25.02.2013
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
At The Money Implied Volatilities by Terms ATM Ref
Dividend Yield
Next ExDividend Date
III LN Equity
GB00B1YW4409
3I GROUP PLC
Financials
312.40
2.62%
19.06.2013
17.97
17.62
17.27
17.82
AALB NA Equity
NL0000852564
AALBERTS INDUSTRIES NV
Industrials
16.58
2.11%
29.04.2013
24.23
20.58
20.61
20.39
ABBN VX Equity
CH0012221716
ABB LTD-REG
Industrials
21.44
3.18%
30.04.2014
17.48
16.91
17.56
18.15
19.24
19.96
20.23
ADN LN Equity
GB0000031285
ABERDEEN ASSET MGMT PLC
Financials
435.20
3.03%
08.05.2013
ABE SQ Equity
ES0111845014
ABERTIS INFRAESTRUCTURAS SA
Industrials
13.40
4.93%
12.04.2013
22.32
22.15
22.57
22.99
22.62
22.27
22.55
-0.149 -0.128 -0.112 -0.148 -0.112 -0.123 -0.094 0.002
ANA SQ Equity
ES0125220311
ACCIONA SA
Utilities
46.99
5.75%
04.06.2013
40.95
39.52
38.42
37.16
35.65
34.65
34.38
-0.166 -0.146 -0.085 -0.014 -0.098 -0.048 -0.137 -0.001 -0.001 0.000 -0.001 -0.001 -0.001 0.000
AC FP Equity
FR0000120404
ACCOR SA
Consumer Discretionary
28.13
2.70%
11.06.2013
25.17
25.92
25.48
25.93
26.77
27.42
ACX SQ Equity
ES0132105018
ACERINOX SA
Materials
8.14
6.75%
05.07.2013
31.09
30.43
30.72
31.58
28.72
28.39
28.58
-0.022 -0.026 -0.057 -0.094 0.034
0.038
ACKB BB Equity
BE0003764785
ACKERMANS & VAN HAAREN
Financials
69.37
2.48%
29.05.2013
ACS SQ Equity
ES0167050915
ACS ACTIVIDADES CONS Y SERV
Industrials
18.60
11.24%
05.07.2013
28.24
27.23
26.70
25.74
23.62
21.83
21.62
-0.206 -0.151 -0.123 -0.081 -0.068 0.059
ATLN VX Equity
CH0010532478
ACTELION LTD-REG
Health Care
48.44
2.07%
22.04.2014
26.85
25.11
25.30
26.39
25.38
25.41
ADEN VX Equity
CH0012138605
ADECCO SA-REG
Industrials
54.30
3.32%
26.04.2013
28.30
24.84
25.51
24.04
24.01
24.10
23.96
ADS GY Equity
DE000A1EWWW0
ADIDAS AG
Consumer Discretionary
71.03
1.76%
09.05.2013
26.01
22.43
22.39
23.03
22.76
22.48
22.57
-0.217 -0.153 -0.098 -0.081 -0.059 -0.028 0.011
0.017
ADM LN Equity
GB00B02J6398
ADMIRAL GROUP PLC
Financials
1261.00
6.92%
15.05.2013
AGS LN Equity
GB00B4JV1B90
AEGIS GROUP PLC
Consumer Discretionary
238.60
AGN NA Equity
NL0000303709
AEGON NV
Financials
4.82
4.56%
15.08.2013
29.06
28.18
28.31
28.36
27.40
28.75
29.07
-0.273 -0.233 -0.146 -0.177 -0.081 -0.020 0.060
ADP FP Equity
FR0010340141
ADP
Industrials
62.54
2.81%
13.05.2013
17.05
17.02
17.60
17.61
17.51
17.95
-0.125 -0.036 0.006
AFR LN Equity
GB00B0672758
AFREN PLC
Energy
146.40
AGS BB Equity
BE0974264930
AGEAS
Financials
26.27
4.57%
29.04.2013
26.50
24.14
23.89
24.79
24.38
24.14
AGK LN Equity
GB00B4WQ2Z29
AGGREKO PLC
Industrials
1695.00
1.46%
24.04.2013
AF FP Equity
FR0000031122
AIR FRANCE-KLM
Industrials
7.74
16.07.2013
41.83
40.09
40.87
39.78
38.78
AI FP Equity
FR0000120073
AIR LIQUIDE SA
Materials
93.64
12.05.2014
16.37
15.91
16.97
17.78
AIXA GY Equity
DE000A0WMPJ6
AIXTRON SE
Information Technology
9.24
24.05.2013
44.08
39.32
39.70
39.50
AKSO NO Equity
NO0010215684
AKER SOLUTIONS ASA
Energy
112.20
3.57%
18.04.2014
31.12
32.17
32.08
32.18
AKZA NA Equity
NL0000009132
AKZO NOBEL
Materials
49.77
2.93%
22.10.2013
28.26
27.43
26.03
25.24
24.89
24.48
ALU FP Equity
FR0000130007
ALCATEL-LUCENT
Information Technology
09.06.2014
54.43
57.95
63.63
62.84
64.73
62.51
ALFA SS Equity
SE0000695876
ALFA LAVAL AB
Industrials
152.00
2.30%
24.04.2014
19.62
19.20
21.17
21.06
23.96
23.96
ALV GY Equity
DE0008404005
ALLIANZ SE-REG
Financials
106.55
4.22%
08.05.2014
21.83
20.38
20.70
20.94
20.82
20.37
ALLN SE Equity
CH0008837566
ALLREAL HOLDING AG-REG
Financials
135.90
4.05%
09.04.2013
ALO FP Equity
FR0010220475
ALSTOM
Industrials
33.29
2.85%
27.06.2013
28.94
27.83
28.66
29.34
29.54
AMS SQ Equity
EU0009658145
AMADEUS IT HOLDING SA-A SHS
Information Technology
18.76
18.74
19.17
19.78
AMEC LN Equity
GB0000282623
AMEC PLC
Energy
AMEAS FH Equity FI0009000285
AMER SPORTS OYJ
Consumer Discretionary
AML LN Equity
GB00B2988H17
AMLIN PLC
Financials
ANDR AV Equity
AT0000730007
ANDRITZ AG
Industrials
AAL LN Equity
GB00B1XZS820
ANGLO AMERICAN PLC
Materials
ABI BB Equity
BE0003793107
ANHEUSER-BUSCH INBEV NV
Consumer Staples
ANTO LN Equity
GB0000456144
ANTOFAGASTA PLC
MAERSKB DC Equity DK0010244508 MT NA Equity
LU0323134006
AKE FP Equity
FR0010313833
ARM LN Equity
Stoxx 600 Index
Ticker
ISIN
Name
GICS_SECTOR_NAME
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 0.059
0.002
0.005
0.007
0.005
-0.278 -0.066 -0.090 -0.093
0.018
0.005
0.003
0.005
-0.230 -0.231 -0.069 -0.104 -0.126 -0.109 -0.082 0.034
0.108
0.099
0.089
0.012
0.005
0.006
0.002
0.002
0.002
0.003
0.002
0.003
0.003
0.003
0.003
-0.105 -0.135 -0.105 -0.120 -0.096 -0.120
0.029
0.006
0.003
0.002
0.002
0.002
0.065
0.001
0.000
0.001
0.000
0.001
0.001
0.268
0.002
0.002
0.002
0.001
0.001
0.002 -0.002
0.016
0.003
0.002
0.002
0.001
0.001
-0.315 -0.113 -0.014 -0.077 -0.064 -0.059 -0.052 0.012
0.003
0.001
0.003
0.002
0.002
0.002
0.008
0.005
0.002
0.001
0.001
0.001
0.032
0.004
0.005
0.004
0.002
0.000 -0.002
0.017
0.002
0.000
0.000
0.000
0.000
24.22
-0.268 -0.097 -0.071 -0.067 -0.069 -0.079 -0.059 0.010
0.003
0.002
0.003
0.002
0.002
0.002
37.01
30.50
-0.239 -0.089 -0.119 -0.146 0.010
0.026 -0.276 0.010
0.003
0.001
0.002
0.000
0.001
0.003
18.65
19.38
20.06
-0.175 -0.116 -0.068 -0.117 -0.139 -0.138 -0.132 0.027
0.014
0.008
0.003
0.003
0.002
0.002
39.92
40.51
40.18
-0.119 -0.151 -0.154 -0.155 -0.153 -0.233 -0.269 0.004
0.002
0.001
0.000
0.000
0.001
0.002
-0.206 -0.183 -0.152 -0.165
0.047
0.032
0.017
0.002
23.89
-0.313 -0.189 -0.157 -0.142 -0.108 -0.082 -0.063 0.019
0.005
0.003
0.003
0.002
0.002
0.002
62.18
-0.288 -0.334 -0.228 -0.127 -0.114 -0.055 -0.056 0.029
0.014
0.006
0.005
0.000
0.000
0.000
-0.273 -0.197 -0.138 -0.137 -0.102 -0.102
0.045
0.020
0.008
0.004
0.001
0.001
20.17
-0.169 -0.131 -0.085 -0.089 -0.078 -0.048 -0.027 0.026
0.010
0.005
0.003
0.002
0.002
0.002
29.99
29.25
-0.316 -0.224 -0.199 -0.130 -0.082 -0.071 -0.095 0.023
0.008
0.006
0.003
0.002
0.002
0.002
20.59
20.48
20.48
-0.129 -0.115 -0.098 -0.131 -0.109 -0.103 -0.099 0.001
0.002
0.001
0.002
0.001
0.001
0.001
-0.316 -0.030 -0.011 0.020
-0.268 -0.154 -0.121 -0.108 -0.080 -0.071
0.000
12.06.2013
2.67%
1.12
20.31
2.56%
29.07.2013
1055.00
3.54%
27.11.2013
12.93
2.71%
10.03.2014
429.50
5.73%
03.04.2013
52.07
2.40%
26.03.2013
27.93
25.51
26.75
26.68
28.49
33.45
1989.50
2.92%
14.08.2013
32.43
31.08
30.56
30.68
31.27
31.83
70.41
2.13%
26.04.2013
25.88
22.46
22.36
21.61
21.35
21.35
Materials
1122.00
1.41%
08.05.2013
34.36
33.36
32.66
32.17
AP MOELLER-MAERSK A/S-B
Industrials
45520.00
2.64%
14.04.2014
24.45
22.84
22.92
23.08
ARCELORMITTAL
Materials
11.85
1.27%
09.05.2014
31.03
31.74
32.49
33.12
34.15
35.03
ARKEMA
Materials
84.23
2.02%
29.05.2013
35.01
34.29
33.57
33.75
33.83
33.83
DE0005557508
ARM HOLDINGS PLC
Information Technology
941.50
0.51%
04.09.2013
28.75
28.65
28.45
28.65
ARYN SE Equity
CH0043238366
ARYZTA AG
Consumer Staples
53.30
1.30%
29.01.2014
15.71
16.03
16.43
17.09
ASHM LN Equity
GB00B132NW22
ASHMORE GROUP PLC
Financials
360.80
4.29%
06.11.2013
AHT LN Equity
GB0000536739
ASHTEAD GROUP PLC
Industrials
499.50
0.92%
14.08.2013
ASM NA Equity
NL0000334118
ASM INTERNATIONAL NV
Information Technology
ASML NA Equity
NL0010273215
30.30
31.26
0.003 -0.003 -0.015
0.022
0.003
0.000 -0.001 -0.001 -0.005
-0.275 -0.113 -0.097 -0.101 -0.061 -0.047 -0.067 0.015
0.005
0.001
0.002
0.001
0.000
-0.356 -0.221 -0.157 -0.148 -0.129 -0.129
0.501
0.706
0.013
0.006
0.004
0.003
0.002
0.002
-0.287 -0.213 -0.141 -0.068
0.004
0.003
0.002 -0.002
-0.050 -0.020 -0.003 -0.006
17.69
17.68
35.48
38.97
31.41
31.98
28.25
ASML HOLDING NV
Information Technology
54.80
0.97%
24.04.2014
28.12
29.68
28.74
28.48
28.33
28.36
ASSAB SS Equity SE0000255648
ASSA ABLOY AB-B
Industrials
256.10
1.99%
28.04.2014
18.53
19.16
20.09
21.09
23.53
23.53
G IM Equity
IT0000062072
ASSICURAZIONI GENERALI
Financials
13.13
2.67%
20.05.2013
31.58
28.81
29.02
27.59
27.57
27.65
27.38
ABF LN Equity
GB0006731235
ASSOCIATED BRITISH FOODS PLC
Consumer Staples
1819.00
1.70%
05.06.2013
13.22
12.89
12.57
12.46
AZN LN Equity
GB0009895292
ASTRAZENECA PLC
Health Care
2974.50
6.44%
07.08.2013
16.33
16.13
16.63
16.73
17.26
16.71
17.78
ATL IM Equity
IT0003506190
28.68
0.004
0.000
0.000
0.000
-0.292 -0.210 -0.172 -0.137 -0.096 -0.073 -0.063 0.020
0.004
0.003
0.002
-0.039 -0.026 -0.014 0.009
0.003
0.001
0.000 -0.003 -0.002 -0.002
-0.394 -0.292 -0.188 -0.069
0.026
0.018
0.010
-0.165 -0.071 -0.083 -0.073 -0.065 -0.060
0.028
0.004 -0.001 0.000
-0.137 0.001 -0.073 -0.129
0.020
0.020
0.000
0.000 -0.001 -0.001
0.002 0.001
0.001
0.017
0.005
0.003
0.004
-0.321 -0.182 -0.136 -0.160 -0.119 -0.100 -0.080 0.013
0.002
0.002
0.002
0.001
0.001
-0.350 -0.249 -0.179 -0.131 -0.104 -0.104
0.057
0.017
0.010
0.006
0.000
0.000
-0.418 -0.300 -0.283 -0.182 -0.112 -0.072 -0.047 0.016
0.005
0.004
0.002
0.001
0.000
0.000
-0.139 -0.100 -0.060 -0.041
0.002
0.004
0.003
0.001
0.001
-0.134 -0.163 -0.180 -0.130 -0.091 -0.060 -0.093 0.009
0.013
0.007
0.004
0.002
0.002
0.001
0.001
0.001
ATLANTIA SPA
Industrials
13.45
5.72%
20.05.2013
24.98
22.55
23.79
23.18
22.99
22.99
-0.312 -0.257 -0.222 -0.166 -0.182 -0.182
0.011
0.010
0.005
0.002
ATCOA SS Equity SE0000101032
ATLAS COPCO AB-A SHS
Industrials
186.70
2.95%
30.04.2014
18.42
18.40
20.34
21.42
24.72
24.72
-0.218 -0.179 -0.129 -0.103 -0.091 -0.091
0.042
0.018
0.009
0.005 -0.001 -0.001
ATO FP Equity
FR0000051732
ATOS
Information Technology
58.99
1.02%
13.06.2013
24.34
24.13
23.92
24.58
25.69
25.69
-0.123 -0.117 -0.110 -0.105 -0.096 -0.096
0.012
0.009
0.006
0.002
0.001
0.001
NDA GY Equity
DE0006766504
AURUBIS AG
Materials
53.95
2.50%
28.02.2014
21.08
21.62
22.00
23.46
24.12
24.13
23.87
-0.050 -0.083 -0.072 -0.066 -0.046 -0.029 -0.009 0.021
0.002
0.002
0.002
0.001
0.002
0.002
AVV LN Equity
GB00B15CMQ74
AVEVA GROUP PLC
Information Technology
2319.00
1.07%
19.06.2013
AV/ LN Equity
GB0002162385
AVIVA PLC
Financials
364.10
7.14%
20.03.2013
29.20
19.22
20.14
19.67
18.29
14.04
13.46
-0.114 -0.024 -0.022 -0.084 0.006
0.005
0.003
0.005
0.002
0.006
0.010
0.010
CS FP Equity
FR0000120628
AXA SA
Financials
13.98
5.15%
05.05.2014
26.96
25.61
25.66
25.99
27.79
28.33
27.10
-0.189 -0.130 -0.181 -0.145 -0.141 -0.150 -0.166 0.022
0.006
0.007
0.002
0.002
0.001
0.002
SPR GY Equity
DE0005501357
AXEL SPRINGER AG
Consumer Discretionary
36.44
4.94%
25.04.2013
16.05
15.83
14.68
15.04
15.88
16.99
17.06
-0.277 -0.081 0.061
0.016
0.005
0.001
0.001
0.000
0.000
0.001
BAB LN Equity
GB0009697037
BABCOCK INTL GROUP PLC
Industrials
1072.00
2.43%
03.07.2013
BA/ LN Equity
GB0002634946
BAE SYSTEMS PLC
Industrials
352.90
5.61%
16.10.2013
19.35
19.52
20.50
19.90
20.03
20.03
0.034
0.009
0.006
0.002
0.002
0.002
BBY LN Equity
GB0000961622
BALFOUR BEATTY PLC
Industrials
287.80
5.08%
24.04.2013
BALN VX Equity
CH0012410517
BALOISE HOLDING AG - REG
Financials
83.65
5.38%
03.05.2013
15.99
16.00
12.42
15.89
16.48
17.26
17.55
-0.242 -0.273 -0.100 -0.109 -0.079 -0.065 -0.053 0.027
0.012
0.008
0.005
0.002
0.002
0.002
BMPS IM Equity
IT0001334587
BANCA MONTE DEI PASCHI SIENA
Financials
0.23
20.05.2013
56.64
52.84
51.44
48.41
50.65
55.55
52.97
-0.187 -0.110 -0.187 -0.230 -0.469 -0.995 -1.079 0.003
0.003
0.005
0.005
0.002
0.002
0.002
BPE IM Equity
IT0000066123
BANCA POPOL EMILIA ROMAGNA
Financials
6.04
20.05.2013
41.02
41.65
45.69
41.10
41.60
42.98
-0.012 -0.058 -0.254 -0.080 -0.068 -0.087
-0.001 0.000
0.000
0.001
0.000
0.000
PMI IM Equity
IT0000064482
BANCA POPOLARE DI MILANO
Financials
0.57
20.05.2013
50.95
46.55
45.28
42.02
41.54
41.54
-0.266 -0.408 -0.230 -0.183 -0.104 -0.104
0.008
0.003
0.002
0.001
0.001
BPSO IM Equity
IT0000784196
BANCA POPOLARE DI SONDRIO
Financials
5.05
2.97%
22.04.2013
30.93
34.32
31.04
32.00
31.85
33.63
-0.168 -0.355 -0.138 -0.097 -0.092 -0.116
0.004 -0.001 0.000
BBVA SQ Equity
US78378X1072
BANCO BILBAO VIZCAYA ARGENTA
Financials
7.73
5.43%
16.04.2013
32.85
30.30
31.61
29.18
28.93
28.75
28.00
-0.360 -0.404 -0.370 -0.261 -0.194 -0.148 -0.081 0.008
0.007
0.005
0.002 -0.001 -0.002 -0.002
SAB SQ Equity
ES0113860A34
BANCO DE SABADELL SA
Financials
1.75
0.57%
10.09.2013
41.85
37.02
37.31
40.54
40.51
38.21
38.06
0.203
0.000
0.003
0.002
BES PL Equity
PTBES0AM0007
BANCO ESPIRITO SANTO-REG
Financials
0.99
07.04.2014
BP IM Equity
IT0004231566
BANCO POPOLARE SCARL
Financials
1.43
20.05.2013
47.18
42.80
40.94
38.59
37.53
37.53
0.004
POP SQ Equity
ES0113790531
BANCO POPULAR ESPANOL
Financials
0.65
13.03.2013
69.14
64.29
59.74
56.86
49.21
52.48
56.91
SAN SQ Equity
ES0113900J37
BANCO SANTANDER SA
Financials
5.99
08.07.2013
32.35
28.54
29.61
29.22
26.96
24.36
23.85
BKIR ID Equity
IE0030606259
BANK OF IRELAND
Financials
0.14
11.03.2013
39.47
38.73
39.10
39.23
39.60
40.74
BKIA SQ Equity
ES0113307039
BANKIA SA
Financials
0.30
46.96
43.05
39.14
45.51
43.70
45.28
BCVN SE Equity
CH0015251710
BANQUE CANTONALE VAUDOIS-REG
Financials
529.00
6.05%
29.04.2014
24.10
22.58
15.95
20.24
22.39
24.78
BARC LN Equity
GB0031348658
BARCLAYS PLC
Financials
316.55
2.21%
01.05.2013
31.46
29.69
29.96
29.61
29.06
29.50
BDEV LN Equity
GB0000811801
BARRATT DEVELOPMENTS PLC
Consumer Discretionary
238.50
1.26%
17.04.2013
22.89
22.52
22.16
21.59
BARN SE Equity
CH0009002962
BARRY CALLEBAUT AG-REG
Consumer Staples
910.00
1.70%
27.02.2014
16.67
16.88
16.68
17.00
17.40
17.65
BAS GY Equity
DE000BASF111
BASF SE
Materials
75.61
3.44%
29.04.2013
22.78
21.05
21.08
21.61
22.60
23.85
BAYN GY Equity
DE000BAY0017
BAYER AG-REG
Health Care
74.57
2.41%
29.04.2013
24.03
21.94
22.23
22.40
22.80
23.46
BMW GY Equity
DE0005190003
BAYERISCHE MOTOREN WERKE AG
Consumer Discretionary
70.99
3.66%
15.05.2013
26.40
26.67
26.09
25.81
25.56
25.71
BEI GY Equity
DE0005200000
BEIERSDORF AG
Consumer Staples
66.33
1.21%
19.04.2013
20.68
18.73
18.86
18.81
19.58
20.04
BELG BB Equity
BE0003810273
BELGACOM SA
Telecommunication Services 20.99
10.39%
23.04.2013
22.82
20.34
14.66
13.29
17.67
17.67
BWY LN Equity
GB0000904986
BELLWAY PLC
Consumer Discretionary
1151.00
2.08%
22.05.2013
BKG LN Equity
GB00B02L3W35
BERKELEY GROUP HOLDINGS
Consumer Discretionary
1893.00
0.79%
BG/ LN Equity
GB0008762899
BG GROUP PLC
Energy
1177.00
1.50%
31.07.2013
22.93
22.99
23.73
24.65
24.85
24.85
BLT LN Equity
GB0000566504
BHP BILLITON PLC
Materials
2134.50
3.59%
04.09.2013
24.32
24.37
24.50
24.52
25.25
24.74
24.04
GBF GY Equity
DE0005909006
BILFINGER SE
Industrials
80.80
3.71%
22.04.2014
19.02
18.11
19.58
20.35
21.26
21.81
21.67
-0.387 -0.159 -0.095 -0.138 -0.100 -0.097 -0.080 0.018
BIM FP Equity
FR0010096479
BIOMERIEUX
Health Care
73.60
1.48%
03.06.2013
23.47
23.39
23.40
23.73
23.59
23.84
-0.169 -0.004 0.004
BNP FP Equity
FR0000131104
BNP PARIBAS
Financials
45.08
3.33%
30.05.2014
34.24
32.13
32.92
31.28
30.40
29.81
BOL SS Equity
SE0000869646
BOLIDEN AB
Materials
111.90
3.57%
05.05.2014
23.22
22.29
24.19
24.61
26.59
26.59
BME SQ Equity
ES0115056139
BOLSAS Y MERCADOS ESPANOLES
Financials
20.93
7.65%
06.09.2013
32.30
28.75
27.07
24.34
22.23
20.85
21.64
BOK LN Equity
GB00B01TND91
BOOKER GROUP PLC
Consumer Staples
115.20
2.20%
05.06.2013
EN FP Equity
FR0000120503
BOUYGUES SA
Industrials
20.33
7.87%
30.04.2013
40.63
33.91
31.46
30.23
28.77
28.07
30.67
-0.092 -0.070 0.075
BP/ LN Equity
GB0007980591
BP PLC
Energy
453.75
5.39%
08.05.2013
24.97
23.62
23.19
22.39
21.62
19.95
BNR GY Equity
DE000A1DAHH0
BRENNTAG AG
Industrials
109.90
2.18%
20.06.2013
20.01
19.82
20.29
21.86
21.65
21.18
BATS LN Equity
GB0002875804
BRITISH AMERICAN TOBACCO PLC
Consumer Staples
3450.00
3.96%
13.03.2013
17.30
16.45
16.52
16.99
BLND LN Equity
GB0001367019
BRITISH LAND CO PLC
Financials
571.00
4.69%
03.07.2013
14.66
14.57
14.31
14.47
BSY LN Equity
GB0001411924
BRITISH SKY BROADCASTING GRO
Consumer Discretionary
826.00
3.44%
23.10.2013
15.57
15.76
16.02
17.35
17.70
17.70
BVIC LN Equity
GB00B0N8QD54
BRITVIC PLC
Consumer Staples
424.70
4.21%
29.05.2013
BT/A LN Equity
GB0030913577
BT GROUP PLC
Telecommunication Services 274.40
3.57%
07.08.2013
22.83
21.86
23.63
23.12
22.80
20.60
BTG LN Equity
GB0001001592
BTG PLC
Health Care
335.10
BNZL LN Equity
GB00B0744B38
BUNZL PLC
Industrials
1218.00
2.35%
06.11.2013
BRBY LN Equity
GB0031743007
BURBERRY GROUP PLC
Consumer Discretionary
1394.00
2.08%
03.07.2013
27.90
28.15
27.74
29.30
29.58
BVI FP Equity
FR0006174348
BUREAU VERITAS SA
Industrials
96.40
1.54%
11.06.2013
16.04
16.09
16.01
15.84
15.77
BPTY LN Equity
GI000A0MV757
BWIN.PARTY DIGITAL ENTERTAIN
Consumer Discretionary
140.60
2.60%
08.05.2013
GCC ID Equity
IE00B010DT83
C&C GROUP PLC
Consumer Staples
4.88
1.95%
22.05.2013
23.19
22.20
22.87
22.44
22.71
CWC LN Equity
GB00B5KKT968
CABLE & WIRELESS COMMUNICATI
Telecommunication Services 42.09
6.39%
29.05.2013
26.91
27.22
27.54
CNE LN Equity
GB00B74CDH82
CAIRN ENERGY PLC
Energy
31.99
32.27
32.56
CABK SQ Equity
ES0140609019
CAIXABANK S.A
Financials
3.12
7.41%
26.03.2013
25.01
29.78
29.44
28.59
25.86
24.21
CAP FP Equity
FR0000125338
CAP GEMINI
Information Technology
38.42
2.60%
04.06.2014
28.68
27.64
28.06
29.41
29.58
29.41
CPI LN Equity
GB00B23K0M20
CAPITA PLC
Industrials
846.00
2.86%
17.04.2013
CAPC LN Equity
GB00B62G9D36
CAPITAL & COUNTIES PROPERTIE
Financials
255.30
0.61%
15.05.2013
CLLN LN Equity
GB0007365546
1.66%
9.95%
278.10
0.056
0.034
0.010 0.008
0.051 0.008
-0.272 -0.051 -0.046 -0.055 -0.060 -0.060
45.55
0.070
0.095 -0.219 -0.328 -0.293 -0.252 0.003
0.012
0.000 -0.001 -0.003 0.000
0.002
-0.244 -0.263 -0.277 -0.259 -0.235 -0.235
0.001
0.002
0.002
0.002
0.002
0.033 -0.158 -0.003 -0.235 -0.347 -0.259 0.018
0.004
0.001 -0.008 0.002
0.006
0.002 -0.004
0.042 -0.224 -0.294 -0.244 -0.158 -0.076 0.164
0.031
0.000
0.000
0.002
0.002
0.003 -0.001
-0.223 -0.059 -0.076 0.028 -0.043 -0.001
0.044
0.005
0.002
0.002
0.002 -0.001
-0.001 -0.006 -0.011 -0.272 -0.157 -0.081 -0.103 0.001
0.005
0.009
0.006 -0.002 -0.003 -0.002
-0.097 0.018
0.005
0.004
0.001 -0.001
0.002
0.003
0.002
0.001
0.001
0.012 -0.037
0.000
0.001
0.002
0.002
-0.028 -0.052 -0.085 -0.048 -0.033 -0.032
0.013
0.001
0.001
0.001
0.000
0.000
23.93
-0.317 -0.205 -0.123 -0.117 -0.072 -0.032 -0.021 0.023
0.009
0.006
0.003
0.001
0.000
0.000
23.61
-0.326 -0.200 -0.171 -0.149 -0.112 -0.079 -0.057 0.021
0.010
0.007
0.003
0.002
0.001
0.001
25.40
-0.311 -0.161 -0.122 -0.103 -0.086 -0.071 -0.052 0.020
0.005
0.003
0.002
0.001
0.002
0.002
20.18
-0.278 -0.061 -0.064 -0.092 -0.070 -0.040 -0.010 0.020
0.005
0.004
0.004
0.002
0.001
0.001
0.015 -0.064 0.056
0.010 -0.021 -0.021
0.015
0.006
0.004
0.006
0.002
0.002
0.047
0.023
0.021
0.008
0.004
0.002
0.001
0.001
-0.339 -0.118 -0.154 -0.153 -0.109 -0.092 -0.062 0.014
0.006
0.002
0.003
0.002
0.002
0.002
0.006
0.003
0.004
0.003
0.003
0.003
0.008
0.000
0.000
0.000
0.000
0.000
-0.435 -0.290 -0.253 -0.189 -0.163 -0.144 -0.160 0.008
0.005
0.004
0.003
0.002
0.002
-0.385 -0.325 -0.116 -0.099 -0.079 -0.079
0.058
0.028
0.015
0.006
0.002
0.002
-0.051 -0.049 -0.034 -0.070 -0.063 -0.075 -0.051 0.002
0.000
0.000
0.001
0.001
0.002
0.006
0.006
0.005
0.004
0.002
0.004 -0.001
18.98
-0.078 0.001 -0.032 -0.066 -0.039 -0.042 -0.070 0.003
0.000
0.000
0.001
0.001
0.002
0.004
21.09
-0.131 -0.104 -0.079 -0.079 -0.061 -0.052 -0.032 0.019
0.000
0.001
0.000
0.000
0.001
0.001
-0.125 -0.178 -0.136 -0.082
0.005
0.007
0.004
0.002
-0.002 -0.009 -0.015 -0.041
0.001
0.004
0.007
0.006
-0.205 -0.076 -0.079 -0.086 -0.080 -0.080
29.04
30.18
0.003
0.000
-0.255 -0.173 -0.176 -0.169 -0.130 -0.088 -0.074 0.008 0.073
0.043
0.055
0.119
0.024
0.152
0.005
0.166
0.027
0.003
0.215
0.001
0.027
0.004
0.045 -0.068 -0.094 0.067
0.002
0.002 0.001
0.007
0.002
0.002
0.003
0.002
0.002
-0.548 -0.323 -0.245 -0.170 -0.107 -0.120 -0.123 0.018
0.008
0.004
0.003
0.001
0.001
30.32
-0.072 -0.110 -0.089 -0.069 -0.029 -0.018
0.010
0.000
0.001
0.001
0.000 -0.001
15.87
-0.161 -0.087 -0.001 0.008
0.034
0.016
0.004
0.000
0.000
0.000
0.000
22.68
-0.172 -0.135 -0.111 -0.130 -0.127 -0.120
0.039
0.011
0.001
0.001
0.002
0.002
29.25
0.122
-0.002 -0.001 0.000
0.004
33.35
-0.356 -0.329 -0.302 -0.186
0.013
0.011
0.009
0.003
23.98
-0.296 -0.047 -0.098 -0.099 -0.269 -0.516 -0.566 0.010
0.007
0.002
0.000
0.004
0.007
0.008
27.12
-0.317 -0.194 -0.190 -0.133 -0.103 -0.078 -0.073 0.019
0.008
0.005
0.002
0.001
0.002
0.002
-0.106 -0.065 -0.053 -0.030
0.002
-0.060 -0.076 -0.092 -0.094
19.43
0.020
0.005 -0.112 -0.196
0.001
CARILLION PLC
Industrials
321.60
5.34%
15.05.2013
CARLB DC Equity DK0010181759
CARLSBERG AS-B
Consumer Staples
590.50
1.02%
24.03.2014
23.52
21.90
22.93
22.41
0.000
0.000
0.000
CCL LN Equity
GB0031215220
CARNIVAL PLC
Consumer Discretionary
2413.00
2.81%
22.05.2013
24.45
23.60
22.90
22.67
0.021
0.016
0.011
0.003
CA FP Equity
FR0000120172
CARREFOUR SA
Consumer Staples
21.24
3.11%
04.07.2013
30.85
31.60
34.89
28.46
31.03
31.98
30.67
-0.126 -0.127 -0.295 -0.123 -0.062 -0.106 -0.057 0.020
0.007
0.003
0.004
0.001
0.001
0.002
CO FP Equity
FR0000125585
CASINO GUICHARD PERRACHON
Consumer Staples
78.04
3.84%
21.05.2014
20.31
20.61
20.75
21.20
22.57
22.02
23.64
-0.184 -0.183 -0.084 -0.093 -0.096 -0.110 -0.089 0.020
0.010
0.005
0.003
0.001
0.002
0.001
CAST SS Equity
SE0000379190
CASTELLUM AB
Financials
97.20
4.06%
21.03.2014
CGL LN Equity
BMG196F11004
CATLIN GROUP LTD
Financials
498.30
6.02%
21.08.2013
CLS1 GY Equity
DE000CLS1001
CELESIO AG
Health Care
13.82
2.68%
17.05.2013
21.19
20.38
21.35
22.78
23.92
24.45
24.63
-0.084 -0.116 -0.065 -0.053 -0.021 0.005
0.034
0.005
0.002
0.002
0.001
0.000 -0.001
CNA LN Equity CHR DC Equity
GB00B033F229 DK0060227585
CENTRICA PLC CHR HANSEN HOLDING A/S
Utilities Materials
346.50 198.20
4.86% 1.69%
24.04.2013 27.11.2013
17.43
15.17
14.79
15.37
15.44
15.44
0.002
0.003
0.005
0.003
0.003
0.003
-0.114 -0.158 -0.086 -0.087 -0.095 -0.095
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.032
25.02.2013
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
At The Money Implied Volatilities by Terms
Stoxx 600 Index
Ticker
ISIN
CDI FP Equity FR0000130403 SGO FP Equity FR0000125007 CFR VX Equity CH0045039655 CGG FP Equity FR0000120164 ML FP Equity FR0000121261 CLN VX Equity CH0012142631 CBG LN Equity GB0007668071 CNP FP Equity FR0000120222 COB LN Equity GB00B07KD360 EEEK GA Equity GRS104003009 COFB BB Equity BE0003593044 COLOB DC Equity DK0060448595 COLR BB Equity BE0974256852 CBK GY Equity DE0008032004 CPG LN Equity GB0005331532 CON GY Equity DE0005439004 CORA NA Equity NL0000288967 ACA FP Equity FR0000045072 CSGN VX Equity CH0012138530 CRH ID Equity IE0001827041 CRDA LN Equity GB0002335270 DMGT LN Equity GB0009457366 DAI GY Equity DE0007100000 BN FP Equity FR0000120644 DANSKE DC EquityDK0010274414 DSY FP Equity FR0000130650 CPR IM Equity IT0003849244 DCC ID Equity IE0002424939 DLAR LN Equity GB00B3DGH821 DE NA Equity NL0010157558 DEB LN Equity GB00B126KH97 DELB BB Equity BE0003562700 DL NA Equity NL0009294552 DLN LN Equity GB0002652740 DBK GY Equity DE0005140008 DB1 GY Equity DE0005810055 DEQ GY Equity DE0007480204 LHA GY Equity DE0008232125 DPW GY Equity DE0005552004 DTE GY Equity DE0005557508 DWNI GY Equity DE000A0HN5C6 DGE LN Equity GB0002374006 DIA SQ Equity ES0126775032 DNB NO Equity NO0010031479 DRX LN Equity GB00B1VNSX38 SMDS LN Equity GB0008220112 DSV DC Equity DK0060079531 DUFN SE Equity CH0023405456 EOAN GY Equity DE000ENAG999 EAD FP Equity NL0000235190 EZJ LN Equity GB00B7KR2P84 EBRO SQ Equity ES0112501012 EDEN FP Equity FR0010908533 EDP PL Equity PTEDP0AM0009 FGR FP Equity FR0000130452 ELN ID Equity IE0003072950 EDF FP Equity FR0010242511 ECM LN Equity GB0003096442 ELUXB SS Equity SE0000103814 EKTAB SS Equity SE0000163628 ELM LN Equity GB0002418548 ELI1V FH Equity FI0009007884 EMSN SE Equity CH0016440353 ENG SQ Equity ES0130960018 ELE SQ Equity ES0130670112 EGPW IM Equity IT0004618465 ENEL IM Equity IT0003128367 ENI IM Equity IT0003132476 EBS AV Equity AT0000652011 EI FP Equity FR0000121667 MAU FP Equity FR0000051070 ENRC LN Equity GB00B29BCK10 RF FP Equity FR0000121121 ECMPA NA Equity NL0000288876 ETL FP Equity FR0010221234 EVR LN Equity GB00B71N6K86 EXO IM Equity IT0001353140 EXPN LN Equity GB00B19NLV48 FER SQ Equity ES0118900010 FI IM Equity IT0004644743 F IM Equity IT0001976403 FLTR LN Equity GB00B0744359 FNC IM Equity IT0003856405 FGP LN Equity GB0003452173 FLS DC Equity DK0010234467 FHZN SE Equity CH0010567961 FDR FP Equity FR0000064578 FUM1V FH Equity FI0009007132 FTE FP Equity FR0000133308 FRA GY Equity DE0005773303 FNTN GY Equity DE000A0Z2ZZ5 FME GY Equity DE0005785802 FRE GY Equity DE0005785604 FRES LN Equity GB00B2QPKJ12 FPE3 GY Equity DE0005790430 FUR NA Equity NL0000352565 GFS LN Equity GB00B01FLG62 GALN SE Equity CH0015536466 GALP PL Equity PTGAL0AM0009 GAM SE Equity CH0102659627 GAS SQ Equity ES0116870314 GSZ FP Equity FR0010208488 G1A GY Equity DE0006602006 GEBN VX Equity CH0030170408 GFC FP Equity FR0010040865 GTO FP Equity NL0000400653 FI/N SE Equity CH0001752309 GXI GY Equity DE000A0LD6E6 GETIB SS Equity SE0000202624 GIVN VX Equity CH0010645932 GJF NO Equity NO0010582521 GKN LN Equity GB0030646508 GSK LN Equity GB0009252882 GLEN LN Equity JE00B4T3BW64 GN DC Equity DK0010272632 GPOR LN Equity GB00B01FLL16 GNK LN Equity GB00B0HZP136 GRF SQ Equity ES0171996012 GBLB BB Equity BE0003797140 GET FP Equity FR0010533075 GIB GY Equity DE000GSW1111 HLMA LN Equity GB0004052071 HMSO LN Equity GB0004065016 HNR1 GY Equity DE0008402215 HL/ LN Equity GB00B1VZ0M25 HAV FP Equity FR0000121881
Name CHRISTIAN DIOR COMPAGNIE DE SAINT-GOBAIN CIE FINANCIERE RICHEMON-BR A CIE GENERALE DE GEOPHYSIQUE MICHELIN (CGDE) CLARIANT AG-REG CLOSE BROTHERS GROUP PLC CNP ASSURANCES COBHAM PLC COCA-COLA HELLENIC BOTTLING COFINIMMO COLOPLAST-B COLRUYT SA COMMERZBANK AG COMPASS GROUP PLC CONTINENTAL AG CORIO NV CREDIT AGRICOLE SA CREDIT SUISSE GROUP AG-REG CRH PLC CRODA INTERNATIONAL PLC DAILY MAIL&GENERAL TST-A NV DAIMLER AG-REGISTERED SHARES DANONE DANSKE BANK A/S DASSAULT SYSTEMES SA DAVIDE CAMPARI-MILANO SPA DCC PLC DE LA RUE PLC DE MASTER BLENDERS1753 NV DEBENHAMS PLC DELHAIZE GROUP DELTA LLOYD NV DERWENT LONDON PLC DEUTSCHE BANK AG-REGISTERED DEUTSCHE BOERSE AG DEUTSCHE EUROSHOP AG DEUTSCHE LUFTHANSA-REG DEUTSCHE POST AG-REG DEUTSCHE TELEKOM AG-REG DEUTSCHE WOHNEN AG-BR DIAGEO PLC DISTRIBUIDORA INTERNACIONAL DNB ASA DRAX GROUP PLC DS SMITH PLC DSV A/S DUFRY AG-REG E.ON SE EADS NV EASYJET PLC EBRO FOODS SA EDENRED EDP-ENERGIAS DE PORTUGAL SA EIFFAGE ELAN CORP PLC EDF ELECTROCOMPONENTS PLC ELECTROLUX AB-SER B ELEKTA AB-B SHS ELEMENTIS PLC ELISA OYJ EMS-CHEMIE HOLDING AG-REG ENAGAS SA ENDESA SA ENEL GREEN POWER SPA ENEL SPA ENI SPA ERSTE GROUP BANK AG ESSILOR INTERNATIONAL MAUREL ET PROM EURASIAN NATURAL RESOURCES EURAZEO EUROCOMMERCIAL PROPERTIE-CV EUTELSAT COMMUNICATIONS EVRAZ PLC EXOR SPA EXPERIAN PLC FERROVIAL SA FIAT INDUSTRIAL FIAT SPA FILTRONA PLC FINMECCANICA SPA FIRSTGROUP PLC FLSMIDTH & CO A/S FLUGHAFEN ZUERICH AG-REG FONCIERE DES REGIONS FORTUM OYJ FRANCE TELECOM SA FRAPORT AG FREENET AG FRESENIUS MEDICAL CARE AG & FRESENIUS SE & CO KGAA FRESNILLO PLC FUCHS PETROLUB AG -PREF FUGRO NV-CVA G4S PLC GALENICA AG-REG GALP ENERGIA SGPS SA GAM HOLDING AG GAS NATURAL SDG SA GDF SUEZ GEA GROUP AG GEBERIT AG-REG GECINA SA GEMALTO FISCHER (GEORG)-REG GERRESHEIMER AG GETINGE AB-B SHS GIVAUDAN-REG GJENSIDIGE FORSIKRING ASA GKN PLC GLAXOSMITHKLINE PLC GLENCORE INTERNATIONAL PLC GN STORE NORD A/S GREAT PORTLAND ESTATES PLC GREENE KING PLC GRIFOLS SA GROUPE BRUXELLES LAMBERT SA GROUPE EUROTUNNEL SA - REGR GSW IMMOBILIEN AG HALMA PLC HAMMERSON PLC HANNOVER RUECKVERSICHERU-REG HARGREAVES LANSDOWN PLC HAVAS SA
GICS_SECTOR_NAME
ATM Ref
Consumer Discretionary 129.55 Industrials 32.08 Consumer Discretionary 74.75 Energy 20.57 Consumer Discretionary 67.75 Materials 14.12 Financials 1053.00 Financials 11.97 Industrials 234.20 Consumer Staples 19.60 Financials 90.24 Health Care 297.60 Consumer Staples 36.11 Financials 1.48 Consumer Discretionary 799.00 Consumer Discretionary 88.53 Financials 35.14 Financials 7.55 Financials 26.39 Materials 16.23 Materials 2557.00 Consumer Discretionary 695.50 Consumer Discretionary 45.80 Consumer Staples 54.05 Financials 107.80 Information Technology 87.28 Consumer Staples 5.99 Industrials 26.87 Industrials 942.00 Consumer Staples 9.09 Consumer Discretionary 96.15 Consumer Staples 37.37 Financials 14.14 Financials 2152.00 Financials 36.95 Financials 50.55 Financials 31.60 Industrials 15.19 Industrials 17.33 Telecommunication Services 8.33 Financials 14.28 Consumer Staples 1970.00 Consumer Staples 6.00 Financials 85.30 Utilities 627.00 Materials 237.70 Industrials 139.90 Consumer Discretionary 126.90 Utilities 13.17 Industrials 35.81 Industrials 987.50 Consumer Staples 14.66 Industrials 26.17 Utilities 2.28 Industrials 33.91 Health Care 8.54 Utilities 14.96 Information Technology 261.00 Consumer Discretionary 164.30 Health Care 100.30 Materials 232.00 Telecommunication Services 16.28 Materials 263.75 Utilities 18.41 Utilities 17.18 Utilities 1.45 Utilities 2.93 Energy 17.83 Financials 24.03 Health Care 76.84 Energy 14.21 Materials 369.10 Financials 42.67 Financials 29.48 Consumer Discretionary 27.40 Materials 276.00 Financials 22.09 Industrials 1088.00 Industrials 11.94 Industrials 9.40 Consumer Discretionary 4.22 Materials 626.00 Industrials 3.92 Industrials 192.20 Industrials 393.20 Industrials 424.25 Financials 63.35 Utilities 14.87 Telecommunication Services 7.65 Industrials 45.19 Telecommunication Services 16.35 Health Care 52.63 Health Care 91.10 Materials 1492.00 Materials 60.01 Energy 36.96 Industrials 287.00 Health Care 540.00 Energy 12.00 Financials 16.20 Utilities 15.32 Utilities 14.96 Industrials 27.41 Industrials 223.30 Financials 85.94 Information Technology 69.44 Industrials 405.50 Health Care 44.31 Health Care 197.60 Materials 1099.00 Financials 91.05 Consumer Discretionary 253.80 Health Care 1476.50 Materials 379.00 Health Care 104.90 Financials 490.00 Consumer Discretionary 703.00 Health Care 27.16 Financials 61.34 Industrials 6.47 Financials 31.16 Information Technology 498.00 Financials 500.50 Financials 59.08 Financials 848.50 Consumer Discretionary 4.89
Dividend Yield
Next ExDividend Date
2.24% 3.87% 0.94%
29.11.2013 09.06.2014 09.09.2013
3.54% 2.34% 4.18% 6.43% 3.76%
13.05.2014 10.06.2013 20.03.2013 03.07.2013 01.05.2013 25.06.2014 30.04.2013 12.12.2013 27.09.2013 23.05.2014 26.06.2013 16.05.2013 22.04.2013 26.05.2014 09.05.2014 06.03.2013 01.05.2013 29.05.2013 10.04.2014 06.05.2014 19.03.2014 14.06.2013 20.05.2013 22.05.2013 03.07.2013
7.20% 1.68% 2.71% 2.93% 2.26% 7.86% 0.38% 3.87% 2.39% 2.73% 4.80% 2.68% 0.89% 1.24% 3.20% 4.49% 3.74% 4.60% 7.29% 1.56% 2.03% 4.15% 3.64%
8.36% 1.76% 2.18% 3.41% 3.13% 8.11% 3.54%
05.06.2013 29.05.2013 21.05.2013 15.05.2013 23.05.2014 15.05.2014 21.06.2013 09.05.2014 30.05.2013 17.05.2013 06.06.2013 04.09.2013 16.07.2013 25.04.2014 25.09.2013 02.10.2013 24.03.2014 10.05.2013 09.05.2014 04.06.2013 26.02.2014 10.01.2014 27.05.2013 13.05.2013 26.04.2013
8.36% 4.50% 3.96% 1.40% 2.27% 7.99%
12.12.2013 19.06.2013 26.03.2014 05.09.2013 01.05.2013 26.03.2014
6.34% 4.37% 2.02% 4.95% 6.11% 1.46% 1.28% 2.82% 2.06% 2.81% 6.82% 4.01% 7.18% 1.59% 2.16% 3.77% 2.39%
04.07.2013 02.07.2013 20.05.2013 24.06.2013 23.09.2013 22.05.2013 24.05.2013 17.06.2013 27.03.2013 16.05.2013 31.10.2013 14.11.2013 05.06.2013 24.06.2013 19.06.2013 12.12.2013 21.04.2014 21.04.2014 25.09.2013 20.05.2013 10.07.2013 07.04.2014 30.04.2013 03.05.2013 10.04.2014 05.09.2013 03.06.2013 24.05.2013 17.05.2013 20.05.2013 24.04.2013 12.05.2014 10.05.2013 08.05.2013 09.05.2013 21.05.2013 19.04.2013 30.05.2013 24.04.2013 22.04.2014 08.04.2013 19.04.2013 28.05.2013 25.03.2013 22.04.2014 24.03.2014 26.03.2014 25.04.2014 24.04.2013 08.05.2013 15.05.2013 21.03.2014 29.05.2013 07.08.2013 02.07.2013 25.04.2013 21.05.2013 19.06.2013 17.07.2013 13.03.2013 08.05.2013 11.09.2013 15.05.2013
4.33% 8.40% 1.82% 2.39% 2.17% 2.46% 2.73% 2.94% 0.89%
2.04% 11.11% 2.29% 2.36% 6.63% 6.72% 7.19% 2.77% 7.34% 1.41% 1.17% 2.48% 2.17% 4.06% 3.17% 1.67% 2.20% 3.09% 6.06% 10.03% 2.01% 2.91% 5.12% 0.55% 2.96% 1.47% 2.10% 3.28% 7.52% 2.99% 5.42% 2.77% 0.47% 1.78% 3.81% 0.81% 4.37% 1.55% 2.89% 2.15% 3.52% 4.74% 3.16% 2.66%
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 25.96 27.36 23.79 36.16 28.26 25.59
26.19 26.80 24.08 33.20 27.40 22.42
26.18 27.18 25.46 32.31 27.81 22.12
26.56 28.59 25.68 31.57 28.22 24.12
26.98 28.78 26.42 31.22 28.40 25.83
26.98 29.70 26.82 31.11 26.85 26.19
29.19
27.75
26.31
25.27
24.66
24.66
-0.202 -0.156 -0.110 -0.101 -0.113 -0.113
11.71
11.76
13.04
13.31
13.22
14.68
-0.026 -0.011 -0.020 0.006 -0.030 -0.057
17.44 33.66 17.31 26.40 17.67 40.26 27.26 30.89
17.43 34.55 15.71 25.24 18.55 37.97 27.09 27.56
17.47 35.07 16.17 25.17 17.24 39.15 30.44 27.81
18.19 33.75 16.79 26.50 18.19 37.04 29.80 28.90
19.07 35.35 16.91 27.04 19.28 36.17 27.21 29.59
19.07 37.36 16.91 27.00 19.28 32.30 26.13 30.10
-0.148 -0.303 -0.078 -0.272 -0.199 -0.203 -0.324 -0.056
-0.083 -0.180 -0.054 -0.110 -0.163 -0.158 -0.260 -0.100
-0.085 -0.015 -0.105 -0.059 -0.017 -0.115 -0.368 -0.094
-0.077 -0.056 -0.099 -0.093 -0.112 -0.107 -0.344 -0.133
-0.062 -0.093 -0.063 -0.053 -0.101 -0.093 -0.291 -0.105
24.62 19.30 26.71 19.90 17.95 26.62
24.34 19.31 25.96 19.78 17.90 23.46
24.73 18.75 25.00 19.66 17.93 22.75
24.96 18.87 27.31 20.42 17.94 20.95
25.11 18.85
25.03 18.64
21.43 18.00 20.85
21.43 18.16 21.94
-0.163 -0.302 -0.262 -0.158 -0.249 -0.276
-0.043 -0.159 -0.179 -0.140 -0.042 -0.203
-0.070 -0.094 -0.121 -0.122 0.008 -0.154
-0.071 -0.125 -0.094 -0.098 0.004 -0.094
38.92
30.16
28.65
27.15
26.28
25.51
29.79 27.71
26.84 24.81
26.00 25.42
23.89 24.22
22.75 23.60
22.75 23.60
27.87 23.15 16.35 31.08 20.51 26.92 23.42 14.89 30.35 27.78
27.58 21.08 17.85 28.63 19.00 22.32 22.76 15.09 29.14 27.75
28.66 20.90 18.71 28.90 18.82 21.75 23.04 14.85 28.10 26.73
29.28 20.88 18.37 28.37 18.25 20.11 23.50 15.36 26.83 23.65
29.87 21.39 18.07 27.29 18.01 18.43 23.27 16.68 24.60
30.97 21.79 18.13 27.10 18.09 17.29 23.22 16.72 24.29
31.88 21.71 18.63 26.87 19.09 16.11 23.05 16.20 24.09
24.48 26.69 27.74 29.39
22.58 26.90 25.26 26.45
22.46 27.47 26.02 26.31
23.51 27.08 24.78 26.87
27.44 23.86 26.59
27.91 23.97 26.53
23.78 25.30
32.38 23.07
29.76 22.92
28.56 21.96
26.46 20.77
24.75 22.32
23.90 23.82
36.40 47.86 24.89
36.03 44.82 23.78
37.13 41.92 24.35
37.27 39.06 24.20
37.06 39.83 24.55
38.07 39.95 21.89
21.80 35.10
22.54 35.10
23.96 35.10
25.11 35.10
26.34
26.34
18.57
17.91
18.88
19.26
23.08 29.43 34.09 31.47 23.27 37.04 21.98 25.95 51.37 30.86
23.03 28.62 30.84 28.31 21.38 34.12 19.60 25.97 49.33 30.08
22.96 28.02 32.52 28.37 21.99 35.31 19.97 26.00 46.88 27.78
22.80 26.69 32.57 27.88 21.10 34.50 19.70 26.62 43.56 31.63
22.69 25.36 32.75 26.71 20.17 36.27 19.96 26.46
21.96 24.90 32.75 26.47 20.36 42.59 19.78 27.07
31.43
20.65
20.56
20.56
20.57
21.50
25.30 18.55 28.69 29.57 43.71
22.92 18.33 28.81 28.70 42.88
22.85 18.11 28.86 28.69 41.70
23.04 18.80 28.08 29.19 40.31
51.96
45.78
44.50
41.85
27.82
27.10
27.72
27.85
16.80 23.15 29.85 21.89 25.27 17.46 19.39 34.71 21.70 45.76
17.03 21.23 27.76 20.50 25.50 15.74 17.54 31.81 21.97 37.72
17.92 22.36 27.57 20.20 22.95 15.94 17.63 29.43 22.29 33.54
28.14
28.07
22.32 26.40 28.33 21.25 16.67 15.31 27.89 21.01 19.27 15.16 12.32 18.84
19.44 25.16 24.66 21.23 14.97 6.00 27.66 22.02 19.97 19.69 12.63 16.82
17.94 23.20 26.82
28.38
26.33
37.43 27.41 19.28 32.80 26.10
24.50 21.13
25.34
24.88
22.51
-0.071 -0.130 -0.266 -0.185 -0.196 -0.162
-0.052 -0.147 -0.153 -0.119 -0.204 -0.282
-0.033 -0.153 -0.122 -0.111 -0.183 -0.255
-0.035 -0.104 -0.146 -0.133 -0.122 -0.077
-0.065 -0.110 -0.112 -0.118 -0.136 -0.068
0.009 0.006 0.002 0.000 0.008 0.009
0.006 0.006 0.001 0.001 0.004 0.006
0.002 0.002 0.002 0.002 0.002 0.003
0.002 0.001 0.001 0.002 0.002 0.001
0.002 0.000 0.001 0.002 0.001 0.000
0.022
0.015
0.009
0.002
0.001
0.001
0.010
0.000
0.000
0.001
0.000
0.000
0.029 -0.043 0.051 0.001 0.003 0.016 -0.101 0.030 0.079 0.009 -0.217 0.023 0.012
0.003 0.012 0.003 0.003 0.006 0.008 0.009 0.003
0.003 0.003 0.001 0.001 0.002 -0.001 0.000 -0.001 -0.001 0.004 0.003 0.002 0.002 0.001 0.002 0.001 0.001 0.001 0.006 0.003 0.002 0.002 0.002 0.002 0.000 0.001 0.007 0.008 0.005 0.003 0.003 0.003 0.003 0.002 0.002 0.002 0.002
-0.057 -0.026 0.006 0.018 -0.079 -0.069 -0.037 0.030 0.047 -0.076 -0.076 0.024 0.005 0.008 0.012 -0.093 -0.072 0.012
0.007 0.011 0.014 0.017 0.002 0.004
0.004 0.008 0.004 0.010 0.000 0.002
0.002 0.003 0.000 0.002 0.000 0.003
0.001 0.002
0.002 0.002
0.001 0.000 0.002
0.001 0.000 0.001
0.072 -0.099 -0.051 -0.047 -0.047 -0.046 -0.032 0.007
0.002
0.000
0.000
0.000
0.001
-0.268 -0.156 -0.099 -0.036 -0.056 -0.056 -0.227 -0.156 -0.167 -0.078 -0.068 -0.068
0.019 0.021
0.007 0.004
0.005 0.003
0.004 0.003
0.002 0.002
0.002 0.002
0.003 0.003 0.003 0.002 0.004 0.007 0.002 0.004 0.004 0.004
0.001 0.001 0.001 0.002 0.001 0.001 0.000 -0.001 0.000 0.001 0.000 0.000 0.002 0.001 0.001 0.004 0.005 0.006 0.003 0.004 0.004 0.002 0.002 0.002 0.002 0.002 0.002
-0.122 -0.056 -0.050 -0.053 -0.054 0.017 -0.103 -0.087 -0.131
-0.065 0.013 -0.047 -0.060 0.019 -0.089 0.018 -0.110 0.000 -0.080 0.009 -0.052 -0.036 0.029
-0.062 -0.104 -0.063 -0.017 -0.101 0.056 -0.253 -0.108
-0.087 -0.037 -0.009 0.021 -0.023 0.066 -0.105 -0.063 -0.128
0.001
0.000
0.002 0.001
0.001
-0.256 -0.145 -0.170 -0.277 -0.202 -0.223 -0.236 -0.243 -0.174 -0.280
-0.255 -0.063 -0.123 -0.165 -0.151 -0.101 -0.185 -0.189 -0.189 -0.203
-0.234 -0.023 -0.114 -0.116 -0.137 0.054 -0.157 -0.113 -0.167 -0.124
-0.167 -0.069 -0.108 -0.100 -0.072 0.014 -0.108 -0.133 -0.207 -0.127
-0.068 -0.023 -0.063 0.069 0.004 0.042 -0.089 -0.059 -0.113
0.021 0.018 0.033 0.018 0.031 0.027 0.021 0.009 0.005 0.052
0.009 0.004 0.004 0.007 0.011 0.011 0.005 0.007 0.005 0.025
0.006 0.002 0.004 0.004 0.008 0.011 0.003 0.004 0.004 0.012
-0.093 -0.173 -0.236 -0.146
-0.064 -0.220 -0.086 -0.147
-0.029 -0.166 0.085 -0.132
-0.070 -0.144 -0.097 -0.078 0.003 0.020 0.087 0.102 -0.059 -0.015 -0.011 -0.025
0.019 0.006 0.023 0.009
0.003 0.002 0.006 0.007
0.001 -0.001 0.001 0.002 0.000 0.005 0.003 0.002 0.005 0.002 0.001
-0.200 -0.113 -0.108 -0.153 -0.106 -0.092 -0.065 0.005 -0.179 -0.065 -0.029 -0.060 -0.066 -0.059 0.016
0.000 0.003
0.000 0.002
0.000 -0.001 -0.001 -0.001 0.005 0.003 0.001
-0.077 0.002 -0.006 0.008 0.005 -0.003 0.002 -0.011 -0.137 -0.129 -0.130 -0.099 -0.096 0.006 -0.195 -0.123 -0.113 -0.088 -0.046 0.036 -0.024 0.024
0.000 0.003 0.007
0.000 0.001 0.005
0.000 0.002 0.004
0.000 0.001 0.001
0.000 0.001 0.003
-0.250 -0.120 -0.149 -0.105 -0.082 -0.082 0.000 0.000 0.000 0.000
0.044 0.000
0.021 0.000
0.009 0.000
0.004 0.000
0.001
0.001
0.035
-0.084 0.168
0.022 -0.031
31.95
-0.014 -0.038 -0.232 -0.461 -0.303 -0.251 -0.206 -0.049 -0.178 -0.124
-0.087 -0.027 -0.052 -0.307 -0.274 -0.028 -0.187 -0.009 -0.175 0.158
21.15
27.07 29.02 39.60
26.54 29.02 39.57
41.04
41.04
18.56 21.93 26.54 20.82 19.79 16.80 17.28 26.05 23.02 31.68
18.09
18.89
24.06 21.46 19.08 17.52 18.48
20.37 21.73 18.50 17.80 18.46
21.70 21.48 17.69 18.17 18.52
23.45 30.87
24.02 30.87
24.00 30.87
28.54
29.11
29.15
29.34
-0.365 -0.253 -0.172 -0.125 -0.113 -0.112
20.16 24.64 24.78 22.19 15.64 9.83 28.52 22.11 19.73 19.50 13.06 16.15
21.85 24.43 24.35 23.98 16.25 20.37 27.66 22.67 20.78 20.63 14.22 13.53
23.74 24.41 22.46 25.67 16.90 19.73 27.44 23.54 22.38
24.37 23.04 21.57 27.64 17.25 20.60 27.82 24.71 22.63
15.04
15.85
-0.392 -0.037 -0.129 -0.204 -0.189 -0.013 -0.110 -0.189 -0.343 -0.480 -0.339 -0.288
16.33 24.00 24.72
15.98 24.35 24.49
15.75 24.02 25.15
16.01 24.63
15.11 24.59
28.15 13.34 23.07 19.55
26.72 12.77 23.30 19.55
26.17 10.92 23.77 19.36
24.80 11.42 21.25 20.01
23.17 12.45 22.37 20.09
20.93
19.20
18.98
20.81
21.59
38.66
38.14
38.67
38.05
0.000 0.001 0.001
0.000 0.001
0.002
0.014
0.001
0.002
-0.103 0.042 0.018 -0.201 -0.163 -0.047 -0.122 -0.035 -0.115 -0.001
-0.114 0.073 0.013 -0.140 -0.128 0.363 -0.094 -0.001
0.000 0.003 0.008 -0.203 0.014 -0.123 0.024 0.044 -0.060 0.018 0.021 0.007 -0.002 -0.009 0.005
0.002 0.001 0.004 0.008 0.009 0.007 0.008 0.002 0.006 0.000
0.001 0.000 0.000 0.005 0.006 0.002 0.005 0.000 0.005 0.001
0.001 0.001 0.002 0.001 0.000 0.001 0.000 0.000 0.000 0.002 0.001 0.002 0.003 0.002 0.001 0.003 -0.002 -0.010 0.003 0.002 0.001 0.001 0.000 -0.001 0.001 0.000 0.000 0.001
-0.193 -0.008 0.009
0.008
0.003 -0.010
0.014
0.000
0.000
0.000
0.000
0.000
-0.168 -0.373 -0.029 -0.262 -0.108
-0.127 -0.076 -0.096 -0.125 -0.122 -0.109 -0.159 -0.133 -0.133 -0.169 -0.165 -0.216 -0.277
0.010 0.009 0.000 0.020 0.012
0.004 0.007 0.001 0.011 0.006
0.004 0.005 0.000 0.003 0.004
0.001 0.002 0.000 0.001 0.002
0.000 0.001 0.001
0.000 0.001 0.001
-0.093 -0.165 -0.125 -0.161 -0.104 -0.104
0.007
0.002
0.002
0.004
0.002
0.002
-0.100 -0.058 -0.054 -0.038
0.007
0.000 -0.001 0.000
0.013 0.024 0.025 0.027 0.018 0.028 0.021 0.005 0.011 0.009
0.000 -0.001 -0.001 0.003 0.000 0.002 0.010 0.006 0.001 0.004 0.003 0.003 0.003 0.003 0.007 0.011 0.004 0.002 0.002 0.002 0.003 0.005 0.004 -0.002 0.001 0.002 0.002 0.005 0.004 0.004
0.000
0.001
0.000 0.001 0.005 0.002 0.001
0.004 0.002 0.009 0.003 0.001
0.001 0.002 0.010 0.003 0.001
0.001 0.002
0.001 0.002
0.001 0.002
0.007
0.003
0.003
0.001
0.002
0.017 0.008 0.001 0.009 0.020 -0.063 0.023 0.021 0.006 0.009 0.013 -0.050 0.014 0.046 -0.066 -0.048 0.016 0.058
0.008 0.002 0.006 0.006 0.009 0.005 0.000 0.003 0.004 0.008 0.007 0.043
0.004 0.004 0.003 0.000 0.000 0.000 0.004 0.002 0.002 0.004 0.002 0.001 0.006 0.005 0.003 0.001 -0.002 0.000 0.000 0.001 0.000 0.002 0.002 0.001 0.002 0.002 0.001 0.001 0.002 0.002 0.005 0.003 0.032 0.012
0.003 0.001 -0.001 0.003 0.003 0.000 0.000 0.003 0.000 0.000 0.000 0.001 0.001
14.39 24.82
-0.204 -0.181 -0.174 -0.134 -0.096 -0.064 -0.046 0.005 -0.170 -0.171 -0.143 -0.103 -0.062 -0.064 -0.062 0.027 -0.248 -0.248 -0.203 -0.078 0.044
0.006 0.002 0.013
0.006 0.001 0.009
0.004 0.000 0.002
0.002 0.001
0.002 0.001
0.002 0.001
22.83 12.45 21.24 20.71
22.80
-0.118 -0.102 0.003 -0.112 0.032 0.029 0.022 0.010 0.018 0.017
0.002 0.008 0.001 0.000
0.001 0.004 0.001 0.000
0.002 0.007 0.003 0.000
0.002 0.002 0.002 0.000
0.002 0.002 0.006 0.000
0.001
20.52
-0.093 -0.169 -0.211 -0.105
22.20
22.20
-0.233 -0.119 -0.064 -0.110 -0.095 -0.078 -0.051 0.024
0.007
0.004
0.004
0.001
0.001
0.001
-0.185 -0.110 -0.037 0.058
0.013
0.007
0.001
22.80 24.66 25.04 20.05 19.65
26.96 37.90
24.30 20.06 27.65
22.80
-0.018 -0.176 -0.216 -0.164 -0.293 -0.065 -0.123 -0.508 -0.200 -0.181
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
-0.070 -0.037 -0.177 -0.325 -0.334 -0.087 -0.228 -0.021 -0.177 0.035
-0.139 -0.268 -0.062 -0.235 -0.097
0.004 -0.066 -0.134 -0.178 -0.160 -0.054 -0.081 -0.422 -0.022 -0.095
-0.139 -0.079 -0.126 -0.151 -0.111 0.321 -0.002 -0.095 -0.130 0.006 -0.127 -0.108
-0.081 -0.032 -0.190 -0.036
-0.130 -0.163 -0.054 -0.138 -0.142
0.006 -0.097 -0.184 -0.135 -0.067 -0.041 -0.042 -0.343 -0.046 0.028
-0.058 -0.021 -0.047 -0.122 -0.122 0.370 -0.033 -0.063 -0.091 0.000 -0.034 0.065
-0.073 -0.051 -0.237 0.021
-0.001 -0.053 0.061 -0.124 0.038 -0.030 -0.051 -0.102 -0.044 0.005
-0.096 -0.019 -0.066 -0.106 -0.144 0.031 -0.037 -0.065 -0.083 -0.080 -0.090 0.139
-0.130 -0.122 -0.034 0.048
-0.058 0.064 0.013 -0.137 -0.140 0.580 -0.075 0.031
0.005 0.102
-0.018 -0.048 0.015 -0.090 0.019 -0.030 -0.039
0.061 -0.092 0.034 -0.008 -0.034
0.050 -0.083 0.060 -0.004 -0.020
-0.069 -0.079 -0.072 0.000 0.000 0.000
-0.057 -0.037 -0.007 -0.080 -0.119 -0.009 0.000 -0.060 -0.076
-0.133 -0.112 0.000 0.007
-0.026 -0.015 0.002 -0.079 -0.113 -0.043 0.007 -0.061 -0.066
0.020
0.002
0.000 -0.001 0.002 0.002 0.002
0.000 0.001
0.002
0.000
25.02.2013
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
ATM2 Ref
Dividend Yield
Next ExDividend Date
HAS LN Equity
GB0004161021
HAYS PLC
Industrials
96.60
2.59%
06.03.2013
HEI GY Equity
DE0006047004
HEIDELBERGCEMENT AG
Materials
52.18
0.96%
09.05.2013
27.06
25.79
26.48
27.98
28.21
28.43
28.50
-0.352 -0.211 -0.130 -0.152 -0.112 -0.087 -0.057 0.017
0.006
0.002
0.002
0.001
0.001
0.000
HEIO NA Equity
NL0000008977
HEINEKEN HOLDING NV
Consumer Staples
46.62
1.97%
26.08.2013
HEIA NA Equity
NL0000009165
HEINEKEN NV
Consumer Staples
55.18
1.67%
26.08.2013
19.29
18.44
19.44
18.91
19.18
19.21
19.25
-0.328 -0.194 -0.095 -0.137 -0.101 -0.081 -0.061 0.026
0.006
0.002
0.004
0.002
0.001
0.001
HELN SE Equity
CH0012271687
HELVETIA HOLDING AG-REG
Financials
379.00
4.49%
09.05.2013
22.11
22.08
21.40
22.54
22.86
23.48
-0.141 -0.092 -0.052 -0.075 -0.060 -0.065
0.009
0.002
0.002
0.001
0.001
0.001
HGG LN Equity
JE00B3CM9527
HENDERSON GROUP PLC
Financials
168.10
4.43%
01.05.2013
HEN3 GY Equity
DE0006048432
HENKEL AG & CO KGAA VORZUG
Consumer Staples
67.51
1.36%
16.04.2013
24.13
21.04
21.68
21.66
21.77
22.14
-0.210 -0.182 -0.140 -0.123 -0.103 -0.073 -0.054 0.014
0.007
0.005
0.002
0.001
0.001
HMB SS Equity
SE0000106270
HENNES & MAURITZ AB-B SHS
Consumer Discretionary
235.60
4.03%
24.04.2014
15.91
17.49
17.58
17.74
18.87
18.87
-0.210 -0.130 -0.050 -0.084 -0.088 -0.088
0.042
0.019
0.012
0.004
0.001
0.001
RMS FP Equity
FR0000052292
HERMES INTERNATIONAL
Consumer Discretionary
255.05
0.98%
31.05.2013
19.23
19.71
20.49
21.39
21.62
21.43
-0.123 -0.047 -0.043 -0.052 -0.036 -0.020
0.014
0.001
0.001
0.000
0.000
0.001
HEXAB SS Equity SE0000103699
HEXAGON AB-B SHS
Information Technology
182.10
1.30%
12.05.2014
25.21
25.21
25.21
25.21
0.000
0.000
0.000
0.000
0.000
HIK LN Equity
GB00B0LCW083
HIKMA PHARMACEUTICALS PLC
Health Care
869.50
1.14%
17.04.2013
HOT GY Equity
DE0006070006
HOCHTIEF AG
Industrials
54.95
2.27%
08.05.2013
33.20
30.61
30.28
29.78
29.75
30.25
29.95
-0.341 -0.231 -0.189 -0.162 -0.146 -0.142 -0.127 0.010
0.003
0.002
0.001
0.002
0.002
0.002
HOLN VX Equity
CH0012214059
20.99
21.44
21.41
-0.327 -0.129 -0.112 -0.142 -0.103 -0.067 -0.060 0.014
0.004
0.002
0.004
0.002
0.001
0.001
-0.340 -0.067 -0.059 -0.076
0.056
0.029
0.019
0.009 0.005
0.005
Ticker
Stoxx 600 Index
At The Money Implied Volatilities by Terms ISIN
Name
GICS_SECTOR_NAME
22.41
0.000
0.000
0.000
0.000
HOLCIM LTD-REG
Materials
73.50
1.50%
19.04.2013
21.47
19.79
19.76
20.22
HOLMB SS Equity SE0000109290
HOLMEN AB-B SHARES
Materials
192.70
4.67%
10.04.2014
15.57
14.86
16.30
16.61
HWDN LN Equity GB0005576813
HOWDEN JOINERY GROUP PLC
Consumer Discretionary
196.30
0.71%
22.05.2013
HSBA LN Equity
20.66
17.71
17.66
18.29
18.20
18.14
17.46
-0.425 -0.201 -0.122 -0.136 -0.066 -0.020 0.008
0.015
0.007
0.003
0.005
0.004
28.21
26.98
21.79
27.92
29.31
30.80
30.63
-0.056 0.004
0.237
0.010
0.008
0.002
0.001
0.001
0.000 -0.001 -0.001
0.136
0.188
0.008 -0.067 -0.067
0.090
0.046
0.028
0.012
0.003
0.003
27.34
-0.203 -0.150 -0.126 -0.071 -0.122 -0.092 -0.024 0.004
0.003
0.000 -0.001 0.001
0.002
HSBC HOLDINGS PLC
Financials
732.90
4.15%
20.03.2013
HUFVA SS Equity SE0000170375
HUFVUDSTADEN AB-A SHS
Financials
89.05
2.92%
21.03.2014
BOSS GY Equity
GB0005405286 DE000A1PHFF7
HUGO BOSS AG -ORD
Consumer Discretionary
88.81
3.66%
06.05.2013
HTG LN Equity
GB0004478896
0.023
0.044
0.070
HUNTING PLC
Energy
862.50
2.14%
05.06.2013
HUSQB SS Equity SE0001662230
HUSQVARNA AB-B SHS
Consumer Discretionary
39.65
3.78%
14.04.2014
24.18
23.21
24.64
24.19
27.93
27.93
IBE SQ Equity
ES0144580Y14
IBERDROLA SA
Utilities
3.83
7.84%
04.07.2013
30.66
29.80
29.74
28.57
27.41
26.56
ICAD FP Equity
FR0000035081
ICADE
Financials
68.01
5.35%
26.06.2013
15.99
15.66
13.21
13.52
17.22
20.51
IAP LN Equity
GB0033872168
ICAP PLC
Financials
352.70
6.61%
26.06.2013
26.92
26.56
26.20
26.31
IGG LN Equity
GB00B06QFB75
IG GROUP HOLDINGS PLC
Financials
496.40
4.53%
18.09.2013
ILD FP Equity
FR0004035913
ILIAD SA
Telecommunication Services 142.80
0.26%
04.06.2013
23.70
23.70
23.66
23.73
23.77
23.61
-0.149 0.001
0.006
0.009
0.010
IMG LN Equity
GB0009303123
IMAGINATION TECH GROUP PLC
Information Technology
520.50
NK FP Equity
FR0000120859
IMERYS SA
Materials
51.98
2.98%
06.05.2014
21.33
21.24
21.83
21.85
21.70
21.95
-0.162 0.008
0.003
0.003
0.000 -0.017
IMI LN Equity
GB0004579636
IMI PLC
Industrials
1218.00
2.78%
10.04.2013
IIA AV Equity
AT0000809058
IMMOFINANZ AG
Financials
3.29
4.56%
08.10.2013
26.53
20.99
19.52
22.09
22.87
19.45
-0.315 0.065 -0.039 0.040
0.480
0.030
0.004
IMT LN Equity
GB0004544929
IMPERIAL TOBACCO GROUP PLC
Consumer Staples
2359.00
4.83%
17.07.2013
17.11
17.20
17.29
18.09
0.001
INCH LN Equity
EU0009658145
INCHCAPE PLC
Consumer Discretionary
509.00
2.48%
15.05.2013
ITX SQ Equity
ES0148396015
INDITEX
Consumer Discretionary
104.20
1.92%
02.05.2013
29.40
26.97
26.55
27.05
26.78
26.42
26.21
-0.185 -0.140 -0.103 -0.149 -0.155 -0.153 -0.141 0.002
INDUA SS Equity SE0000190126
INDUSTRIVARDEN AB-A SHS
Financials
122.00
4.10%
08.05.2014
IFX GY Equity
DE0006231004
INFINEON TECHNOLOGIES AG
Information Technology
6.57
1.83%
07.03.2014
34.54
33.16
34.92
34.05
33.71
33.72
33.20
INF LN Equity
JE00B3WJHK45
INFORMA PLC
Consumer Discretionary
495.50
3.83%
14.08.2013
INGA NA Equity
NL0000303600
ING GROEP NV-CVA
Financials
34.39
32.90
32.92
32.80
33.07
35.45
34.82
ING FP Equity
FR0000125346
INGENICO
Information Technology
46.34
1.29%
13.05.2013
ISAT LN Equity
GB00B09LSH68
INMARSAT PLC
Telecommunication Services 648.00
4.70%
15.05.2013
IHG LN Equity
GB00B85KYF37
INTERCONTINENTAL HOTELS GROU
Consumer Discretionary
1935.00
2.22%
21.08.2013
20.63
20.45
20.27
20.91
ICP LN Equity
GB0004564430
INTERMEDIATE CAPITAL GROUP
Financials
389.80
5.18%
29.05.2013
IAG LN Equity
ES0177542018
INTL CONSOLIDATED AIRLINE-DI
Industrials
225.70
37.14
35.33
33.63
32.58
ITRK LN Equity
DE0005557508
INTERTEK GROUP PLC
Industrials
3358.00
1.25%
05.06.2013
ISP IM Equity
IT0000072618
INTESA SANPAOLO
Financials
1.39
3.59%
20.05.2013
46.83
41.10
41.01
37.60
INTU LN Equity
GB0006834344
INTU PROPERTIES PLC
Financials
350.90
4.56%
29.05.2013
ISYS LN Equity
GB00B19DVX61
INVENSYS PLC
Industrials
364.70
1.37%
19.06.2013
23.40
23.58
23.75
24.56
INVP LN Equity
GB00B17BBQ50
INVESTEC PLC
Financials
495.70
3.83%
24.07.2013
15.41
16.11
16.82
18.16
KINVB SS Equity
SE0000164626
INVESTMENT AB KINNEVIK-B SHS
Financials
151.70
4.28%
16.05.2014
18.77
14.11
15.38
17.03
INVEB SS Equity
SE0000107419
INVESTOR AB-B SHS
Financials
188.10
3.72%
16.04.2014
16.64
15.72
15.59
16.44
ITV LN Equity
GB0033986497
ITV PLC
Consumer Discretionary
120.00
2.25%
01.05.2013
27.14
24.49
22.17
20.07
SBRY LN Equity
GB00B019KW72
SAINSBURY (J) PLC
Consumer Staples
346.50
4.88%
15.05.2013
18.78
18.68
19.62
18.76
18.52
18.52
-0.124 -0.035 -0.052 0.004
0.007
JLT LN Equity
GB0005203376
JARDINE LLOYD THOMPSON GROUP
Financials
798.00
3.31%
03.04.2013
DEC FP Equity
FR0000077919
JC DECAUX SA
Consumer Discretionary
21.13
2.18%
16.05.2013
24.93
23.61
19.42
23.73
24.04
25.12
-0.150 0.009
0.052
JMT PL Equity
PTJMT0AE0001
JERONIMO MARTINS
Consumer Staples
16.46
1.95%
30.04.2013
JM SS Equity
SE0000806994
JM AB
Consumer Discretionary
151.00
4.47%
25.04.2014
WG/ LN Equity
GB00B5N0P849
WOOD GROUP (JOHN) PLC
Energy
807.50
1.50%
10.04.2013
JMAT LN Equity
GB00B70FPS60
JOHNSON MATTHEY PLC
Materials
2318.00
2.67%
12.06.2013
BAER VX Equity
CH0102484968
JULIUS BAER GROUP LTD
Financials
36.38
1.65%
11.04.2014
20.26
19.99
20.99
21.85
23.26
24.35
JUP LN Equity
GB00B53P2009
JUPITER FUND MANAGEMENT
Financials
341.10
JYSK DC Equity
DK0010307958
JYSKE BANK-REG
Financials
186.00
SDF GY Equity
DE000KSAG888
K+S AG-REG
Materials
36.05
3.88%
15.05.2013
24.34
21.64
22.13
21.84
22.18
22.65
KABN SE Equity
CH0011795959
KABA HOLDING AG-REG B
Industrials
408.25
2.20%
31.10.2013
15.36
15.56
15.61
15.52
14.26
14.00
KD8 GY Equity
DE000KD88880
KABEL DEUTSCHLAND HOLDING AG
Consumer Discretionary
68.74
3.64%
13.10.2014
18.16
18.35
18.61
18.67
18.12
17.59
KAZ LN Equity
GB00B0HZPV38
KAZAKHMYS PLC
Materials
693.00
1.52%
24.04.2013
40.42
39.65
38.41
36.57
KBC BB Equity
BE0003565737
KBC GROEP NV
Financials
29.10
3.44%
13.05.2015
34.44
33.88
34.21
33.30
33.44
33.44
KRA1V FH Equity FI0009004824
KEMIRA OYJ
KYG ID Equity
21.46
21.40
6.51
08.08.2013
06.03.2013
17.98
34.19
34.31
0.004
-0.007 -0.042 -0.078 -0.098
0.007
0.006
0.005
0.003
0.007
0.000
0.000
0.015 -0.001 0.000
Materials
11.20
4.73%
27.03.2014
KERRY GROUP PLC-A
Consumer Staples
41.11
0.91%
10.04.2013
21.17
20.19
19.93
20.51
KESKO OYJ-B SHS
Consumer Staples
24.36
4.93%
08.04.2014
KGF LN Equity
US78378X1072
KINGFISHER PLC
Consumer Discretionary
280.60
3.45%
01.05.2013
20.63
20.25
20.25
21.05
LI FP Equity
FR0000121964
15.22
15.92
15.97
15.97
15.67
16.28
0.000
0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.001
0.008
0.007
0.000 -0.002
0.001
0.001
0.001
0.001
0.001
0.000
0.001
0.000
0.000
-0.283 -0.207 -0.202 -0.159 -0.121 -0.068 -0.061 0.032
0.005
0.001
0.000
0.000
0.000
0.002
-0.200 -0.144 -0.160 -0.184 -0.109 0.008
0.018
0.006
0.005
0.003
0.001 -0.002 -0.001
-0.174 -0.158 -0.142 -0.097
0.003
0.003
0.002
0.001
-0.145 -0.040 -0.026 -0.083
0.009
0.000
0.000
0.002
-0.356 -0.272 -0.239 -0.143 -0.107 -0.063 -0.062 0.012
0.004
0.003
0.001
-0.067 -0.064 -0.061 -0.046
0.001
0.002
0.002
0.003
0.098
0.115
0.015
0.679
0.049 -0.011
0.098
0.001
0.001
0.001
0.037 -0.025 -0.032
0.001
0.004
0.007
0.005
-0.346 -0.002 -0.021 -0.053
0.009
0.000
0.001
0.003
-0.143 -0.024 -0.024 -0.091 -0.083 -0.083
0.044
0.021
0.016
0.007
0.002
0.002
-0.180 -0.099 -0.019 0.009
0.000
0.004
0.008
0.008
0.007
0.007
0.003
0.006
0.003
0.002
0.002
0.062
0.010
0.001
0.001
0.001
0.000 -0.001
24.14
-0.240 -0.078 -0.083 -0.141 -0.128 -0.109 -0.099 0.027
0.003
0.002
0.003
0.002
0.001
0.001
22.60
-0.313 -0.125 -0.026 -0.012 -0.013 0.005
0.021
0.000
17.98
KESBV FH Equity FI0009000202
IE0004906560
0.018 -0.001 0.002
0.180
35.87
0.273
-0.244 -0.369 -0.429 -0.137 -0.082 -0.182
0.129
0.054
0.003
0.002
0.002
0.001
0.001
0.019
0.002
0.002
0.003
0.002
0.003
-0.200 -0.087 -0.071 -0.117 -0.108 -0.103 -0.093 0.021
0.033
0.003
0.001
0.001
0.001
0.002
-0.243 -0.186 -0.126 -0.061
0.007
0.004
0.002
0.000
-0.222 -0.093 -0.023 -0.071 -0.084 -0.084
0.011
0.003
0.001
0.003
0.001
0.001
-0.018 0.039
0.019
0.007
0.004
0.002
0.001
0.002
0.007
0.008
0.002
0.002
0.019
0.001
0.000
0.001
0.000
0.000
0.036
-0.107 -0.057 -0.044 -0.050 -0.070 -0.065 17.19
0.009 -0.054 -0.071 -0.068
0.130 -0.036 -0.042 -0.050 -0.209 -0.013 -0.003 0.013
KLEPIERRE
Financials
30.51
4.92%
21.04.2014
KNEBV FH Equity FI0009013403
KONE OYJ-B
Industrials
63.70
2.75%
25.02.2014
KCR1V FH Equity FI0009005870
KONECRANES OYJ
Industrials
28.16
3.73%
21.03.2014
AH NA Equity
NL0006033250
KONINKLIJKE AHOLD NV
Consumer Staples
11.08
3.97%
19.04.2013
17.48
12.58
13.86
14.20
15.31
16.50
17.29
0.014
0.011
0.009
0.004
0.002
0.002
BOKA NA Equity
NL0000852580
BOSKALIS WESTMINSTER
Industrials
33.65
3.68%
10.05.2013
22.85
20.92
21.09
21.79
0.024
0.005
0.005
0.004
DSM NA Equity
NL0000009827
KONINKLIJKE DSM NV
Materials
45.13
3.37%
08.08.2013
19.76
19.22
20.02
20.01
20.44
20.44
20.20
-0.246 -0.116 -0.106 -0.125 -0.085 -0.054 -0.017 0.025
0.004
0.002
0.004
0.002
0.003
0.003
KPN NA Equity
NL0000009082
KONINKLIJKE KPN NV
Telecommunication Services 2.82
PHIA NA Equity
NL0000009538
KONINKLIJKE PHILIPS ELECTRON
Industrials
VPK NA Equity
NL0009432491
VOPAK
KNIN VX Equity
CH0025238863
KUEHNE & NAGEL INTL AG-REG
OR FP Equity
FR0000120321
LAD LN Equity
GB00B0ZSH635
LG FP Equity
FR0000120537
MMB FP Equity LAND LN Equity
-0.170 0.026
0.003 -0.002
0.002
0.027 -0.054 -0.044 -0.010 0.016
-0.344 -0.187 -0.131 -0.151
26.07.2013
52.72
54.37
53.09
46.47
42.31
40.94
41.10
-0.087 -0.021 0.000 -0.049 -0.064 -0.040 0.004
0.017
0.005
0.003
0.001
0.000
0.000 -0.003
22.11
3.39%
06.05.2013
25.80
24.43
25.19
24.56
24.74
25.32
25.96
-0.329 -0.192 -0.142 -0.163 -0.129 -0.108 -0.081 0.024
0.004
0.003
0.004
0.002
0.001
Industrials
54.65
1.70%
26.04.2013
20.39
19.02
19.08
18.98
19.01
19.01
-0.154 -0.133 -0.061 -0.071 -0.075 -0.075
0.020
0.004
0.002
0.003
0.002
0.002
Industrials
109.10
3.53%
09.05.2013
22.76
21.02
20.33
20.92
21.42
21.47
-0.160 -0.120 -0.047 -0.089 -0.087 -0.101
0.013
0.003
0.002
0.002
0.001
0.001
L'OREAL
Consumer Staples
115.00
2.00%
28.04.2014
20.40
19.98
19.56
19.82
19.88
19.74
19.61
-0.227 -0.192 -0.184 -0.154 -0.101 -0.103 -0.091 0.019
LADBROKES PLC
Consumer Discretionary
229.00
4.02%
11.09.2013
21.07
20.74
20.42
20.47
-0.345 -0.223 -0.101 -0.008
LAFARGE SA
Materials
50.59
1.98%
03.07.2013
25.77
25.29
26.63
27.46
29.69
29.39
27.60
FR0000130213
LAGARDERE S.C.A.
Consumer Discretionary
26.44
4.92%
08.05.2013
24.61
24.07
24.77
24.79
25.62
25.73
GB0031809436
LAND SECURITIES GROUP PLC
Financials
838.50
3.67%
19.06.2013
12.29
12.63
13.42
14.06
LXS GY Equity
DE0005470405
LANXESS AG
Materials
67.56
1.41%
24.05.2013
34.16
31.56
30.65
28.41
28.28
28.68
LGEN LN Equity
GB0005603997
LEGAL & GENERAL GROUP PLC
Financials
160.50
4.77%
17.04.2013
20.98
16.70
19.08
18.47
18.95
18.95
-0.100 -0.001 -0.023 -0.095 -0.109 -0.109
LR FP Equity
FR0010307819
LEGRAND SA
Industrials
35.17
2.84%
02.06.2014
23.18
22.93
22.68
24.03
24.12
24.12
-0.184 -0.154 -0.124 -0.135 -0.132 -0.132
LIN GY Equity
DE0006483001
LINDE AG
Materials
138.80
1.95%
30.05.2013
18.14
17.33
17.69
18.35
19.51
20.55
LISN SE Equity
CH0010570759
LINDT & SPRUENGLI AG-REG
Consumer Staples
39295.00
1.43%
22.04.2013
19.72
19.99
20.05
19.59
19.52
19.51
LLOY LN Equity
GB0008706128
LLOYDS BANKING GROUP PLC
Financials
06.03.2013
33.77
32.00
31.17
31.58
31.58
35.13
LOGN SE Equity
CH0025751329
LOGITECH INTERNATIONAL-REG
Information Technology
39.27
39.84
LSE LN Equity
GB00B0SWJX34
LONDON STOCK EXCHANGE GROUP
Financials
1361.00
LMI LN Equity
GB0031192486
LONMIN PLC
Materials
352.40
LONN VX Equity
55.08 6.51 2.30%
28.81
20.93 34.87
0.001
0.008
0.004
0.004
0.002
0.002
0.001
0.011
0.009
0.006
0.002
-0.294 -0.218 -0.216 -0.158 -0.102 -0.095 -0.112 0.020
0.009
0.006
0.003
0.002
0.002
0.002
-0.154 -0.120 -0.092 -0.071 -0.066 -0.053
0.024
0.017
0.011
0.002
0.001
0.002
-0.284 -0.097 -0.114 -0.108
0.009
0.004
0.002
0.003
0.010
0.001
0.001
0.001
0.000
0.000
0.002
0.010
0.009
0.003
0.002
0.002
0.023
0.016
0.009
0.002
0.002
0.002
-0.239 -0.159 -0.157 -0.097 -0.070 -0.046 -0.022 0.024 -0.037 0.007
-0.003 0.013 -0.005 -0.003 -0.003 0.012
0.032
0.000
0.009
0.008
0.004
0.001
0.000
0.002
0.000
0.000
0.000
0.000
0.000
-0.315 -0.272 -0.227 -0.148 -0.156 -0.156 -0.127 0.006
0.006
0.010
0.002
0.002 -0.001 0.000 0.002
0.000
0.052
0.034
0.028
0.029
0.000
35.67
35.27
38.44
39.98
-0.232 -0.154 -0.236 -0.292 -0.367 -0.421
0.023
0.000
0.001
0.000
24.07.2013
21.22
20.60
19.98
19.33
0.011
0.042
0.001
0.002
0.003
0.003
08.01.2014
39.22
40.33
41.44
42.55
-0.184 -0.198 -0.213 -0.171
0.009
0.006
0.004
0.001
24.03
22.70
23.95
24.48
25.10
25.33
-0.118 -0.036 -0.023 -0.056 -0.054 -0.051
0.016
0.004
0.002
0.002
0.001
0.001
28.25
26.70
27.74
27.66
29.35
29.35
-0.240 -0.208 -0.133 -0.071 -0.017 -0.017
0.041
0.019
0.008
0.003
0.001
0.001
-0.276 -0.185 -0.177 -0.115 -0.080 -0.080
0.013
0.005
0.003
0.002
0.001
0.001
-0.150 -0.169 -0.154 -0.131 -0.111 -0.092 -0.089 0.014
0.008
0.005
0.003
0.002
0.001
0.001
0.000
0.000
0.000
CH0013841017
LONZA GROUP AG-REG
Health Care
59.45
3.61%
07.04.2014
LUNDB SS Equity SE0000108847
LUNDBERGS AB-B SHS
Financials
267.90
1.61%
14.04.2014
LUPE SS Equity
SE0000825820
LUNDIN PETROLEUM AB
Energy
151.10
LUX IM Equity
IT0001479374
LUXOTTICA GROUP SPA
Consumer Discretionary
34.68
1.73%
20.05.2013
24.80
21.27
21.09
19.72
20.50
20.50
MC FP Equity
FR0000121014
LVMH MOET HENNESSY LOUIS VUI
Consumer Discretionary
134.80
2.23%
29.11.2013
22.26
22.41
22.04
22.58
23.14
22.81
EMG LN Equity
GB00B83VD954
MAN GROUP PLC
Financials
106.30
13.67%
24.04.2013
50.15
42.70
47.96
45.41
MAN GY Equity
DE0005937007
MAN SE
Industrials
88.87
1.13%
10.06.2014
15.32
12.43
12.67
12.94
12.70
12.82
MAP SQ Equity
ES0124244E34
MAPFRE SA
Financials
2.56
4.68%
01.07.2013
35.03
34.05
32.09
30.89
27.61
26.44
MHG NO Equity
NO0003054108
MARINE HARVEST
Consumer Staples
5.92
37.20
33.15
34.02
MKS LN Equity
GB0031274896
22.48
0.031
0.051
-0.180 -0.089 -0.001 0.068
-0.001 0.001 -0.002 -0.001
12.75
-0.151 -0.027 -0.013 -0.006 -0.006 -0.007 0.004
0.007
0.000
0.000
0.001
27.53
-0.141 -0.150 -0.240 -0.282 -0.183 -0.205 -0.151 0.004
0.002
0.002
0.000 -0.001 0.000 -0.004
-0.689 -0.141 0.434
0.086
0.060
0.040
-0.085 -0.024 0.004 -0.010 -0.036 -0.047 -0.064 0.006
MARKS & SPENCER GROUP PLC
Consumer Discretionary
371.20
4.69%
29.05.2013
21.42
22.35
22.08
22.92
22.07
21.57
0.007
0.001
0.001
0.002
0.002
MEDAA SS Equity SE0000221723
MEDA AB-A SHS
Health Care
73.95
3.04%
12.05.2014
23.60
16.34
18.42
18.77
-0.320 -0.166 -0.111 -0.029
0.091
0.041
0.026
0.011
MS IM Equity
IT0001063210
MEDIASET SPA
Consumer Discretionary
1.72
20.05.2013
51.16
48.34
46.95
44.33
43.61
43.61
21.21
-0.195 -0.140 -0.225 -0.241 -0.218 -0.218
0.004
0.000
0.000
0.002
0.003
0.003
MB IM Equity
IT0000062957
MEDIOBANCA SPA
Financials
5.44
2.94%
18.11.2013
39.92
36.24
35.82
35.05
32.19
32.19
-0.221 -0.257 -0.237 -0.189 -0.047 -0.047
0.012
0.004
0.003
0.003
0.003
0.003
MGGT LN Equity
GB0005758098
MEGGITT PLC
Industrials
459.50
2.57%
13.03.2013
MRO LN Equity
GB00B8L59D51
MELROSE INDUSTRIES PLC
Industrials
253.30
3.04%
03.04.2013
MRK GY Equity
DE0006599905
MERCK KGAA
0.001
0.001
MEO GY Equity
DE0007257503
0.001
Health Care
106.75
1.45%
29.04.2013
23.75
21.78
21.74
21.71
21.42
21.13
20.97
-0.135 -0.130 -0.109 -0.095 -0.095 -0.109 -0.102 0.016
0.006
0.004
0.002
METRO AG
Consumer Staples
24.24
5.57%
09.05.2013
26.28
27.02
27.84
27.86
27.06
27.09
27.66
-0.315 -0.187 -0.005 0.018
0.022
0.008
0.005
0.001 -0.001 -0.002 -0.003
MEO1V FH Equity FI0009007835
METSO OYJ
Industrials
33.65
5.50%
02.04.2014
29.37
29.17
28.97
0.006
0.000
0.000
MPI LN Equity
GB0030232317
MICHAEL PAGE INTERNATIONAL
Industrials
432.60
2.37%
01.05.2013
MTO LN Equity
GB0004657408
MITIE GROUP PLC
Industrials
287.70
3.63%
19.06.2013
MOBN SE Equity
CH0011108872
MOBIMO HOLDING AG-REG
Financials
209.80
4.29%
11.04.2013
MTGB SS Equity
SE0000412371
MODERN TIMES GROUP-B SHS
Consumer Discretionary
271.70
3.68%
15.05.2014
MNDI LN Equity
GB00B1CRLC47
MONDI PLC
Materials
855.00
2.94%
21.08.2013
MTX GY Equity
DE000A0D9PT0
MTU AERO ENGINES HOLDING AG
Industrials
71.66
2.02%
06.05.2013
21.71
21.24
21.75
23.46
24.39
23.84
23.87
-0.242 -0.105 -0.060 -0.074 -0.042 -0.024 -0.011 0.024
0.003
0.002
0.001
0.000
0.001
0.001
MUV2 GY Equity
DE0008430026
MUENCHENER RUECKVER AG-REG
Financials
138.65
5.05%
24.04.2014
17.96
17.26
16.93
18.07
18.36
19.04
19.52
-0.141 -0.159 -0.092 -0.110 -0.089 -0.060 -0.049 0.029
0.010
0.008
0.004
0.002
0.001
0.001
ETE GA Equity
GRS003013000
NATIONAL BANK OF GREECE
Financials
0.96
21.05.2013
62.14
62.39
62.63
62.87
0.005
0.000
0.000
0.000
0.000
NEX LN Equity
GB0006215205
NATIONAL EXPRESS GROUP PLC
Industrials
208.90
4.88%
24.04.2013
NG/ LN Equity
GB00B08SNH34
NATIONAL GRID PLC
Utilities
712.50
5.80%
29.05.2013
13.27
13.57
14.05
15.75
16.18
16.18
-0.096 0.004 -0.064 -0.022 -0.025 -0.025
0.012
0.003
0.002
0.001
0.001
0.001
KN FP Equity
FR0000120685
NATIXIS
Financials
3.35
2.98%
03.06.2013
35.33
33.83
32.72
34.86
32.22
31.76
-0.146 -0.062 -0.115 -0.121 -0.055 -0.134
0.024
0.000
0.000
0.002
0.003
0.002
NCCB SS Equity
SE0000117970
NCC AB-B SHS
Industrials
167.20
5.98%
10.04.2014
NEO FP Equity FR0000120560 NES1V FH Equity FI0009013296
NEOPOST SA NESTE OIL OYJ
Information Technology Energy
44.07 11.76
8.85% 3.23%
10.07.2013 07.04.2014
17.11 31.05
16.88 30.08
16.90 30.78
18.43 31.15
24.77
21.88
-0.138 0.009 0.002 -0.022 -0.159 -0.079 -0.170 -0.118 -0.091 -0.090
0.027 0.017
0.000 0.003
0.000 0.002
0.000 -0.003 -0.001 0.001
0.035
0.072
-0.107 -0.081 -0.064
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.003
0.002
0.000
0.097
0.001
25.02.2013
Stoxx 600 Index
Ticker
ISIN
NESN VX Equity CH0038863350 NXT LN Equity GB0032089863 NOK1V FH Equity FI0009000681 NRE1V FH Equity FI0009005318 NDA SS Equity SE0000427361 NHY NO Equity NO0005052605 NOVN VX Equity CH0012005267 NOVOB DC Equity DK0060102614 NZYMB DC Equity DK0060336014 NUO NA Equity NL0000375400 OERL SE Equity CH0000816824 OML LN Equity GB00B77J0862 OMV AV Equity AT0000743059 OPAP GA Equity GRS419003009 OPHR LN Equity GB00B24CT194 ORI SS Equity SE0001174889 ORNBV FH Equity FI0009014377 ORK NO Equity NO0003733800 OTE1V FH Equity FI0009014575 PWL ID Equity IE0002588105 PARG SE Equity CH0021783391 PGHN SE Equity CH0024608827 PSON LN Equity GB0006776081 PNN LN Equity GB00B18V8630 RI FP Equity FR0000120693 PSN LN Equity GB0006825383 PFC LN Equity GB00B0H2K534 PGS NO Equity NO0010199151 POG LN Equity GB0031544546 UG FP Equity FR0000121501 PC IM Equity IT0004623051 POH1S FH Equity FI0009003222 PGIL LN Equity JE00B5WLXH36 PAH3 GY Equity DE000PAH0038 PTC PL Equity PTPTC0AM0009 PNL NA Equity NL0009739416 PP FP Equity FR0000121485 PMO LN Equity GB00B43G0577 PSM GY Equity DE0007771172 PFG LN Equity GB00B1Z4ST84 PRU LN Equity GB0007099541 PRY IM Equity IT0004176001 PSPN SE Equity CH0018294154 PUB FP Equity FR0000130577 QIA GY Equity NL0000240000 QQ/ LN Equity GB00B0WMWD03 RBI AV Equity AT0000606306 RRS LN Equity GB00B01C3S32 RAND NA Equity NL0000379121 RATOB SS Equity SE0000111940 RB/ LN Equity GB00B24CGK77 REE SQ Equity ES0173093115 REN NA Equity NL0006144495 REL LN Equity GB00B2B0DG97 RCO FP Equity FR0000130395 RNO FP Equity FR0000131906 RTO LN Equity GB00B082RF11 REP SQ Equity ES0173516115 REX LN Equity GB00B943Z359 RXL FP Equity FR0010451203 RHM GY Equity DE0007030009 RHK GY Equity DE0007042301 RMV LN Equity GB00B2987V85 RIO LN Equity GB0007188757 ROG VX Equity CH0012032048 RR/ LN Equity GB00B63H8491 ROR LN Equity GB0007506958 RBS LN Equity GB00B7T77214 RDSA NA Equity GB00B03MLX29 IM NA Equity NL0006055329 RSA LN Equity GB0006616899 RUI FP Equity FR0000121253 RWE GY Equity DE0007037129 RYA ID Equity IE00B1GKF381 SAB LN Equity GB0004835483 SAF FP Equity FR0000073272 SGE LN Equity GB0008021650 SPM IM Equity IT0000068525 SZG GY Equity DE0006202005 SAMAS FH Equity FI0009003305 SAND SS Equity SE0000667891 SAN FP Equity FR0000120578 SAP GY Equity DE0007164600 SBMO NA Equity NL0000360618 SCVB SS Equity SE0000308280 SCH NO Equity NO0003028904 SCHP VX Equity CH0024638196 SU FP Equity FR0000121972 SDR LN Equity GB0002405495 SCR FP Equity FR0010411983 SDRL NO Equity BMG7945E1057 SK FP Equity FR0000121709 SECUB SS Equity SE0000163594 SGRO LN Equity GB00B5ZN1N88 SRP LN Equity GB0007973794 SESG FP Equity LU0088087324 SVT LN Equity GB00B1FH8J72 SGL GY Equity DE0007235301 SGSN VX Equity CH0002497458 SHB LN Equity GB0007990962 SHP LN Equity JE00B2QKY057 SIE GY Equity DE0007236101 SIK VX Equity CH0000587979 SEBA SS Equity SE0000148884 SKAB SS Equity SE0000113250 SKFB SS Equity SE0000108227 SKYD GY Equity DE000SKYD000 SN/ LN Equity GB0009223206 SMIN LN Equity GB00B1WY2338 SKG ID Equity IE00B1RR8406 SRG IM Equity IT0003153415 BB FP Equity FR0000120966 GLE FP Equity FR0000130809 SW FP Equity FR0000121220 SOW GY Equity DE0003304002 SOLB BB Equity BE0003470755 SOON VX Equity CH0012549785 SXS LN Equity GB0003308607 SPX LN Equity GB0008347048 SPT LN Equity GB0004726096 SSABA SS Equity SE0000171100 SSE LN Equity GB0007908733 SAZ GY Equity DE0007251803 SGC LN Equity GB00B6YTLS95 STAN LN Equity GB0004082847 SL/ LN Equity GB00B16KPT44
Name NESTLE SA-REG NEXT PLC NOKIA OYJ NOKIAN RENKAAT OYJ NORDEA BANK AB NORSK HYDRO ASA NOVARTIS AG-REG NOVO NORDISK A/S-B NOVOZYMES A/S-B SHARES NUTRECO NV OC OERLIKON CORP AG-REG OLD MUTUAL PLC OMV AG OPAP SA OPHIR ENERGY PLC ORIFLAME COSMETICS SA-SDR ORION OYJ-CLASS B ORKLA ASA OUTOTEC OYJ PADDY POWER PLC PARGESA HOLDING SA-BR PARTNERS GROUP HOLDING AG PEARSON PLC PENNON GROUP PLC PERNOD-RICARD SA PERSIMMON PLC PETROFAC LTD PETROLEUM GEO-SERVICES PETROPAVLOVSK PLC PEUGEOT SA PIRELLI & C. POHJOLA BANK PLC-A SHS POLYUS GOLD INTERNATIONAL LT PORSCHE AUTOMOBIL HLDG-PRF PORTUGAL TELECOM SGPS SA-REG POSTNL NV PPR PREMIER OIL PLC PROSIEBEN SAT.1 MEDIA AG-PRF PROVIDENT FINANCIAL PLC PRUDENTIAL PLC PRYSMIAN SPA PSP SWISS PROPERTY AG-REG PUBLICIS GROUPE QIAGEN N.V. QINETIQ GROUP PLC RAIFFEISEN BANK INTERNATIONA RANDGOLD RESOURCES LTD RANDSTAD HOLDING NV RATOS AB-B SHS RECKITT BENCKISER GROUP PLC RED ELECTRICA CORPORACION SA REED ELSEVIER NV REED ELSEVIER PLC REMY COINTREAU RENAULT SA RENTOKIL INITIAL PLC REPSOL SA REXAM PLC REXEL SA RHEINMETALL AG RHOEN-KLINIKUM AG RIGHTMOVE PLC RIO TINTO PLC ROCHE HOLDING AG-GENUSSCHEIN ROLLS-ROYCE HOLDINGS PLC ROTORK PLC ROYAL BANK OF SCOTLAND GROUP ROYAL DUTCH SHELL PLC-A SHS ROYAL IMTECH NV RSA INSURANCE GROUP PLC RUBIS RWE AG RYANAIR HOLDINGS PLC SABMILLER PLC SAFRAN SA SAGE GROUP PLC/THE SAIPEM SPA SALZGITTER AG SAMPO OYJ-A SHS SANDVIK AB SANOFI SAP AG SBM OFFSHORE NV SCANIA AB-B SHS SCHIBSTED ASA SCHINDLER HOLDING-PART CERT SCHNEIDER ELECTRIC SA SCHRODERS PLC SCOR SE SEADRILL LTD SEB SA SECURITAS AB-B SHS SEGRO PLC SERCO GROUP PLC SES SEVERN TRENT PLC SGL CARBON SE SGS SA-REG SHAFTESBURY PLC SHIRE PLC SIEMENS AG-REG SIKA AG-BR SKANDINAVISKA ENSKILDA BAN-A SKANSKA AB-B SHS SKF AB-B SHARES SKY DEUTSCHLAND AG SMITH & NEPHEW PLC SMITHS GROUP PLC SMURFIT KAPPA GROUP PLC SNAM SPA SOCIETE BIC SA SOCIETE GENERALE SODEXO SOFTWARE AG SOLVAY SA SONOVA HOLDING AG-REG SPECTRIS PLC SPIRAX-SARCO ENGINEERING PLC SPIRENT COMMUNICATIONS PLC SSAB AB-A SHARES SSE PLC STADA ARZNEIMITTEL AG STAGECOACH GROUP PLC STANDARD CHARTERED PLC STANDARD LIFE PLC
GICS_SECTOR_NAME
ATM2 Ref
Consumer Staples 64.60 Consumer Discretionary 4209.00 Information Technology 2.92 Consumer Discretionary 35.62 Financials 75.00 Materials 26.92 Health Care 64.45 Health Care 990.50 Materials 196.80 Consumer Staples 69.64 Industrials 11.45 Financials 201.90 Energy 32.50 Consumer Discretionary 6.72 Energy 478.20 Consumer Staples 224.30 Health Care 23.04 Industrials 47.89 Industrials 51.50 Consumer Discretionary 64.40 Financials 68.65 Financials 214.00 Consumer Discretionary 1148.00 Utilities 659.00 Consumer Staples 98.39 Consumer Discretionary 900.00 Energy 1598.00 Energy 93.75 Materials 316.60 Consumer Discretionary 5.83 Consumer Discretionary 8.51 Financials 12.74 Materials 218.75 Consumer Discretionary 62.26 Telecommunication Services 4.03 Industrials 1.98 Consumer Discretionary 171.90 Energy 382.50 Consumer Discretionary 24.46 Financials 1510.00 Financials 969.50 Industrials 15.97 Financials 86.00 Consumer Discretionary 50.48 Health Care 16.43 Industrials 208.20 Financials 29.61 Materials 5485.00 Industrials 32.98 Financials 66.80 Consumer Staples 4353.00 Utilities 42.36 Consumer Discretionary 11.12 Consumer Discretionary 689.50 Consumer Staples 99.84 Consumer Discretionary 48.22 Industrials 92.45 Energy 15.96 Materials 508.50 Industrials 17.80 Industrials 42.33 Health Care 15.94 Consumer Discretionary 1747.00 Materials 3510.00 Health Care 213.70 Industrials 1040.00 Industrials 2875.00 Financials 355.00 Energy 24.86 Industrials 9.81 Financials 119.10 Utilities 53.43 Utilities 28.53 Industrials 5.70 Consumer Staples 3216.00 Industrials 34.59 Information Technology 342.80 Energy 20.79 Materials 36.36 Financials 28.62 Industrials 106.90 Health Care 73.83 Information Technology 61.10 Energy 10.74 Industrials 137.80 Consumer Discretionary 234.60 Industrials 142.10 Industrials 59.70 Financials 2064.00 Financials 22.08 Energy 208.40 Consumer Discretionary 60.94 Industrials 59.95 Financials 256.10 Industrials 590.50 Consumer Discretionary 23.20 Utilities 1617.00 Industrials 33.32 Industrials 2361.00 Financials 573.00 Health Care 2124.00 Industrials 80.07 Materials 2330.00 Financials 67.60 Industrials 116.60 Industrials 160.30 Consumer Discretionary 4.93 Health Care 711.00 Industrials 1255.00 Materials 11.90 Utilities 3.73 Industrials 88.05 Financials 31.02 Consumer Discretionary 70.16 Information Technology 30.11 Materials 112.20 Health Care 113.10 Information Technology 2439.00 Industrials 2422.00 Information Technology 166.80 Materials 51.70 Utilities 1440.00 Health Care 29.53 Industrials 298.90 Financials 1772.00 Financials 350.20
Dividend Yield 3.18% 2.45%
Next ExDividend Date
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
4.07% 3.84% 2.79% 3.57% 1.82% 1.12% 3.02%
23.04.2014 26.06.2013 09.05.2014 14.04.2014 14.03.2014 09.05.2014 28.02.2014 20.03.2014 27.02.2014 30.07.2013
3.12% 3.69% 10.27%
17.04.2013 12.05.2014 20.06.2013
6.61% 5.64% 5.22% 2.33% 1.93% 3.96% 2.69% 4.01% 4.40% 1.77% 8.33% 2.75% 1.76% 3.79% 3.88% 3.61%
22.05.2014 20.03.2014 18.04.2014 27.03.2014 13.03.2013 10.05.2013 06.05.2013 14.08.2013 07.08.2013 02.07.2013 07.05.2014 17.04.2013 14.05.2014 26.06.2013 05.06.2013 20.05.2013 25.03.2014
1.77% 8.06% 6.19% 1.31%
02.05.2013 21.05.2013 06.08.2013 02.05.2014
30.40
31.55
32.02
31.41
29.48
45.21 21.01
36.27 20.37
43.35 20.27
33.45 20.73
32.80 20.72
22.89% 5.26% 2.78% 1.53% 3.60% 1.78%
24.07.2013 15.05.2013 27.03.2013 22.04.2013 11.04.2013 27.06.2014
34.00
34.24
34.31
43.30
25.52 25.22 9.64 17.03 23.16
22.61 24.18 7.65 19.12 21.98
22.42 24.38 7.62 18.50 21.90
22.20 24.96 10.96 18.86 22.23
1.63% 3.95% 0.60% 3.79% 4.49% 3.12% 5.56% 4.15% 3.36% 1.40% 3.57% 2.46% 6.22% 3.09% 4.21% 4.25% 2.82% 1.32% 3.26% 3.44% 1.96% 1.52%
22.16 35.61 21.13
26.63 34.78 21.21
26.47 34.15 22.13
17.72 22.51 24.43 24.45 28.94 31.53 21.71 29.65
17.34 21.53 20.09 22.09 29.03 30.16 20.57 28.35
25.16 25.54
5.21%
07.08.2013 02.07.2014 07.05.2014 03.04.2014 17.04.2014 07.08.2013 02.07.2013 30.04.2013 01.05.2013 02.08.2013 10.05.2013 03.04.2013 20.06.2013 07.08.2013 24.05.2013 15.05.2013 13.06.2013 08.05.2013 14.08.2013 10.03.2014 23.10.2013 10.04.2013 06.03.2013 15.05.2013 07.04.2014 25.09.2013
7.01%
19.04.2013
2.16% 2.98% 3.24% 3.27% 0.96% 4.72% 3.27% 3.75% 1.39% 3.45% 1.49% 1.55% 3.13% 1.99% 5.21% 7.06% 2.05% 5.00% 5.82% 1.57% 4.18% 4.80% 0.60% 1.27% 2.24% 0.54% 3.87% 2.06% 4.07% 5.15% 3.43%
07.08.2013 17.12.2013 15.05.2013 19.05.2014 24.05.2013 21.04.2014 28.04.2014 10.05.2013 05.06.2013 03.04.2014 06.05.2014 16.05.2014 28.03.2014 12.05.2014 27.03.2013 08.05.2013 22.05.2013 15.05.2013 08.05.2014 20.03.2013 12.03.2013 18.04.2014 19.06.2013 01.05.2013 21.03.2014 12.06.2013 04.09.2013 24.01.2014 18.04.2013 24.03.2014 14.04.2014 29.04.2014
2.48% 3.19% 2.56% 6.70% 2.91% 1.45% 2.54% 1.56% 2.90% 1.24% 1.64% 2.29% 1.33% 1.93% 5.93% 2.20% 2.91% 3.19% 4.25%
09.10.2013 27.03.2013 25.09.2013 20.05.2013 21.05.2014 02.06.2014 30.01.2014 06.05.2013 16.01.2014 21.06.2013 16.10.2013 17.04.2013 06.03.2013 15.04.2014 24.07.2013 06.06.2013 28.08.2013 06.03.2013 03.04.2013
5.44%
10.92 16.50 47.90 29.95 19.33 42.29 8.92 26.00 22.07 16.46 34.86 27.11 24.39 53.36
9.23 17.43 50.26 29.02 19.45 36.19 8.00 24.26 22.42 16.39 29.62 25.34 22.98 52.41
10.05 18.36 49.83 29.40 19.43 33.61 9.50 24.08 22.50 16.26 29.03 22.97 23.82 51.47
11.08 19.12 50.11
12.04
12.21
12.68
49.47
49.35
47.29
19.71 30.73 10.96 23.40 21.88 17.17 29.75 21.08 22.91 54.38
22.69
22.69
11.95
12.66
29.88
28.93
19.81
15.39
16.65
17.28
17.33
17.56
16.09 15.27 20.48
16.25 15.17 19.62
16.82 15.16 18.26
17.84 15.81 17.17
19.34 15.56
21.15 15.78
18.45
18.23
18.98
19.56
19.31
18.92
23.76 24.69
23.50 27.04
22.81 29.91
21.53 32.83
53.75 31.58
52.51 29.08
52.94 29.91
53.11 28.86
53.35 29.26
52.17 29.26
12.48
-0.248 -0.058 -0.103 -0.068 -0.076 -0.397 0.113 0.006 0.123 -0.421 -0.297 0.059 -0.674 0.043
-0.063 -0.063 -0.067 0.008 -0.044 -0.450 0.044 0.012 0.003 -0.126 -0.277 -0.002 -0.366 0.038
-0.051 -0.069 -0.176 -0.004 -0.108 -0.117 0.019 0.016 -0.022 -0.112 -0.276 -0.063 -0.220 0.033
-0.095 -0.085 -0.047 -0.026 0.039 -0.070 0.002 -0.161 -0.123 -0.122 -0.077 0.021 0.007 -0.122 -0.091 -0.091 0.049 -0.109 0.081 -0.031 -0.041 -0.025 -0.019 0.036 0.030 0.000 -0.033 0.012 -0.114 0.017 -0.265 -0.228 -0.266 0.018 -0.113 0.009 -0.089 0.447 0.759 0.031 0.021 -0.001
0.020 0.002 0.006 0.000 0.025 0.058 0.021 0.000 0.003 0.008 0.004 0.007 0.013 -0.001
0.015 0.003 0.004 0.000 0.016 0.032 0.014 0.000 -0.001 0.005 0.002 0.006 0.006 -0.001
0.008 0.001 0.003
0.003
0.003
0.008 0.008 0.006 0.000 0.001 0.004 0.003 0.004 0.002 0.000
0.002
0.002
0.003
0.002
0.003
0.005
0.005
0.004
0.002
0.000 -0.001 0.000
0.002
-0.226 -0.145 0.075 -0.037
0.059
0.035
0.019
0.008
-0.147 -0.130 -0.131 -0.143 -0.118 -0.089 -0.080 0.029 0.027 0.020 0.014 0.011 0.214 0.125 0.031 -0.046
0.011 0.023 0.004
0.002 0.001 0.004
0.002 0.000 0.004
0.003 0.000 0.003
0.002 0.000
0.003 0.000
-0.190 -0.184 -0.128 -0.142 -0.122 -0.104 -0.088 0.023
0.008
0.004
0.003
0.002
0.003
0.002
-0.156 -0.119 -0.080 -0.058 0.313 0.171 0.031 -0.076
0.002 0.005
0.002 0.004
0.002 0.003
0.001 0.000
51.34
-0.185 -0.238 -0.194 -0.186 -0.135 -0.112 -0.111 0.007 -0.207 -0.130 -0.104 -0.079 -0.067 -0.067 0.007
0.007 0.004
0.005 0.002
0.003 0.002
0.000 0.001
0.000 0.001
0.000
29.81
28.40
-0.460 -0.360 -0.275 -0.204 -0.154 -0.134 -0.072 0.017
0.010
0.007
0.002
0.001 -0.001 0.001
32.80 20.51
32.80 20.68
0.042 0.855 0.798 1.008 1.123 1.123 1.123 0.031 -0.162 -0.133 -0.095 -0.098 -0.046 0.007 -0.019 0.014
0.012 0.006
0.008 0.006
0.016 0.003
0.012 0.002
47.34
51.33
46.13
-0.135 -0.026 -0.031 0.953
1.247
1.145
0.007
0.000
0.000 -0.017 -0.028 -0.037 -0.030
22.01 24.91 12.09 19.08 22.48
21.96 24.91 11.63 18.80 22.40
21.43
18.50 22.23
-0.458 -0.224 -0.275 -0.174 -0.291
-0.116 -0.113 -0.104 -0.129 -0.093
-0.069 -0.050 0.013 -0.113 0.000 -0.087 0.022 -0.123 -0.118 0.030 -0.087 -0.075 0.020
0.004 0.001 0.005 0.006 0.003
0.003 0.006 0.004 0.004 0.002
28.95 33.06 22.78
31.84
35.90
23.67
23.67
23.67
0.506 0.157 -0.094 -0.092 0.416 0.701 0.050 -0.177 -0.120 -0.063 -0.045 0.002 -0.458 -0.126 -0.112 -0.146 -0.120 -0.120 -0.120 0.022
0.019 0.003 0.005 -0.002 -0.010 0.000 -0.002 -0.002 0.008 0.002 0.003 0.002 0.002 0.002
17.71 21.11 19.77 20.26 28.79 30.78 19.07 27.37
17.54 19.38 17.93 17.77 29.34 31.30 20.61 25.76
17.44 17.84 17.24
17.44 17.36 17.67
16.90 17.99
0.001 0.001
0.002
24.41
26.18
0.000 0.002 0.005 0.004 0.000 0.002 0.004 0.002
0.000 0.001
27.13
0.002 0.001 0.008 0.005 0.000 0.002 0.006 0.002
0.001 0.001
28.90
0.007 0.002 0.011 0.005 0.000 0.007 0.005 0.001
0.000 0.003 0.001
29.59 30.80
-0.068 -0.068 0.014 -0.070 -0.067 -0.044 0.003 -0.059 -0.034 -0.022 0.028 0.005 -0.002 -0.011 0.005 -0.076 -0.042 -0.040 0.018 0.003 -0.188 -0.114 -0.044 0.004
0.000 0.002 0.003
29.20 31.90
-0.123 -0.187 -0.177 -0.142 -0.068 -0.423 -0.046 -0.187
0.002
0.002
0.000
24.95 25.17
25.99 24.31
28.63 25.69
27.50 26.25
28.38 26.83
28.19 26.69
-0.166 -0.087 -0.026 -0.040 -0.042 -0.070 -0.060 0.016 -0.079 -0.021 0.007 0.020 0.004 -0.009 0.001 0.026
0.003 0.005
0.001 0.002
0.001 0.000
0.001 0.000
0.001 0.000
0.001 0.000
28.96 12.13 23.80
28.38 14.40 22.87
28.01 14.80 22.20
28.26 15.59 21.21
28.93 16.30
30.01 16.79
29.34 17.14
-0.338 -0.103 -0.110 -0.115 -0.072 -0.038 -0.043 0.003 0.244 0.118 0.064 0.001 -0.014 0.010 0.025 0.031 -0.262 -0.222 -0.185 -0.112 0.007
0.003 0.014 0.005
0.002 0.009 0.002
0.002 0.004 0.000
0.001 0.003
0.000 0.003
0.001 0.002
37.99 13.94 84.45 20.91
34.11 13.49 75.13 17.60
33.89 13.51 69.43 18.00
33.00 14.15 65.99 18.33
32.13 15.10
32.12 15.44
32.34 15.72
-0.133 -0.124 -0.588 -0.040
-0.149 -0.100 -0.067 -0.044 0.020 -0.133 -0.076 -0.050 -0.016 0.027 -0.498 0.013 -0.124 -0.056 -0.056 0.002
0.006 0.011 0.010 0.001
0.002 0.005 0.008 0.005
0.002 0.008 0.005 0.005
0.001 0.003
0.000 0.002
18.06
-0.138 -0.058 -0.706 0.099
0.001 0.004
18.06
-0.174 0.033 -0.948 -0.028
0.006
0.006
27.60 24.89 16.55 25.81 21.63 33.19 32.13 16.86 19.83 23.00 18.86 41.90 22.12
24.86 23.58 16.74 25.60 20.85 31.88 30.30 15.83 19.86 22.02 19.44 38.42 21.96
24.68 23.42 16.93 25.40 20.31 32.69 31.28 16.85 22.38 22.06 19.77 37.46 22.23
24.11 22.26 17.25 25.82 19.86 31.61 31.66 16.48 23.27 21.87 20.47 36.86 23.49
22.82 21.93
23.14 21.74
23.17
24.27
0.002 0.000 0.003 0.003 0.003 0.001 0.001 0.004 0.006 0.002 0.004 0.001 0.005
0.002 0.000 0.000
25.74 19.90 22.39 35.33 24.79
0.021 0.007 0.006 0.020 -0.001 0.001 0.003 0.003 0.004 0.020 0.015 0.010 0.000 0.002 0.003 0.018 0.006 0.003 0.008 0.002 0.001 0.022 0.006 0.003 0.057 0.027 0.019 0.016 0.009 0.003 0.031 0.011 0.008 0.016 0.003 0.000 0.045 0.017 0.012
0.000 0.001
25.74 20.01 21.76 35.50 24.79
-0.041 -0.012 -0.095 -0.119 -0.147 -0.086 -0.083 -0.137 -0.144 -0.104 -0.219 -0.069 -0.156
0.002
32.15 32.35
-0.037 -0.037 -0.117 -0.120 -0.118 -0.170 -0.099 -0.061 -0.132 -0.115 -0.284 -0.060 -0.231
0.000 -0.001 0.001
32.15 31.89
-0.085 -0.042 -0.102 -0.131 -0.061 -0.226 -0.094 -0.137 -0.129 -0.156 -0.340 -0.078 -0.211
0.001 0.000
24.27
-0.177 -0.064 -0.087 -0.141 -0.005 -0.358 -0.122 -0.322 -0.121 -0.175 -0.370 -0.182 -0.257
0.002 0.002 0.002 0.001 0.001
0.002 0.002 0.001 0.002 0.001
17.07 24.38
17.39 24.44
17.46 25.85
17.66 26.87
17.72 28.51
17.94 28.05
0.002 0.004
0.002 0.003
0.001 0.002
0.001 0.002
19.98 17.83 20.55 22.70
19.49 18.62 20.80 20.00
20.07 19.89 21.26 21.76
19.76
20.28
20.28
0.004
0.002
0.002
21.13 21.38
21.04 24.59
21.47 24.59
0.036 0.025 0.016 0.039 0.027 0.016 0.012 -0.001 0.000 0.115 0.066 0.042
0.000 0.013
0.000 0.000
0.000 0.000
18.40 30.87 15.76
18.26 27.04 14.77
18.11 26.84 14.79
19.11 24.98 15.60
25.40 16.25
26.89 16.57
27.19
0.001 -0.002 -0.002 0.003 0.003
25.57 16.09 16.97 19.77 17.47 21.16 35.97 15.69
27.77 15.53 17.04 18.49 15.56 22.71 34.94 16.24
27.55 16.17 17.52 18.78 16.96 21.82 34.95 16.52
27.35 16.92 18.70 20.31 17.26 22.05 35.97 17.36
18.89 19.27 23.42 19.23 23.50 36.05
18.83 19.87 23.42 19.23 23.50 36.12
19.80
31.84 19.58 23.13 39.71 13.10 33.40 25.93 19.48
32.06 16.71 22.90 37.24 13.79 33.18 24.96 18.27
31.67 16.69 22.90 37.61 14.48 33.86 25.82 18.82
32.64 14.74 23.65 36.83 16.02 33.32 26.34 20.98
33.21 14.47 23.23 34.09 15.55 33.05 26.31 21.67
33.72 14.47 23.35 33.30 13.92 33.37 26.31 21.91
25.31 14.18 31.60
27.14 14.21 29.99
27.63 14.25 29.76
29.09 14.43 29.61
31.99
31.99
28.60
27.75
25.03 22.28
21.86 22.12
21.33 21.33
20.94 20.59
20.87
20.87
18.92
32.37
21.02 22.76 35.49
26.87
34.48 13.82 33.26
27.53
-0.011 -0.139 -0.070 -0.138 0.007 -0.193 -0.059 -0.179
-0.183 -0.209 -0.060 -0.173 -0.080
-0.126 -0.130 -0.001 -0.138 0.008 -0.086 -0.072 -0.183
-0.193 -0.156 -0.107 -0.181 -0.103
-0.087 -0.123 -0.058 -0.107 -0.005 -0.117 -0.074 -0.162
1.048
-0.048 -0.001 0.041 -0.016 -0.015 -0.088 -0.088 -0.078 -0.078 -0.071 -0.075 -0.060 -0.100 -0.110 -0.177 -0.066 -0.117
-0.100 -0.098 -0.071 -0.137 -0.105 -0.070 -0.054 -0.117
-0.180 -0.077 -0.049 -0.057 -0.033 -0.028 0.016 -0.163 -0.201 -0.171 -0.123 -0.090 -0.067 -0.111 0.022 -0.188 -0.221 -0.101 -0.339
36.01
-0.177 -0.179 0.007 -0.194 -0.140
-0.148 -0.154 0.010 -0.198
-0.115 -0.080 -0.091 -0.091 -0.089 -0.024 0.000 0.001 -0.008 0.056 -0.017 -0.052 -0.052
-0.021 -0.031 -0.041 -0.037 0.003 -0.016 -0.129 -0.115 -0.195 -0.229 -0.259 -0.294 0.016 -0.258 -0.167 -0.075 -0.137 -0.102 -0.095 0.010
0.002 0.008
0.004 0.002 0.008 0.004 0.003
0.003 0.002 0.007
0.003 0.002 0.003
0.001 0.002 0.005
0.003 0.001 0.003 0.002 0.002
0.012 0.002
0.004 0.001 0.004 0.001 0.002
0.012 0.001
0.003
0.001 0.002
0.000
0.002 0.001 0.001
0.003
0.042 -0.281 -0.064 -0.305 0.114 -0.244 -0.257 -0.153
0.056 -0.215 -0.057 0.029 0.176 -0.225 -0.154 -0.146
0.024 -0.180 -0.016 -0.071 0.138 -0.130 -0.097 -0.137
0.003 -0.164 -0.058 -0.102 -0.076 -0.125 -0.073 -0.105
-0.121 -0.076 -0.084 -0.100 -0.070 -0.065
0.019 0.006 -0.079 -0.077 0.030 0.013 -0.079 0.001 0.001 -0.084 0.058 0.029 -0.100 0.065 0.039 -0.070 0.045 0.017 -0.063 -0.044 0.018 -0.002 0.006 0.006
0.003 0.009 0.000 0.020 0.025 0.014 0.002 0.005
0.002 0.004 0.002 0.008 0.010 0.006 0.000 0.004
0.002 0.002 0.002 0.003 0.002 0.002
-0.220 -0.395 0.082 -0.325 -0.149 -0.177 -0.247 -0.345
-0.034 -0.293 0.001 -0.240 -0.127 -0.124 -0.146 -0.207
-0.057 -0.237 0.003 -0.223 -0.105 -0.107 -0.146 -0.151
-0.072 -0.155 -0.002 -0.184 -0.111 -0.133 -0.123 -0.147
-0.034 -0.072 0.011 -0.132 -0.101 -0.157 -0.100 -0.121
-0.012 0.010 -0.072 0.014 0.019 0.006 -0.079 -0.027 0.012 -0.103 -0.104 0.038 -0.172 -0.163 0.006 -0.100 0.012 -0.119 0.026
0.002 0.008 0.000 0.005 0.027 0.004 0.004 0.009
0.001 0.008 0.000 0.004 0.016 0.002 0.003 0.004
0.000 0.002 0.000 0.003 0.004 0.001 0.002 0.003
0.000 -0.001 0.001 0.001 0.000 0.000 0.002 0.001 0.001 0.002 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.002 0.002
0.001 0.002 0.002 0.003 0.002 0.002
-0.757 -0.400 -0.104 -0.106 -0.076 -0.076 0.327 0.168 0.010 -0.074 0.022 0.056 0.073 0.074 0.057 0.086 0.112
0.082 0.016 0.013
0.035 0.012 0.004
0.016 0.008 0.003
0.007 0.003 0.003
0.003
0.003
0.003
0.004
-0.209 -0.178 -0.114 -0.136 -0.124 -0.124 0.102 0.107 0.109 0.068
0.009 0.001
0.006 0.002
0.003 0.003
0.003 0.004
0.002
0.002
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.002
0.003
0.004
25.02.2013
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
At The Money Implied Volatilities by Terms
Stoxx 600 Index
Ticker
ISIN
Name
GICS_SECTOR_NAME
STL NO Equity
NO0010096985
STATOIL ASA
Energy
STM IM Equity
NL0000226223
ATM3 Ref
Dividend Yield
Next ExDividend Date
144.10
4.68%
16.05.2014
19.19
20.15
19.40
18.13
17.74
18.72
35.55
34.98
ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 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 -0.040 -0.107 -0.046 -0.059 -0.110 -0.093
33.73
0.030
0.011
0.006
0.008
0.003
0.001
0.007
0.001
0.001
0.001
0.002
0.002
0.002
0.037
0.010
0.002
0.002
0.076
0.054
0.032
0.004
0.010
0.008
0.006
0.002
0.015
0.002
0.001
0.001
0.002
0.003
0.004
-0.195 -0.116 -0.084 -0.027 -0.024 -0.066 -0.062 0.017
0.002
0.001
0.000
0.000
0.003
0.003
0.012
0.004
0.002
0.002
0.001
0.001
-0.198 -0.077 -0.080 -0.083 -0.060 -0.060
0.042
0.019
0.010
0.005
0.002
0.002
-0.204 0.049 -0.004 -0.076 -0.080 -0.080
STMICROELECTRONICS NV
Information Technology
6.19
4.86%
03.06.2013
37.09
37.24
37.92
37.02
STERV FH Equity FI0009005961
STORA ENSO OYJ-R SHS
Materials
4.98
6.02%
23.04.2014
23.88
23.08
24.39
25.47
-0.090 -0.028 0.012
0.042
STB NO Equity
NO0003053605
STOREBRAND ASA
Financials
27.58
17.04.2014
46.98
44.96
42.94
36.15
-0.377 -0.339 -0.301 -0.138
SUBC NO Equity
LU0075646355
SUBSEA 7 SA
Energy
135.80
2.07%
25.06.2013
33.49
31.80
30.10
28.13
SZU GY Equity
DE0007297004
SUEDZUCKER AG
Consumer Staples
33.06
2.72%
02.08.2013
21.46
21.50
21.61
22.66
23.11
23.00
21.96
-0.261 -0.058 -0.020 -0.026 -0.004 0.013
SEV FP Equity
FR0010613471
SUEZ ENVIRONNEMENT CO
Utilities
9.99
6.51%
27.05.2013
30.08
30.04
29.24
29.06
28.87
26.16
24.01
SUN VX Equity
CH0038388911
SULZER AG-REG
Industrials
164.10
1.95%
11.04.2014
18.72
19.50
19.64
20.61
21.37
21.73
-0.224 -0.092 -0.074 -0.115 -0.084 -0.082
SCAB SS Equity
SE0000112724
SVENSKA CELLULOSA AB-B SHS
Consumer Staples
157.10
2.86%
11.04.2014
17.74
18.38
19.00
18.69
20.08
20.08
SHBA SS Equity
SE0000193120
SVENSKA HANDELSBANKEN-A SHS
UHR VX Equity
CH0012255151
0.089
-0.185 -0.168 -0.150 -0.124
Financials
275.70
3.90%
26.03.2014
17.69
15.79
16.54
16.44
17.17
17.17
SWATCH GROUP AG/THE-BR
Consumer Discretionary
522.00
1.29%
21.05.2014
24.34
23.20
23.03
24.20
25.27
26.24
SWEDA SS Equity SE0000242455
SWEDBANK AB - A SHARES
Financials
156.20
6.34%
21.03.2014
19.02
17.75
18.59
18.65
19.35
19.35
SWMA SS Equity SE0000310336
SWEDISH MATCH AB
Consumer Staples
210.80
3.46%
05.05.2014
22.75
21.77
23.10
22.01
SLHN VX Equity
CH0014852781
SWISS LIFE HOLDING AG-REG
Financials
145.80
3.09%
26.04.2013
26.49
22.99
22.44
22.61
22.70
23.49
SPSN VX Equity
CH0008038389
SWISS PRIME SITE-REG
Financials
74.90
4.74%
22.04.2013
14.25
22.85
11.59
11.67
11.77
12.06
SREN VX Equity
CH0126881561
SWISS RE AG
Financials
76.05
4.61%
14.04.2014
16.97
16.76
17.25
17.60
18.33
19.02
19.16
SCMN VX Equity
CH0008742519
SWISSCOM AG-REG
Telecommunication Services 420.40
5.23%
11.04.2014
11.26
10.10
7.94
11.47
12.49
13.07
12.82
SYDB DC Equity
DK0010311471
SYDBANK A/S
Financials
114.50
SY1 GY Equity
DE000SYM9999
SYMRISE AG
Materials
28.97
2.42%
16.05.2013
27.41
23.77
23.32
23.37
23.61
23.90
SYNN VX Equity
CH0011037469
SYNGENTA AG-REG
Materials
391.50
2.43%
28.04.2014
17.51
17.41
16.67
17.86
18.62
18.89
TATE LN Equity
GB0008754136
TATE & LYLE PLC
Consumer Staples
798.00
3.31%
26.06.2013
12.80
13.02
13.25
14.07
TW/ LN Equity
GB0008782301
TAYLOR WIMPEY PLC
Consumer Discretionary
79.00
1.06%
17.04.2013
TDC DC Equity
DK0060228559
TDC A/S
Telecommunication Services 43.37
9.57%
09.08.2013
37.48
30.99
25.75
25.75
TEC FP Equity
FR0000131708
TECHNIP SA
Energy
83.97
2.00%
08.05.2013
26.70
26.61
27.07
27.48
27.96
27.33
TRE SQ Equity
ES0178165017
TECNICAS REUNIDAS SA
Energy
39.11
3.51%
11.07.2013
30.06
29.52
29.55
29.94
29.64
29.43
TEL2B SS Equity SE0000314312
TELE2 AB-B SHS
Telecommunication Services 105.40
6.74%
13.05.2014
17.57
18.14
16.09
17.97
19.16
19.16
TCY LN Equity
GB00B282YM11
TELECITY GROUP PLC
Information Technology
0.86%
14.08.2013
TIT IM Equity
IT0003497168
931.00
-0.171 -0.156 -0.108 -0.085 -0.014 0.023
0.048
0.065
0.034
0.023
0.009
0.006
0.006
-0.161 -0.149 -0.114 -0.110 -0.092 -0.064 -0.040 0.011
0.006
0.003
0.002
0.001
0.001
-0.211 0.100
0.050
0.023
0.014
0.007
0.004
0.004
0.028
0.007
0.003
0.003
-0.382 -0.202 -0.129 -0.105 -0.083 -0.066 -0.063 0.019
0.007
0.005
0.003
0.002
0.002
-0.107 -0.254 -0.036 -0.020 -0.031 -0.033
0.012
0.000
0.002
0.003
0.001
0.001
-0.171 -0.112 -0.123 -0.139 -0.121 -0.094 -0.073 0.026
0.012
0.010
0.005
0.003
0.002
0.001
-0.140 0.053 -0.015 -0.088 -0.083 -0.052 -0.050 0.025
0.012
0.009
0.007
0.004
0.004
0.003
23.86
-0.129 -0.014 0.081 -0.017 -0.029 -0.035 -0.024 0.011
0.001
0.003
0.002
0.002
0.002
0.002
18.87
-0.308 -0.133 -0.103 -0.156 -0.123 -0.095 -0.076 0.023
0.004
0.003
0.004
0.002
0.001
0.001
-0.285 -0.205 -0.126 -0.031
0.007
0.005
0.003
0.002
0.121
0.024
26.83
0.029 -0.035 -0.057 -0.057
-0.073 -0.013 0.041 24.34
0.013
0.000
0.002
14.03.2014
0.031
0.036
0.036
0.010
0.007
0.005
0.001
0.002
0.002
-0.129 -0.091 -0.085 -0.125 -0.115 -0.117 -0.108 0.004
0.184
0.216
0.216
0.002
0.001
0.001
0.001
0.002
-0.241 -0.259 -0.053 -0.054 -0.047 -0.047
0.049
0.027
0.019
0.007
0.004
0.004
-0.156 -0.124 -0.094 -0.045 -0.074 -0.064 29.22
0.001
TELECOM ITALIA SPA
Telecommunication Services 0.60
3.50%
20.05.2013
40.63
35.21
34.92
31.42
30.05
29.80
29.98
-0.280 -0.223 -0.470 -0.137 -0.105 -0.099 -0.043 0.017
0.006
0.004
0.002
0.001
0.001
0.001
ERICB SS Equity SE0000108656
ERICSSON LM-B SHS
Information Technology
3.47%
10.04.2014
22.14
23.02
25.93
25.32
27.28
27.28
27.28
-0.250 -0.077 -0.099 -0.094 -0.071 -0.071 -0.071 0.046
0.016
0.008
0.004
0.000
0.000
0.000
TEF SQ Equity
ES0178430E18
TELEFONICA SA
Telecommunication Services 9.98
2.50%
07.11.2013
24.45
23.19
23.21
23.41
24.48
24.20
27.88
0.448 -0.218 -0.181 -0.238 -0.133 -0.046 0.217
0.034
0.003
0.001
0.001
0.001
0.002 -0.003
TKA AV Equity
AT0000720008
TELEKOM AUSTRIA AG
Telecommunication Services 5.04
0.99%
31.05.2013
23.69
23.87
25.33
25.07
24.87
22.02
-0.437 0.192
0.053
0.020
0.004
0.008
0.002 -0.001
TNET BB Equity
BE0003826436
TELENET GROUP HOLDING NV
Telecommunication Services 38.44
20.56%
27.08.2013
TEL NO Equity
NO0010063308
TELENOR ASA
Telecommunication Services 123.20
4.87%
16.05.2014
17.68
21.09
21.44
19.62
0.040
0.016
RCF FP Equity
FR0000051807
TELEPERFORMANCE
Industrials
30.01
1.83%
03.06.2013
24.69
24.02
23.83
23.65
23.92
24.55
TLSN SS Equity
SE0000667925
TELIASONERA AB
Telecommunication Services 45.00
6.33%
04.04.2014
16.57
16.19
15.94
16.51
19.24
19.24
TEN IM Equity
LU0156801721
TENARIS SA
Energy
15.82
2.14%
18.11.2013
24.02
23.52
24.94
24.71
TRN IM Equity
IT0003242622
TERNA SPA
Utilities
3.18
5.98%
24.06.2013
15.24
15.44
15.87
16.27
15.26
15.26
TSCO LN Equity
GB0008847096
TESCO PLC
Consumer Staples
373.95
3.98%
24.04.2013
17.06
17.36
16.95
17.25
17.28
16.54
15.59
TGS NO Equity
NO0003078800
TGS NOPEC GEOPHYSICAL CO ASA
Energy
217.40
3.68%
04.06.2014
30.22
28.43
26.63
26.64
HO FP Equity
FR0000121329
THALES SA
Industrials
27.14
3.32%
28.05.2013
22.85
20.76
20.52
21.42
22.21
22.01
21.11
THR BB Equity
BE0003846632
THROMBOGENICS NV
Health Care
39.83
37.70
36.80
37.66
0.044 -0.042 -0.095
TKA GY Equity
DE0007500001
THYSSENKRUPP AG
Materials
17.82
1.68%
20.01.2014
27.75
27.78
28.87
29.55
30.44
30.81
31.96
-0.202 -0.103 -0.099 -0.086 -0.060 -0.021 0.000
TNTE NA Equity
NL0009739424
TNT EXPRESS NV
Industrials
5.79
0.52%
11.04.2014
24.68
28.23
28.02
27.93
27.95
27.95
27.95
-0.106 0.077
TOD IM Equity
IT0003007728
TOD'S SPA
Consumer Discretionary
106.90
2.57%
20.05.2013
TOP DC Equity
DK0010259530
TOPDANMARK A/S
Financials
1314.00
FP FP Equity
FR0000120271
TOTAL SA
Energy
17.66
TPK LN Equity
GB0007739609
79.15
0.003
0.121
0.338
0.488
-0.224 -0.108 -0.032 -0.099 19.24
0.005
0.005
0.011 -0.001 0.000
0.000
0.000
0.000
0.062
0.035
0.028
0.011
0.009
0.009
-0.261 -0.166 -0.142 -0.085
0.010
0.003
0.003
0.002
-0.343 -0.316 -0.259 -0.133 -0.083 -0.083
0.032
0.009
0.007
0.004
0.002
0.002
-0.270 -0.218 -0.061 -0.100 -0.045 -0.011 -0.021 0.012
0.006
0.004
0.003
0.002
0.002
0.003
-0.347 -0.315 -0.283 -0.244
0.024
0.019
0.013
0.007
-0.222 -0.214 -0.195 -0.123 -0.115 -0.071 -0.093 0.025
0.007
0.005
0.003
0.001
0.000
0.001
0.008
0.005
0.006
0.021
0.006
0.004
0.002
0.001
0.000 -0.001
0.010 -0.031 -0.038 -0.038 -0.038 0.038
0.004
0.002
0.002
0.001
0.001
0.001
-0.187 -0.153 -0.201 -0.158 -0.082 -0.117 -0.036 0.029
0.010
0.008
0.005
0.002
0.002
0.001
-0.075 -0.201 -0.170 -0.133 -0.508 -0.508
0.013
0.008
0.007
0.003
0.018
0.018
-0.096 0.016
0.011
0.046
0.058
-0.181 0.101
0.140 -0.024 0.008
0.044
0.008
0.008
38.90
6.11%
24.09.2013
18.96
18.26
18.64
18.69
18.67
18.55
TRAVIS PERKINS PLC
Industrials
1270.00
2.09%
09.10.2013
TRELB SS Equity SE0000114837
TRELLEBORG AB-B SHS
Industrials
91.95
3.26%
25.04.2014
38.72
29.13
26.14
23.99
24.55
24.55
TRYG DC Equity
DK0060013274
TRYG A/S
Financials
451.40
5.76%
22.04.2014
18.09
16.69
16.84
18.14
-0.052 -0.066 -0.027 -0.010
0.003
0.001
0.000
0.000
TT/ LN Equity
GB00B1Z7RQ77
TUI TRAVEL PLC
Consumer Discretionary
321.90
3.70%
04.09.2013
TLW LN Equity
GB0001500809
TULLOW OIL PLC
Energy
1248.00
1.00%
04.09.2013
24.64
25.33
25.84
26.44
-0.084 -0.075 -0.064 -0.042
0.001
0.001
0.000
0.000
UBM LN Equity
JE00B2R84W06
UBM PLC
Consumer Discretionary
774.50
3.67%
10.04.2013
UBSN VX Equity
CH0024899483
UBS AG-REG
Financials
15.04
1.00%
07.05.2013
25.44
24.47
25.42
25.62
26.33
27.22
-0.368 -0.261 -0.199 -0.191 -0.163 -0.176 -0.180 0.032
0.012
0.007
0.004
0.002
0.002
UCB BB Equity
BE0003739530
UCB SA
Health Care
26.10
23.56
23.75
24.53
25.17
25.17
-0.108 -0.130 -0.082 -0.077 -0.061 -0.061
0.015
0.004
0.002
0.003
0.001
0.001
ULE LN Equity
GB0009123323
ULTRA ELECTRONICS HLDGS PLC
Industrials
UMI BB Equity
BE0003884047
UMICORE
-0.069 -0.120 -0.106 -0.114 -0.093 -0.093
UL FP Equity
FR0000124711
UNIBAIL-RODAMCO SE
UCG IM Equity
IT0004781412
UNICREDIT SPA
UNA NA Equity
NL0000009355
ULVR LN Equity
28.09
0.009
0.001
43.69
2.36%
02.05.2013
1662.00
2.48%
10.04.2013
Materials
38.45
2.73%
06.09.2013
24.34
23.29
23.98
23.54
24.64
24.64
0.015
0.003
0.002
0.003
0.001
0.001
Financials
175.65
4.78%
07.05.2013
18.61
17.85
17.52
18.66
19.36
19.36
19.36
-0.318 -0.200 -0.127 -0.145 -0.137 -0.137 -0.137 0.022
0.005
0.005
0.005
0.003
0.003
0.003
Financials
4.28
1.52%
20.05.2013
47.55
41.30
40.64
38.16
37.15
36.74
37.44
-0.342 -0.306 -0.271 -0.215 -0.157 -0.139 -0.178 0.011
0.006
0.004
0.002
0.002
0.001
0.000
UNILEVER NV-CVA
Consumer Staples
29.88
3.41%
08.05.2013
13.89
13.67
14.52
15.30
16.49
17.30
17.99
-0.171 -0.074 -0.082 -0.136 -0.098 -0.064 -0.029 0.035
0.005
0.005
0.005
0.003
0.002
0.001
GB00B10RZP78
UNILEVER PLC
Consumer Staples
2655.00
3.38%
08.05.2013
14.78
14.00
15.06
15.41
15.57
15.57
-0.042 -0.095 -0.182 -0.127 -0.129 -0.129
0.004
0.011
0.004
0.004
0.003
0.003
UBI IM Equity
IT0003487029
UBI BANCA SCPA
Financials
3.72
1.35%
20.05.2013
39.42
36.32
36.73
35.01
34.85
34.85
-0.267 -0.295 -0.237 -0.194 -0.143 -0.143
0.003
0.001
0.001
0.003
0.002
0.002
UTDI GY Equity
DE0005089031
UNITED INTERNET AG-REG SHARE
22.91
23.38
0.002
0.001
UU/ LN Equity
GB00B39J2M42
Information Technology
17.73
1.69%
03.06.2013
16.93
18.58
19.42
21.54
-0.319 -0.222 -0.123 -0.120 -0.093 -0.095 -0.074 0.028
UNITED UTILITIES GROUP PLC
Utilities
736.50
4.74%
19.06.2013
25.54
24.34
23.15
22.32
0.326
UPM1V FH Equity FI0009005987
UPM-KYMMENE OYJ
Materials
8.90
6.74%
08.04.2014
27.26
27.31
28.00
27.77
23.42
-0.081 0.025
FR FP Equity
FR0000130338
VALEO SA
Consumer Discretionary
42.58
3.52%
27.06.2013
27.56
28.24
28.92
30.53
31.13
31.13
VATN SE Equity
CH0014786500
VALIANT HOLDING AG-REG
Financials
84.35
3.79%
24.05.2013
36.53
36.58
36.61
35.68
33.41
34.31
VK FP Equity
FR0000120354
VALLOUREC
Industrials
42.57
1.62%
05.06.2014
31.68
30.77
33.09
32.81
33.27
33.28
VED LN Equity
GB0033277061
VEDANTA RESOURCES PLC
Materials
1218.00
3.15%
14.08.2013
40.25
39.33
38.40
39.40
VIE FP Equity
FR0000124141
VEOLIA ENVIRONNEMENT
Utilities
9.48
7.39%
22.05.2013
48.11
37.94
37.31
36.35
34.48
30.89
VER AV Equity
AT0000746409
VERBUND AG
Utilities
16.62
3.31%
24.04.2013
25.82
24.27
24.72
23.90
25.35
33.17
VSVS LN Equity
GB00B82YXW83
VESUVIUS PLC
Industrials
379.60
3.69%
01.05.2013
VCT LN Equity
GB0009292243
VICTREX PLC
Materials
1594.00
2.48%
05.06.2013
VIG AV Equity
AT0000908504
VIENNA INSURANCE GROUP AG
Financials
38.86
3.09%
13.05.2013
18.29
18.37
17.51
19.62
18.73
14.27
DG FP Equity
FR0000125486
VINCI SA
Industrials
36.30
4.88%
11.11.2013
22.48
23.11
22.62
23.51
25.72
25.81
26.26
VIS SQ Equity
ES0184262212
VISCOFAN SA
Consumer Staples
40.35
2.73%
05.06.2013
29.01
28.94
29.00
29.65
30.60
29.52
29.45
-0.089 -0.104 -0.099 -0.136 -0.173 -0.121 -0.106 0.001
VIV FP Equity
FR0000127771
VIVENDI
Telecommunication Services 16.06
6.23%
06.05.2013
40.17
33.93
34.77
31.90
30.07
30.06
28.54
-0.070 -0.125 -0.044 -0.030 -0.040 0.045
0.090
VOD LN Equity
GB00B16GWD56
VODAFONE GROUP PLC
Telecommunication Services 163.90
6.27%
05.06.2013
21.78
21.56
20.91
20.41
18.32
14.36
14.32
-0.149 -0.015 -0.103 -0.046 0.003
0.059
0.043
VOE AV Equity
AT0000937503
-0.011 0.085 -0.052 -0.068 0.417
0.655
33.18 29.45
0.004
0.003
0.003
0.015
0.006
0.004
0.003
0.001
0.031 -0.051
0.023
0.003
0.001
0.000
-0.144 -0.130 -0.116 -0.078 -0.072 -0.072
0.022
0.013
0.218
0.111
0.015
0.008
0.001
0.001
0.001
0.001
0.000
0.000
0.000
0.000
0.000
-0.208 -0.176 -0.160 -0.106 -0.085 -0.077 -0.088 0.015
0.006
0.004
0.003
0.001
0.000
0.001
-0.102 -0.125 -0.149 -0.270
0.004
0.003
0.002 -0.001
0.006
0.005
0.002
0.000 -0.001 0.000
0.003
0.003
0.004 -0.019 -0.035 -0.068
0.064 -0.120 -0.036 0.104
0.036
0.197
0.017
-0.228 -0.012 -0.026 0.136
0.518
0.758
0.067
0.024
0.010
0.020
0.005 -0.005
-0.238 0.006 -0.063 0.114
0.433
0.691
0.075
0.022
0.006
0.018
0.007
-0.199 -0.169 -0.151 -0.142 -0.146 -0.098 -0.133 0.022
0.009
0.007
0.003
0.001 -0.001 0.002
0.001
0.001
0.001
0.001
0.008
0.003
0.001
0.001 -0.001 -0.003 -0.005
0.009
0.010
0.004
0.002
VOESTALPINE AG
Materials
25.89
3.28%
08.07.2013
23.19
25.04
25.11
26.97
29.15
32.44
VOW3 GY Equity DE0007664039
VOLKSWAGEN AG-PREF
Consumer Discretionary
167.55
2.12%
22.04.2014
26.91
24.24
24.69
23.06
23.96
25.47
VOLVB SS Equity SE0000115446
VOLVO AB-B SHS
Industrials
99.50
3.02%
03.04.2014
19.38
19.87
21.66
23.69
26.14
26.14
WRT1V FH Equity FI0009003727
WARTSILA OYJ ABP
Industrials
36.13
2.77%
10.03.2014
WEIR LN Equity
GB0009465807
WEIR GROUP PLC/THE
Industrials
2172.00
1.74%
01.05.2013
MF FP Equity
FR0000121204
WENDEL
Financials
85.47
1.64%
07.06.2013
19.26
19.81
20.88
23.33
24.70
24.99
WHA NA Equity
NL0000289213
WERELDHAVE NV
Financials
54.53
6.05%
22.04.2014
15.49
15.10
15.43
16.23
16.68
16.68
WTB LN Equity
GB00B1KJJ408
WHITBREAD PLC
Consumer Discretionary
2588.00
2.25%
15.05.2013
16.71
16.91
17.35
16.57
WDH DC Equity
DK0010268440
WILLIAM DEMANT HOLDING
Health Care
482.80
WMH LN Equity
GB0031698896
WILLIAM HILL PLC
Consumer Discretionary
402.80
2.83%
01.05.2013
23.54
23.12
23.14
22.85
WIN GY Equity
DE000A0CAYB2
WINCOR NIXDORF AG
Information Technology
38.92
3.39%
21.01.2014
26.46
26.58
27.46
27.55
29.48
29.60
30.46
WDI GY Equity
DE0007472060
WIRECARD AG
Information Technology
19.89
0.60%
24.06.2013
28.45
28.64
28.82
29.42
29.07
29.55
29.48
-0.168 -0.120 -0.103 -0.174 -0.129 -0.126 -0.100 0.018
MRW LN Equity
GB0006043169
WM MORRISON SUPERMARKETS
Consumer Staples
263.80
4.63%
15.05.2013
16.92
15.29
15.08
14.92
0.193 -0.081 -0.057 -0.012
WOS LN Equity
JE00B8N69M54
WOLSELEY PLC
Industrials
3059.00
2.26%
03.04.2013
18.66
19.13
19.45
19.33
0.019
WKL NA Equity
NL0000395903
WOLTERS KLUWER
Consumer Discretionary
15.24
4.53%
26.04.2013
17.13
16.61
16.83
17.29
WPP LN Equity
JE00B8KF9B49
WPP PLC
Consumer Discretionary
1044.00
2.80%
05.06.2013
25.33
23.85
22.37
21.42
XTA LN Equity
GB0031411001
XSTRATA PLC
Materials
1133.50
2.51%
01.05.2013
30.49
26.90
25.59
25.43
YAR NO Equity
NO0010208051
22.83
YARA INTERNATIONAL ASA
Materials
282.30
4.61%
09.05.2014
21.80
20.66
22.86
YTY1V FH Equity FI0009800643
YIT OYJ
Industrials
17.38
4.32%
18.03.2014
27.89
27.89
27.89
ZOT SQ Equity
12.03.2013
ES0184933812
25.56
16.68
17.95
18.70
19.39
25.84
26.22
25.81
ZARDOYA OTIS SA
Industrials
10.81
4.35%
ZIGGO NA Equity NL0006294290
ZIGGO NV
Telecommunication Services 26.20
3.44%
22.94
24.04
23.03
23.79
ZC FP Equity
FR0000125684
ZODIAC AEROSPACE
Industrials
85.91
2.04%
13.01.2014
22.46
21.88
22.34
23.19
24.31
24.30
ZURN VX Equity
CH0011075394
ZURICH INSURANCE GROUP AG
Financials
255.00
6.67%
02.04.2014
15.86
14.95
14.98
15.42
15.58
16.02
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security
#N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security
0 #N/A Invalid Security 0 #N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
#N/A Invalid Security #N/A Invalid Security
16.04
0.001
0.003
0.004 0.001 0.006
0.068
0.018
0.004
0.004 -0.004 -0.009
-0.436 -0.285 -0.291 -0.283 -0.225 -0.187 -0.149 0.020
0.007
0.005
0.005
0.003
0.001
-0.163 -0.052 -0.118 -0.105 -0.107 -0.107
0.047
0.020
0.011
0.003
0.001
0.001
-0.260 -0.096 -0.092 -0.133 -0.149 -0.158
0.012
0.003
-0.312 -0.182 -0.065 -0.097 -0.110 -0.110 -0.110 0.034 0.057
0.001 0.004 0.001
0.004
0.005
0.002
0.002
0.004
0.003
0.006
0.003
0.003
0.003
0.019 -0.019 -0.046
0.001
0.003
0.006
0.011
-0.046 -0.035 -0.026 -0.018
0.001
0.001
0.001
0.001
-0.330 -0.146 -0.128 -0.118 -0.075 -0.077 -0.078 0.011
0.002
0.002
0.002
0.001
0.001
0.002
0.003
0.001
0.000
0.000
0.000
0.000
0.009
0.003
0.002
0.001
0.003
0.003
0.004
0.004
-0.221 -0.097 -0.087 -0.120 -0.101 -0.089 -0.085 0.035
0.003
0.002
0.002
-0.144 -0.131 -0.119 -0.094
0.001
0.001
0.001
0.004 -0.012 -0.017
0.011
0.008
0.006
0.006
0.005
0.005
0.002
-0.400 -0.177 -0.136 -0.150 -0.111 -0.069 -0.036 0.018
0.003
0.003
0.003
-0.049 -0.113 -0.151 -0.154
0.008
0.004
0.001
0.002
-0.158 -0.158 -0.158
0.004
0.004
0.004
-0.142 -0.241 -0.063 -0.233
0.030
0.010
0.003
0.005
-0.311 -0.179 -0.157 -0.192 -0.154 -0.130
0.009
0.002
0.001
0.002
0.001
0.001
-0.167 -0.030 -0.087 -0.117 -0.127 -0.101 -0.062 0.029
0.013
0.009
0.007
0.003
0.002
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.003