity
CME GROUP INC
Financials
61.29
2.94%
07.06.2013
20.14
21.50
19.97
20.50
20.81
21.16
-0.379 -0.335 -0.312 -0.227 -0.196 -0.160
0.011
0.009
0.008
0.004
0.002
0.001
CMS UN Equity
CMS ENERGY CORP
Utilities
27.21
3.84%
08.05.2013
15.09
15.10
15.03
12.70
0.013
0.007 -0.150
0.000
0.000
0.000
0.006
COH UN Equity
COACH INC
Consumer Discretionary
49.72
2.98%
06.06.2013
27.88
32.07
29.96
31.15
29.77
30.02
-0.153 -0.169 -0.145 -0.137 -0.107 -0.096
0.004
0.004
0.003
0.001
0.001
0.001
KO UN Equity
COCA-COLA CO/THE
Consumer Staples
40.12
2.84%
14.06.2013
13.81
13.50
13.24
14.17
15.55
16.72
-0.481 -0.360 -0.288 -0.198 -0.155 -0.123
0.018
0.012
0.009
0.006
0.003
0.002
CCE UN Equity
COCA-COLA ENTERPRISES
Consumer Staples
36.96
2.25%
05.06.2013
15.97
17.69
17.73
18.00
18.69
19.71
-0.175 -0.269 -0.249 -0.194 -0.143 -0.124
0.003
0.006
0.006
0.005
0.002
0.002
CTSH UW Equity COGNIZANT TECH SOLUTIONS-A
Information Technology
74.39
25.11
28.08
26.98
26.96
29.38
30.53
-0.245 -0.184 -0.239 -0.229 -0.172 -0.149
0.007
0.000
0.003
0.003
0.002
0.001
CL UN Equity
Consumer Staples
CITIGROUP INC
COLGATE-PALMOLIVE CO
0.013
114.40
2.38%
26.07.2013
13.28
14.53
14.12
14.26
15.68
16.27
-0.694 -0.482 -0.386 -0.264 -0.217 -0.177
0.021
0.014
0.011
0.007
0.003
0.002
CMCSA UW EquityCOMCAST CORP-CLASS A
Consumer Discretionary
41.72
1.87%
01.07.2013
18.82
20.74
20.07
20.49
22.26
23.10
-0.515 -0.350 -0.282 -0.214 -0.160 -0.132
0.018
0.010
0.007
0.004
0.002
0.001
CMA UN Equity
COMERICA INC
Financials
36.00
2.03%
12.06.2013
23.07
21.85
21.86
22.61
24.78
25.53
-0.368 -0.316 -0.275 -0.209 -0.169 -0.148
0.011
0.009
0.006
0.003
0.002
0.001
CSC UN Equity
COMPUTER SCIENCES CORP
Information Technology
48.53
1.75%
11.06.2013
26.70
32.60
30.22
29.40
29.30
29.33
-0.155 -0.182 -0.204 -0.188 -0.152 -0.141
0.003
0.004
0.004
0.003
0.002
0.001
CAG UN Equity
CONAGRA FOODS INC
Consumer Staples
35.17
2.96%
01.05.2013
17.23
15.40
15.56
15.33
15.57
15.75
-0.248 -0.302 -0.361 -0.220 -0.161 -0.131
0.004
0.008
0.012
0.005
0.003
0.002
COP UN Equity
CONOCOPHILLIPS
Energy
60.21
4.43%
23.05.2013
16.35
17.29
16.84
17.02
19.00
19.76
-0.422 -0.284 -0.240 -0.187 -0.168 -0.136
0.019
0.015
0.011
0.006
0.003
0.002
CNX UN Equity
CONSOL ENERGY INC
Energy
33.66
1.49%
10.05.2013
33.93
36.08
35.37
35.35
36.28
36.24
-0.350 -0.268 -0.247 -0.202 -0.155 -0.138
0.016
0.006
0.004
0.002
0.001
0.001
ED UN Equity
CONSOLIDATED EDISON INC
Utilities
59.10
4.14%
13.05.2013
9.56
10.15
10.30
10.99
12.46
12.96
-0.129 -0.225 -0.221 -0.191 -0.147 -0.128
0.002
0.006
0.006
0.006
0.004
0.003
STZ UN Equity
CONSTELLATION BRANDS INC-A
Consumer Staples
46.79
44.96
40.93
38.50
36.95
34.78
34.78
-0.955 -0.704 -0.604 -0.351 -0.234 -0.208
0.015
0.003 -0.001 -0.001 0.001
0.000
CBE UN Equity
COOPER INDUSTRIES PLC
#N/A N/A
21.48 14.07
25.11 14.18
24.02 14.95
25.59 16.11
27.24 17.90
28.48 19.11
-0.341 -0.243 -0.176 -0.141 -0.113 -0.091 -0.443 -0.219 -0.220 -0.202 -0.159 -0.137
0.013 0.021
0.010 0.018
0.001 0.002
GLW UN Equity CORNING INC COST UW Equity COSTCO WHOLESALE CORP
Information Technology Consumer Staples
#N/A N/A 13.01 105.47
3.00% 1.19%
31.05.2013 15.05.2013
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.007 0.012
0.003 0.005
0.002 0.003
26.03.2013
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
At The Money Implied Volatilities by Terms
S&P 500 Index
Ticker CVH UN Equity COV UN Equity BCR UN Equity CCI UN Equity CSX UN Equity CMI UN Equity CVS UN Equity DHR UN Equity DRI UN Equity DVA UN Equity DF UN Equity DE UN Equity DELL UW Equity DNR UN Equity XRAY UW Equity DVN UN Equity DV UN Equity DO UN Equity DTV UW Equity DFS UN Equity DISCA UW Equity DLTR UW Equity D UN Equity DOV UN Equity DOW UN Equity DHI UN Equity DPS UN Equity DTE UN Equity DUK UN Equity DNB UN Equity ETFC UW Equity EMN UN Equity ETN UN Equity EBAY UW Equity ECL UN Equity EIX UN Equity EW UN Equity DD UN Equity EA UW Equity LLY UN Equity EMC UN Equity EMR UN Equity ESV UN Equity ETR UN Equity EOG UN Equity EQT UN Equity EFX UN Equity EQR UN Equity EL UN Equity EXC UN Equity EXPE UW Equity EXPD UW Equity ESRX UW Equity XOM UN Equity FFIV UW Equity FDO UN Equity FAST UW Equity FII UN Equity FDX UN Equity FIS UN Equity FITB UW Equity FHN UN Equity FSLR UW Equity FE UN Equity FISV UW Equity FLIR UW Equity FLS UN Equity FLR UN Equity FMC UN Equity FTI UN Equity F UN Equity FRX UN Equity FOSL UW Equity BEN UN Equity FCX UN Equity FTR UW Equity GME UN Equity GCI UN Equity GPS UN Equity GD UN Equity GE UN Equity GIS UN Equity GPC UN Equity GNW UN Equity GILD UW Equity GS UN Equity GT UN Equity GOOG UW Equity HRB UN Equity HAL UN Equity HOG UN Equity HAR UN Equity HRS UN Equity HIG UN Equity HAS UW Equity HCP UN Equity HCN UN Equity HP UN Equity HSY UN Equity HES UN Equity HPQ UN Equity HNZ UN Equity HD UN Equity HON UN Equity HRL UN Equity HSP UN Equity HST UN Equity HCBK UW Equity HUM UN Equity HBAN UW Equity ITW UN Equity IR UN Equity TEG UN Equity INTC UW Equity ICE UN Equity IBM UN Equity IFF UN Equity IGT UN Equity IP UN Equity IPG UN Equity INTU UW Equity ISRG UW Equity IVZ UN Equity IRM UN Equity JBL UN Equity JEC UN Equity
Name COVENTRY HEALTH CARE INC COVIDIEN PLC CR BARD INC CROWN CASTLE INTL CORP CSX CORP CUMMINS INC CVS CAREMARK CORP DANAHER CORP DARDEN RESTAURANTS INC DAVITA HEALTHCARE PARTNERS I DEAN FOODS CO DEERE & CO DELL INC DENBURY RESOURCES INC DENTSPLY INTERNATIONAL INC DEVON ENERGY CORPORATION DEVRY INC DIAMOND OFFSHORE DRILLING DIRECTV DISCOVER FINANCIAL SERVICES DISCOVERY COMMUNICATIONS-A DOLLAR TREE INC DOMINION RESOURCES INC/VA DOVER CORP DOW CHEMICAL CO/THE DR HORTON INC DR PEPPER SNAPPLE GROUP INC DTE ENERGY COMPANY DUKE ENERGY CORP DUN & BRADSTREET CORP E*TRADE FINANCIAL CORP EASTMAN CHEMICAL CO EATON CORP PLC EBAY INC ECOLAB INC EDISON INTERNATIONAL EDWARDS LIFESCIENCES CORP DU PONT (E.I.) DE NEMOURS ELECTRONIC ARTS INC ELI LILLY & CO EMC CORP/MA EMERSON ELECTRIC CO ENSCO PLC-CL A ENTERGY CORP EOG RESOURCES INC EQT CORP EQUIFAX INC EQUITY RESIDENTIAL ESTEE LAUDER COMPANIES-CL A EXELON CORP EXPEDIA INC EXPEDITORS INTL WASH INC EXPRESS SCRIPTS HOLDING CO EXXON MOBIL CORP F5 NETWORKS INC FAMILY DOLLAR STORES FASTENAL CO FEDERATED INVESTORS INC-CL B FEDEX CORP FIDELITY NATIONAL INFORMATIO FIFTH THIRD BANCORP FIRST HORIZON NATIONAL CORP FIRST SOLAR INC FIRSTENERGY CORP FISERV INC FLIR SYSTEMS INC FLOWSERVE CORP FLUOR CORP FMC CORP FMC TECHNOLOGIES INC FORD MOTOR CO FOREST LABORATORIES INC FOSSIL INC FRANKLIN RESOURCES INC FREEPORT-MCMORAN COPPER FRONTIER COMMUNICATIONS CORP GAMESTOP CORP-CLASS A GANNETT CO GAP INC/THE GENERAL DYNAMICS CORP GENERAL ELECTRIC CO GENERAL MILLS INC GENUINE PARTS CO GENWORTH FINANCIAL INC-CL A GILEAD SCIENCES INC GOLDMAN SACHS GROUP INC GOODYEAR TIRE & RUBBER CO GOOGLE INC-CL A H&R BLOCK INC HALLIBURTON CO HARLEY-DAVIDSON INC HARMAN INTERNATIONAL HARRIS CORP HARTFORD FINANCIAL SVCS GRP HASBRO INC HCP INC HEALTH CARE REIT INC HELMERICH & PAYNE HERSHEY CO/THE HESS CORP HEWLETT-PACKARD CO HJ HEINZ CO HOME DEPOT INC HONEYWELL INTERNATIONAL INC HORMEL FOODS CORP HOSPIRA INC HOST HOTELS & RESORTS INC HUDSON CITY BANCORP INC HUMANA INC HUNTINGTON BANCSHARES INC ILLINOIS TOOL WORKS INGERSOLL-RAND PLC INTEGRYS ENERGY GROUP INC INTEL CORP INTERCONTINENTALEXCHANGE INC INTL BUSINESS MACHINES CORP INTL FLAVORS & FRAGRANCES INTL GAME TECHNOLOGY INTERNATIONAL PAPER CO INTERPUBLIC GROUP OF COS INC INTUIT INC INTUITIVE SURGICAL INC INVESCO LTD IRON MOUNTAIN INC JABIL CIRCUIT INC JACOBS ENGINEERING GROUP INC
GICS_SECTOR_NAME
ATM Ref
Health Care 46.41 Health Care 66.71 Health Care 100.30 Telecommunication Services 70.41 Industrials 23.89 Industrials 112.31 Consumer Staples 55.30 Industrials 61.04 Consumer Discretionary 50.38 Health Care 117.90 Consumer Staples 18.22 Industrials 86.88 Information Technology 14.51 Energy 18.87 Health Care 41.67 Energy 57.02 Consumer Discretionary 32.34 Energy 68.07 Consumer Discretionary 55.74 Financials 44.87 Consumer Discretionary 79.07 Consumer Discretionary 47.02 Utilities 56.86 Industrials 72.22 Materials 32.29 Consumer Discretionary 24.48 Consumer Staples 46.36 Utilities 66.06 Utilities 70.28 Industrials 81.16 Financials 10.56 Materials 68.99 Industrials 61.98 Information Technology 51.31 Materials 79.73 Utilities 50.73 Health Care 81.71 Materials 49.11 Information Technology 17.56 Health Care 55.62 Information Technology 23.74 Industrials 55.83 Energy 58.59 Utilities 61.67 Energy 123.92 Energy 67.11 Industrials 56.24 Financials 54.96 Consumer Staples 63.28 Utilities 33.51 Consumer Discretionary 62.38 Industrials 35.67 Health Care 57.74 Energy 89.02 Information Technology 87.48 Consumer Discretionary 60.23 Industrials 50.37 Financials 24.42 Industrials 97.02 Information Technology 38.49 Financials 16.35 Financials 10.87 Information Technology 28.02 Utilities 40.76 Information Technology 85.71 Information Technology 25.62 Industrials 164.30 Industrials 64.30 Materials 56.65 Energy 52.57 Consumer Discretionary 13.29 Health Care 37.44 Consumer Discretionary 95.63 Financials 148.47 Materials 32.59 Telecommunication Services 3.87 Consumer Discretionary 25.38 Consumer Discretionary 21.66 Consumer Discretionary 35.99 Industrials 69.53 Industrials 23.24 Consumer Staples 48.08 Consumer Discretionary 76.34 Financials 10.15 Health Care 44.98 Financials 146.11 Consumer Discretionary #N/A N/A Information Technology 809.64 Consumer Discretionary 28.46 Energy 39.65 Consumer Discretionary 52.49 Consumer Discretionary 44.48 Information Technology 44.63 Financials 26.01 Consumer Discretionary 43.67 Financials 48.96 Financials 66.20 Energy 60.25 Consumer Staples 85.49 Energy 70.44 Information Technology 23.10 Consumer Staples 71.99 Consumer Discretionary 69.47 Industrials 74.86 Consumer Staples 39.66 Health Care 32.58 Financials 16.99 Financials 8.57 Health Care 66.70 Financials 7.35 Industrials 61.44 Industrials 55.08 Utilities 56.55 Information Technology 21.15 Financials 162.00 Information Technology 210.74 Materials 75.27 Consumer Discretionary 16.66 Materials 45.09 Consumer Discretionary 12.98 Information Technology 64.84 Health Care 488.40 Financials 28.32 Industrials 35.66 Information Technology 18.47 Industrials 54.31
Dividend Yield
Next ExDividend Date
1.08% 1.65% 0.83%
19.06.2013 01.08.2013 25.04.2013
2.68% 1.91% 1.68% 0.14% 4.33%
28.05.2013 15.05.2013 25.07.2013 26.06.2013 10.07.2013
1.76% 1.10%
28.06.2013 27.06.2013
0.46% 1.54% 1.11% 0.73%
26.06.2013 13.09.2013 21.06.2013 25.04.2013
1.78%
02.04.2013
4.02% 2.08% 3.25% 0.15% 3.34% 3.88% 4.44% 2.01%
29.05.2013 29.05.2013 28.06.2013 10.02.2014 20.06.2013 20.06.2013 15.05.2013 29.05.2013
1.86% 2.77%
13.06.2013 09.05.2013
1.25% 2.05%
21.06.2013 28.06.2013
3.73%
15.05.2013
3.52%
08.05.2013
3.08% 3.46% 5.38% 0.61% 0.18% 1.62% 3.37% 1.19% 3.70% 0.90% 1.79%
08.05.2013 13.06.2013 10.05.2013 17.07.2013 08.05.2013 24.05.2013 20.06.2013 24.06.2013 15.05.2013 30.05.2013 30.05.2013
2.92%
14.05.2013
1.78% 1.25% 3.93% 0.66% 2.34% 2.20% 1.84%
12.06.2013 02.05.2013 06.05.2013 18.06.2013 14.06.2013 28.06.2013 12.06.2013
5.40%
05.08.2013
1.25% 0.43% 1.06% 0.71%
23.05.2013 28.06.2013 05.06.2013 28.06.2013
3.16%
26.04.2013
0.61% 4.13% 10.34% 4.43% 3.78% 1.67% 3.22% 3.53% 3.06% 2.86%
28.06.2013 10.04.2013 07.06.2013 29.05.2013 05.06.2013 05.07.2013 03.07.2013 27.06.2013 10.10.2013 12.06.2013
1.37%
31.05.2013
2.81% 1.30% 1.68% 1.69% 3.52% 2.08% 3.66% 4.36% 4.73% 1.00% 1.99% 1.42% 1.89% 3.11% 2.32% 2.35% 1.78%
10.06.2013 06.06.2013 31.05.2013 09.05.2013 31.05.2013 31.05.2013 01.08.2013 09.05.2013 09.05.2013 15.08.2013 24.05.2013 20.06.2013 09.09.2013 24.06.2013 28.05.2013 15.05.2013 24.07.2013
2.12% 0.93% 1.26% 2.72% 1.99% 1.72% 4.85% 4.33%
28.06.2013 01.05.2013 26.06.2013 18.06.2013 28.06.2013 18.06.2013 31.05.2013 07.08.2013
1.80% 1.93% 1.92% 2.88% 1.85% 1.05%
10.05.2013 24.06.2013 18.06.2013 24.05.2013 05.06.2013 08.07.2013
2.82% 3.14% 1.84%
20.05.2013 19.06.2013 15.05.2013
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M 12.63 15.70 15.08 20.51 21.85 24.02 14.84 17.96 18.36 19.40 28.97 18.75 14.74 24.51 20.31 23.89 32.66 21.72 21.11 22.95 21.79 26.06 12.24 20.57 21.68 31.11 14.09 12.41 10.91 19.12 35.53 24.26 22.38 35.68 16.25 13.21 25.31 15.21 42.58 13.24 22.72 18.70 24.28 14.08 25.70 25.22 18.69 16.89 21.69 14.98 33.89 26.15 20.17 13.35 33.90 32.99 24.74 24.15 20.40 18.17 20.24 27.68 56.61 14.23 14.80 24.23 21.63 22.85 22.10 25.33 21.98 21.92 38.73 15.33 26.61 29.37 55.48 35.57 26.10 19.23 18.00 12.96 18.12 39.34 27.23 26.66 33.25 26.24 28.84 26.69 23.85 26.39 19.64 27.94 19.40 14.56 10.71 29.27 12.27 26.67 31.67 9.30 16.38 16.55 15.03 32.05 20.73 19.52 37.96 23.61 16.91 23.52 13.98 22.19 20.67 19.33 15.61 29.43 24.19 25.12 20.61 41.18 20.13 21.27 27.45 21.01
12.63 18.04 17.51 21.19 21.42 26.49 16.85 17.64 19.01 20.33 33.60 20.06 13.97 27.55 20.81 25.18 40.53 21.72 22.89 25.34 23.81 26.01 12.69 19.75 24.37 33.80 15.91 13.29 11.14 21.69 34.16 26.10 23.84 31.80 17.33 13.76 28.92 16.54 43.21 15.43 24.66 19.35 25.73 14.07 27.74 26.48 19.15 18.95 25.37 15.78 38.97 28.88 22.31 13.54 38.98 28.88 23.87 25.87 20.27 20.58 20.38 27.58 60.42 15.15 16.59 25.97 23.23 25.81 22.76 27.97 24.19 22.08 46.22 17.29 28.18 31.01 50.65 34.80 27.34 21.89 17.71 13.35 17.44 43.95 27.96 25.71 35.82 22.63 28.58 27.89 27.05 32.23 21.05 30.05 21.14 14.33 11.22 30.70 14.08 28.37 33.86 1.65 18.03 16.21 15.94 36.06 22.20 19.42 35.11 21.76 18.39 23.17 14.55 20.19 21.42 16.80 18.61 30.96 25.29 29.82 21.90 36.21 22.13 23.70 29.05 22.66
12.62 17.45 16.77 20.96 21.75 26.13 16.92 17.49 19.88 20.35 31.29 19.81 14.37 27.51 20.26 24.85 39.94 21.78 22.69 24.42 23.30 27.07 12.72 19.82 23.63 33.74 15.96 12.69 11.12 22.14 33.50 25.13 23.31 30.11 16.65 13.74 28.22 16.66 41.14 15.41 23.76 18.83 25.11 14.76 27.12 26.28 18.71 18.45 24.03 15.44 36.19 28.08 22.43 13.58 36.81 28.09 23.88 25.52 20.71 19.57 20.92 28.38 57.32 14.82 16.28 24.79 22.87 25.48 21.77 27.12 23.67 22.33 41.85 17.61 28.21 31.45 46.52 35.93 28.91 21.54 18.00 13.77 17.28 41.37 26.92 25.14 34.06 20.99 28.88 27.41 27.20 29.85 21.03 29.16 20.37 14.52 11.69 29.75 14.16 27.73 35.97 2.71 19.15 16.36 17.46 34.60 22.11 19.32 33.17 21.92 18.26 22.81 14.45 19.93 21.32 16.35 18.26 30.30 24.52 28.42 21.10 35.28 21.50 22.51 30.93 22.64
12.61 18.23 16.38 21.92 22.94 28.01 17.21 18.62 20.80 20.60 31.86 21.08 16.62 28.84 20.53 25.30 38.56 22.06 22.61 24.98 23.36 27.75 12.86 20.96 25.39 33.82 15.92 12.65 11.90 22.58 33.00 26.39 23.51 30.48 16.71 14.34 27.67 17.79 40.24 16.33 23.94 19.60 26.46 15.58 27.39 27.04 18.35 18.67 23.88 15.69 35.71 26.80 24.48 14.19 36.83 27.20 24.55 25.52 21.31 18.83 22.17 29.31 56.56 15.18 16.08 24.29 23.66 26.16 22.14 27.00 25.54 22.57 40.51 19.11 29.85 29.95 43.82 34.73 29.23 21.22 18.81 13.96 17.63 41.83 27.67 24.44 34.53 21.88 28.39 28.05 27.59 29.42 21.27 29.54 20.36 16.22 13.15 30.02 14.33 29.35 33.97 2.51 19.57 18.00 17.16 31.33 22.95 18.41 30.86 22.78 19.28 24.22 14.46 21.28 21.58 16.88 17.79 30.94 25.07 28.45 20.60 33.64 21.70 22.68 30.43 23.72
12.59 20.01
12.57 21.34
24.64 30.65 18.74 20.47 21.41
25.44 31.93 19.46 21.65 22.00
33.16 23.65 15.33 29.76
33.85 24.92 14.25 30.77
26.21
27.37
23.32 24.02 27.17
23.99 24.96 27.75
27.11
26.78
26.91 34.40
27.67 35.40
13.53
14.90
34.47 27.80 25.72 32.08
34.90 28.63 26.80 33.15
27.12 19.89 39.87 17.99 25.90 21.46 28.46
28.39 20.52 39.77 18.74 27.00 22.25 29.18
28.44
28.50
24.67 17.60 37.45 26.40 25.29 16.37 38.64 26.81 25.69
24.74 18.61 38.46 27.00 26.13 17.22 39.80 26.47 26.24
22.60
23.10
24.16
25.10
56.69 16.63
57.30 16.90
27.90
28.76
28.05 22.84 39.78
29.02 23.18 39.53
32.08 30.63 43.34 34.29 29.45 22.16 21.22 14.58
33.53 28.39 43.44 34.27 29.37 23.34 22.21 15.43
43.28 29.14 25.48 36.99 22.96 28.08 29.85 28.73
44.60 30.03 25.70 37.60 23.72 28.35 30.63 29.66
29.55 20.86
30.04 21.47
15.11 31.53
16.14 32.62
29.50 35.07 1.92 21.61 20.55
29.34 35.28 1.54 22.80 21.69
28.90 24.90
27.26 25.86
30.14 25.52 20.76 25.90
30.42 26.85 21.43 26.47
23.31
24.57
17.31
18.09
31.70 26.11 29.70 21.94 31.92
32.22 26.52 31.35 22.85 31.51
23.75 32.86
23.87 34.36
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Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
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0.000 0.009 0.006 0.005 0.010 0.006 0.013 0.010 0.006 0.010 0.003 0.005 0.026 0.004 0.000 0.010 0.004 0.003 0.010 0.007 0.010 0.008 0.007 0.004 0.010 0.005 0.000 0.004 0.005 0.011 0.006 0.004 0.008 0.002 0.003 0.005 0.004 0.010 0.005 0.009 0.007 0.010 0.004 0.004 0.008 0.006 0.005 0.003 0.004 0.005 0.004 0.011 0.008 0.010 0.000 0.002 0.009 0.002 0.004 0.011 0.006 0.001 0.003 0.004 0.005 0.005 0.010 0.004 0.004 0.006 0.008 0.007 0.002 0.008 0.008 0.005 0.003 0.010 0.006 0.009 0.011 0.010 0.006 0.004 0.009 0.007 0.006 0.005 0.013 0.007 0.007 0.006 0.005 0.010 0.005 0.003 0.005 0.000 0.012 0.007 0.006 0.003 0.013 0.012 0.000 0.009 0.004 0.001 0.004 -0.001 0.009 0.006 0.001 0.010 0.010 0.012 0.005 0.004 0.007 0.002 0.006 0.005 0.003 0.006 0.001 0.009
0.000 0.008 0.005 0.006 0.007 0.005 0.010 0.008 0.004 0.007 0.004 0.010 0.015 0.005 0.002 0.007 0.003 0.004 0.008 0.006 0.007 0.005 0.008 0.006 0.007 0.003 0.001 0.005 0.007 0.007 0.006 0.006 0.006 0.000 0.005 0.007 0.003 0.009 0.003 0.002 0.003 0.007 0.005 0.004 0.006 0.004 0.008 0.005 0.004 0.008 0.002 0.007 0.006 0.001 0.001 0.001 0.007 0.003 0.003 0.008 0.006 0.003 0.003 0.006 0.005 0.005 0.006 0.004 0.005 0.004 0.008 0.006 0.002 0.007 0.005 0.002 0.002 0.006 0.004 0.007 0.008 0.008 0.005 0.006 0.006 0.006 0.006 0.004 0.009 0.005 0.005 0.004 0.005 0.006 0.006 0.006 0.005 0.003 0.009 0.004 0.003 0.008 0.008 0.010 0.002 0.005 0.006 0.001 0.003 0.002 0.008 0.005 0.004 0.008 0.007 0.008 0.006 0.004 0.005 0.003 0.006 0.004 0.005 0.005 0.002 0.008
0.000 0.005 0.009 0.004 0.004 0.002 0.006 0.004 0.002 0.004 0.002 0.004 0.010 0.002 0.003 0.003 0.001 0.002 0.004 0.003 0.004 0.002 0.007 0.003 0.003 0.001 0.003 0.006 0.006 0.003 0.003 0.003 0.003 0.002 0.004 0.006 0.002 0.005 0.001 0.005 0.003 0.005 0.003 0.004 0.003 0.002 0.006 0.003 0.003 0.006 0.001 0.003 0.002 0.006 0.001 0.000 0.002 0.002 0.002 0.005 0.004 0.003 0.001 0.004 0.005 0.004 0.002 0.002 0.004 0.002 0.003 0.004 0.003 0.003 0.002 0.002 0.001 0.004 0.002 0.003 0.005 0.005 0.005 0.002 0.003 0.004 0.003 0.002 0.005 0.002 0.002 0.002 0.004 0.002 0.005 0.005 0.006 0.001 0.005 0.001 0.002 0.013 0.004 0.005 0.004 0.001 0.003 0.001 0.001 0.005 0.004 0.003 0.006 0.004 0.004 0.005 0.005 0.003 0.003 0.003 0.004 0.002 0.005 0.004 0.002 0.004
0.000 0.002
0.000 0.001
0.002 0.001 0.003 0.002 0.001
0.001 0.001 0.002 0.002 0.000
0.001 0.002 0.008 0.002
0.000 0.001 0.006 0.001
0.001
0.001
0.001 0.002 0.001
0.001 0.001 0.001
0.001
0.001
0.002 0.001
0.001 0.000
0.004
0.003
0.002 0.002 0.002 0.001
0.001 0.001 0.001 0.001
0.002 0.003 0.001 0.003 0.002 0.003 0.001
0.001 0.002 0.001 0.002 0.001 0.002 0.001
0.002
0.002
0.002 0.004 0.001 0.001 0.001 0.004 0.001 0.000 0.002
0.002 0.003 0.001 0.001 0.001 0.003 0.000 0.000 0.002
0.001
0.001
0.001
0.001
0.001 0.003
0.001 0.002
0.001
0.001
0.002 0.002 0.001
0.002 0.001 0.000
0.002 0.004 0.001 0.002 0.001 0.002 0.003 0.003
0.001 0.006 0.001 0.001 0.001 0.002 0.002 0.002
0.001 0.001 0.002 0.001 0.001 0.003 0.002 0.001
0.001 0.001 0.001 0.001 0.001 0.002 0.001 0.001
0.001 0.002
0.001 0.001
0.003 0.001
0.002 0.001
0.001 0.001 0.009 0.002 0.003
0.001 0.001 0.007 0.002 0.002
0.002 0.002
0.003 0.001
0.002 0.003 0.002 0.002
0.002 0.002 0.002 0.001
0.003
0.002
0.003
0.002
0.002 0.002 0.002 0.002 0.001
0.001 0.001 0.001 0.001 0.001
0.001 0.001
0.001 0.001
26.03.2013
S&P 500 Index
Ticker
Name
GICS_SECTOR_NAME
JEC UN Equity
JACOBS ENGINEERING GROUP INC
Industrials
JCP UN Equity
J.C. PENNEY CO INC
ATM2 Ref
Dividend Yield
Next ExDividend Date
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
54.31
21.01
22.66
22.64
23.72
-0.376 -0.288 -0.264 -0.221
0.012
0.009
0.008
0.004
Consumer Discretionary
15.18
58.08
63.78
63.50
64.98
62.85
63.35
-0.241 -0.235 -0.231 -0.196 -0.193 -0.184
0.010
0.005
0.004
0.001
0.001
0.001
JDSU UW Equity JDS UNIPHASE CORP
Information Technology
13.64
37.48
43.17
41.20
41.68
43.42
43.70
-0.462 -0.318 -0.253 -0.174 -0.146 -0.130
0.019
0.006
0.004
0.002
0.001
0.001
SJM UN Equity
JM SMUCKER CO/THE
Consumer Staples
96.38
2.32%
15.05.2013
12.50
13.04
14.16
15.47
-0.210 -0.210 -0.227 -0.190
0.004
0.005
0.007
0.005
JNJ UN Equity
JOHNSON & JOHNSON
Health Care
79.68
3.26%
23.05.2013
10.93
10.76
10.71
11.44
12.85
14.31
-0.261 -0.194 -0.131 -0.201 -0.163 -0.137
0.007
0.007
0.002
0.006
0.003
0.002
JCI UN Equity
JOHNSON CONTROLS INC
Consumer Discretionary
34.61
2.31%
05.06.2013
19.42
22.10
22.07
22.53
24.60
25.50
-0.160 -0.268 -0.264 -0.233 -0.192 -0.163
0.004
0.007
0.006
0.003
0.003
0.002
JOY UN Equity
JOY GLOBAL INC
Industrials
57.81
1.34%
04.06.2013
30.74
31.79
33.65
36.13
37.17
37.37
-0.095 -0.128 -0.134 -0.139 -0.136 -0.128
0.014
0.001
0.001
0.001
0.001
0.001
JPM UN Equity
JPMORGAN CHASE & CO
Financials
48.52
2.97%
04.10.2013
22.36
21.64
21.15
22.26
23.99
24.92
-0.303 -0.365 -0.351 -0.238 -0.204 -0.169
0.012
0.009
0.008
0.005
0.003
0.002
JNPR UN Equity
JUNIPER NETWORKS INC
Information Technology
18.96
35.13
40.13
37.36
37.31
38.40
38.71
-0.307 -0.215 -0.185 -0.149 -0.118 -0.105
0.014
0.005
0.004
0.002
0.001
0.001
K UN Equity
KELLOGG CO
Consumer Staples
63.36
2.87%
31.05.2013
11.19
12.78
11.82
12.36
13.63
14.22
-0.107 -0.220 -0.259 -0.201 -0.130 -0.115
0.001
0.004
0.008
0.006
0.003
0.002
KEY UN Equity
KEYCORP
Financials
9.97
2.21%
31.05.2013
22.49
22.35
22.34
23.59
25.42
26.99
-0.190 -0.231 -0.138 -0.141 -0.113 -0.090
0.007
0.009
0.008
0.004
0.003
0.002
KMB UN Equity
KIMBERLY-CLARK CORP
Consumer Staples
94.54
3.50%
05.06.2013
17.49
15.84
14.95
14.26
15.01
16.11
-0.652 -0.487 -0.395 -0.267 -0.215 -0.170
0.020
0.015
0.011
0.007
0.004
0.003
KIM UN Equity
KIMCO REALTY CORP
Financials
22.18
3.88%
01.07.2013
14.24
15.76
15.70
16.83
-0.093 -0.207 -0.152 -0.174
0.002
0.004
0.003
0.004
KMI UN Equity
KINDER MORGAN INC
Energy
37.60
4.31%
02.05.2013
15.11
16.47
17.31
17.45
19.38
20.59
-0.362 -0.224 -0.237 -0.152 -0.156 -0.134
0.016
0.017
0.008
0.006
0.003
0.002
KLAC UW Equity
KLA-TENCOR CORPORATION
Information Technology
51.65
3.39%
16.05.2013
26.29
27.18
26.98
27.69
28.68
29.54
-0.206 -0.250 -0.202 -0.170 -0.143 -0.121
0.005
0.006
0.005
0.002
0.002
0.001
KSS UN Equity
KOHLS CORP
Consumer Discretionary
46.39
3.10%
03.06.2013
23.23
25.40
24.44
24.24
24.45
24.92
-0.118 -0.158 -0.183 -0.185 -0.150 -0.136
0.003
0.004
0.004
0.002
0.002
0.001
KRFT UW Equity KRAFT FOODS GROUP INC
Consumer Staples
51.25
2.98%
28.06.2013
15.04
15.93
15.71
14.94
15.82
15.86
-0.172 -0.219 -0.241 -0.187 -0.155 -0.131
0.003
0.004
0.005
0.004
0.002
0.001
KR UN Equity
KROGER CO
Consumer Staples
32.64
1.99%
08.08.2013
17.20
17.87
18.95
20.06
20.17
20.48
-0.245 -0.240 -0.216 -0.182 -0.124 -0.116
0.005
0.006
0.006
0.004
0.002
0.001
LLL UN Equity
L-3 COMMUNICATIONS HOLDINGS
Industrials
79.82
2.82%
17.05.2013
15.22
16.42
16.44
17.17
-0.262 -0.362 -0.334 -0.274
0.006
0.010
0.008
0.005
LH UN Equity
LABORATORY CRP OF AMER HLDGS
Health Care
88.68
17.04
16.86
17.47
18.51
-0.114 -0.122 -0.099 -0.074
0.003
0.004
0.002
0.000
LRCX UW Equity LAM RESEARCH CORP
Information Technology
40.93
26.87
27.23
26.91
27.78
-0.241 -0.225 -0.239 -0.196 -0.152 -0.132
0.008
0.004
0.005
0.003
0.001
0.001
LM UN Equity
LEGG MASON INC
Financials
31.59
1.77%
14.06.2013
26.58
28.84
29.03
29.33
-0.196 -0.279 -0.252 -0.207
0.004
0.008
0.006
0.002
LEG UN Equity
LEGGETT & PLATT INC
Consumer Discretionary
32.81
3.63%
12.06.2013
19.70
19.62
19.38
19.62
-0.142 -0.130 -0.115 -0.199
0.001
0.001
0.001
0.004
LEN UN Equity
LENNAR CORP-A
Consumer Discretionary
41.56
0.39%
26.04.2013
29.13
30.94
31.65
32.59
33.35
34.51
-0.305 -0.240 -0.197 -0.147 -0.103 -0.090
0.012
0.001
LUK UN Equity
LEUCADIA NATIONAL CORP
Financials
27.02
0.93%
14.06.2013
116.21
8.66
24.45
25.09
26.22
34.04
LIFE UW Equity
LIFE TECHNOLOGIES CORP
Health Care
63.59
31.90
33.25
30.39
24.99
LNC UN Equity
LINCOLN NATIONAL CORP
Financials
32.27
1.61%
10.07.2013
26.60
28.69
28.18
29.82
LLTC UW Equity
LINEAR TECHNOLOGY CORP
Information Technology
37.31
2.84%
15.05.2013
22.06
20.37
20.35
21.10
LMT UN Equity
LOCKHEED MARTIN CORP
Industrials
92.31
5.20%
30.05.2013
16.22
17.92
17.05
17.20
L UN Equity
LOEWS CORP
Financials
43.80
0.57%
31.05.2013
12.77
15.36
14.66
14.28
LO UN Equity
LORILLARD INC
Consumer Staples
40.02
5.57%
29.05.2013
19.70
22.87
22.73
LOW UN Equity
LOWE'S COS INC
Consumer Discretionary
38.12
1.92%
22.07.2013
20.56
21.51
LSI UW Equity
LSI CORP
Information Technology
6.57
33.55
36.06
LTD UN Equity
LIMITED BRANDS INC
Consumer Discretionary
44.74
2.77%
05.06.2013
22.89
LYB UN Equity
LYONDELLBASELL INDU-CL A
Materials
63.35
3.47%
21.05.2013
MTB UN Equity
M & T BANK CORP
Financials
102.80
2.72%
M UN Equity
MACY'S INC
Consumer Discretionary
42.36
MRO UN Equity
MARATHON OIL CORP
Energy
MPC UN Equity
MARATHON PETROLEUM CORP
Energy
MAR UN Equity
MARRIOTT INTERNATIONAL -CL A
MMC UN Equity
29.27
30.42
0.003
0.002
0.002
0.001
1.131 -0.697 -0.214 -0.187 -0.022 0.081
-0.040 0.016
0.004
0.003
0.001 -0.001
-0.193 -0.214 -0.211 -0.210
0.004 -0.001 0.000
0.001
-0.458 -0.275 -0.246 -0.223 -0.150 -0.128
0.019
0.010
0.006
0.003
-0.279 -0.332 -0.279 -0.201
0.008
0.010
0.008
0.004
-0.367 -0.326 -0.338 -0.252 -0.206 -0.171
0.009
0.007
0.009
0.005
30.68
30.51
18.10
18.84
0.001
0.001
0.003
-0.119 -0.233 -0.169 -0.240
0.002
0.003
0.003
0.008
22.71
22.88
23.27
-0.527 -0.375 -0.309 -0.225 -0.178 -0.151
0.017
0.010
0.006
0.002
0.003
0.001
22.70
24.56
26.57
27.61
-0.421 -0.233 -0.221 -0.185 -0.149 -0.129
0.019
0.010
35.51
36.84
38.08
39.60
-0.035 -0.114 -0.142 -0.144 -0.100 -0.090
0.000
0.001
0.001
0.007
0.003
0.002
0.001
0.002
0.000
0.002
23.56
23.72
24.33
25.25
25.44
-0.277 -0.309 -0.270 -0.203 -0.156 -0.136
0.005
0.001
0.006
0.004
0.001
0.001
26.46
28.33
27.45
27.97
30.39
31.35
-0.129 -0.207 -0.160 -0.179 -0.155 -0.137
0.001
0.004
0.006
0.004
0.004
0.001
31.05.2013
16.05
15.69
16.02
17.20
0.001
-0.324 -0.289 -0.270 -0.207
0.010
0.008
0.007
0.003
2.29%
14.06.2013
22.03
24.27
24.80
25.91
26.84
27.48
-0.431 -0.277 -0.244 -0.205 -0.165 -0.145
0.016
0.009
0.006
0.003
0.001
33.72
2.43%
13.05.2013
23.67
24.80
24.30
24.63
90.19
1.65%
16.05.2013
29.28
31.38
31.18
31.48
0.001
26.37
27.08
-0.531 -0.311 -0.266 -0.210 -0.159 -0.134
0.017
0.009
0.006
0.003
0.002
0.001
33.29
33.93
-0.315 -0.176 -0.134 -0.117 -0.111 -0.099
0.011
0.004
0.003
0.002
0.001
Consumer Discretionary
39.76
1.61%
20.05.2013
22.41
22.26
22.43
23.60
0.001
24.80
26.05
-0.343 -0.347 -0.296 -0.220 -0.164 -0.141
0.007
0.007
0.004
0.002
0.001
MARSH & MCLENNAN COS
Financials
37.32
2.63%
10.07.2013
13.74
15.83
15.71
16.02
0.001
-0.208 -0.209 -0.224 -0.209
0.004
0.004
0.005
0.004
MAS UN Equity
MASCO CORP
Industrials
20.55
1.46%
03.07.2013
31.58
35.13
35.03
34.60
36.18
37.17
-0.333 -0.371 -0.313 -0.227 -0.160 -0.139
0.005
0.005
0.004
0.002
0.001
MA UN Equity
MASTERCARD INC-CLASS A
Information Technology
519.99
0.46%
10.07.2013
17.33
20.10
19.35
20.45
MAT UW Equity
MATTEL INC
Consumer Discretionary
43.51
3.40%
20.05.2013
21.87
19.69
19.50
19.80
0.001
22.70
23.63
-0.495 -0.408 -0.328 -0.232 -0.161 -0.134
0.027
0.012
0.009
0.005
0.002
0.001
20.65
21.46
-0.213 -0.246 -0.250 -0.200 -0.156 -0.138
0.004
0.007
0.006
0.004
0.001
MKC UN Equity
MCCORMICK & CO-NON VTG SHRS
Consumer Staples
71.79
1.95%
11.04.2013
14.74
13.53
13.05
13.62
0.001
0.010 -0.118 -0.238 -0.171
-0.001 0.002
0.007
0.005
MCD UN Equity
MCDONALD'S CORP
Consumer Discretionary
98.24
3.34%
31.05.2013
12.90
12.65
12.51
13.25
14.52
15.02
-0.463 -0.345 -0.243 -0.166 -0.130 -0.105
0.017
0.012
0.010
0.006
0.004
MHP UN Equity
MCGRAW-HILL COMPANIES INC
Financials
MCK UN Equity
MCKESSON CORP
Health Care
0.003
MJN UN Equity
MEAD JOHNSON NUTRITION CO
MWV UN Equity
50.03
2.27%
29.05.2013
28.82
30.29
29.05
27.24
26.13
25.07
-0.339 -0.273 -0.233 -0.170 -0.118 -0.098
0.009
0.006
0.004
0.002
0.001
0.001
107.62
0.89%
05.06.2013
19.95
21.89
21.40
20.39
20.27
20.76
-0.292 -0.360 -0.322 -0.240 -0.201 -0.181
0.011
0.012
0.009
0.004
0.003
0.002
Consumer Staples
77.00
1.82%
27.06.2013
24.40
27.26
25.77
23.97
23.34
23.68
-0.354 -0.121 -0.109 -0.103 -0.079 -0.074
0.019
0.009
0.006
0.003
0.001
0.001
MEADWESTVACO CORP
Materials
36.34
2.86%
30.04.2013
22.56
23.47
21.30
20.77
-0.081 -0.204 -0.284 -0.245
0.000
0.004
0.009
0.007
MDT UN Equity
MEDTRONIC INC
Health Care
45.73
2.40%
03.07.2013
15.35
16.32
17.19
18.63
19.91
20.48
0.042 -0.135 -0.151 -0.168 -0.157 -0.143
0.027
0.021
0.014
0.005
0.003
0.002
MRK UN Equity
MERCK & CO. INC.
Health Care
43.69
4.03%
14.06.2013
14.23
15.53
15.36
16.46
18.34
19.80
-0.396 -0.306 -0.141 -0.211 -0.160 -0.135
0.015
0.011
0.002
0.005
0.003
0.002
MET UN Equity
METLIFE INC
Financials
38.20
2.17%
06.05.2013
25.40
27.50
26.86
27.82
29.10
29.68
-0.256 -0.294 -0.264 -0.198 -0.172 -0.145
0.012
0.007
0.006
0.003
0.002
0.001
PCS UN Equity
METROPCS COMMUNICATIONS INC
Telecommunication Services 10.60
50.34
42.59
38.07
31.39
28.04
25.93
0.012 -0.015 -0.011 -0.216 -0.090 -0.019
0.002
0.006
0.003
0.004
0.001
0.000
19.94
21.23
20.83
21.58
-0.207 -0.277 -0.273 -0.232
0.003
0.005
0.004
0.002
40.78
40.93
42.28
43.00
43.12
41.99
-0.215 -0.140 -0.169 -0.186 -0.168 -0.165
0.014
0.007
0.004
0.002
0.001
0.001
20.63
21.76
-0.050 -0.188 -0.180 -0.161 -0.120 -0.096
0.018
0.014
0.010
0.005
0.003
0.002
-0.065 -0.182 -0.208 -0.189
0.002
0.004
0.004
0.003
MCHP UW Equity MICROCHIP TECHNOLOGY INC
Information Technology
36.22
MU UW Equity
Information Technology
9.88
MSFT UW Equity MICROSOFT CORP
Information Technology
28.16
3.48%
13.08.2013
17.42
16.90
17.34
18.46
MOLX UW Equity MOLEX INC
Information Technology
29.30
2.25%
26.06.2013
19.86
22.88
23.02
23.13
TAP UN Equity
Consumer Staples
48.59
2.96%
06.06.2013
24.24
25.44
25.24
24.25
23.43
23.54
-0.016 -0.135 -0.119 -0.099 -0.074 -0.057
0.010
0.012
0.008
0.004
0.002
0.001
MDLZ UW Equity MONDELEZ INTERNATIONAL INC-A
Consumer Staples
29.88
1.74%
28.06.2013
20.32
20.46
19.31
18.43
19.08
19.73
-0.119 -0.168 -0.187 -0.131 -0.094 -0.089
0.006
0.006
0.006
0.004
0.002
0.002
MON UN Equity
Materials
99.40
1.60%
03.07.2013
23.46
21.81
21.79
22.32
24.06
25.18
-0.280 -0.219 -0.228 -0.202 -0.161 -0.130
0.015
0.005
0.005
0.004
0.002
0.001
MNST UW Equity MONSTER BEVERAGE CORP
Consumer Staples
48.38
36.75
41.83
41.33
42.54
40.64
39.64
-0.345 -0.286 -0.243 -0.224 -0.167 -0.133
0.015
0.007
0.006
0.003
0.001
0.001
MCO UN Equity
MOODY'S CORP
Financials
52.21
1.61%
23.05.2013
33.00
34.88
33.81
32.08
30.17
29.37
-0.395 -0.363 -0.316 -0.242 -0.182 -0.150
0.008
0.005
0.004
0.002
0.001
0.001
MS UN Equity
MORGAN STANLEY
Financials
21.97
0.91%
26.04.2013
36.00
33.42
32.42
32.32
33.19
33.80
-0.369 -0.333 -0.279 -0.215 -0.162 -0.134
0.009
0.005
0.003
0.003
0.001
0.001
MOS UN Equity
MOSAIC CO/THE
Materials
59.32
2.07%
23.04.2013
26.78
25.19
24.91
26.42
28.97
29.12
-0.313 -0.246 -0.241 -0.190 -0.166 -0.146
0.006
0.005
0.007
0.003
0.001
0.001
MSI UN Equity
MOTOROLA SOLUTIONS INC
Information Technology
63.29
1.79%
14.06.2013
17.00
18.95
18.19
18.95
20.10
20.52
-0.569 -0.366 -0.287 -0.203 -0.170 -0.147
0.020
0.011
0.009
0.005
0.002
0.002
MUR UN Equity
MURPHY OIL CORP
Energy
62.03
2.02%
16.05.2013
20.68
23.50
23.50
24.42
25.45
25.90
-0.280 -0.265 -0.233 -0.197 -0.172 -0.156
0.007
0.007
0.004
0.003
0.001
0.001
MYL UW Equity
MYLAN INC
Health Care
29.27
19.34
21.33
20.73
21.28
22.33
22.69
-0.421 -0.363 -0.272 -0.197 -0.149 -0.129
0.016
0.013
0.009
0.004
0.002
0.001
NBR UN Equity
NABORS INDUSTRIES LTD
Energy
15.55
1.03%
07.06.2013
36.65
38.89
38.26
38.34
40.14
41.65
-0.116 -0.153 -0.136 -0.123 -0.108 -0.090
0.009
0.004
0.002
0.001
0.001
0.001
NDAQ UW Equity NASDAQ OMX GROUP/THE
Financials
32.14
1.87%
12.06.2013
27.66
30.35
30.44
26.83
-0.056 -0.038 -0.046 -0.071
0.006
0.008
0.004
0.001
NOV UN Equity
Energy
68.51
0.79%
12.06.2013
24.28
27.03
27.19
27.82
29.02
29.85
-0.293 -0.225 -0.206 -0.184 -0.159 -0.141
0.017
0.009
0.006
0.003
0.002
0.001
MICRON TECHNOLOGY INC
MOLSON COORS BREWING CO -B MONSANTO CO
NATIONAL OILWELL VARCO INC
3.93%
14.05.2013
NTAP UW Equity NETAPP INC
Information Technology
33.19
30.28
32.55
34.47
32.27
30.94
30.48
-0.232 -0.271 -0.233 -0.192 -0.130 -0.119
0.023
0.009
0.005
0.002
0.001
0.001
NFLX UW Equity
NETFLIX INC
Consumer Discretionary
180.79
52.94
62.66
56.76
55.13
51.12
48.98
-0.146 -0.145 -0.147 -0.141 -0.114 -0.113
0.005
0.000
0.001
0.001
0.000
0.000
NWL UN Equity
NEWELL RUBBERMAID INC
Consumer Discretionary
25.19
22.71
24.33
23.62
24.41
-0.106 -0.218 -0.262 -0.197
0.002
0.004
0.006
0.003
NFX UN Equity
NEWFIELD EXPLORATION CO
Energy
22.55
34.49
37.26
35.66
36.48
37.50
38.38
-0.189 -0.236 -0.210 -0.169 -0.142 -0.124
0.005
0.005
0.003
0.001
0.001
0.001
NEM UN Equity
NEWMONT MINING CORP
2.38%
31.05.2013
Materials
41.09
4.14%
12.06.2013
25.02
26.02
25.51
26.43
27.84
29.03
-0.172 -0.102 -0.065 -0.046 -0.045 -0.035
0.024
0.011
0.007
0.003
0.002
0.001
NWSA UW Equity NEWS CORP-CL A
Consumer Discretionary
30.23
0.66%
09.09.2013
25.76
26.65
25.99
26.49
29.36
30.20
-0.338 -0.285 -0.264 -0.199 -0.148 -0.112
0.008
0.005
0.004
0.003
0.000
0.000
NEE UN Equity
NEXTERA ENERGY INC
Utilities
76.18
3.56%
29.05.2013
10.55
11.38
11.12
11.72
13.19
13.97
-0.145 -0.276 -0.268 -0.237 -0.192 -0.161
0.002
0.006
0.008
0.007
0.004
0.003
NKE UN Equity
NIKE INC -CL B
Consumer Discretionary
59.56
1.51%
07.06.2013
18.82
19.10
20.43
21.19
22.68
24.05
-0.458 -0.313 -0.263 -0.210 -0.168 -0.140
0.017
0.010
0.006
0.004
0.002
0.001
NI UN Equity
NISOURCE INC
Utilities
28.38
3.49%
01.05.2013
13.82
13.91
13.84
14.28
-0.081 -0.163 -0.169 -0.167
0.001
0.003
0.004
0.005
NE UN Equity
NOBLE CORP
Energy
36.37
2.42%
09.05.2013
31.51
30.89
30.05
30.61
31.07
31.47
-0.150 -0.170 -0.162 -0.132 -0.116 -0.106
0.010
0.005
0.004
0.002
0.001
0.001
NBL UN Equity
NOBLE ENERGY INC
Energy
113.19
0.88%
09.05.2013
20.37
21.63
22.35
23.61
24.49
25.12
-0.279 -0.268 -0.238 -0.192 -0.158 -0.140
0.008
0.009
0.006
0.002
0.001
0.001
JWN UN Equity
NORDSTROM INC
Consumer Discretionary
53.80
2.28%
31.05.2013
19.12
21.29
21.21
22.46
23.55
24.37
-0.128 -0.252 -0.254 -0.209 -0.160 -0.139
0.005
0.005
0.004
0.002
0.001
0.001
NSC UN Equity
NORFOLK SOUTHERN CORP
Industrials
74.38
3.01%
08.05.2013
19.60
20.46
20.10
21.17
22.74
23.49
-0.267 -0.306 -0.278 -0.230 -0.177 -0.150
0.005
0.007
0.006
0.003
0.002
0.001
NU UN Equity
NORTHEAST UTILITIES
Utilities
42.54
3.51%
31.05.2013
14.03
14.03
14.03
13.84
0.000
0.000 -0.188
0.000
0.000
0.000
0.004
NTRS UW Equity NORTHERN TRUST CORP
Financials
54.42
2.28%
10.06.2013
19.43
17.99
18.21
18.72
-0.184 -0.154 -0.230 -0.256
0.003
0.003
0.005
0.004
NOC UN Equity
NORTHROP GRUMMAN CORP
Industrials
67.91
3.42%
30.05.2013
16.83
18.30
18.50
18.87
-0.287 -0.367 -0.316 -0.223
0.007
0.010
0.008
0.004
NRG UN Equity
NRG ENERGY INC
Utilities
25.69
1.87%
01.05.2013
25.48
27.79
27.89
26.86
25.87
25.94
-0.277 -0.253 -0.196 -0.193 -0.158 -0.141
0.008
0.008
0.006
0.004
0.002
0.002
NUE UN Equity
NUCOR CORP
Materials
45.89
2.41%
28.06.2013
23.53
23.02
22.74
22.82
24.38
24.90
-0.469 -0.279 -0.268 -0.228 -0.166 -0.141
0.013
0.007
0.006
0.004
0.002
0.002
NVDA UW Equity NVIDIA CORP
Information Technology
12.41
2.42%
21.05.2013
26.76
29.44
29.07
30.32
32.48
33.48
0.130 -0.049 -0.080 -0.080 -0.072 -0.061
0.014
0.006
0.003
0.002
0.001
0.001
NYX UN Equity
Financials
38.39
3.12%
14.06.2013
13.51
14.55
13.94
15.43
16.29
15.96
-0.144 -0.192 -0.255 -0.224 -0.133 -0.115
0.002
0.004
0.006
0.006
0.003
0.002
20.54
23.85
23.54
23.35
23.43
24.03
-0.158 -0.176 -0.173 -0.145 -0.098 -0.081
0.003
0.003
0.003
0.002
0.002
0.001
25.07
26.18
-0.187 -0.277 -0.240 -0.185 -0.153 -0.130
0.013
0.014
0.009
0.003
0.002
0.002
0.002
0.001
0.002
0.002
NYSE EURONEXT
103.33
0.000
ORLY UW Equity O'REILLY AUTOMOTIVE INC
Consumer Discretionary
OXY UN Equity
OCCIDENTAL PETROLEUM CORP
Energy
78.05
3.34%
07.06.2013
19.77
21.31
21.80
22.99
OMC UN Equity
OMNICOM GROUP
Consumer Discretionary
58.41
2.82%
14.06.2013
18.77
16.91
16.80
17.45
-0.198 -0.242 -0.263 -0.215
0.003
0.006
0.008
0.005
OKE UN Equity
ONEOK INC
Utilities
46.54
3.33%
01.05.2013
15.85
17.14
16.86
17.55
-0.128 -0.221 -0.227 -0.204
0.002
0.006
0.007
0.005
ORCL UW Equity ORACLE CORP
Information Technology
31.25
20.64
-0.188 -0.257 -0.241 -0.188 -0.154 -0.131
0.012
0.009
0.006
0.003
OI UN Equity
-0.170 -0.266 -0.230 -0.167
0.003
0.004
0.003
0.002
-0.442 -0.402 -0.345 -0.269 -0.216 -0.183
0.014
0.011
0.008
0.004
0.45%
07.10.2013
20.93
21.38
23.07
Materials
26.62
30.02
32.20
30.88
29.47
PCAR UW Equity PACCAR INC
Industrials
49.45
1.82%
17.05.2013
21.64
23.89
23.86
24.17
PLL UN Equity
PALL CORP
Industrials
67.27
1.50%
10.05.2013
16.10
17.17
19.04
19.62
-0.049 -0.089 -0.162 -0.172
0.000
0.001
0.004
0.002
PH UN Equity
PARKER HANNIFIN CORP
Industrials
90.98
2.11%
07.05.2013
22.18
24.57
24.62
24.86
-0.257 -0.363 -0.319 -0.239
0.004
0.007
0.005
0.003
PDCO UW Equity PATTERSON COS INC
Health Care
37.50
1.71%
05.07.2013
16.33
17.33
18.55
19.83
-0.167 -0.242 -0.267 -0.225
0.002
0.003
0.005
0.004
PAYX UW Equity
PAYCHEX INC
Information Technology
34.35
2.94%
01.08.2013
16.57
14.91
14.31
15.01
16.10
16.70
-0.237 -0.363 -0.372 -0.254 -0.216 -0.174
0.006
0.011
0.012
0.006
0.003
0.002
BTU UN Equity
PEABODY ENERGY CORP
Energy
20.80
1.78%
14.05.2013
41.98
41.57
41.25
41.42
42.60
43.09
-0.221 -0.223 -0.193 -0.139 -0.108 -0.104
0.008
0.003
0.002
0.001
0.001
0.001
PNR UN Equity
PENTAIR LTD-REGISTERED
Industrials
51.97
1.89%
24.04.2013
20.50
22.91
23.58
24.54
-0.085 -0.145 -0.153 -0.127
0.003
0.008
0.007
0.005
PBCT UW Equity PEOPLE'S UNITED FINANCIAL
Financials
13.33
4.88%
01.05.2013
15.07
15.04
14.87
14.75
0.000 -0.035 -0.114 -0.131
0.000
0.000
0.001
0.002
POM UN Equity
PEPCO HOLDINGS INC
Utilities
20.83
5.18%
10.06.2013
13.92
13.88
13.76
12.94
0.000 -0.046 -0.133 -0.195
0.000
0.002
0.006
0.005
PEP UN Equity
PEPSICO INC
Consumer Staples
77.83
2.92%
29.05.2013
12.53
13.38
12.70
12.48
-0.405 -0.301 -0.277 -0.220 -0.164 -0.138
0.019
0.010
0.009
0.007
0.004
0.003
PKI UN Equity
PERKINELMER INC
Health Care
33.37
0.84%
24.07.2013
25.46
25.02
24.08
24.58
-0.067 0.016
0.117 -0.177
0.001
0.003
0.005 -0.002
PRGO UW Equity PERRIGO CO
Health Care
118.08
0.32%
29.05.2013
16.65
19.35
19.73
20.51
-0.090 -0.152 -0.131 -0.127
0.002
0.005
0.003
0.002
PETM UW Equity PETSMART INC
Consumer Discretionary
61.98
1.21%
24.04.2013
18.73
19.86
21.36
22.47
23.25
23.93
-0.094 -0.157 -0.181 -0.163 -0.131 -0.109
0.001
0.003
0.004
0.002
0.001
0.001
PFE UN Equity
PFIZER INC
Health Care
28.16
3.48%
08.05.2013
13.91
15.08
15.26
15.94
17.69
18.96
-0.428 -0.308 -0.262 -0.204 -0.171 -0.144
0.015
0.013
0.009
0.006
0.004
0.003
PCG UN Equity
P G & E CORP
Utilities
43.59
3.13%
28.06.2013
13.10
12.94
13.10
13.16
-0.130 -0.118 -0.099 -0.136
0.002
0.002
0.001
0.004
PM UN Equity
PHILIP MORRIS INTERNATIONAL
Consumer Staples
91.99
4.05%
25.06.2013
14.51
14.44
14.65
15.69
17.80
18.74
-0.453 -0.355 -0.263 -0.190 -0.182 -0.158
0.014
0.012
0.010
0.006
0.002
0.001
PSX UN Equity
PHILLIPS 66
Energy
66.86
1.91%
11.04.2013
28.71
30.97
30.90
30.95
31.62
32.04
-0.150 -0.184 -0.156 -0.123 -0.112 -0.098
0.004
0.004
0.003
0.002
0.001
0.001
PNW UN Equity
PINNACLE WEST CAPITAL
Utilities
56.64
3.92%
02.05.2013
12.52
12.52
12.52
12.52
0.000
0.000
0.000
0.000
0.000
PXD UN Equity
PIONEER NATURAL RESOURCES CO
Energy
122.12
0.03%
27.09.2013
29.19
31.35
31.42
32.53
34.06
34.52
-0.328 -0.218 -0.175 -0.185 -0.173 -0.163
0.009
0.004
0.002
0.001
0.001
0.001
PBI UN Equity
PITNEY BOWES INC
Industrials
15.00
10.00%
08.05.2013
28.16
31.75
29.91
28.09
28.68
28.66
-0.246 -0.260 -0.248 -0.246 -0.220 -0.212
0.006
0.011
0.008
0.004
0.002
0.002
PCL UN Equity
PLUM CREEK TIMBER CO
Financials
50.33
3.58%
15.05.2013
13.13
14.80
14.77
15.10
16.07
16.77
-0.390 -0.345 -0.282 -0.213 -0.165 -0.133
0.012
0.011
0.009
0.005
0.002
0.002
PNC UN Equity
PNC FINANCIAL SERVICES GROUP
Financials
66.14
2.72%
12.04.2013
17.81
17.48
18.17
20.07
22.42
23.02
-0.519 -0.364 -0.304 -0.242 -0.176 -0.151
0.018
0.014
0.010
0.005
0.002
0.001
PPG UN Equity
PPG INDUSTRIES INC
Materials
133.89
1.82%
10.05.2013
23.81
24.61
24.78
24.89
25.23
25.43
-0.422 -0.404 -0.342 -0.258 -0.202 -0.174
0.009
0.008
0.006
0.003
0.002
0.001
PPL UN Equity
PPL CORPORATION
Utilities
30.12
4.95%
10.06.2013
10.76
11.34
11.00
11.35
11.89
12.41
0.025 -0.102 -0.253 -0.242 -0.114 -0.100
-0.001 0.002
0.009
0.006
0.006
0.004
PX UN Equity
PRAXAIR INC
Materials
112.14
2.18%
07.06.2013
16.06
18.10
17.48
17.65
-0.350 -0.437 -0.379 -0.284
0.010
0.011
0.009
0.005
Industrials Consumer Discretionary
189.62 695.64
0.08%
05.06.2013
18.47 25.31
20.29 30.39
20.41 28.59
21.62 29.11
-0.325 -0.298 -0.242 -0.214 -0.230 -0.204 -0.175 -0.147 -0.122 -0.105
0.009 0.012
0.011 0.001
0.007 0.002
0.004 0.001
0.001
0.000
OWENS-ILLINOIS INC
PCP UN Equity PRECISION CASTPARTS CORP PCLN UW Equity PRICELINE.COM INC
25.00
25.91
25.61
26.71
13.57
30.88
14.40
31.46
0.000
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.000
0.000
26.03.2013
S&P 500 Index
Ticker PFG UN Equity PG UN Equity PGR UN Equity PLD UN Equity PRU UN Equity PEG UN Equity PSA UN Equity PHM UN Equity PVH UN Equity QEP UN Equity QCOM UW Equity PWR UN Equity DGX UN Equity RL UN Equity RRC UN Equity RTN UN Equity RHT UN Equity RF UN Equity RSG UN Equity RAI UN Equity RHI UN Equity ROK UN Equity COL UN Equity ROP UN Equity ROST UW Equity RDC UN Equity R UN Equity SWY UN Equity SAI UN Equity CRM UN Equity SNDK UW Equity SCG UN Equity SLB UN Equity SNI UN Equity STX UW Equity SEE UN Equity SRE UN Equity SHW UN Equity SIAL UW Equity SPG UN Equity SLM UW Equity SNA UN Equity SO UN Equity LUV UN Equity SWN UN Equity SE UN Equity S UN Equity STJ UN Equity SWK UN Equity SPLS UW Equity SBUX UW Equity HOT UN Equity STT UN Equity SRCL UW Equity SYK UN Equity STI UN Equity SYMC UW Equity SYY UN Equity TROW UW Equity TGT UN Equity TEL UN Equity TE UN Equity THC UN Equity TDC UN Equity TER UN Equity TSO UN Equity TXN UW Equity TXT UN Equity TMO UN Equity TIF UN Equity TWC UN Equity TWX UN Equity TJX UN Equity TMK UN Equity TSS UN Equity TRV UN Equity TRIP UW Equity TYC UN Equity TSN UN Equity UNP UN Equity UPS UN Equity X UN Equity UTX UN Equity UNH UN Equity UNM UN Equity URBN UW Equity USB UN Equity VLO UN Equity VAR UN Equity VTR UN Equity VRSN UW Equity VZ UN Equity VFC UN Equity VIAB UW Equity V UN Equity VNO UN Equity VMC UN Equity WMT UN Equity WAG UN Equity DIS UN Equity WPO UN Equity WM UN Equity WAT UN Equity WLP UN Equity WFC UN Equity WDC UW Equity WU UN Equity WY UN Equity WHR UN Equity WFM UW Equity WMB UN Equity WIN UW Equity WEC UN Equity WPX UN Equity GWW UN Equity WYN UN Equity WYNN UW Equity XEL UN Equity XRX UN Equity XLNX UW Equity XL UN Equity XYL UN Equity YHOO UW Equity YUM UN Equity ZMH UN Equity ZION UW Equity
Name PRINCIPAL FINANCIAL GROUP PROCTER & GAMBLE CO/THE PROGRESSIVE CORP PROLOGIS INC PRUDENTIAL FINANCIAL INC PUBLIC SERVICE ENTERPRISE GP PUBLIC STORAGE PULTEGROUP INC PVH CORP QEP RESOURCES INC QUALCOMM INC QUANTA SERVICES INC QUEST DIAGNOSTICS INC RALPH LAUREN CORP RANGE RESOURCES CORP RAYTHEON COMPANY RED HAT INC REGIONS FINANCIAL CORP REPUBLIC SERVICES INC REYNOLDS AMERICAN INC ROBERT HALF INTL INC ROCKWELL AUTOMATION INC ROCKWELL COLLINS INC ROPER INDUSTRIES INC ROSS STORES INC ROWAN COMPANIES PLC-A RYDER SYSTEM INC SAFEWAY INC SAIC INC SALESFORCE.COM INC SANDISK CORP SCANA CORP SCHLUMBERGER LTD SCRIPPS NETWORKS INTER-CL A SEAGATE TECHNOLOGY SEALED AIR CORP SEMPRA ENERGY SHERWIN-WILLIAMS CO/THE SIGMA-ALDRICH SIMON PROPERTY GROUP INC SLM CORP SNAP-ON INC SOUTHERN CO/THE SOUTHWEST AIRLINES CO SOUTHWESTERN ENERGY CO SPECTRA ENERGY CORP SPRINT NEXTEL CORP ST JUDE MEDICAL INC STANLEY BLACK & DECKER INC STAPLES INC STARBUCKS CORP STARWOOD HOTELS & RESORTS STATE STREET CORP STERICYCLE INC STRYKER CORP SUNTRUST BANKS INC SYMANTEC CORP SYSCO CORP T ROWE PRICE GROUP INC TARGET CORP TE CONNECTIVITY LTD TECO ENERGY INC TENET HEALTHCARE CORP TERADATA CORP TERADYNE INC TESORO CORP TEXAS INSTRUMENTS INC TEXTRON INC THERMO FISHER SCIENTIFIC INC TIFFANY & CO TIME WARNER CABLE TIME WARNER INC TJX COMPANIES INC TORCHMARK CORP TOTAL SYSTEM SERVICES INC TRAVELERS COS INC/THE TRIPADVISOR INC TYCO INTERNATIONAL LTD TYSON FOODS INC-CL A UNION PACIFIC CORP UNITED PARCEL SERVICE-CL B UNITED STATES STEEL CORP UNITED TECHNOLOGIES CORP UNITEDHEALTH GROUP INC UNUM GROUP URBAN OUTFITTERS INC US BANCORP VALERO ENERGY CORP VARIAN MEDICAL SYSTEMS INC VENTAS INC VERISIGN INC VERIZON COMMUNICATIONS INC VF CORP VIACOM INC-CLASS B VISA INC-CLASS A SHARES VORNADO REALTY TRUST VULCAN MATERIALS CO WAL-MART STORES INC WALGREEN CO WALT DISNEY CO/THE WASHINGTON POST-CLASS B WASTE MANAGEMENT INC WATERS CORP WELLPOINT INC WELLS FARGO & CO WESTERN DIGITAL CORP WESTERN UNION CO WEYERHAEUSER CO WHIRLPOOL CORP WHOLE FOODS MARKET INC WILLIAMS COS INC WINDSTREAM CORP WISCONSIN ENERGY CORP WPX ENERGY INC WW GRAINGER INC WYNDHAM WORLDWIDE CORP WYNN RESORTS LTD XCEL ENERGY INC XEROX CORP XILINX INC XL GROUP PLC XYLEM INC YAHOO! INC YUM! BRANDS INC ZIMMER HOLDINGS INC ZIONS BANCORPORATION
GICS_SECTOR_NAME
ATM2 Ref
Financials 33.34 Consumer Staples 76.68 Financials 24.85 Financials 39.00 Financials 58.64 Utilities 33.28 Financials 150.25 Consumer Discretionary 20.35 Consumer Discretionary 113.20 Energy 31.22 Information Technology 65.67 Industrials 28.44 Health Care 56.40 Consumer Discretionary 167.44 Energy 81.16 Industrials 56.76 Information Technology 48.99 Financials 8.28 Industrials 32.64 Consumer Staples 43.83 Industrials 36.48 Industrials 85.18 Industrials 62.53 Industrials 124.89 Consumer Discretionary 59.04 Energy 34.15 Industrials 60.11 Consumer Staples 25.93 Information Technology 12.89 Information Technology 172.76 Information Technology 55.33 Utilities 49.41 Energy 73.86 Consumer Discretionary 63.99 Information Technology 34.72 Materials 23.74 Utilities 79.22 Materials 168.21 Materials 76.48 Financials 159.36 Financials 20.11 Industrials 81.79 Utilities 45.63 Industrials 12.86 Energy 37.77 Energy 29.57 Telecommunication Services 6.03 Health Care 41.68 Industrials 81.48 Consumer Discretionary 13.47 Consumer Discretionary 56.69 Consumer Discretionary 60.40 Financials 59.32 Industrials 103.74 Health Care 64.54 Financials 28.51 Information Technology 24.56 Consumer Staples 35.02 Financials 73.88 Consumer Discretionary 68.41 Information Technology 41.54 Utilities 17.30 Health Care 46.66 Information Technology 56.80 Information Technology 15.90 Energy 57.85 Information Technology 34.48 Industrials 29.69 Health Care 74.69 Consumer Discretionary 68.23 Consumer Discretionary 95.37 Consumer Discretionary 56.54 Consumer Discretionary 47.12 Financials 59.18 Information Technology 24.50 Financials 83.37 Consumer Discretionary 52.24 Industrials 30.99 Consumer Staples 24.04 Industrials 137.19 Industrials 84.61 Materials 19.73 Industrials 92.80 Health Care 54.86 Financials 27.59 Consumer Discretionary 39.36 Financials 33.67 Energy 44.28 Health Care 71.68 Financials 71.26 Information Technology 46.32 Telecommunication Services 49.16 Consumer Discretionary 165.65 Consumer Discretionary 61.31 Information Technology 164.00 Financials 81.52 Materials 51.50 Consumer Staples 74.85 Consumer Staples 46.19 Consumer Discretionary 56.21 Consumer Discretionary 455.58 Industrials 38.38 Health Care 92.55 Health Care 64.11 Financials 37.21 Information Technology 47.53 Information Technology 14.66 Financials 30.85 Consumer Discretionary 113.76 Consumer Staples 86.35 Energy 36.99 Telecommunication Services 8.43 Utilities 41.34 Energy 16.13 Industrials 218.92 Consumer Discretionary 62.48 Consumer Discretionary 121.64 Utilities 28.64 Information Technology 8.51 Information Technology 37.90 Financials 30.30 Industrials 27.73 Information Technology 23.38 Consumer Discretionary 70.70 Health Care 72.92 Financials 25.15
Dividend Yield
Next ExDividend Date
2.79% 3.18% 1.71% 2.87% 2.77% 4.34% 3.36%
06.06.2013 24.04.2013 21.01.2014 13.06.2013 24.05.2013 07.06.2013 13.06.2013
0.13% 0.26% 2.13%
14.05.2013 29.05.2013 29.05.2013
2.18% 0.81% 0.22% 3.87%
03.07.2013 26.06.2013 14.06.2013 05.07.2013
1.45% 3.03% 5.73% 1.78% 2.49% 1.92% 0.55% 1.22%
17.06.2013 28.06.2013 11.06.2013 24.05.2013 16.05.2013 09.05.2013 10.07.2013 05.06.2013
2.16% 3.24% 3.72%
16.05.2013 18.06.2013 10.04.2013
4.13% 1.74% 0.98% 4.55% 2.27% 2.39% 1.25% 1.14% 3.04% 3.13% 1.88% 4.47% 0.31%
11.06.2013 31.05.2013 31.05.2013 01.05.2013 05.06.2013 24.06.2013 15.05.2013 31.05.2013 13.05.2013 29.05.2013 20.05.2013 02.05.2013 04.06.2013
4.29%
08.05.2013
1.80% 2.49% 2.67% 1.62% 2.07% 1.75%
26.06.2013 06.06.2013 26.06.2013 06.05.2013 10.12.2013 02.07.2013
1.33% 1.75%
28.06.2013 31.05.2013
3.23% 2.11% 2.41% 2.41% 5.12%
03.07.2013 14.06.2013 16.08.2013 31.05.2013 14.05.2013
1.47% 3.02% 0.27% 0.86% 2.23% 2.82% 2.09% 1.23% 1.15% 1.63% 2.43%
31.05.2013 31.07.2013 12.06.2013 13.06.2013 20.06.2013 27.05.2013 29.05.2013 07.05.2013 03.07.2013 11.06.2013 10.06.2013
2.07% 0.83% 2.14% 3.00% 1.01% 2.47% 1.82% 2.16%
24.07.2013 30.08.2013 31.05.2013 16.05.2013 06.05.2013 15.05.2013 14.06.2013 02.05.2013
2.05% 1.81%
28.06.2013 20.05.2013
3.83%
07.06.2013
4.24% 2.26% 1.96% 0.85% 3.64% 0.08% 2.56% 2.48% 1.60% 0.56% 3.87%
10.07.2013 14.06.2013 14.06.2013 15.05.2013 08.05.2013 11.06.2013 05.03.2014 20.05.2013 11.12.2013 23.01.2014 07.06.2013
2.16% 3.22% 1.66% 3.61% 2.40% 1.76% 0.98% 4.10% 8.90% 3.37%
05.06.2013 01.05.2013 26.06.2013 13.06.2013 07.05.2013 15.05.2013 26.06.2013 05.06.2013 28.06.2013 15.05.2013
1.77% 1.94% 3.37% 3.91% 2.03% 2.64% 1.85% 1.69%
09.05.2013 21.05.2013 21.05.2013 18.06.2013 28.06.2013 05.08.2013 14.06.2013 30.05.2013
2.04% 1.12% 0.16%
10.07.2013 25.06.2013 21.05.2013
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
20.22 13.35 18.62 17.27 23.31 11.90 13.74 35.30 33.66 26.06 19.71 24.29 22.12 23.19 27.71 14.20 49.82 24.71 18.16 13.62 23.72 21.29 19.45 16.88 22.56 27.77 24.31 31.42 27.15 29.73 36.99 13.05 23.88 24.05 37.97 29.02 11.57 21.98 15.44 12.85 23.18 20.63 9.52 21.76 27.83 15.49 18.09 25.55 20.70 28.03 22.70 22.75 22.95 15.32 16.50 23.93 24.60 11.69 17.70 15.84 18.27 13.11 26.22 29.96 29.60 35.51 20.22 30.61 25.17 22.83 19.23 19.87 15.13 12.84 16.50 13.65 35.40 21.15 21.51 18.34 14.02 38.80 15.94 21.95 22.83 27.28 16.91 32.14 21.04 12.32 21.72 15.36 19.72 22.62 17.06 15.36 27.18 12.72 18.48 18.26
23.05 13.88 17.37 17.96 25.42 12.48 15.34 38.69 29.60 27.84 22.46 27.94 20.39 24.43 29.82 15.85 41.72 26.16 17.81 14.62 24.55 23.48 18.15 18.35 23.25 29.11 27.01 36.70 25.05 33.60 33.14 13.52 23.69 26.41 38.74 30.04 12.96 21.14 15.63 14.09 22.55 20.15 9.86 24.11 30.15 17.08 25.72 25.14 21.35 31.07 24.43 25.25 21.52 16.85 17.71 23.68 28.09 13.43 19.72 16.47 19.81 13.43 30.60 34.01 33.32 37.73 22.11 27.82 25.62 23.50 21.65 21.87 16.50 16.05 19.69 15.32 41.35 22.24 24.25 18.45 14.95 42.07 17.30 20.39 21.81 28.63 16.29 34.15 24.78 13.51 24.57 15.08 22.66 23.51 18.75 15.81 28.81 13.69 18.87 20.53
22.27 13.28 17.51 18.31 25.15 13.48 15.03 37.98 29.56 27.26 21.52 27.65 20.27 25.87 29.63 16.00 39.92 25.90 16.98 15.02 23.68 22.60 17.88 18.28 23.62 28.58 27.08 34.19 24.57 32.78 32.51 14.05 23.69 25.30 36.39 28.35 12.99 20.53 15.14 14.23 22.39 19.50 10.13 23.37 29.41 17.08 37.32 25.48 21.76 33.92 23.39 25.47 21.72 16.88 17.38 24.02 26.46 13.16 19.37 17.19 19.52 13.40 30.81 31.72 32.15 38.00 21.82 27.43 24.65 24.88 20.42 21.08 17.24 16.24 18.84 15.21 38.00 21.93 23.14 18.86 14.47 39.72 17.51 19.99 19.33 31.06 16.58 34.01 24.62 13.79 23.90 14.90 22.59 22.92 18.44 15.66 28.50 13.30 19.25 19.84
22.10 12.95 18.14 18.77 26.58 13.01 16.38 38.82 29.16 29.47 22.55 27.33 20.41 27.13 29.64 16.47 37.84 26.40 16.48 15.82 24.45 23.00 18.73 18.56 24.17 29.08 27.19 31.83 24.36 33.13 32.64 14.10 24.44 25.37 36.06 27.65 13.02 21.45 15.59 15.56 24.01 20.64 11.14 23.95 29.90 17.71 44.41 25.86 22.85 33.45 23.78 26.21 22.76 16.84 18.19 25.73 26.24 13.09 19.75 17.89 20.46 13.04 31.16 30.94 32.58 38.51 22.46 28.52 25.90 26.85 19.92 21.11 18.52 16.50 17.96 15.89 38.66 22.46 23.64 19.84 14.72 38.99 18.32 21.25 19.89 31.96 17.87 34.71 23.86 14.23 25.09 15.39 22.57 23.83 19.57 16.82 28.51 13.99 20.11 20.09
13.57 18.97 19.60 18.66 36.23 22.65 20.12 28.78 21.18 22.00 26.81 12.99 32.29 21.67 20.68 24.99 12.21 24.21 20.80 16.62 24.27 29.25 20.59 19.10 21.25
14.68 22.48 21.76 17.67 38.92 27.28 22.26 32.28 25.43 24.98 25.57 12.83 32.01 19.67 22.79 26.75 12.14 27.89 22.35 19.65 23.83 29.48 22.97 19.86 24.17
14.00 22.35 20.88 17.89 36.45 27.09 22.04 30.73 25.66 24.78 25.08 12.48 33.41 19.38 22.84 25.57 12.07 26.91 21.83 19.22 21.82 28.48 22.89 19.06 23.37
13.84 21.99 21.45 19.70 35.40 26.24 22.87 30.91 26.18 25.90 24.07 12.63 35.77 19.77 23.66 27.02 11.18 27.35 22.58 20.15 19.29 28.93 22.91 19.83 24.26
14.37
15.18
28.32
28.90
38.95
39.76
24.67
25.81
28.17 29.69 17.08 37.28 26.95
28.31 28.86 17.60 36.99 28.82
16.59
17.13
24.75
25.35
30.43 24.49 34.63 32.28
30.19 25.39 35.53 32.79
26.68
27.48
34.87 28.60
35.03 28.93
23.16
23.72
18.19 26.01
19.66 26.86
12.83 24.53 31.41 18.63 37.86 26.22 24.02 31.98 25.59 27.61 24.03
13.84 24.58 31.79 18.79 36.29 26.90 24.50 31.74 26.44 29.20 24.61
18.73 27.21 27.45 13.85
18.92 28.00 28.66 14.41
18.87
18.96
32.02
33.21
39.20 24.57 30.10
39.09 25.38 30.86
28.16 21.12 22.35 20.29
28.53 21.80 23.00 21.77
16.94 38.20 24.38 24.50 22.05 16.23 40.01 20.24 22.60
17.54 38.22 24.89 25.53 22.98 16.41 39.68 21.09 23.59
32.60 19.73 35.07
33.14 20.49 35.70
25.69 17.10
26.33 18.02
24.90 21.43
25.88 22.43
15.69 21.53 21.69
16.53 22.28 22.46
15.37
16.00
22.65 21.94 35.15 26.09 24.22 31.74 26.16 26.03 25.48
23.50 22.77 35.40 26.19 24.97 32.68 26.88 26.88 25.93
28.74
29.90
30.60 23.94
31.23 24.63
28.64 23.56
29.22 24.31
26.00
26.71
-0.158 -0.570 -0.122 -0.233 -0.420 0.000 -0.350 -0.300 -0.200 0.021 -0.404 -0.259 0.116 -0.160 -0.241 -0.311 0.109 -0.223 -0.112 -0.275 -0.148 -0.332 -0.183 -0.213 -0.184 -0.238 -0.215 -0.219 -0.118 -0.270 -0.289 -0.221 -0.380 -0.071 -0.319 -0.138 -0.112 -0.331 -0.092 -0.557 -0.521 -0.271 -0.314 -0.036 -0.311 -0.100 0.282 -0.272 -0.384 -0.171 -0.338 -0.419 -0.430 -0.230 -0.161 -0.569 -0.337 -0.104 -0.390 -0.464 -0.039 0.008 -0.257 -0.123 -0.198 -0.223 -0.370 -0.369 -0.339 -0.215 -0.343 -0.521 -0.104 -0.050 -0.073 -0.211 -0.117 -0.386 -0.138 -0.354 -0.323 -0.102 -0.547 -0.472 0.000 -0.212 -0.559 -0.309 -0.130 -0.160 -0.422 -0.489 -0.296 -0.323 -0.472 -0.141 -0.307 -0.533 -0.650 -0.497
-0.311 -0.355 -0.198 -0.316 -0.310 -0.036 -0.347 -0.248 -0.274 -0.018 -0.291 -0.325 0.117 -0.193 -0.164 -0.331 -0.045 -0.501 -0.090 -0.338 -0.334 -0.309 -0.254 -0.203 -0.264 -0.229 -0.277 -0.123 -0.103 -0.267 -0.257 -0.471 -0.359 -0.156 -0.269 -0.155 -0.204 -0.292 -0.255 -0.380 -0.355 -0.345 -0.339 -0.080 -0.229 -0.123 -0.096 -0.281 -0.221 -0.062 -0.208 -0.236 -0.353 -0.296 -0.257 -0.376 -0.260 -0.222 -0.376 -0.306 -0.162 -0.015 -0.221 -0.163 -0.231 -0.189 -0.254 -0.267 -0.346 -0.221 -0.256 -0.311 -0.221 -0.159 -0.181 -0.264 -0.172 -0.322 -0.196 -0.335 -0.151 -0.112 -0.408 -0.298 -0.085 -0.211 -0.422 -0.177 -0.202 -0.368 -0.219 -0.353 -0.301 -0.367 -0.332 -0.256 -0.283 -0.320 -0.395 -0.304
-0.294 -0.127 -0.228 -0.312 -0.284 -0.098 -0.314 -0.200 -0.249 -0.113 -0.163 -0.272 0.039 -0.204 -0.179 -0.283 -0.079 -0.415 -0.043 -0.314 -0.253 -0.258 -0.261 -0.225 -0.243 -0.200 -0.241 -0.124 -0.135 -0.224 -0.232 -0.321 -0.307 -0.125 -0.248 -0.144 -0.197 -0.260 -0.240 -0.331 -0.287 -0.289 -0.299 -0.075 -0.199 -0.130 0.071 -0.238 -0.223 -0.071 -0.149 -0.199 -0.297 -0.206 -0.292 -0.316 -0.213 -0.250 -0.338 -0.255 -0.236 -0.094 -0.177 -0.167 -0.239 -0.168 -0.235 -0.247 -0.308 -0.206 -0.227 -0.248 -0.220 -0.231 -0.185 -0.254 -0.140 -0.278 -0.206 -0.288 -0.201 -0.146 -0.333 -0.261 -0.264 -0.216 -0.356 -0.142 -0.200 -0.312 -0.203 -0.277 -0.259 -0.276 -0.275 -0.286 -0.267 -0.269 -0.293 -0.149
-0.244 -0.221 -0.221 -0.266 -0.220 -0.137 -0.247 -0.156 -0.187 -0.121 -0.202 -0.203 -0.058 -0.183 -0.186 -0.221 -0.128 -0.277 -0.075 -0.248 -0.200 -0.197 -0.212 -0.211 -0.180 -0.176 -0.170 -0.105 -0.132 -0.160 -0.192 -0.168 -0.224 -0.141 -0.209 -0.148 -0.193 -0.225 -0.239 -0.266 -0.229 -0.230 -0.213 -0.166 -0.170 -0.156 0.152 -0.202 -0.220 -0.090 -0.173 -0.173 -0.222 -0.129 -0.225 -0.214 -0.160 -0.233 -0.252 -0.203 -0.216 -0.184 -0.148 -0.140 -0.186 -0.141 -0.193 -0.163 -0.205 -0.147 -0.204 -0.177 -0.189 -0.241 -0.161 -0.231 -0.116 -0.223 -0.182 -0.219 -0.210 -0.155 -0.256 -0.198 -0.190 -0.168 -0.253 -0.119 -0.175 -0.224 -0.168 -0.170 -0.196 -0.204 -0.225 -0.218 -0.233 -0.198 -0.212 -0.233
-0.078 -0.220 -0.270 -0.447 -0.267 -0.274 -0.235 -0.241 -0.352 -0.207 -0.105 0.000 -0.214 -0.279 -0.227 -0.347 -0.182 -0.429 -0.446 -0.637 -0.187 -0.081 -0.352 -0.192 -0.247
-0.142 -0.329 -0.195 -0.367 -0.225 -0.334 -0.237 -0.230 -0.246 -0.192 -0.128 0.009 -0.296 -0.298 -0.351 -0.211 -0.181 -0.162 -0.284 -0.405 -0.192 -0.125 -0.194 -0.319 -0.288
-0.218 -0.273 -0.244 -0.331 -0.197 -0.257 -0.233 -0.207 -0.211 -0.155 -0.145 0.018 -0.205 -0.264 -0.307 -0.153 -0.181 -0.153 -0.271 -0.330 -0.196 -0.154 -0.191 -0.284 -0.253
-0.203 -0.185 -0.167 -0.244 -0.156 -0.178 -0.204 -0.156 -0.171 -0.127 -0.133 -0.081 -0.092 -0.203 -0.232 -0.122 -0.207 -0.150 -0.203 -0.243 -0.172 -0.133 -0.173 -0.210 -0.213
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
-0.185 -0.154
-0.171 -0.143
-0.124 -0.110
-0.142 -0.118
-0.145 -0.187 -0.186 -0.138 -0.215
-0.133 -0.189 -0.159 -0.120 -0.176
-0.193 -0.164
-0.155 -0.135
-0.106 -0.129 -0.117 -0.176
-0.106 -0.103 -0.098 -0.149
-0.171 -0.146 -0.162 -0.144 -0.120 -0.097 -0.162 -0.136 -0.202 -0.173 -0.184 -0.169 -0.116 -0.131 -0.133 -0.127 -0.023 -0.147 -0.166 -0.113 -0.133 -0.124 -0.201
-0.096 -0.117 -0.127 -0.107 -0.011 -0.123 -0.138 -0.103 -0.111 -0.111 -0.175
-0.192 -0.156 -0.131 -0.162
-0.168 -0.134 -0.111 -0.140
-0.166 -0.142
-0.114 -0.080 -0.120 -0.113 -0.151 -0.129 -0.167 -0.139 -0.140 -0.153 -0.153 -0.148
-0.124 -0.133 -0.134 -0.124
-0.195 -0.114 -0.159 -0.121 -0.162 -0.173 -0.117 -0.213 -0.150
-0.167 -0.104 -0.137 -0.103 -0.140 -0.149 -0.120 -0.177 -0.130
-0.145 -0.130 -0.189 -0.156 -0.091 -0.083
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