16.10.2012
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
92.79
2.67%
21.11.2012
18.21
16.66
16.41
17.63
19.96
20.99
21.52
-0.322 -0.341 -0.331 -0.277 -0.222 -0.196 -0.180 0.007
0.010
0.009
0.005
0.002
0.002
0.001
ABT UN Equity
ABBOTT LABORATORIES
Health Care
72.05
3.00%
11.01.2013
19.37
16.41
15.56
15.62
15.98
16.18
16.33
-0.230 -0.251 -0.238 -0.207 -0.200 -0.184 -0.163 0.015
0.012
0.009
0.005
0.003
0.002
0.001
ANF UN Equity
ABERCROMBIE & FITCH CO-CL A
Consumer Discretionary
32.50
2.15%
28.11.2012
54.99
49.71
48.31
47.53
45.81
45.21
45.13
-0.187 -0.159 -0.157 -0.152 -0.143 -0.131 -0.113 0.006
0.003
0.002
0.001
0.001
0.001
0.001
ACN UN Equity
ACCENTURE PLC-CL A
Information Technology
70.17
2.44%
10.04.2013
18.91
21.16
21.99
23.30
25.12
26.10
26.67
-0.367 -0.371 -0.353 -0.274 -0.207 -0.176 -0.152 0.009
0.009
0.007
0.004
0.002
0.002
0.001
ACE UN Equity
ACE LTD
Financials
77.67
2.52%
10.01.2013
17.22
16.06
16.40
18.32
20.14
-0.493 -0.461 -0.407 -0.300 -0.229
0.014
0.012
0.010
0.005
0.003
ADBE UW Equity ADOBE SYSTEMS INC
Information Technology
32.33
23.78
27.04
28.21
29.34
31.33
32.41
33.10
-0.221 -0.253 -0.252 -0.213 -0.175 -0.152 -0.134 0.013
0.009
0.007
0.003
0.002
0.001
0.001
AMD UN Equity
ADVANCED MICRO DEVICES
Information Technology
2.75
58.56
57.70
57.77
59.19
58.27
58.51
59.48
0.223 -0.001 -0.071 -0.087 -0.102 -0.106 -0.105 0.008
0.006
0.005
0.002
0.001
0.001
0.001
AES UN Equity
AES CORP
Utilities
10.74
2.98%
28.12.2012
27.84
27.01
26.72
26.48
-0.195 -0.169 -0.231 -0.298
0.002
0.006
0.006
0.003
AET UN Equity
AETNA INC
Health Care
43.92
1.73%
08.01.2013
32.22
28.29
27.16
28.67
29.84
30.38
30.74
-0.306 -0.207 -0.171 -0.169 -0.129 -0.112 -0.106 0.010
0.005
0.005
0.003
0.001
0.001
0.001
AFL UN Equity
AFLAC INC
Financials
48.78
2.95%
13.11.2012
23.32
22.24
22.79
24.57
26.83
27.90
28.33
-0.569 -0.393 -0.341 -0.281 -0.225 -0.198 -0.180 0.016
0.012
0.009
0.003
0.002
0.001
0.001
A UN Equity
AGILENT TECHNOLOGIES INC
Health Care
37.18
1.16%
28.12.2012
29.02
27.57
28.28
31.01
33.11
34.23
34.93
-0.345 -0.307 -0.282 -0.226 -0.168 -0.142 -0.125 0.005
0.004
0.004
0.002
0.001
0.001
0.001
GAS UN Equity
AGL RESOURCES INC
Utilities
40.46
4.62%
14.11.2012
27.44
27.44
27.44
27.44
0.000
0.000
0.000
0.000
0.000
APD UN Equity
AIR PRODUCTS & CHEMICALS INC
Materials
82.29
3.26%
28.12.2012
18.16
17.33
17.36
19.42
21.12
-0.263 -0.387 -0.338 -0.292 -0.223
0.004
0.008
0.007
0.004
0.003
ARG UN Equity
AIRGAS INC
2.35%
14.12.2012
23.55
22.90
22.85
23.70
24.83
-0.585 -0.478 -0.418 -0.323 -0.235
0.014
0.012
0.010
0.005
0.002
59.50
46.00
42.65
45.71
43.63
42.69
42.16
-0.155 -0.137 -0.148 -0.133 -0.117 -0.109 -0.105 0.001
0.002
0.002
0.001
0.000
0.000
0.000
1.36%
30.01.2013
27.70
29.45
30.40
32.16
34.40
35.29
35.66
-0.007 -0.096 -0.122 -0.128 -0.114 -0.098 -0.084 0.005
0.007
0.007
0.003
0.001
0.001
0.001
43.97
39.77
39.02
39.14
38.53
38.48
38.64
-0.266 -0.271 -0.260 -0.229 -0.175 -0.149 -0.140 0.010
0.004
0.002
0.001
0.001
0.000
0.000
0.000
0.000
0.000
Materials
80.69
AKAM UW Equity AKAMAI TECHNOLOGIES INC
Information Technology
37.90
AA UN Equity
ALCOA INC
Materials
8.80
ALXN UW Equity
ALEXION PHARMACEUTICALS INC
Health Care
ATI UN Equity
ALLEGHENY TECHNOLOGIES INC
Materials
31.92
2.26%
21.12.2012
44.13
42.41
42.16
43.39
45.68
46.97
47.80
-0.374 -0.297 -0.258 -0.206 -0.148 -0.130 -0.129 0.009
0.006
0.004
0.002
0.001
0.001
0.001
AGN UN Equity
ALLERGAN INC
Health Care
93.54
0.21%
07.11.2012
19.94
18.62
18.65
20.43
22.84
23.92
24.51
-0.293 -0.301 -0.287 -0.219 -0.178 -0.160 -0.147 0.009
0.010
0.009
0.005
0.002
0.001
0.001
ALL UN Equity
ALLSTATE CORP
Financials
41.12
2.21%
30.11.2012
21.74
19.90
19.38
19.67
21.59
22.74
23.51
-0.593 -0.427 -0.350 -0.288 -0.231 -0.200 -0.178 0.022
0.013
0.009
0.005
0.003
0.002
0.001
ANR UN Equity
ALPHA NATURAL RESOURCES INC
Energy
8.48
88.47
83.77
81.12
77.61
73.62
-0.168 -0.218 -0.209 -0.134 -0.112
0.007
0.004
0.003
0.002
0.001
ALTR UW Equity
ALTERA CORP
Information Technology
32.85
1.31%
09.11.2012
34.76
32.64
31.78
33.00
34.18
-0.122 -0.212 -0.196 -0.169 -0.141
0.009
0.005
0.004
0.002
0.001
MO UN Equity
ALTRIA GROUP INC
Consumer Staples
33.17
16.09
-0.485 -0.287 -0.256 -0.167 -0.132
111.42
5.40%
28.12.2012
16.74
15.25
15.91
17.62
AMZN UW Equity AMAZON.COM INC
Consumer Discretionary
39.54
33.14
31.29
32.67
34.63
AEE UN Equity
AMEREN CORPORATION
Utilities
32.66
4.90%
11.03.2013
16.81
16.81
15.07
AEP UN Equity
AMERICAN ELECTRIC POWER
Utilities
44.51
4.31%
09.11.2012
11.43
11.25
11.94
13.44
15.51
16.51
AXP UN Equity
AMERICAN EXPRESS CO
Financials
57.59
1.49%
02.01.2013
20.32
20.32
20.67
22.15
24.65
AIG UN Equity
AMERICAN INTERNATIONAL GROUP
Financials
36.29
07.12.2012
26.35
24.12
24.04
26.56
30.00
AMT UN Equity
AMERICAN TOWER CORP
Financials
75.35
1.35%
09.01.2013
19.55
18.67
18.72
20.25
23.11
AMP UN Equity
AMERIPRISE FINANCIAL INC
Financials
56.19
2.65%
31.10.2012
26.78
25.40
25.56
ABC UN Equity
AMERISOURCEBERGEN CORP
Health Care
39.91
1.45%
23.11.2012
21.42
19.06
19.03
20.86
22.56
AMGN UW Equity AMGEN INC
Health Care
86.22
1.81%
11.02.2013
22.92
22.32
22.15
21.91
23.60
24.45
24.85
APH UN Equity
AMPHENOL CORP-CL A
Information Technology
59.00
0.71%
10.12.2012
30.32
28.28
27.66
27.63
APC UN Equity
ANADARKO PETROLEUM CORP
Energy
69.14
0.52%
10.12.2012
33.35
35.11
35.96
36.87
37.54
37.80
37.84
ADI UW Equity
ANALOG DEVICES INC
Information Technology
38.56
3.27%
28.11.2012
21.76
22.61
22.53
24.27
26.07
AON UN Equity
AON PLC
Financials
53.32
1.18%
31.01.2013
20.78
19.18
18.84
19.29
APA UN Equity
APACHE CORP
Energy
AIV UN Equity
APARTMENT INVT & MGMT CO -A
244.18
0.020
0.014
0.011
0.008
0.005
-0.370 -0.280 -0.237 -0.191 -0.151 -0.132 -0.120 0.008
0.006
0.005
0.003
0.001
0.001
0.001
0.000
0.000
0.000
0.000
16.94
-0.247 -0.401 -0.391 -0.254 -0.175 -0.146 -0.139 0.005
0.014
0.013
0.006
0.004
0.003
0.002
25.69
26.15
-0.295 -0.297 -0.283 -0.232 -0.179 -0.156 -0.142 0.007
0.008
0.007
0.003
0.001
0.001
0.001
31.21
31.55
-0.219 -0.225 -0.219 -0.192 -0.153 -0.128 -0.112 0.015
0.012
0.009
0.004
0.001
0.001
0.001
24.26
24.74
-0.476 -0.370 -0.329 -0.309 -0.249 -0.211 -0.183 0.012
0.011
0.010
0.004
0.002
0.001
0.001
-0.504 -0.383 -0.332
0.015
0.010
0.007
-0.256 -0.283 -0.267 -0.200 -0.157
0.005
0.007
0.007
0.004
0.002
-0.293 -0.241 -0.229 -0.229 -0.209 -0.185 -0.162 0.018 -0.235 -0.262 -0.262 -0.226
35.60
36.22
0.000 -0.117
0.013
0.010
0.005
0.002
0.001
0.001
0.006
0.005
0.004
0.003
-0.164 -0.086 -0.073 -0.130 -0.154 -0.156 -0.143 0.014
0.006
0.003
0.001
0.001
0.001
0.001
-0.271 -0.339 -0.296 -0.239 -0.182
0.005
0.007
0.005
0.002
0.001
-0.197 -0.302 -0.315 -0.231
0.005
0.008
0.008
0.003
85.44
0.84%
23.01.2013
27.69
26.71
26.86
28.59
30.65
31.68
32.33
-0.396 -0.296 -0.258 -0.225 -0.185 -0.163 -0.147 0.009
0.006
0.005
0.002
0.001
0.001
0.001
Financials
25.72
3.34%
14.11.2012
22.95
26.18
26.13
0.000 -0.019 -0.083
0.000
0.001
0.003
APOL UW Equity APOLLO GROUP INC-CL A
Consumer Discretionary
27.66
63.69
57.75
53.72
48.10
46.12
45.35
45.08
-0.321 -0.234 -0.209 -0.195 -0.153 -0.134 -0.126 0.009
0.004
0.003
0.001
0.001
0.001
0.001
AAPL UW Equity
Information Technology
634.76
1.67%
15.11.2012
34.69
31.77
31.55
33.27
34.98
36.27
36.96
-0.296 -0.230 -0.198 -0.143 -0.108 -0.097 -0.082 0.008
0.004
0.002
0.001
0.000
0.000
0.000
AMAT UW Equity APPLIED MATERIALS INC
APPLE INC
Information Technology
10.96
3.47%
19.02.2013
27.36
26.06
25.93
27.29
28.91
29.93
30.79
-0.352 -0.289 -0.252 -0.202 -0.155 -0.132 -0.119 0.008
0.007
0.006
0.003
0.002
0.001
0.001
ADM UN Equity
ARCHER-DANIELS-MIDLAND CO
Consumer Staples
28.10
2.65%
13.11.2012
24.32
22.59
22.57
24.01
25.39
-0.139 -0.147 -0.169 -0.160 -0.147
0.004
0.012
0.008
0.004
0.002
AIZ UN Equity
ASSURANT INC
Financials
39.96
2.25%
29.11.2012
25.85
22.97
22.68
-0.226 -0.280 -0.275
0.001
0.007
0.007
T UN Equity
AT&T INC
Telecommunication Services 35.21
5.11%
08.01.2013
20.45
18.56
17.79
17.78
19.06
19.98
20.37
-0.533 -0.425 -0.336 -0.237 -0.186 -0.155 -0.137 0.017
0.015
0.011
0.006
0.003
0.002
0.002
44.58
39.64
38.18
38.55
39.96
41.11
42.13
-0.233 -0.221 -0.210 -0.175 -0.145 -0.132 -0.124 0.004
0.004
0.003
0.002
0.001
0.001
0.001
2.92%
05.12.2012
15.91
14.64
14.94
16.79
18.55
19.47
20.03
-0.252 -0.353 -0.363 -0.310 -0.230 -0.199 -0.179 0.005
0.012
0.010
0.005
0.003
0.002
0.002
-0.324 -0.243 -0.209 -0.176
0.007
0.003
0.002
0.002
-0.391 -0.289 -0.244 -0.206 -0.168
0.016
0.008
0.006
0.003
-0.408 -0.328 -0.290 -0.253
0.010
0.000 -0.202 -0.256 -0.227
ADSK UW Equity AUTODESK INC
Information Technology
31.90
ADP UW Equity
AUTOMATIC DATA PROCESSING
Information Technology
58.91
AN UN Equity
AUTONATION INC
Consumer Discretionary
47.06
32.46
29.67
28.84
28.79
AZO UN Equity
AUTOZONE INC
Consumer Discretionary
374.72
19.31
22.31
21.98
23.17
AVB UN Equity
AVALONBAY COMMUNITIES INC
Financials
133.11
3.16%
28.12.2012
20.54
19.13
19.05
20.69
0.007
0.005
0.003
AVY UN Equity
AVERY DENNISON CORP
Industrials
30.08
3.89%
03.12.2012
29.99
26.13
25.32
26.80
0.000
0.008
0.009
0.003
AVP UN Equity
AVON PRODUCTS INC
Consumer Staples
17.27
3.07%
16.11.2012
48.86
41.95
39.47
37.99
34.64
33.41
33.08
-0.178 -0.133 -0.127 -0.140 -0.161 -0.171 -0.178 0.002
0.004
0.004
0.003
0.002
0.002
0.001
BHI UN Equity
BAKER HUGHES INC
Energy
44.95
1.47%
08.11.2012
34.48
31.72
31.33
33.08
34.86
35.77
36.40
-0.286 -0.262 -0.249 -0.218 -0.169 -0.147 -0.134 0.007
0.005
0.004
0.002
0.001
0.001
0.001
BLL UN Equity
BALL CORP
Materials
41.77
1.10%
29.11.2012
19.98
19.54
19.48
19.89
-0.340 -0.332 -0.322 -0.298
0.007
0.006
0.006
0.004
BAC UN Equity
BANK OF AMERICA CORP
Financials
9.44
0.42%
28.11.2012
37.56
35.03
35.31
35.67
37.88
-0.021 -0.144 -0.154 -0.177 -0.170 -0.147 -0.129 0.009
0.008
0.006
0.004
0.002
0.002
0.001
BK UN Equity
BANK OF NEW YORK MELLON CORP
Financials
23.09
2.43%
31.10.2012
24.28
22.64
24.09
24.91
27.42
-0.600 -0.368 -0.289 -0.246 -0.189
BAX UN Equity
BAXTER INTERNATIONAL INC
Health Care
60.93
3.04%
07.12.2012
18.62
17.43
18.47
21.78
23.23
0.001
0.001
BBT UN Equity
BB&T CORP
Financials
32.39
2.16%
02.01.2013
21.57
20.23
21.68
22.58
BEAM UN Equity
BEAM INC
Consumer Staples
57.05
1.57%
04.02.2013
22.53
22.51
22.41
23.60
BDX UN Equity
BECTON DICKINSON AND CO
2.54%
10.12.2012
17.28
15.83
15.69
23.67
28.17
28.85
29.02
30.14
0.001
0.001
3.30%
14.11.2012
21.98
18.30
17.68
19.89
13.94
13.58
13.82
15.63
16.73
23.40
38.72
39.02
23.72
24.17
0.002
0.022
0.015
0.010
0.005
0.002
-0.420 -0.305 -0.249 -0.175 -0.164 -0.149 -0.145 0.018
0.013
0.008
0.003
0.002
23.54
-0.441 -0.355 -0.232 -0.182 -0.135
0.014
0.011
0.009
0.003
0.001
24.32
-0.165 -0.122 -0.177 -0.156 -0.136
0.006
0.007
0.007
0.003
0.002
-0.178 -0.217 -0.231
0.001
Health Care
76.51
BBBY UW Equity BED BATH & BEYOND INC
Consumer Discretionary
60.32
BMS UN Equity
Materials
32.17
BRK/B UN Equity BERKSHIRE HATHAWAY INC-CL B
Financials
89.11
BBY UN Equity
BEST BUY CO INC
Consumer Discretionary
56.28
64.69
59.27
51.11
44.55
BIG UN Equity
BIG LOTS INC
Consumer Discretionary
30.84
29.32
32.03
33.85
37.96
36.54
38.18
41.95
-0.230 -0.201 -0.190 -0.167 -0.236 -0.250 -0.184 0.006
0.005
0.004
0.000
0.009
0.009
0.003
BIIB UW Equity
BIOGEN IDEC INC
Health Care
149.41
34.32
30.47
29.05
28.11
29.79
30.70
31.12
-0.168 -0.092 -0.086 -0.186 -0.178 -0.159 -0.147 0.006
0.002
0.001
0.001
0.001
0.001
0.001
BLK UN Equity
BLACKROCK INC
Financials
185.37
23.00
23.20
23.42
24.35
26.98
-0.414 -0.333 -0.301 -0.300 -0.238
0.016
0.009
0.006
0.004
0.002
BMC UW Equity
BMC SOFTWARE INC
Information Technology
41.50
35.03
31.83
30.99
30.26
28.14
26.73
25.81
-0.065 -0.124 -0.178 -0.205 -0.218 -0.210 -0.184 0.014
0.005
0.003
0.002
0.001
0.001
0.001
BA UN Equity
BOEING CO/THE
Industrials
72.25
20.70
20.03
20.73
22.60
24.35
25.27
25.77
-0.271 -0.225 -0.223 -0.208 -0.177 -0.158 -0.141 0.019
0.011
0.008
0.004
0.002
0.001
0.001
BWA UN Equity
BORGWARNER INC
Consumer Discretionary
66.85
38.00
35.26
34.61
35.36
-0.319 -0.297 -0.270 -0.186
0.007
0.005
0.005
0.004
BXP UN Equity
BOSTON PROPERTIES INC
Financials
18.77
17.61
17.74
19.90
21.35
-0.303 -0.304 -0.307 -0.339 -0.237
0.004
0.007
0.007
0.005
0.003
BSX UN Equity
BOSTON SCIENTIFIC CORP
Health Care
5.63
0.125 -0.043 -0.135 -0.157 -0.112 -0.103 -0.089 0.021
BMY UN Equity
BRISTOL-MYERS SQUIBB CO
-0.462 -0.228 -0.202 -0.219 -0.189
BEMIS COMPANY
17.48
109.87
3.95%
3.56% 2.60%
03.01.2013
05.12.2012 07.11.2012
2.26%
28.12.2012
30.60
30.89
28.77
28.49
29.23
31.22
32.07
33.47
35.36
Health Care
33.93
4.13%
02.01.2013
17.34
16.13
15.87
17.90
19.71
BRCM UW Equity BROADCOM CORP-CL A
Information Technology
33.12
1.30%
28.11.2012
34.45
30.71
31.63
35.01
36.34
37.18
37.63
BF/B UN Equity
BROWN-FORMAN CORP-CLASS B
Consumer Staples
66.58
1.60%
06.12.2012
15.31
15.92
16.34
CA UW Equity
CA INC
Information Technology
24.97
4.01%
23.11.2012
26.60
22.64
22.34
23.94
25.14
25.85
26.22
CVC UN Equity
CABLEVISION SYSTEMS-NY GRP-A
Consumer Discretionary
17.73
3.38%
08.11.2012
34.97
32.21
30.65
COG UN Equity
CABOT OIL & GAS CORP
Energy
44.29
0.25%
14.11.2012
41.88
39.70
39.29
40.37
40.24
40.20
40.30
CAM UN Equity
CAMERON INTERNATIONAL CORP
Energy
53.81
34.73
32.26
32.75
34.83
36.99
37.93
38.07
CPB UN Equity
CAMPBELL SOUP CO
Consumer Staples
34.83
3.56%
27.12.2012
12.70
13.61
14.35
16.18
15.45
15.73
17.26
COF UN Equity
CAPITAL ONE FINANCIAL CORP
Financials
57.60
0.87%
09.11.2012
27.11
24.96
25.82
27.69
CAH UN Equity
CARDINAL HEALTH INC
Health Care
41.61
2.44%
26.12.2012
20.60
19.08
18.90
20.59
CFN UN Equity
CAREFUSION CORP
Health Care
27.86
25.72
23.22
23.12
KMX UN Equity
CARMAX INC
Consumer Discretionary
32.99
29.02
30.54
31.01
31.04
CCL UN Equity
CARNIVAL CORP
Consumer Discretionary
37.28
2.68%
20.02.2013
21.99
23.04
23.78
25.69
28.36
29.87
30.93
CAT UN Equity
CATERPILLAR INC
Industrials
82.81
2.58%
17.01.2013
28.27
25.96
26.44
29.06
30.28
30.89
31.31
CBG UN Equity
CBRE GROUP INC - A
Financials
18.91
40.49
37.15
36.75
CBS UN Equity
CBS CORP-CLASS B NON VOTING
Consumer Discretionary
34.03
31.66
30.14
29.43
30.82
32.50
CELG UW Equity CELGENE CORP
Health Care
77.97
CNP UN Equity
CENTERPOINT ENERGY INC
Utilities
CTL UN Equity
CENTURYLINK INC
0.002
0.005
0.005
-0.062 -0.175 -0.193 -0.177 -0.158 -0.141 -0.126 0.005
0.006
0.005
0.002
0.000 -0.278 -0.341 -0.188
0.000
0.008
0.009
0.005
-0.123 -0.413 -0.376 -0.291 -0.231
0.011
0.017
0.013
0.006
0.004
0.502
-0.004 -0.004 -0.001 0.001
0.002
0.102 -0.068 -0.179 -0.264
0.019
0.015
0.006
0.004
0.003
0.002
0.017
0.015
0.014
0.004
0.001
-0.177 -0.171 -0.169 -0.165 -0.144 -0.127 -0.115 0.008
0.006
0.005
0.002
0.001
0.001
0.001
-0.058 -0.247 -0.223
0.003
0.002
0.001
0.001
0.000
0.006
0.006
-0.272 -0.265 -0.246 -0.189 -0.150 -0.133 -0.121 0.003
0.005
0.005
-0.364 -0.298 -0.271
0.006
0.001
0.004
-0.228 -0.204 -0.199 -0.212 -0.191 -0.168 -0.146 0.005
0.003
0.002
0.002
0.001
0.001
0.001
-0.488 -0.334 -0.285 -0.243 -0.190 -0.164 -0.145 0.012
0.006
0.004
0.002
0.001
0.001
0.001
-0.170 -0.197 -0.212 -0.215 -0.196 -0.116 0.012
0.003
0.005
0.005
0.005
0.009
0.011
0.012
29.37
-0.429 -0.297 -0.293 -0.247 -0.195
0.012
0.010
0.005
0.002
0.001
21.99
-0.378 -0.370 -0.307 -0.249 -0.195
0.008
0.010
0.007
0.002
0.001
-0.269 -0.326 -0.302
0.007
0.009
0.008
-0.234 -0.282 -0.283 -0.232
0.005
0.005
0.004
0.002
-0.229 -0.252 -0.244 -0.203 -0.157 -0.137 -0.125 0.004
0.007
0.007
0.003
0.002
0.001
0.001
-0.173 -0.184 -0.185 -0.169 -0.137 -0.122 -0.114 0.013
0.007
0.004
0.002
0.001
0.001
0.001
-0.389 -0.333 -0.301
0.006
0.004
0.003
-0.240 -0.224 -0.195 -0.192 -0.170
0.008
0.006
0.004
0.002
0.001
1.41%
07.12.2012
30.25
29.24
28.85
28.53
28.25
28.67
29.41
-0.409 -0.338 -0.304 -0.257 -0.209 -0.183 -0.163 0.018
0.011
0.008
0.004
0.002
0.002
0.001
21.40
3.86%
16.11.2012
20.22
17.74
17.13
17.76
19.97
20.65
20.75
-0.149 -0.047 -0.029 -0.117 -0.125 -0.069 -0.025 0.001
0.013
0.015
0.008
0.002
0.001
0.000
Telecommunication Services 38.79
7.48%
07.12.2012
20.51
18.26
17.63
18.60
20.49
21.58
22.29
-0.347 -0.334 -0.302 -0.249 -0.170 -0.137 -0.124 0.007
0.011
0.010
0.005
0.003
0.002
0.002
36.83
33.00
31.67
31.93
32.22
-0.191 -0.177 -0.166 -0.180 -0.160
0.010
0.004
0.004
0.001
0.001
CERN UW Equity CERNER CORP
Health Care
CF UN Equity
Materials
209.77
0.79%
13.11.2012
33.38
30.28
30.70
34.21
36.38
37.36
38.00
-0.324 -0.256 -0.230 -0.196 -0.160 -0.140 -0.126 0.011
0.005
0.003
0.001
0.001
0.001
0.001
CHRW UW Equity C.H. ROBINSON WORLDWIDE INC
Industrials
60.36
2.39%
19.12.2012
30.54
25.62
24.56
24.93
25.37
25.87
26.19
-0.376 -0.305 -0.278 -0.240 -0.184 -0.158 -0.139 0.010
0.009
0.007
0.003
0.002
0.001
0.001
SCHW UN Equity SCHWAB (CHARLES) CORP
Financials
13.03
1.84%
07.11.2012
29.06
26.86
28.11
30.18
31.59
-0.001 0.008
0.002
0.002
0.001
CHK UN Equity
CHESAPEAKE ENERGY CORP
Energy
20.03
1.87%
10.01.2013
39.67
38.95
39.02
40.24
41.62
0.002
0.001
CVX UN Equity
CHEVRON CORP
Energy
112.82
3.37%
16.11.2012
16.59
16.45
16.96
18.75
CMG UN Equity
CHIPOTLE MEXICAN GRILL INC
Consumer Discretionary
295.14
46.77
41.05
37.80
38.50
CB UN Equity
CHUBB CORP
Financials
77.59
2.19%
19.12.2012
16.43
14.97
14.75
15.91
17.58
CI UN Equity
CIGNA CORP
Health Care
49.98
0.10%
08.03.2013
27.49
24.48
23.75
24.98
27.10
CINF UW Equity
CINCINNATI FINANCIAL CORP
Financials
38.65
4.23%
17.12.2012
15.61
18.09
18.48
CTAS UW Equity CINTAS CORP
Industrials
42.00
1.74%
13.11.2012
15.97
17.61
18.78
21.37
23.55
23.67
CSCO UW Equity CISCO SYSTEMS INC
Information Technology
18.55
3.13%
31.12.2012
34.00
29.05
26.97
27.63
29.09
29.91
C UN Equity
Financials
36.66
0.22%
01.11.2012
30.01
30.52
31.92
33.82
35.42
CTXS UW Equity CITRIX SYSTEMS INC
Information Technology
66.79
47.60
44.48
42.34
43.18
43.59
CLF UN Equity
CLIFFS NATURAL RESOURCES INC
Materials
41.14
6.08%
14.11.2012
52.70
49.64
48.49
49.60
51.36
52.61
CLX UN Equity
CLOROX COMPANY
Consumer Staples
74.33
3.51%
22.01.2013
15.48
14.39
14.30
14.72
15.86
16.44
CME UW Equity
CME GROUP INC
Financials
56.86
3.17%
19.12.2012
21.83
20.08
20.99
23.50
25.07
CMS UN Equity
CMS ENERGY CORP
Utilities
23.81
4.29%
31.10.2012
16.29
16.41
16.20
COH UN Equity
COACH INC
Consumer Discretionary
55.51
2.41%
06.12.2012
46.53
39.29
37.94
38.24
38.09
38.34
KO UN Equity
COCA-COLA CO/THE
Consumer Staples
38.13
2.87%
30.11.2012
15.41
15.05
15.27
16.46
18.17
18.99
CCE UN Equity
COCA-COLA ENTERPRISES
Consumer Staples
31.91
2.19%
21.11.2012
21.43
21.45
21.92
22.93
24.15
24.71
CTSH UW Equity COGNIZANT TECH SOLUTIONS-A
Information Technology
69.80
35.22
30.34
29.05
30.41
32.36
CL UN Equity
Consumer Staples
CF INDUSTRIES HOLDINGS INC
CITIGROUP INC
COLGATE-PALMOLIVE CO
72.75
-0.168 -0.227 -0.222 -0.243 -0.193 42.85
44.10
-0.325 -0.278 -0.258 -0.245 -0.202 -0.184 -0.178 0.013
0.008
0.007
0.004
0.002
20.56
-0.407 -0.316 -0.271 -0.248 -0.206
0.015
0.012
0.011
0.005
0.003
38.00
-0.311 -0.279 -0.260 -0.208 -0.176
0.007
0.003
0.003
0.001
0.001
-0.594 -0.450 -0.379 -0.298 -0.222
0.020
0.013
0.010
0.006
0.004
-0.182 -0.231 -0.227 -0.179 -0.141 -0.125 -0.115 0.010
0.008
0.007
0.003
0.001
0.001
0.001
0.000 -0.177 -0.219
0.000
0.002
0.004
23.16
-0.313 -0.206 -0.181 -0.186 -0.146 -0.121 -0.112 0.007
0.011
0.010
0.004
0.002
0.002
0.001
30.50
-0.232 -0.222 -0.214 -0.168 -0.137 -0.121 -0.114 0.009
0.006
0.006
0.003
0.001
0.001
0.001
-0.365 -0.330 -0.282 -0.201 -0.156
0.013
0.008
0.005
0.002
0.001
-0.161 -0.231 -0.226 -0.180 -0.143
0.007
0.005
0.003
0.001
0.001
53.72
-0.381 -0.215 -0.221 -0.177 -0.153 -0.141 -0.130 0.007
0.005
0.004
0.002
0.001
0.001
0.001
16.84
-0.218 -0.283 -0.287 -0.216 -0.178 -0.154 -0.132 0.004
0.008
0.009
0.004
0.002
0.002
0.001
-0.390 -0.379 -0.329 -0.247 -0.207
0.013
0.011
0.008
0.005
0.003
0.000
0.000
0.000
0.001
38.44
-0.263 -0.241 -0.229 -0.196 -0.152 -0.131 -0.119 0.003
0.003
0.003
0.001
0.001
0.001
0.001
19.38
-0.374 -0.328 -0.272 -0.181 -0.128 -0.111 -0.106 0.018
0.013
0.010
0.005
0.002
0.001
0.001
24.83
-0.521 -0.344 -0.270 -0.211 -0.156 -0.132 -0.121 0.017
0.012
0.009
0.005
0.002
0.001
0.001
33.60
34.62
-0.351 -0.323 -0.300 -0.234 -0.170 -0.148 -0.141 0.004
0.006
0.005
0.003
0.001
0.001
0.001
28.05
28.54
0.012 -0.050
108.46
2.40%
18.01.2013
14.12
13.34
14.05
15.89
17.62
18.59
19.08
-0.503 -0.430 -0.369 -0.261 -0.191 -0.159 -0.142 0.017
0.013
0.010
0.006
0.003
0.002
0.002
CMCSA UW EquityCOMCAST CORP-CLASS A
Consumer Discretionary
36.43
2.05%
31.12.2012
21.49
20.57
20.63
22.09
24.60
25.87
26.63
-0.321 -0.285 -0.265 -0.245 -0.200 -0.179 -0.169 0.009
0.008
0.007
0.004
0.002
0.001
0.001
CMA UN Equity
COMERICA INC
Financials
30.88
2.27%
14.12.2012
25.96
24.91
24.87
26.16
28.35
29.35
29.91
-0.551 -0.350 -0.258 -0.195 -0.171 -0.146 -0.119 0.022
0.012
0.008
0.004
0.002
0.002
0.001
CSC UN Equity
COMPUTER SCIENCES CORP
Information Technology
31.75
2.52%
18.12.2012
41.72
35.13
32.99
34.97
35.53
-0.301 -0.259 -0.230 -0.214 -0.182
0.014
0.009
0.007
0.003
0.001
CAG UN Equity
CONAGRA FOODS INC
Consumer Staples
28.41
3.52%
30.01.2013
14.14
15.71
15.49
15.36
16.69
-0.053 -0.319 -0.299 -0.181 -0.149
0.001
0.012
0.009
0.005
0.002
COP UN Equity
CONOCOPHILLIPS
Energy
56.79
3.70%
21.02.2013
18.16
17.23
17.99
20.24
21.86
22.58
22.98
-0.477 -0.393 -0.334 -0.250 -0.196 -0.161 -0.144 0.016
0.011
0.008
0.005
0.003
0.002
0.002
CNX UN Equity
CONSOL ENERGY INC
Energy
34.36
1.46%
09.11.2012
47.43
44.94
44.10
43.41
42.45
42.57
43.17
-0.354 -0.331 -0.310 -0.244 -0.179 -0.152 -0.138 0.008
0.005
0.004
0.002
0.001
0.001
0.001
ED UN Equity
CONSOLIDATED EDISON INC
Utilities
59.82
4.07%
13.11.2012
11.41
11.43
11.81
12.81
14.55
15.46
15.98
-0.189 -0.223 -0.242 -0.210 -0.152 -0.134 -0.125 0.004
0.008
0.008
0.006
0.003
0.002
0.002
STZ UN Equity
CONSTELLATION BRANDS INC-A
Consumer Staples
35.56
29.41
33.87
34.98
34.70
33.51
32.81
32.26
-0.530 -0.350 -0.286 -0.228 -0.156 -0.156 -0.195 0.017
0.008
0.005
0.002 -0.001 -0.001 0.001
CBE UN Equity
COOPER INDUSTRIES PLC
Industrials
73.72
0.28%
27.02.2013
15.99
15.54
15.24
14.41
-0.216 -0.145 -0.111 -0.055
0.002
0.002
0.001
0.001
Information Technology Consumer Staples
13.08 96.51
2.75% 1.22%
27.02.2013 07.11.2012
32.56 17.97
28.80 17.96
29.17 18.17
31.72 18.83
-0.285 -0.215 -0.191 -0.161 -0.125 -0.109 -0.101 0.016 -0.210 -0.258 -0.262 -0.217 -0.170 -0.145 -0.129 0.008
0.011 0.010
0.007 0.009
0.003 0.004
GLW UN Equity CORNING INC COST UW Equity COSTCO WHOLESALE CORP
32.97 20.44
33.56 21.29
33.77 21.81
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.001 0.002
0.001 0.002
0.001 0.001
16.10.2012
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 INC 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 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 43.70 Health Care 57.67 Health Care 101.22 Telecommunication Services 67.05 Industrials 21.45 Industrials 89.06 Consumer Staples 47.07 Industrials 56.29 Consumer Discretionary 54.18 Health Care 109.00 Consumer Staples 15.05 Industrials 83.23 Information Technology 9.76 Energy 16.21 Health Care 37.46 Energy 60.96 Consumer Discretionary 23.42 Energy 67.48 Consumer Discretionary 50.52 Financials 39.39 Consumer Discretionary 61.53 Consumer Discretionary 40.52 Utilities 52.76 Industrials 56.11 Materials 28.32 Consumer Discretionary 20.66 Consumer Staples 43.66 Utilities 60.78 Utilities 64.56 Industrials 82.59 Financials 9.16 Materials 55.66 Industrials 45.20 Information Technology 47.40 Materials 67.87 Utilities 47.05 Health Care 87.29 Materials 49.01 Information Technology 13.70 Health Care 52.53 Information Technology 25.73 Industrials 48.40 Energy 55.85 Utilities 70.01 Energy 110.25 Energy 59.89 Industrials 49.78 Financials 56.21 Consumer Staples 63.43 Utilities 36.56 Consumer Discretionary 54.49 Industrials 35.00 Health Care 63.70 Energy 91.51 Information Technology 98.31 Consumer Discretionary 66.54 Industrials 45.55 Financials 20.77 Industrials 90.65 Information Technology 32.35 Financials 15.37 Financials 9.59 Information Technology 22.25 Utilities 45.11 Information Technology 75.21 Information Technology 19.52 Industrials 128.56 Industrials 57.35 Materials 54.34 Energy 44.30 Consumer Discretionary 10.22 Health Care 36.60 Consumer Discretionary 85.09 Financials 128.79 Materials 40.29 Telecommunication Services 4.81 Consumer Discretionary 22.78 Consumer Discretionary 17.85 Consumer Discretionary 36.28 Industrials 66.16 Industrials 22.64 Consumer Staples 39.30 Consumer Discretionary 61.36 Financials 5.51 Health Care 67.32 Financials 124.50 Consumer Discretionary 12.40 Information Technology 740.98 Consumer Discretionary 17.03 Energy 33.84 Consumer Discretionary 41.86 Consumer Discretionary 43.08 Information Technology 46.86 Financials 21.56 Consumer Discretionary 37.75 Financials 45.52 Financials 59.70 Energy 50.31 Consumer Staples 70.31 Energy 52.94 Information Technology 14.47 Consumer Staples 56.99 Consumer Discretionary 60.65 Industrials 60.85 Consumer Staples 29.06 Health Care 32.26 Financials 15.77 Financials 8.09 Health Care 74.73 Financials 6.99 Industrials 58.87 Industrials 44.49 Utilities 54.91 Information Technology 21.72 Financials 129.01 Information Technology 208.93 Materials 61.10 Consumer Discretionary 12.91 Materials 37.59 Consumer Discretionary 11.45 Information Technology 60.11 Health Care 512.53 Financials 24.74 Industrials 35.95 Information Technology 17.12 Industrials 40.01
Dividend Yield
Next ExDividend Date
1.14% 1.86% 0.80%
19.12.2012 24.01.2013 17.01.2013
2.80% 2.30% 1.62% 0.19% 3.91%
19.02.2013 14.11.2012 23.01.2013 28.12.2012 09.01.2013
2.52% 3.28%
28.12.2012 10.12.2012
0.63% 1.46% 1.45% 0.74%
29.03.2013 15.03.2013 05.12.2012 01.11.2012
1.22%
26.12.2012
4.20% 2.56% 4.73% 0.73% 3.25% 4.13% 4.76% 1.91%
28.11.2012 28.11.2012 28.12.2012 30.11.2012 20.12.2012 20.12.2012 07.11.2012 28.11.2012
2.01% 2.79%
13.12.2012 07.02.2013
1.41% 2.81%
21.12.2012 28.12.2012
3.51%
14.11.2012
3.73%
13.02.2013
3.72% 2.82% 4.74% 0.48% 1.52% 1.45% 3.19% 1.10% 5.74% 0.95% 1.71%
07.11.2012 06.12.2012 09.11.2012 16.01.2013 31.10.2012 23.11.2012 20.12.2012 21.11.2012 13.11.2012 16.11.2012 30.11.2012
2.67%
09.11.2012
1.40% 1.89% 4.62% 0.66% 2.47% 2.99% 1.25%
13.12.2012 28.01.2013 08.11.2012 13.12.2012 14.12.2012 28.12.2012 12.12.2012
4.88%
07.02.2013
1.54% 1.21% 1.12% 0.75%
23.11.2012 28.12.2012 28.11.2012 28.12.2012
3.42%
25.01.2013
0.93% 2.57% 8.35% 4.39% 4.65% 1.48% 3.26% 3.53% 3.51% 3.45% 2.72%
28.12.2012 09.01.2013 07.12.2012 29.11.2012 05.12.2012 04.01.2013 16.01.2013 20.12.2012 10.01.2013 12.12.2012 14.11.2012
1.61%
01.03.2013
4.70% 1.33% 1.62% 1.51% 3.22% 2.27% 4.03% 4.59% 5.11% 0.62% 2.29% 0.76% 3.76% 3.77% 2.16% 2.76% 2.32%
21.12.2012 30.11.2012 28.12.2012 01.11.2012 16.11.2012 30.11.2012 01.02.2013 08.11.2012 08.11.2012 13.02.2013 23.11.2012 20.12.2012 10.12.2012 18.12.2012 27.11.2012 14.11.2012 16.01.2013
2.47% 2.97% 1.45% 2.58% 2.65% 1.84% 4.95% 4.30%
28.12.2012 07.11.2012 28.12.2012 14.12.2012 28.12.2012 12.03.2013 30.11.2012 06.02.2013
1.72% 2.26% 2.32% 3.19% 2.71% 1.08%
09.11.2012 28.12.2012 21.12.2012 13.02.2013 12.12.2012 04.01.2013
3.01% 3.00% 2.10%
16.11.2012 26.12.2012 15.11.2012
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 17.17 22.38 22.94 24.26 25.54 32.77 17.44 21.07 21.76 28.62 53.44 21.04 39.63 41.16 27.89 27.96 55.36 23.20 22.69 22.93 24.40 36.15 13.44 26.54 27.09 40.02 20.55 12.53 12.59 30.62 41.84 30.47 28.53 36.04 20.52 13.71 36.18 19.55 43.55 23.25 31.50 22.43 29.31 12.51 34.61 28.90 31.81 20.18 31.16 13.78 60.57 27.18 29.02 14.35 58.78 24.66 26.39 34.46 20.70 20.13 25.87 35.68 90.38 14.80 16.80 29.83 26.53 31.65 27.98 31.85 27.75 31.80 72.40 23.12 34.95 37.99 48.76 30.94 31.83 19.86 18.49 11.51 22.26 54.85 35.89 26.77 46.04 30.41 21.63 30.77 33.97 42.78 31.48 33.45 27.87 18.44 14.85 38.36 16.86 33.82 35.70 15.86 21.33 22.61 23.19 33.88 26.27 20.92 37.80 25.56 21.72 29.61 15.09 26.81 23.72 20.14 22.16 38.76 30.06 38.36 24.29 38.72 29.46 24.54 34.35 29.39
13.74 19.89 20.08 22.51 23.33 31.00 17.30 20.34 22.89 25.10 46.18 22.84 36.07 39.57 25.47 26.89 48.79 22.50 21.48 23.82 22.74 31.40 12.78 25.57 26.37 37.39 19.70 11.66 12.38 26.37 39.63 28.26 26.22 33.34 19.02 13.13 33.77 19.25 43.00 20.91 30.07 21.44 28.11 12.84 32.80 27.38 27.42 19.05 27.17 13.78 51.29 24.90 25.60 13.65 50.45 25.43 26.41 30.79 21.78 19.97 25.53 34.67 80.79 13.96 16.22 27.94 25.24 30.03 25.65 30.43 26.09 29.60 57.44 21.78 33.64 38.54 45.78 29.67 29.63 18.63 18.08 12.20 20.94 51.67 32.71 26.85 40.97 26.24 23.13 29.85 30.03 39.06 27.37 32.17 24.98 17.31 14.42 36.92 14.73 31.40 36.68 15.16 20.20 20.86 23.03 28.29 25.97 17.32 31.35 26.65 20.88 27.82 15.41 23.58 22.61 17.83 20.53 35.40 28.94 37.35 22.19 33.54 27.00 22.29 37.81 27.75
12.59 19.58 19.28 22.17 23.44 30.92 18.03 20.28 23.39 24.12 44.05 22.92 34.78 39.52 24.72 26.82 46.73 23.17 21.10 24.42 22.53 30.00 12.78 25.54 26.67 37.35 19.52 11.46 12.72 24.76 39.28 28.54 25.89 32.59 18.86 13.29 33.69 19.62 42.66 20.00 29.97 21.28 28.36 13.24 32.45 27.37 25.60 19.04 26.02 14.27 48.07 24.56 25.48 13.95 47.65 25.90 27.01 30.33 22.38 19.97 25.67 34.33 76.36 14.30 16.54 27.21 25.40 29.81 25.26 30.10 26.12 28.21 53.26 21.82 33.72 36.77 45.02 29.78 28.77 18.77 19.05 12.43 20.63 50.86 31.64 27.01 39.74 25.22 23.71 29.96 30.12 38.14 26.07 31.49 24.39 17.35 14.95 36.18 14.76 31.53 36.99 14.88 20.15 21.03 21.47 27.74 26.66 16.60 29.56 26.92 20.93 27.68 15.77 24.38 22.63 17.45 20.11 34.30 28.99 37.33 21.96 31.89 26.90 21.63 37.22 27.62
13.07 21.46 19.82 22.98 25.70 33.86 19.81 22.18 24.44 24.75 43.88 25.38 35.10 24.60 27.93 46.14 25.45 23.20 25.96 23.69 29.68 13.83 28.57 39.04 19.92 12.00 13.74 23.72 40.65 30.98 27.44 32.91 20.18 14.75 33.26 20.64 42.14 19.03 31.32 22.96 30.63 14.98 33.28 23.29 20.98 26.97 15.64 47.25 26.17 27.75 15.60 47.26 27.15 28.60 31.61 23.60 20.43 27.10 34.18 75.05 15.74 18.05 27.09 27.67 30.89 26.22 30.61 28.20 25.52 57.47 23.70 35.41 35.46 45.61 31.98 30.09 20.22 20.30 12.88 20.99 55.31 29.90 27.60 41.35 26.16 25.08 31.58 32.52 38.97 26.06 31.89 25.42 18.65
12.90 23.81 24.26 27.81 35.81 21.57 24.06 26.02 43.84 27.00 36.40
30.10
12.83 24.96
12.87 25.67
28.87
29.52
22.69
23.45
27.00
27.80
37.35
30.94
38.32
31.23
27.49 25.27 28.38
29.72
30.65
30.06
30.39
30.60
29.99 39.00
39.11
39.49
15.63
16.73
17.50
40.80 32.99 29.52 34.53
40.97
41.22
30.79 35.48
31.81 36.12
23.75
24.47
18.66 32.82
18.83 33.25
35.63
36.06
32.77 22.67 41.63 18.63 32.29 24.62 32.38 16.93 34.87
28.20 18.38 47.07 27.83 29.16 17.60 47.36 27.42 29.86
29.17 19.09 46.92 28.38 29.71 18.44 47.84 27.34 30.52
30.13 19.05 46.74 28.62 29.98 18.89 48.49 27.14 31.00
25.67
27.07
28.23
28.70
29.04
29.04
72.79 18.13 19.77
18.88
19.05
32.75
33.96
34.91
25.68
24.97
37.44 37.27 46.37 31.72
37.80 41.41 46.35 32.35
23.39
24.03
16.31
16.92
30.38 25.83 56.88 26.43 36.84 33.92 46.26 31.58 31.16 22.25 21.97 15.15 56.75 28.86 28.56 42.82 27.29 27.47 33.19 34.65
32.92 27.52
28.64 29.26 43.67
28.48 29.86 44.37
28.84 34.31 35.85
29.91 35.31 36.50
28.55
29.11
37.63 16.30 33.27 38.02 15.94 21.48 23.18
39.09 34.34 40.70 16.85 23.49 25.02
35.05 42.07
35.57 42.76
24.56
25.27
29.83 29.75 18.81 29.41 27.01 22.98 29.89 16.68 24.38 24.58 18.64 20.43 34.08 29.91 38.36 23.85 31.99 29.15 22.00 38.19 29.09
30.87
30.69
30.03
29.76 29.32 24.89 31.97
30.17 30.65
30.47 31.47
25.47 26.73 20.90
26.39
27.09
21.86
22.31
35.68 30.79 38.52 26.14 32.73
36.86 31.47 38.33 27.04 33.07
37.76 32.13 38.07 27.47 33.23
22.52 39.98
23.13
23.66
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Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
-0.079 -0.285 -0.219 -0.350 -0.244 -0.234 -0.317 -0.348 -0.282 -0.360 -0.311 -0.232 -0.092 -0.241 -0.242 -0.235 -0.166 -0.296 -0.242 -0.283 -0.239 -0.156 -0.369 -0.342 -0.294 -0.242 -0.194 -0.331 -0.310 -0.307 -0.114 -0.342 -0.313 -0.211 -0.314 -0.302 -0.157 -0.308 -0.150 -0.104 -0.263 -0.298 -0.272 -0.269 -0.284 -0.249 -0.308 -0.210 -0.245 -0.267 -0.241 -0.228 -0.258 -0.246 -0.188 -0.199 -0.315 -0.275 -0.264 -0.304 -0.237 -0.198 -0.212 -0.152 -0.377 -0.151 -0.296 -0.310 -0.354 -0.286 -0.054 -0.037 -0.224 -0.359 -0.221 -0.412 -0.158 -0.218 -0.229 -0.359 -0.321 -0.362 -0.285 -0.183 -0.184 -0.247 -0.305 -0.159 -0.455 -0.221 -0.265 -0.277 -0.230 -0.244 -0.185 -0.197 -0.331 -0.253 -0.258 -0.231 -0.195 -0.261 -0.280 -0.337 -0.128 -0.109 -0.295 -0.765 -0.169 -0.132 -0.343 -0.271 -0.310 -0.219 -0.284 -0.237 -0.305 -0.200 -0.298 -0.018 -0.214 -0.208 -0.216 -0.272 -0.163 -0.301
-0.248 -0.240 -0.199 -0.319 -0.208 -0.190 -0.247 -0.260 -0.248 -0.262 -0.226 -0.215 -0.114 -0.225 -0.210 -0.140 -0.239 -0.225 -0.241 -0.181 -0.117 -0.253 -0.252 -0.170 -0.165 -0.291 -0.171 -0.268 -0.182 -0.236 -0.244 -0.174 -0.302 -0.215 -0.159 -0.275 -0.165 -0.153 -0.179 -0.277 -0.213 -0.202 -0.253 -0.186 -0.240 -0.196 -0.198 -0.184 -0.213 -0.218 -0.252 -0.158 -0.186 -0.264 -0.241 -0.224 -0.263 -0.199 -0.189 -0.188 -0.208 -0.282 -0.241 -0.225 -0.244 -0.268 -0.285 -0.115 -0.140 -0.209 -0.294 -0.184 -0.102 -0.160 -0.197 -0.194 -0.268 -0.236 -0.232 -0.228 -0.111 -0.153 -0.220 -0.217 -0.146 -0.370 -0.197 -0.217 -0.249 -0.229 -0.201 -0.200 -0.238 -0.209 -0.140 -0.199 -0.156 -0.204 -0.235 -0.261 -0.142 -0.227 -0.212 -0.158 -0.093 -0.284 -0.215 -0.268 -0.177 -0.236 -0.231 -0.256 -0.172 -0.224 -0.125 -0.198 -0.174 -0.286 -0.206 -0.154 -0.256
-0.146 -0.111 -0.113 0.001 -0.172 -0.146 -0.137 0.009 0.008 -0.237 0.012 -0.166 -0.148 -0.140 0.003 -0.154 0.008 -0.202 -0.180 -0.163 0.017 -0.204 0.006 -0.183 -0.148 -0.124 0.002 0.027 -0.176 0.010 -0.180 0.017 -0.091 -0.080 -0.078 0.012 0.005 0.000 -0.174 -0.153 -0.139 0.008 0.003 -0.193 0.007 -0.198 0.017 -0.188 -0.161 -0.144 0.004 0.013 -0.117 -0.108 -0.097 0.003 0.002 0.005 -0.200 0.011 -0.119 -0.101 -0.097 0.008 0.003 0.000 -0.142 -0.131 -0.126 0.003 0.001 -0.196 -0.170 -0.134 0.008 -0.180 0.010 -0.184 -0.158 -0.144 0.004 -0.147 -0.133 -0.123 0.007 0.004 0.001 -0.131 0.011 -0.207 -0.172 -0.154 0.011 -0.141 0.018 -0.146 -0.130 -0.114 0.010 -0.131 -0.118 -0.115 0.013 -0.217 0.010 -0.165 0.011 -0.144 0.003 -0.214 -0.191 -0.173 0.009 0.005 0.000 0.010 -0.147 -0.139 -0.147 0.006 -0.138 -0.114 -0.097 0.006 -0.149 -0.133 -0.122 0.006 -0.155 -0.134 -0.128 0.004 -0.171 -0.146 -0.129 0.009 -0.214 -0.185 -0.165 0.013 -0.123 -0.104 -0.090 0.000 -0.157 -0.144 -0.138 0.004 -0.198 -0.170 -0.157 0.014 -0.001 -0.172 -0.149 -0.137 0.012 0.021 -0.155 -0.124 -0.089 0.008 0.001 -0.149 0.003 -0.147 -0.122 -0.095 0.002 -0.240 0.010 0.002 0.008 -0.180 -0.152 -0.136 0.004 0.014 0.008 -0.102 0.006 -0.131 -0.111 -0.105 0.015 -0.162 -0.001 -0.217 0.007 -0.143 -0.129 -0.125 0.008 -0.107 -0.213 -0.535 0.022 -0.145 -0.123 -0.096 0.010 -0.169 -0.145 -0.120 0.002 -0.155 0.013 -0.208 -0.184 -0.167 0.008 -0.186 0.017 -0.145 -0.125 -0.127 0.016 0.017 -0.081 0.020 -0.119 -0.111 -0.118 0.013 -0.177 -0.150 -0.129 0.015 -0.167 -0.150 -0.143 0.003 -0.114 0.004 -0.284 -0.240 -0.203 0.001 -0.155 -0.139 -0.134 0.007 -0.169 -0.145 -0.130 0.005 0.014 -0.001 -0.172 0.019 -0.121 -0.084 -0.084 0.003 0.003 0.009 -0.170 0.005 0.017 -0.164 -0.145 -0.132 0.010 -0.102 -0.083 -0.075 0.008 -0.174 0.000 -0.185 -0.165 -0.150 0.015 -0.209 0.011 0.002 -0.113 -0.099 -0.094 0.007 0.001 0.000 -0.133 -0.121 -0.116 0.012 -0.084 -0.080 -0.070 0.019 -0.218 0.017 -0.169 0.010 0.022 -0.141 -0.118 -0.107 0.016 -0.203 0.015 -0.189 -0.165 -0.150 0.011 0.005 -0.141 -0.126 -0.117 0.005 -0.172 -0.148 -0.134 0.011 -0.117 -0.102 -0.094 0.002 -0.158 -0.142 -0.134 0.008 -0.139 -0.121 -0.110 0.007 0.002 -0.193 -0.160 -0.155 0.005 -0.127 0.003 0.008
0.001 0.010 0.006 0.008 0.004 0.006 0.012 0.009 0.005 0.015 0.006 0.009 0.009 0.007 0.004 0.006 0.002 0.007 0.010 0.006 0.008 0.005 0.011 0.009 0.008 0.003 0.004 0.012 0.010 0.002 0.009 0.008 0.008 0.006 0.006 0.009 0.006 0.011 0.008 0.009 0.008 0.009 0.008 0.005 0.006 0.005 0.005 0.013 0.005 0.010 0.004 0.006 0.004 0.015 0.001 0.003 0.011 0.005 0.007 0.015 0.003 0.003 0.002 0.002 0.010 0.000 0.006 0.004 0.009 0.004 0.007 0.010 0.002 0.007 0.005 0.013 0.005 0.005 0.007 0.009 0.012 0.013 0.013 0.013 0.007 0.010 0.005 0.004 0.009 0.004 0.005 0.007 0.006 0.010 0.007 0.003 0.008 0.003 0.011 0.006 0.006 0.004 0.010 0.009 0.002 0.012 0.007 0.023 0.007 0.006 0.010 0.006 0.011 0.012 0.009 0.010 0.006 0.003 0.006 0.003 0.007 0.004 0.006 0.007 0.004 0.006
0.001 0.010 0.004 0.005 0.004 0.004 0.009 0.007 0.005 0.009 0.003 0.008 0.007 0.005 0.005 0.005 0.001 0.005 0.008 0.006 0.006 0.004 0.012 0.007 0.005 0.001 0.004 0.012 0.010 0.002 0.007 0.005 0.008 0.004 0.006 0.010 0.003 0.009 0.004 0.008 0.006 0.008 0.005 0.009 0.005 0.005 0.006 0.012 0.004 0.010 0.003 0.005 0.003 0.014 0.002 0.003 0.008 0.006 0.005 0.012 0.004 0.004 0.002 0.003 0.009 0.001 0.005 0.003 0.007 0.004 0.007 0.007 0.002 0.006 0.004 0.010 0.004 0.005 0.005 0.008 0.012 0.012 0.010 0.010 0.005 0.007 0.005 0.003 0.010 0.003 0.004 0.005 0.007 0.006 0.007 0.003 0.008 0.002 0.009 0.004 0.005 0.009 0.007 0.006 0.004 0.010 0.007 0.024 0.004 0.002 0.008 0.006 0.007 0.008 0.008 0.009 0.006 0.003 0.004 0.003 0.006 0.003 0.007 0.007 0.004 0.005
0.006 0.004 0.003 0.002 0.002 0.001 0.005 0.004 0.002 0.003 0.003 0.003 0.002 0.003 0.003 0.002 0.002 0.004 0.003 0.003 0.001 0.007 0.002 0.001 0.003 0.007 0.004 0.002 0.003 0.002 0.003 0.002 0.006 0.005 0.002 0.004 0.002 0.005 0.002 0.003 0.003 0.005 0.003 0.004 0.002 0.002 0.006 0.002 0.003 0.001 0.007 0.001 0.001 0.002 0.002 0.002 0.005 0.004 0.003 0.001 0.006 0.005 0.011 0.002 0.002 0.004 0.007 0.003 0.003 0.001 0.003 0.002 0.005 0.001 0.003 0.002 0.005 0.004 0.007 0.005 0.003 0.002 0.004 0.002 0.002 0.006 0.002 0.002 0.004 0.003 0.002 0.002 0.005
0.004 0.002
0.003 0.002
0.002 0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.002 0.001 0.001
0.001
0.001
0.002
0.001
0.001
0.001 0.002 0.002
0.001
0.001
0.001
0.001
0.001
0.001 0.001
0.001
0.000
0.003
0.002
0.002
0.003 0.001 0.001 0.001
0.002
0.001
0.001 0.001
0.001 0.001
0.002
0.001
0.002 0.001
0.002 0.001
0.001
0.001
0.001 0.003 0.001 0.002 0.001 0.003 0.001 0.001 0.002
0.001 0.002 0.001 0.001 0.001 0.002 0.001 0.001 0.001
0.001 0.002 0.001 0.001 0.001 0.002 0.001 0.001 0.001
0.001
0.001
0.001
0.002
0.002
0.001
0.001 0.002 0.003
0.001
0.002
0.001
0.001
0.001
0.000
0.001
0.001 0.002 0.001 0.002
0.001 0.007 0.001 0.001
0.002
0.001
0.003
0.002
0.001 0.001 0.001
0.001 0.001 0.001
0.002 0.001 0.001
0.002 0.001 0.001
0.005
0.004
0.001 0.001 0.001 0.002 0.002 0.001
0.001 0.002 0.001 0.003 0.001 0.002 0.002 0.002 0.002
0.002 0.001 0.000 0.001 0.001 0.005 0.001 0.002 0.001 0.003 0.002 0.004 0.001 0.001 0.002 0.001 0.001 0.004 0.001 0.001
0.000 0.004
0.001 0.006 0.002 0.002 0.006 0.004 0.003
0.001 0.001 0.001 0.003 0.002 0.002
0.001 0.001
0.001 0.001
0.002
0.002
0.002 0.002 0.006 0.002 0.004 0.003 0.002 0.008 0.004 0.004 0.004 0.004 0.002 0.003 0.002 0.003 0.002 0.004 0.002 0.002 0.003
0.001
0.001
0.000
0.001 0.002 0.002 0.001
0.001 0.002
0.001 0.002
0.002 0.002 0.002
0.002
0.001
0.001
0.001
0.002 0.002 0.001 0.002 0.001
0.001 0.001 0.001 0.001 0.001
0.001 0.001 0.001 0.001 0.001
0.007 0.001
0.005
0.003
16.10.2012
S&P 500 Index
Ticker
Name
GICS_SECTOR_NAME
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
JDSU UW Equity JDS UNIPHASE CORP
Information Technology
10.37
55.39
49.48
48.42
49.54
SJM UN Equity
JM SMUCKER CO/THE
Consumer Staples
83.68
2.58%
07.11.2012
20.76
18.67
18.20
18.58
JNJ UN Equity
JOHNSON & JOHNSON
Health Care
68.60
3.67%
23.11.2012
11.63
10.38
10.33
11.72
50.04 13.26
14.17
14.95
-0.430 -0.318 -0.263 -0.193 -0.158
0.012
0.008
0.006
0.002
-0.221 -0.287 -0.277 -0.131
0.004
0.007
0.007
0.004
-0.162 -0.208 -0.196 -0.166 -0.107 -0.084 -0.078 0.004
0.011
0.011
0.004
JCI UN Equity
JOHNSON CONTROLS INC
Consumer Discretionary
26.00
3.08%
05.12.2012
31.38
29.47
29.13
30.38
32.55
33.69
34.40
JOY UN Equity
JOY GLOBAL INC
Industrials
60.01
1.33%
05.12.2012
43.92
43.96
44.16
44.99
46.35
47.35
48.21
JPM UN Equity
JPMORGAN CHASE & CO
Financials
42.38
3.19%
04.01.2013
23.36
23.31
24.64
26.19
27.61
JNPR UN Equity
JUNIPER NETWORKS INC
Information Technology
16.79
49.09
43.42
41.77
42.42
43.45
0.003
0.002
0.002
-0.358 -0.342 -0.315 -0.242 -0.187 -0.162 -0.145 0.004
0.005
0.005
0.002
0.002
0.001
0.001
-0.240 -0.200 -0.184 -0.173 -0.154 -0.145 -0.140 0.008
0.004
0.003
0.001
0.001
0.001
0.001
-0.285 -0.243 -0.228 -0.228 -0.200
0.014
0.012
0.008
0.004
0.002
-0.271 -0.230 -0.208 -0.168 -0.133 -0.124 -0.124 0.006
0.005
0.004
0.002
0.001
0.001
K UN Equity
KELLOGG CO
Consumer Staples
51.70
3.44%
30.11.2012
14.55
13.24
12.88
13.92
KEY UN Equity
KEYCORP
Financials
8.35
2.64%
30.11.2012
30.80
29.49
28.04
30.92
0.001
15.21
-0.177 -0.176 -0.256 -0.215 -0.154
0.003
0.004
0.007
0.006
0.003
32.79
-0.564 -0.396 -0.352 -0.230 -0.155
0.022
0.018
0.013
0.004
0.001
KMB UN Equity
KIMBERLY-CLARK CORP
Consumer Staples
86.27
3.64%
12.12.2012
14.41
13.38
13.19
13.96
16.04
KIM UN Equity
KIMCO REALTY CORP
Financials
20.44
3.91%
04.01.2013
23.80
20.83
20.32
22.48
KMI UN Equity
KINDER MORGAN INC
Energy
34.89
4.39%
01.11.2012
16.73
19.08
20.10
21.32
22.35
-0.357 -0.331 -0.298 -0.230 -0.180 -0.153 -0.132 0.009
0.003
0.002
0.002
KLAC UW Equity
KLA-TENCOR CORPORATION
Information Technology
KSS UN Equity
KOHLS CORP
0.001
0.001
0.001
0.001
0.001
0.000
0.001
0.000
45.76
3.61%
15.11.2012
29.56
28.49
28.62
30.34
32.03
Consumer Discretionary
51.71
2.65%
03.12.2012
29.47
27.08
26.40
26.74
27.92
KRFT UW Equity KRAFT FOODS GROUP INC
Consumer Staples
46.96
4.26%
28.12.2012
16.56
15.10
14.84
14.96
15.11
KR UN Equity
KROGER CO
Consumer Staples
23.43
2.56%
13.02.2013
19.43
20.22
20.85
22.19
23.33
LLL UN Equity
L-3 COMMUNICATIONS HOLDINGS
Industrials
72.75
2.96%
16.11.2012
19.87
18.50
18.51
19.69
21.49
LH UN Equity
LABORATORY CRP OF AMER HLDGS
Health Care
93.59
21.70
21.11
21.06
21.49
LRCX UW Equity LAM RESEARCH CORP
Information Technology
32.67
33.72
31.71
30.99
32.56
LM UN Equity
LEGG MASON INC
Financials
24.81
2.02%
14.12.2012
31.15
29.70
30.55
33.27
LEG UN Equity
LEGGETT & PLATT INC
Consumer Discretionary
25.17
4.65%
14.12.2012
25.14
22.31
21.89
LEN UN Equity
LENNAR CORP-A
Consumer Discretionary
37.05
0.32%
22.01.2013
38.12
38.72
39.31
LUK UN Equity
LEUCADIA NATIONAL CORP
Financials
22.28
1.12%
14.12.2012
30.64
30.17
30.13
LIFE UW Equity
LIFE TECHNOLOGIES CORP
Health Care
48.84
31.37
26.94
LNC UN Equity
LINCOLN NATIONAL CORP
Financials
24.00
2.00%
10.01.2013
33.77
LLTC UW Equity
LINEAR TECHNOLOGY CORP
Information Technology
32.04
3.31%
13.11.2012
26.49
LMT UN Equity
LOCKHEED MARTIN CORP
Industrials
92.50
4.97%
28.02.2013
17.35
L UN Equity
LOEWS CORP
Financials
41.69
0.60%
28.11.2012
LO UN Equity
LORILLARD INC
Consumer Staples
115.45
5.50%
27.11.2012
LOW UN Equity
LOWE'S COS INC
Consumer Discretionary
32.20
2.05%
18.01.2013
LSI UN Equity
LSI CORP
Information Technology
6.52
LTD UN Equity
LIMITED BRANDS INC
Consumer Discretionary
48.35
2.25%
LYB UN Equity
LYONDELLBASELL INDU-CL A
Materials
51.42
MTB UN Equity
M & T BANK CORP
Financials
M UN Equity
MACY'S INC
MRO UN Equity
MARATHON OIL CORP
MPC UN Equity
MARATHON PETROLEUM CORP
MAR UN Equity
44.14
16.72
44.71
16.82
0.001
0.010
0.010
0.006
0.000 -0.140 -0.193 -0.214
0.000
0.003
0.004
0.005
-0.143 -0.168 -0.225 -0.143 -0.099
0.002
0.006
0.008
0.007
0.004
-0.353 -0.264 -0.251 -0.193 -0.148
0.008
0.005
0.003
0.002
0.001
-0.197 -0.234 -0.235 -0.201 -0.169 -0.150 -0.133 0.004
0.005
0.004
0.003
0.002
-0.100 -0.159 -0.196 -0.219 -0.180
0.000
0.002
0.004
0.005
0.003
-0.111 -0.201 -0.215 -0.168 -0.134 -0.120 -0.110 0.002
0.005
0.005
0.003
0.002
-0.431 -0.343 -0.309 -0.277 -0.179
0.012
0.009
0.007
0.005
0.001
-0.265 -0.259 -0.244 -0.190
0.007
0.004
0.003
0.002
34.24
-0.314 -0.234 -0.224 -0.186 -0.155
0.009
0.005
0.004
0.002
0.001
34.90
-0.471 -0.302 -0.258 -0.235 -0.182
0.016
0.009
0.006
0.003
0.001
-0.122 -0.115 -0.137
0.003
0.002
0.003
-0.345 -0.231 -0.194 -0.168 -0.116 -0.099 -0.102 0.010
0.004
0.003
0.002
0.001
-0.107 -0.160 -0.160
0.004
0.005
0.005
-0.258 -0.237 -0.208 -0.162 -0.149
0.009
0.006
0.004
0.002
0.001
28.69 23.82
24.08
40.73
40.52
26.66
27.97
28.90
31.71
31.37
32.79
35.24
-0.492 -0.419 -0.368 -0.253 -0.181 -0.152 -0.132 0.014
0.007
0.004
0.003
0.001
25.26
24.93
25.09
26.47
-0.312 -0.291 -0.267 -0.203 -0.159
0.006
0.006
0.005
0.003
0.002
16.17
15.92
16.73
18.17
-0.394 -0.385 -0.327 -0.250 -0.186
0.009
0.010
0.009
0.005
0.003
16.45
16.51
16.88
-0.338 -0.339 -0.329
0.010
0.010
0.009
27.76
26.65
26.72
26.55
26.54
-0.414 -0.258 -0.241 -0.208 -0.176
0.009
0.006
0.003
0.002
0.001
24.92
24.81
25.00
25.80
27.29
28.27
29.04
-0.426 -0.324 -0.282 -0.233 -0.181 -0.158 -0.144 0.015
0.010
0.007
0.004
0.002
0.001
0.001
45.49
42.17
41.52
43.37
46.71
47.45
47.25
-0.290 -0.243 -0.204 -0.126 -0.077 -0.072 -0.080 0.001
0.006
0.007
0.002
0.000
0.000
0.000
23.11.2012
30.67
28.06
27.46
28.55
30.43
31.55
32.40
-0.414 -0.332 -0.288 -0.222 -0.156 -0.133 -0.129 0.009
0.007
0.005
0.003
0.001
0.001
0.001
3.89%
23.11.2012
34.30
31.71
31.39
32.69
34.60
-0.288 -0.362 -0.329 -0.208 -0.150
0.002
0.005
0.003
0.002
0.001
97.48
2.87%
30.11.2012
20.28
19.51
19.44
20.29
-0.311 -0.324 -0.308 -0.250
0.006
0.007
0.007
0.004
Consumer Discretionary
39.91
2.31%
14.12.2012
27.62
26.32
26.64
29.46
31.72
32.82
33.69
-0.400 -0.322 -0.286 -0.233 -0.179 -0.156 -0.143 0.011
0.007
0.005
0.003
0.001
0.001
0.001
Energy
29.87
2.58%
13.11.2012
27.03
26.04
26.20
27.98
29.46
30.58
31.66
-0.350 -0.312 -0.288 -0.238 -0.179 -0.150 -0.131 0.013
0.008
0.006
0.004
0.002
0.001
0.001
Energy
54.38
2.63%
16.11.2012
35.59
34.61
34.18
33.37
33.69
34.31
35.00
-0.168 -0.120 -0.125 -0.194 -0.147 -0.105 -0.079 0.009
0.006
0.004
0.002
0.001
0.001
0.001
MARRIOTT INTERNATIONAL
Consumer Discretionary
38.53
1.51%
29.11.2012
23.29
23.77
24.48
26.75
29.68
31.36
32.60
-0.348 -0.343 -0.319 -0.233 -0.182 -0.156 -0.134 0.006
0.005
0.004
0.003
0.001
0.001
0.001
MMC UN Equity
MARSH & MCLENNAN COS
Financials
34.54
2.78%
30.01.2013
17.69
16.04
15.85
16.99
17.90
-0.346 -0.272 -0.248 -0.243 -0.176
0.006
0.006
0.006
0.005
0.004
MAS UN Equity
MASCO CORP
Industrials
14.78
2.03%
02.01.2013
46.43
43.00
42.15
42.98
43.87
44.95
46.14
-0.380 -0.307 -0.273 -0.232 -0.193 -0.166 -0.140 0.007
0.005
0.004
0.002
0.001
0.001
0.001
MA UN Equity
MASTERCARD INC-CLASS A
Information Technology
475.82
0.25%
09.01.2013
25.07
22.83
22.57
24.40
26.51
27.54
28.20
-0.280 -0.237 -0.215 -0.181 -0.156 -0.142 -0.129 0.013
0.008
0.006
0.002
0.001
0.001
0.000
MAT UW Equity
MATTEL INC
Consumer Discretionary
35.42
3.92%
19.02.2013
30.57
26.06
24.61
24.86
25.90
26.59
27.13
-0.150 -0.155 -0.154 -0.152 -0.131 -0.125 -0.127 0.007
0.006
0.005
0.003
0.002
0.001
0.001
MKC UN Equity
MCCORMICK & CO-NON VTG SHRS
Consumer Staples
61.84
2.20%
28.12.2012
15.14
17.36
17.42
0.000
0.000
0.000
0.001
MCD UN Equity
MCDONALD'S CORP
Consumer Discretionary
93.50
3.29%
25.02.2013
15.18
14.05
14.10
15.65
-0.238 -0.260 -0.183 -0.165 -0.136
0.007
0.010
0.012
0.006
0.003
MHP UN Equity
MCGRAW-HILL COMPANIES INC
Consumer Discretionary
55.82
1.85%
28.11.2012
23.95
23.07
22.78
22.68
-0.302 -0.332 -0.325 -0.256
0.006
0.006
0.006
0.004
MCK UN Equity
MCKESSON CORP
Health Care
90.88
0.97%
29.11.2012
19.68
17.21
17.82
20.32
21.53
22.08
22.27
-0.348 -0.301 -0.279 -0.239 -0.178 -0.154 -0.146 0.009
0.009
0.007
0.003
0.002
0.001
0.001
MJN UN Equity
MEAD JOHNSON NUTRITION CO
Consumer Staples
70.77
1.91%
19.12.2012
24.31
23.40
24.43
27.07
26.27
26.69
28.19
-0.262 -0.188 -0.169 -0.158 -0.120 -0.093 -0.079 0.012
0.011
0.008
0.002
0.004
0.004
0.002
MWV UN Equity
MEADWESTVACO CORP
Materials
30.15
3.58%
20.11.2012
22.86
21.77
21.80
0.000 -0.311 -0.341
0.000
0.005
0.005
MDT UN Equity
MEDTRONIC INC
Health Care
43.14
2.50%
02.01.2013
19.97
20.58
20.87
22.12
23.02
23.44
23.89
-0.320 -0.275 -0.243 -0.192 -0.163 -0.147 -0.132 0.022
0.012
0.008
0.004
0.002
0.001
0.001
MRK UN Equity
MERCK & CO. INC.
Health Care
46.59
3.78%
14.12.2012
15.50
15.31
15.53
16.78
18.62
19.64
20.33
-0.513 -0.367 -0.294 -0.222 -0.164 -0.141 -0.131 0.021
0.014
0.010
0.006
0.003
0.002
0.002
MET UN Equity
METLIFE INC
Financials
34.95
2.12%
07.11.2012
26.16
26.62
26.49
28.85
30.44
-0.266 -0.193 -0.200 -0.186 -0.159
0.014
0.011
0.009
0.004
0.002
PCS UN Equity
METROPCS COMMUNICATIONS INC
Telecommunication Services 11.33
50.39
49.68
47.56
42.17
38.66
-0.265 0.059 -0.028 -0.129 -0.078 -0.148 -0.293 0.013
0.000
0.000
0.001 -0.002 0.003
0.013
24.87
22.91
22.79
24.15
26.02
-0.301 -0.277 -0.267 -0.246 -0.185
41.38
44.21
45.74
48.70
0.005
0.006
0.006
0.003
0.002
52.56
54.57
55.93
-0.150 -0.185 -0.187 -0.158 -0.143 -0.138 -0.136 0.015
0.009
0.006
0.002
0.001
0.001
0.001
24.84
26.53
27.57
-0.215 -0.172 -0.178 -0.153 -0.129 -0.113 -0.091 0.017
0.013
0.010
0.005
0.002
0.001
0.001
0.000 -0.158 -0.196 -0.158
0.000
0.004
0.004
0.003
-0.133 -0.120 -0.108 -0.100 -0.084 -0.075 -0.068 0.005
0.008
0.008
0.004
0.002
0.001
0.001
-0.192 -0.209 -0.212 -0.181 -0.149
0.001
0.001
32.20
Information Technology
5.72
MSFT UW Equity MICROSOFT CORP
Information Technology
29.51
3.12%
19.02.2013
21.90
20.31
21.04
22.30
MOLX UW Equity MOLEX INC
Information Technology
25.71
3.43%
28.12.2012
32.65
30.40
29.62
29.26
TAP UN Equity
Consumer Staples
44.50
3.06%
28.11.2012
25.01
22.70
22.24
23.36
24.46
MDLZ UW Equity MONDELEZ INTERNATIONAL INC-A
Consumer Staples
27.22
1.91%
28.12.2012
18.11
16.90
16.44
16.94
17.50
MON UN Equity
Materials
89.18
1.73%
02.01.2013
20.61
22.19
23.04
24.81
27.08
MNST UW Equity MONSTER BEVERAGE CORP
Consumer Staples
58.31
53.15
46.68
45.20
44.74
41.89
MCO UN Equity
MOODY'S CORP
Financials
45.07
1.55%
21.11.2012
32.82
27.91
27.80
30.32
MS UN Equity
MORGAN STANLEY
Financials
17.75
1.13%
29.10.2012
39.16
37.51
37.13
MOS UN Equity
MOSAIC CO/THE
Materials
53.92
2.13%
29.01.2013
27.25
26.47
28.42
MSI UN Equity
MOTOROLA SOLUTIONS INC
Information Technology
50.35
2.13%
14.12.2012
25.86
23.59
MUR UN Equity
MURPHY OIL CORP
Energy
59.00
2.12%
14.02.2013
30.27
MYL UW Equity
MYLAN INC
Health Care
23.96
22.44
NBR UN Equity
NABORS INDUSTRIES LTD
Energy
14.40
NDAQ UW Equity NASDAQ OMX GROUP/THE
Financials
23.69
2.19%
NOV UN Equity
0.66%
NATIONAL OILWELL VARCO INC
0.009 -0.034
32.92
Information Technology
MONSANTO CO
13.11.2012
37.06
35.81
MU UW Equity
MOLSON COORS BREWING CO -B
4.39%
36.39
41.55
17.39
MCHP UW Equity MICROCHIP TECHNOLOGY INC MICRON TECHNOLOGY INC
40.78
29.29
24.96
25.29
28.28
29.09
31.22
32.01
32.88
37.49
38.55
39.41
40.19
31.07
32.76
23.08
23.98
25.32
26.14
29.06
28.92
29.59
31.24
21.59
21.81
23.73
26.88
44.95
42.66
42.25
42.95
12.12.2012
23.68
22.90
23.22
05.12.2012
0.005
0.008
0.006
0.003
0.002
-0.329 -0.282 -0.253 -0.202 -0.167 -0.148 -0.131 0.009
0.007
0.006
0.003
0.001
-0.277 -0.214 -0.210 -0.156 -0.134
0.012
0.008
0.006
0.002
0.001
-0.389 -0.300 -0.283 -0.271 -0.221 -0.190 -0.164 0.012
0.011
0.007
0.001
0.002
0.001
0.001
-0.147 -0.194 -0.209 -0.207 -0.178 -0.156 -0.137 0.007
0.005
0.004
0.003
0.002
0.001
0.001
-0.236 -0.267 -0.284 -0.211 -0.167
0.014
0.008
0.005
0.002
0.001
26.78
-0.442 -0.289 -0.217 -0.154 -0.143 -0.135 -0.123 0.016
0.011
0.008
0.003
0.002
0.001
0.001
31.82
31.95
-0.277 -0.237 -0.220 -0.193 -0.174 -0.165 -0.158 0.010
0.006
0.004
0.002
0.001
0.001
0.001
28.26
28.95
-0.569 -0.371 -0.288 -0.237 -0.188 -0.162 -0.144 0.020
0.012
0.009
0.005
0.002
0.001
0.001
43.84
-0.236 -0.210 -0.193 -0.174 -0.150
0.003
0.003
0.003
0.002
0.001
25.74
28.29
-0.366 -0.405 -0.329 -0.281 -0.222
0.006
0.009
0.007
0.002
0.001 0.001
0.001
0.001
0.001
0.001
0.001
Energy
78.62
30.21
28.94
29.03
30.96
32.82
-0.348 -0.294 -0.273 -0.233 -0.192 -0.170 -0.152 0.012
0.007
0.005
0.003
0.002
NTAP UW Equity NETAPP INC
Information Technology
29.19
48.85
44.41
42.49
41.87
40.17
-0.138 -0.096 -0.119 -0.132 -0.121
0.005
0.002
0.002
0.001
0.001
NFLX UW Equity
NETFLIX INC
Consumer Discretionary
64.76
78.78
67.13
61.64
61.00
58.01
-0.221 -0.205 -0.165 -0.103 -0.073
0.002
0.002
0.001
0.001
0.000
NWL UN Equity
NEWELL RUBBERMAID INC
Consumer Discretionary
20.21
2.28%
30.11.2012
27.65
27.47
27.85
-0.319 -0.283 -0.257
0.006
0.006
0.005
NFX UN Equity
NEWFIELD EXPLORATION CO
Energy
33.28
40.24
37.90
36.91
39.38
40.29
-0.330 -0.307 -0.273 -0.215 -0.174
0.009
0.005
0.002
0.001
0.001
NEM UN Equity
NEWMONT MINING CORP
Materials
54.60
2.98%
07.12.2012
29.16
28.02
27.81
29.96
31.92
-0.140 -0.123 -0.097 -0.113 -0.097
0.018
0.009
0.006
0.003
0.002
NWSA UW Equity NEWS CORP-CL A
Consumer Discretionary
24.37
0.76%
11.03.2013
26.49
24.61
24.27
25.08
26.18
-0.227 -0.218 -0.213 -0.201 -0.138 -0.117 -0.117 0.004
0.003
0.003
0.003
0.002
NEE UN Equity
NEXTERA ENERGY INC
Utilities
69.66
3.66%
27.02.2013
12.49
11.84
11.95
13.47
15.38
-0.360 -0.368 -0.337 -0.273 -0.206
0.007
0.010
0.010
0.006
0.004
NKE UN Equity
NIKE INC -CL B
Consumer Discretionary
95.61
1.67%
06.12.2012
19.68
21.96
22.79
23.73
25.55
-0.306 -0.276 -0.254 -0.207 -0.151 -0.131 -0.124 0.007
0.007
0.007
0.003
0.002
NI UN Equity
NISOURCE INC
Utilities
25.46
3.81%
06.02.2013
17.68
17.26
17.15
17.20
0.000 -0.036 -0.075 -0.181
0.000
0.001
0.002
0.007
NE UN Equity
NOBLE CORP
Energy
36.86
1.44%
08.11.2012
30.43
29.22
29.63
31.99
33.62
-0.370 -0.285 -0.245 -0.203 -0.165
0.009
0.005
0.004
0.002
0.001
NBL UN Equity
NOBLE ENERGY INC
Energy
93.77
1.00%
08.11.2012
28.01
27.15
27.53
29.23
31.34
32.23
32.55
-0.336 -0.347 -0.328 -0.246 -0.193 -0.166 -0.147 0.017
0.008
0.005
0.003
0.001
0.001
0.001
JWN UN Equity
NORDSTROM INC
Consumer Discretionary
55.70
2.10%
28.11.2012
25.81
23.98
23.92
26.12
28.82
30.19
31.09
-0.407 -0.355 -0.318 -0.238 -0.177 -0.155 -0.144 0.010
0.006
0.005
0.003
0.001
0.001
0.001
NSC UN Equity
NORFOLK SOUTHERN CORP
Industrials
67.61
3.14%
31.10.2012
21.22
20.35
20.47
22.83
24.92
-0.275 -0.230 -0.233 -0.194 -0.166
0.005
0.005
0.005
0.003
0.002
NU UN Equity
NORTHEAST UTILITIES
Utilities
39.10
3.83%
09.11.2012
18.61
15.78
16.33
22.52
0.000
0.000
0.000
0.000
0.001
NTRS UW Equity NORTHERN TRUST CORP
Financials
46.66
2.66%
07.12.2012
24.25
23.19
22.79
22.62
24.07
-0.449 -0.387 -0.351 -0.291 -0.225
0.009
0.009
0.008
0.003
0.002
NOC UN Equity
NORTHROP GRUMMAN CORP
Industrials
69.46
3.25%
29.11.2012
18.40
17.36
17.54
19.20
20.88
-0.373 -0.359 -0.335 -0.264 -0.193
0.009
0.009
0.008
0.004
0.002
NRG UN Equity
NRG ENERGY INC
Utilities
23.27
2.00%
28.12.2012
35.08
33.80
32.97
33.76
33.76
-0.209 -0.150 -0.202 -0.181 -0.169
0.012
0.009
0.005
0.002
0.002
NUE UN Equity
NUCOR CORP
Materials
39.05
3.77%
31.12.2012
24.66
23.37
23.47
25.76
27.90
-0.411 -0.326 -0.277 -0.220 -0.167 -0.146 -0.134 0.009
0.008
0.007
0.003
0.002
0.001
0.001
NVDA UW Equity NVIDIA CORP
Information Technology
12.79
39.92
37.51
37.71
40.97
42.85
-0.025 -0.033 -0.051 -0.061 -0.071
0.014
0.009
0.006
0.002
0.001
NYX UN Equity
Financials
24.04
23.26
22.43
22.64
24.63
25.92
-0.492 -0.401 -0.307 -0.234 -0.162
0.016
0.010
0.008
0.002
0.001
ORLY UW Equity O'REILLY AUTOMOTIVE INC
Consumer Discretionary
82.51
OXY UN Equity
OCCIDENTAL PETROLEUM CORP
Energy
OMC UN Equity
OMNICOM GROUP
Consumer Discretionary
OKE UN Equity
ONEOK INC
NYSE EURONEXT
33.52
27.06 26.69
29.33
33.88
27.86 27.55
30.58
0.002
0.000 -0.030
4.99%
14.12.2012
34.08
29.95
28.66
28.78
28.95
28.98
29.22
-0.236 -0.188 -0.169 -0.152 -0.104 -0.079 -0.067 0.004
0.007
0.008
0.006
0.001
0.000
0.000
81.70
2.94%
08.03.2013
28.63
26.78
26.92
28.85
30.67
31.51
31.97
-0.371 -0.299 -0.259 -0.206 -0.164 -0.140 -0.120 0.016
0.009
0.006
0.003
0.001
0.001
0.001
52.46
2.43%
21.12.2012
20.48
19.37
19.29
20.66
-0.137 -0.283 -0.300 -0.239
0.001
0.007
0.007
0.004
Utilities
47.84
3.01%
07.11.2012
15.31
15.86
16.45
17.79
0.075 -0.248 -0.335 -0.226
0.008
0.011
0.009
0.004
ORCL UW Equity ORACLE CORP
Information Technology
31.30
20.35
-0.428 -0.318 -0.269 -0.214 -0.173
0.011
OI UN Equity
-0.183 -0.196 -0.221 -0.227 -0.161
0.001
0.001
0.003
0.002
0.002
0.003
0.002
0.001
0.001
0.86%
07.01.2013
22.77
22.83
24.56
27.23
Materials
20.16
37.99
34.29
34.56
37.16
38.28
PCAR UW Equity PACCAR INC
Industrials
40.28
2.14%
15.02.2013
29.71
27.04
27.18
29.04
30.71
0.009
0.008
0.003
0.002
0.001
0.004
0.004
0.001
0.001
-0.381 -0.324 -0.296 -0.237 -0.182 -0.160 -0.148 0.008
0.007
0.006
0.002
PLL UN Equity
PALL CORP
Industrials
63.30
1.58%
07.02.2013
20.21
22.71
23.57
0.001
0.007 -0.158 -0.190
0.000
0.002
0.003
PH UN Equity
PARKER HANNIFIN CORP
Industrials
80.67
2.24%
06.11.2012
28.66
28.40
29.09
30.52
-0.445 -0.357 -0.309 -0.255 -0.200
0.011
0.006
0.004
0.002
0.001
PDCO UW Equity PATTERSON COS INC
Health Care
34.59
1.79%
11.01.2013
19.24
20.43
21.20
22.93
PAYX UW Equity
PAYCHEX INC
Information Technology
32.84
4.02%
01.11.2012
15.36
16.63
16.39
17.38
19.37
BTU UN Equity
PEABODY ENERGY CORP
Energy
25.56
1.33%
30.10.2012
51.55
48.48
47.41
47.11
46.79
-0.132 -0.279 -0.294 -0.220
0.002
0.007
0.007
0.002
-0.133 -0.369 -0.323 -0.236 -0.183
0.003
0.011
0.009
0.004
0.002
-0.331 -0.323 -0.291 -0.234 -0.175
0.005
0.004
0.003
PNR UN Equity
PENTAIR LTD-REGISTERED
Industrials
43.91
2.14%
23.01.2013
34.93
25.92
22.28
0.002
0.001
23.05
-0.158 -0.091 -0.024 -0.017
0.002
0.002
0.002
0.008
PBCT UW Equity PEOPLE'S UNITED FINANCIAL
Financials
12.08
5.34%
30.10.2012
20.20
20.01
19.94
20.19
0.000 -0.120 -0.153 -0.138
0.000
0.001
0.003
0.005
POM UN Equity
PEPCO HOLDINGS INC
Utilities
19.39
5.57%
12.12.2012
13.47
PEP UN Equity
PEPSICO INC
Consumer Staples
70.34
3.23%
05.12.2012
13.71
PKI UN Equity
PERKINELMER INC
Health Care
29.83
0.94%
16.01.2013
24.91
13.28
13.09
12.67
-0.164 -0.164 -0.163 -0.194
12.31
12.18
13.57
24.82
24.02
PRGO UW Equity PERRIGO CO
Health Care
118.10
0.31%
21.11.2012
24.06
22.49
23.03
25.59
PETM UW Equity PETSMART INC
Consumer Discretionary
69.51
0.99%
PFE UN Equity
PFIZER INC
Health Care
25.57
3.68%
PCG UN Equity
P G & E CORP
Utilities
42.63
4.27%
23.01.2013
28.71
25.42
24.48
24.89
25.33
07.11.2012
15.28
15.21
15.05
16.55
18.27
28.12.2012
18.50
15.74
14.92
PM UN Equity
PHILIP MORRIS INTERNATIONAL
Consumer Staples
92.06
PSX UN Equity
PHILLIPS 66
Energy
44.38
PNW UN Equity
PINNACLE WEST CAPITAL
Utilities
53.04
3.81%
24.12.2012
16.29
15.82
15.81
17.42
18.73
2.25%
10.01.2013
37.99
35.53
35.41
36.17
34.59
4.15%
01.11.2012
17.78
17.78
17.78
17.78
PXD UN Equity
PIONEER NATURAL RESOURCES CO
Energy
105.47
0.15%
28.03.2013
38.92
38.01
38.27
38.34
39.11
PBI UN Equity
PITNEY BOWES INC
PCL UN Equity
PLUM CREEK TIMBER CO
PNC UN Equity
PNC FINANCIAL SERVICES GROUP
Industrials
13.43
11.22%
14.11.2012
29.99
28.11
28.06
29.60
30.84
30.84
Financials
43.54
4.13%
14.11.2012
18.74
15.90
16.08
17.87
19.43
20.31
Financials
62.93
2.07%
17.01.2013
22.91
22.30
22.39
23.74
25.61
26.39
PPG UN Equity
PPG INDUSTRIES INC
Materials
116.14
2.08%
09.11.2012
25.61
24.14
23.89
24.70
26.56
PPL UN Equity
PPL CORPORATION
Utilities
29.45
4.99%
07.12.2012
12.32
11.71
11.72
12.90
14.03
PX UN Equity
PRAXAIR INC
Materials
104.88
2.27%
07.12.2012
19.09
18.39
18.27
18.91
PCP UN Equity
PRECISION CASTPARTS CORP
Industrials
166.49
0.08%
05.12.2012
21.54
21.35
21.21
23.60
25.84
PCLN UW Equity PRICELINE.COM INC
Consumer Discretionary
601.02
42.56
35.79
33.99
36.11
37.48
38.08
PFG UN Equity PG UN Equity
Financials Consumer Staples
3.21% 3.41%
06.12.2012 16.01.2013
27.95 13.13
26.31 12.13
26.08 12.07
27.32 13.35
15.35
16.06
OWENS-ILLINOIS INC
PRINCIPAL FINANCIAL GROUP PROCTER & GAMBLE CO/THE
27.13 68.71
31.81
32.64
31.44
15.44
16.40
17.06
0.001
0.002
0.002
0.006
-0.288 -0.205 -0.172 -0.187 -0.165 -0.145 -0.133 0.010
0.017
0.017
0.008
0.000
0.000
0.000
0.000
0.015
0.010
0.006
0.002
-0.288 -0.227 -0.201 -0.176 -0.123 -0.106 -0.116 0.015
0.009
0.006
0.003
0.003
-0.258 -0.254 -0.262 -0.195 -0.167
0.008
0.009
0.010
0.006
0.003
0.000 -0.092 -0.136
0.000
0.000
0.001
0.000
0.000
-0.441 -0.217 -0.154 -0.147 26.40
27.96
-0.450 -0.337 -0.271 -0.211 -0.167
0.017
0.011
0.008
0.005
0.003
-0.114 -0.086 -0.099 -0.154 -0.147 -0.131 -0.118 0.010
0.006
0.004
0.002
0.002
0.000
0.000
0.000
0.000
0.000
-0.296 -0.209 -0.218 -0.217 -0.201
0.008
0.005
0.002
0.002
0.001
31.69
-0.186 -0.271 -0.283 -0.197 -0.165 -0.138 0.023
0.005
0.011
0.011
0.005
0.001
0.002
0.004
20.75
-0.450 -0.362 -0.326 -0.248 -0.189 -0.163 -0.145 0.014
0.012
0.010
0.004
0.002
0.002
0.001
26.66
-0.579 -0.492 -0.414 -0.291 -0.207 -0.173 -0.158 0.018
0.009
0.006
0.004
0.001
0.001
0.001
27.44
27.90
-0.538 -0.402 -0.347 -0.265 -0.202 -0.175 -0.159 0.013
0.008
0.005
0.003
0.002
0.001
0.001
15.98
18.73
-0.010 -0.167 -0.208 -0.185 -0.056 0.004
0.000
0.004
0.006
0.010
0.010
0.009
0.009
-0.552 -0.438 -0.381 -0.316
0.017
0.012
0.009
0.004
-0.426 -0.360 -0.298 -0.256 -0.208
0.013
0.008
0.006
0.003
0.002
38.50
-0.210 -0.185 -0.178 -0.181 -0.144 -0.122 -0.108 0.006
0.005
0.004
0.002
0.001
0.001
0.001
16.29
-0.336 -0.265 -0.231 -0.210 0.012 -0.514 -0.296 -0.223 -0.231 -0.174 -0.145 -0.132 0.018
0.010 0.019
0.009 0.017
0.006 0.008
0.004
0.003
0.002
34.10
34.28
0.000
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.000
0.000
0.006
16.10.2012
S&P 500 Index
Ticker PGR UN Equity PLD UN Equity PRU UN Equity PEG UN Equity PSA UN Equity PHM 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 RRD UW 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 TIE 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 WPI 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 PROGRESSIVE CORP PROLOGIS INC PRUDENTIAL FINANCIAL INC PUBLIC SERVICE ENTERPRISE GP PUBLIC STORAGE PULTEGROUP INC 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 RR DONNELLEY & SONS CO 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 TITANIUM METALS CORP 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 WATSON PHARMACEUTICALS INC 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 22.18 Financials 35.44 Financials 56.66 Utilities 32.62 Financials 137.26 Consumer Discretionary 16.40 Energy 31.52 Information Technology 59.29 Industrials 24.11 Health Care 63.95 Consumer Discretionary 159.81 Energy 70.68 Industrials 55.34 Information Technology 54.33 Financials 7.39 Industrials 28.03 Consumer Staples 42.43 Industrials 25.30 Industrials 70.11 Industrials 53.99 Industrials 110.09 Consumer Discretionary 62.28 Energy 32.59 Industrials 10.73 Industrials 42.88 Consumer Staples 15.67 Information Technology 10.94 Information Technology 154.15 Information Technology 43.73 Utilities 48.51 Energy 72.76 Consumer Discretionary 63.07 Information Technology 28.43 Materials 15.50 Utilities 67.54 Materials 151.54 Materials 72.48 Financials 153.12 Financials 17.11 Industrials 72.66 Utilities 45.65 Industrials 8.89 Energy 36.19 Energy 29.18 Telecommunication Services 5.69 Health Care 42.58 Industrials 71.36 Consumer Discretionary 11.20 Consumer Discretionary 47.67 Consumer Discretionary 56.58 Financials 41.58 Industrials 91.28 Health Care 52.30 Financials 29.10 Information Technology 17.96 Consumer Staples 31.49 Financials 64.09 Consumer Discretionary 61.81 Information Technology 32.77 Utilities 17.59 Health Care 24.18 Information Technology 75.00 Information Technology 13.73 Energy 38.04 Information Technology 28.22 Industrials 26.32 Health Care 59.43 Consumer Discretionary 61.80 Consumer Discretionary 98.37 Consumer Discretionary 44.97 Materials 12.03 Consumer Discretionary 43.36 Financials 50.75 Information Technology 23.28 Financials 69.79 Consumer Discretionary 31.49 Industrials 27.39 Consumer Staples 16.13 Industrials 120.93 Industrials 72.59 Materials 21.46 Industrials 76.15 Health Care 57.49 Financials 19.82 Consumer Discretionary 37.48 Financials 33.63 Energy 28.81 Health Care 58.24 Financials 64.31 Information Technology 48.26 Telecommunication Services 44.50 Consumer Discretionary 163.65 Consumer Discretionary 54.41 Information Technology 139.89 Financials 78.79 Materials 46.57 Consumer Staples 77.15 Consumer Staples 36.17 Consumer Discretionary 50.79 Consumer Discretionary 359.48 Industrials 32.32 Health Care 80.60 Health Care 87.12 Health Care 62.38 Financials 33.90 Information Technology 35.75 Information Technology 17.83 Financials 27.30 Consumer Discretionary 84.10 Consumer Staples 97.43 Energy 35.85 Telecommunication Services 9.97 Utilities 38.46 Energy 17.44 Industrials 215.86 Consumer Discretionary 54.19 Consumer Discretionary 116.25 Utilities 27.74 Information Technology 7.16 Information Technology 33.15 Financials 25.28 Industrials 24.73 Information Technology 15.68 Consumer Discretionary 70.82 Health Care 63.17 Financials 22.20
Dividend Yield
Next ExDividend Date
1.76% 3.16% 2.61% 4.47% 3.42%
22.01.2013 21.12.2012 23.11.2012 07.12.2012 14.12.2012
0.25% 1.79%
14.11.2012 21.11.2012
1.13% 1.06% 0.34% 3.89%
04.01.2013 28.12.2012 14.12.2012 04.01.2013
0.54% 3.50% 5.84% 2.49% 2.80% 2.22% 0.58% 1.00%
14.12.2012 27.12.2012 07.12.2012 23.11.2012 15.11.2012 08.11.2012 09.01.2013 07.12.2012
9.69% 2.94% 4.91% 4.39%
06.11.2012 14.02.2013 18.12.2012 02.01.2013
4.21% 1.61% 0.94% 4.78% 3.36% 3.82% 1.13% 1.19% 2.97% 3.36% 1.98% 4.38% 0.45%
07.12.2012 30.11.2012 28.11.2012 02.11.2012 27.02.2013 21.12.2012 14.11.2012 30.11.2012 13.11.2012 28.11.2012 16.11.2012 31.01.2013 04.12.2012
4.11%
07.11.2012
2.30% 2.75% 4.20% 1.76% 1.06% 2.45%
28.12.2012 07.03.2013 28.12.2012 13.11.2012 11.12.2012 28.12.2012
1.87% 1.03%
28.12.2012 28.11.2012
3.56% 2.31% 2.44% 2.56% 5.09%
09.01.2013 14.12.2012 15.02.2013 07.12.2012 09.11.2012
1.26% 2.98% 0.91% 0.87% 2.27% 2.52% 2.50% 2.74% 1.18% 1.54% 1.72% 2.81%
28.11.2012 25.01.2013 05.12.2012 14.12.2012 20.12.2012 28.11.2012 28.11.2012 05.12.2012 12.02.2013 02.01.2013 11.12.2012 07.12.2012
1.83% 0.99% 2.32% 3.35% 0.93% 2.81% 1.61% 2.75%
23.01.2013 01.03.2013 28.11.2012 15.11.2012 05.11.2012 13.02.2013 07.12.2012 31.01.2013
2.72% 2.52%
28.12.2012 13.11.2012
4.00%
05.12.2012
4.66% 2.15% 2.11% 0.77% 3.85% 0.09% 2.23% 3.08% 1.28% 2.81% 4.53%
09.01.2013 07.12.2012 14.12.2012 14.11.2012 14.11.2012 15.03.2013 06.03.2013 19.02.2013 12.12.2012 24.01.2013 30.11.2012
1.96% 2.77%
05.12.2012 31.10.2012
2.24% 2.49% 2.52% 0.74% 3.88% 10.03% 3.43%
20.12.2012 26.02.2013 14.11.2012 28.12.2012 05.12.2012 28.12.2012 14.11.2012
1.64% 2.36% 1.72% 3.97% 3.11% 2.84% 1.86% 1.74%
15.11.2012 20.11.2012 31.10.2012 26.12.2012 28.12.2012 05.11.2012 14.12.2012 28.02.2013
1.96% 1.23% 0.54%
09.01.2013 26.12.2012 23.11.2012
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
17.40 24.19 26.41 15.35 18.37 51.28 37.23 29.37 30.52 24.69 35.18 39.64 17.92 32.99 38.92 18.79 17.72 34.42 31.57 23.45 22.04 26.90 33.86 39.39 34.77 27.89 25.01 34.16 46.60 14.45 25.19 28.91 51.78 38.36 13.78 24.85 19.34 17.92 30.46 24.02 11.34 27.85 37.20 16.19 25.88 27.91 33.57 44.12 28.34 34.05 25.48 19.56 23.11 34.16 41.23 15.24 24.82 18.80 27.45 14.40 48.61 43.76 42.40 43.47 26.79 42.83 23.99 29.66 21.78 22.29 35.38 25.07 23.11 23.37 16.22 65.34 25.55 34.03 22.66 17.16 51.63 20.31 27.75 21.11 27.23 21.60 39.66 30.89 17.00 24.82 19.60 25.43 26.67 22.58 17.65 44.64 17.34 18.60 21.78
18.67 24.33 25.80 15.25 17.35 49.86 34.68 26.16 27.47 23.27 31.73 38.18 16.81 38.49 34.62 18.69 16.60 30.54 28.67 22.34 22.01 24.78 31.38 39.81 32.65 31.74 26.32 39.58 40.16 14.36 24.93 27.54 46.03 36.84 13.27 23.21 18.55 16.94 30.27 22.11 10.51 26.12 35.98 16.37 22.22 25.64 30.48 44.58 26.82 30.90 24.03 18.88 21.72 32.01 36.80 13.55 23.38 18.02 25.15 14.74 44.87 37.92 38.91 41.56 24.73 35.99 21.76 32.59 20.10 20.84 34.42 23.06 21.33 21.40 15.75 54.63 22.90 33.03 21.69 16.04 47.88 20.33 24.22 21.82 32.56 20.54 37.33 29.31 16.85 23.83 17.46 24.37 25.80 21.52 17.62 39.80 15.53 20.51 19.77
18.61 24.77 25.04 15.18 17.51 49.69 34.77 25.66 27.38 22.72 30.85 37.16 17.09 37.62 33.66 18.59 16.45 29.75 28.29 22.20 21.97 24.54 31.14 40.15 31.94 32.07 26.96 40.19 38.38 14.27 25.54 27.77 43.87 36.42 13.20 22.66 18.57 17.25 30.28 22.23 11.01 27.35 35.54 16.46 21.86 25.21 29.55 41.38 26.69 30.95 23.84 18.91 21.68 31.46 35.30 13.59 23.35 17.94 24.89 14.96 40.66 35.96 38.07 41.18 24.57 34.26 21.82 32.83 19.74 20.79 34.07 22.63 20.95 20.91 15.92 49.53 22.45 32.56 21.80 16.09 46.77 20.82 24.06 22.40 32.08 20.89 36.42 28.74 17.13 24.06 16.78 24.23 25.44 22.00 17.59 38.27 14.95 21.33 19.47
18.25 26.30 26.69
28.65
50.76
51.80
52.61
53.39
27.95 29.31 22.19 31.78 37.26 18.57 37.80 34.74 17.65 17.84
30.10
31.19
31.96
33.73 36.74 19.96 39.00 37.26
34.81
35.52
20.71
21.15
38.08
38.07
18.83
19.53
20.19
18.41 29.50 26.01 34.22 20.62 51.81 23.23 24.59 39.39 33.72 30.48 29.17 11.89 40.55 26.89 26.90 32.46 20.62 33.20 26.28 24.09 25.25 24.90 21.78 28.09 32.75
17.07 28.13 24.44 28.66 21.87 45.69 20.98 24.07 35.76 27.99 29.13 25.38 11.80 37.24 24.71 24.41 30.65 20.62 31.44 24.22 22.71 22.87 25.14 21.37 23.99 30.36
16.84 27.59 24.18 27.17 22.63 43.57 20.99 24.46 34.32 28.27 28.53 24.14 11.71 37.86 24.54 25.05 30.05 18.28 31.00 24.60 22.63 23.57 25.80 21.71 22.40 29.72
29.92 22.17 22.00 25.51 33.02 39.24 31.62 34.86 28.23 41.68 39.82 16.41 27.57 44.67 36.54 13.72
26.81 35.03 38.72
27.64
28.24
35.89 28.78 43.48 39.41
31.86 43.53 40.01
38.96 43.46 41.27
29.92
30.94
31.59
45.71 36.16
37.75
40.62
19.72 19.17 30.69
21.87 33.08
23.14 34.22
23.98 34.82
12.30 29.47 36.18
14.57 30.89 36.85
15.82
16.42
32.30 26.53 29.94 40.49 27.83 33.86 24.80 19.79 22.89 31.99 34.87 15.21 25.19 18.75 26.90 15.67 34.49 35.48 39.24 41.65 26.06 34.85
43.21 28.11 31.17 38.30 29.88 36.00 27.51
44.29 28.81 31.74
43.92 29.19 32.05
31.15 37.03 29.18
32.10 37.69 30.21
24.03 31.95 35.47 16.42
31.89 36.00 16.89
31.84 36.45 17.16
20.79
21.84
22.46
36.12
36.40
42.24 29.44
41.95 30.18
32.86 20.54 21.92 35.76 23.27 21.28 21.40 17.44 49.55 23.91 31.77 22.64 17.10 46.76 22.05 24.38
34.23 21.79 24.05 37.95 24.78
34.87 22.62 25.17
35.32 23.39 25.90
25.74
26.49
20.02 48.51 25.39 34.10 24.87 18.71 47.35 24.10 26.02
20.60
20.47
25.83 35.24 26.21 19.65 47.90 25.16
26.14 35.70 26.90 20.34 48.41 25.72
34.88 22.70 37.31 28.36 18.69 25.91 17.09 24.91 26.76 24.27 19.41 37.07 15.87 22.13 21.48
36.63 24.01 38.19
27.76 26.58 21.67 35.77 17.18 23.61 23.66
24.08 24.68
24.15 25.31
17.85 27.02 25.11 27.22 23.91 42.93 22.67 26.23 36.10 31.79 28.30 24.40 12.36 42.26 26.34 28.23 32.30
19.58
20.77
21.86
26.21 27.58 26.47 43.34 23.93 25.47 37.01 32.94 27.94 24.89
26.48
26.53
27.38 44.15 24.98 26.87
27.62 45.07 26.01 29.93
33.94 27.60 24.89
34.76 27.41 25.04
31.32 25.85 24.12 29.15 28.28 23.72 23.44 30.08
32.69 27.54 26.56
35.19
38.59
30.07 25.74 24.38 31.00
30.90 26.86
31.46 27.72
31.45
31.69
38.77 35.80 41.57 42.28 28.28 36.71
27.65 18.57
19.54
20.10
43.43 30.11 33.43
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Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
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