26.03.2013
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
At The Money Implied Volatilities by Terms
TOPIX 1000 Index - TPX1000
Ticker
Name
GICS_SECTOR_NAME
ATM Ref
Dividend Yield
Next ExDividend Date
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
7203 JT Equity
TOYOTA MOTOR CORP
Consumer Discretionary
4910.00
1.32%
27.03.2013
30.04
28.41
27.20
-0.112 -0.096 -0.037
0.002
8306 JT Equity
MITSUBISHI UFJ FINANCIAL GRO
Financials
562.00
2.14%
26.09.2013
35.64
35.09
35.69
-0.134 -0.087 -0.065
0.002 -0.004 -0.005
7267 JT Equity
HONDA MOTOR CO LTD
Consumer Discretionary
3640.00
2.17%
26.06.2013
29.82
30.82
32.23
-0.100 0.028
0.186
0.003
8316 JT Equity
SUMITOMO MITSUI FINANCIAL GR
Financials
3900.00
2.95%
26.09.2013
35.18
36.15
38.18
-0.201 0.130
0.446
0.005 -0.002 -0.006
8411 JT Equity
MIZUHO FINANCIAL GROUP INC
Financials
207.00
2.90%
26.09.2013
35.33
33.03
31.18
-0.031 0.037
0.113
0.008 -0.002 -0.006
7751 JT Equity
CANON INC
Information Technology
3495.00
3.43%
26.06.2013
31.34
31.58
32.28
-0.151 -0.057 0.012
0.004 -0.004 -0.012
4502 JT Equity
TAKEDA PHARMACEUTICAL CO LTD
Health Care
5250.00
3.43%
26.09.2013
21.14
21.24
21.85
-0.096 0.015
0.139
0.010 -0.001 -0.004
2914 JT Equity
JAPAN TOBACCO INC
Consumer Staples
3025.00
1.98%
26.09.2013
31.70
34.75
38.38
-0.095 0.006
0.055
9984 JT Equity
SOFTBANK CORP
Telecommunication Services3975.00
1.01%
26.09.2013
37.90
38.82
40.09
-0.101 -0.103 -0.150
0.003 -0.004 -0.010
8802 JT Equity
MITSUBISHI ESTATE CO LTD
Financials
2596.00
0.54%
26.09.2013
39.86
41.69
45.34
-0.129 -0.117 -0.123
-0.001 -0.004 -0.012
9432 JT Equity
NIPPON TELEGRAPH & TELEPHONE
Telecommunication Services4190.00
3.82%
26.09.2013
21.53
21.60
21.99
-0.016 0.002
0.002 -0.005 -0.012
6954 JT Equity
FANUC CORP
Industrials
14780.00
1.29%
27.03.2013
36.70
35.76
35.52
-0.116 -0.022 0.052
0.000
9020 JT Equity
EAST JAPAN RAILWAY CO
Industrials
7800.00
1.47%
26.09.2013
26.89
33.09
40.16
-0.084 -0.114 -0.177
0.004 -0.016 -0.034
8058 JT Equity
MITSUBISHI CORP
Industrials
1828.00
2.74%
26.09.2013
25.28
21.70
18.06
-0.038 -0.058 0.003
0.008
0.004
0.005
6501 JT Equity
HITACHI LTD
Information Technology
556.00
1.89%
26.09.2013
34.13
32.05
31.33
-0.205 -0.070 0.034
0.003
0.002
0.003
3382 JT Equity
SEVEN & I HOLDINGS CO LTD
Consumer Staples
3035.00
2.17%
28.08.2013
26.71
29.74
34.39
-0.144 -0.185 -0.262
0.004 -0.008 -0.018
8801 JT Equity
MITSUI FUDOSAN CO LTD
Financials
2631.00
0.84%
26.09.2013
36.83
38.51
42.03
-0.061 -0.021 -0.006
-0.001 -0.014 -0.029
9437 JT Equity
NTT DOCOMO INC
Telecommunication Services 147400.00
4.07%
26.09.2013
17.87
16.55
14.61
-0.106 -0.056 0.005
0.009
4063 JT Equity
SHIN-ETSU CHEMICAL CO LTD
Materials
6370.00
1.57%
26.09.2013
31.26
31.43
32.08
-0.175 -0.092 -0.076
0.006 -0.003 -0.009
4503 JT Equity
ASTELLAS PHARMA INC
Health Care
5130.00
2.53%
26.09.2013
23.36
23.21
23.13
-0.066 0.044
0.158
0.007 -0.002 -0.007
8604 JT Equity
NOMURA HOLDINGS INC
Financials
585.00
0.68%
27.03.2013
38.02
33.52
29.02
-0.131 0.002
0.195
0.004
0.005
0.003
8031 JT Equity
MITSUI & CO LTD
Industrials
1382.00
3.69%
26.09.2013
24.69
22.58
20.65
-0.145 -0.085 -0.078
0.009
0.004
0.005
7201 JT Equity
NISSAN MOTOR CO LTD
Consumer Discretionary
927.00
2.75%
26.09.2013
33.74
32.16
30.78
-0.119 -0.034 0.061
0.003 -0.004 -0.009
6301 JT Equity
KOMATSU LTD
Industrials
2306.00
1.99%
26.09.2013
31.59
29.54
27.77
-0.151 -0.027 0.102
0.004
0.007
0.011
9433 JT Equity
KDDI CORP
Telecommunication Services7630.00
2.29%
26.09.2013
24.32
23.88
23.55
-0.121 -0.106 -0.151
0.004
0.004
0.006
8766 JT Equity
TOKIO MARINE HOLDINGS INC
Financials
2774.00
1.98%
26.09.2013
34.29
33.90
34.18
-0.228 -0.031 0.097
0.005 -0.005 -0.014
5401 JT Equity
NIPPON STEEL & SUMITOMO META
Materials
239.00
1.26%
26.09.2013
38.33
37.19
36.39
-0.066 -0.005 0.071
0.004
0.005
0.009
6758 JT Equity
SONY CORP
Consumer Discretionary
1666.00
1.50%
27.03.2013
44.25
49.78
56.58
-0.101 -0.132 -0.151
0.003
0.002
0.000
6902 JT Equity
DENSO CORP
Consumer Discretionary
4095.00
1.32%
26.09.2013
31.78
34.33
37.79
-0.193 -0.126 -0.115
0.003 -0.005 -0.012
5108 JT Equity
BRIDGESTONE CORP
Consumer Discretionary
3080.00
1.75%
26.06.2014
34.75
36.25
38.65
-0.235 -0.095 0.021
0.001 -0.019 -0.040
8001 JT Equity
ITOCHU CORP
Industrials
1202.00
3.33%
26.09.2013
24.51
26.90
29.71
-0.083 -0.042 -0.080
0.008 -0.003 -0.006
6502 JT Equity
TOSHIBA CORP
Information Technology
475.00
1.68%
26.09.2013
36.56
37.43
38.64
-0.151 -0.049 -0.020
0.002 -0.001 -0.002
8309 JT Equity
SUMITOMO MITSUI TRUST HOLDIN
Financials
444.00
2.31%
26.09.2013
35.69
35.33
35.22
-0.059 0.008
0.005
7011 JT Equity
MITSUBISHI HEAVY INDUSTRIES
Industrials
525.00
0.95%
26.09.2013
32.64
28.02
23.37
0.039
0.018
8830 JT Equity
SUMITOMO REALTY & DEVELOPMNT
Financials
3670.00
0.54%
26.09.2013
44.30
43.42
41.60
-0.194 -0.207 -0.199
-0.005 -0.003 -0.002
4452 JT Equity
KAO CORP
Consumer Staples
3105.00
2.06%
26.06.2014
21.62
22.30
23.21
-0.141 -0.029 0.000
0.009
9022 JT Equity
CENTRAL JAPAN RAILWAY CO
Industrials
10020.00
1.05%
26.09.2013
18.40
23.19
28.55
-0.050 0.059
0.120
0.012 -0.004 -0.008
6752 JT Equity
PANASONIC CORP
Consumer Discretionary
673.00
26.09.2013
42.12
35.22
28.86
-0.089 0.034
0.185
0.000 -0.002 -0.005
6326 JT Equity
KUBOTA CORP
Industrials
1373.00
1.24%
26.09.2013
30.67
30.96
31.58
-0.054 0.007
0.017
0.004
0.003
0.006
6503 JT Equity
MITSUBISHI ELECTRIC CORP
Industrials
760.00
1.58%
26.09.2013
31.05
31.81
32.99
0.018 -0.026 -0.076
0.004
0.004
0.010
6971 JT Equity
KYOCERA CORP
Information Technology
8910.00
1.35%
27.03.2013
28.42
29.85
31.53
-0.205 -0.139 -0.123
0.006 -0.002 -0.011
8053 JT Equity
SUMITOMO CORP
Industrials
1244.00
3.86%
26.09.2013
22.20
20.47
18.42
-0.074 0.011
0.052
0.015
6981 JT Equity
MURATA MANUFACTURING CO LTD
Information Technology
6890.00
1.60%
26.09.2013
34.52
36.76
39.52
0.045
0.030
0.000 -0.005 -0.009
2503 JT Equity
KIRIN HOLDINGS CO LTD
Consumer Staples
1498.00
2.40%
26.06.2014
30.63
30.34
32.24
-0.081 -0.095 -0.170
0.002 -0.005 -0.010
6861 JT Equity
KEYENCE CORP
Information Technology
28640.00
0.14%
18.09.2013
25.53
25.24
25.17
-0.030 0.004
0.000
0.000
1605 JT Equity
INPEX CORP
Energy
500000.00
1.30%
26.09.2013
30.55
29.97
29.83
-0.128 -0.049 -0.018
-0.002 0.008
0.018
4578 JT Equity
OTSUKA HOLDINGS CO LTD
Health Care
3265.00
1.53%
26.09.2013
8750 JT Equity
DAI-ICHI LIFE INSURANCE
Financials
125300.00
1.28%
27.03.2014
36.71
36.31
36.23
0.001
0.000
0.000
8601 JT Equity
DAIWA SECURITIES GROUP INC
Financials
662.00
1.96%
27.03.2013
35.49
38.29
41.55
-0.024 0.002 -0.003
0.002 -0.007 -0.014
5020 JT Equity
JX HOLDINGS INC
Energy
542.00
2.95%
26.09.2013
30.61
28.17
25.77
-0.007 0.062
0.128
0.005
8725 JT Equity
MS&AD INSURANCE GROUP HOLDIN
Financials
2118.00
2.55%
26.09.2013
40.79
42.31
44.33
0.006
0.385
0.000 -0.010 -0.020
8591 JT Equity
ORIX CORP
Financials
11990.00
0.75%
27.03.2013
31.65
37.27
43.66
-0.001 -0.026 -0.053
0.000 -0.003 -0.006
4568 JT Equity
DAIICHI SANKYO CO LTD
Health Care
1850.00
3.51%
26.09.2013
20.28
22.20
24.69
-0.085 0.002
0.099
0.015
0.000 -0.004
8002 JT Equity
MARUBENI CORP
Industrials
754.00
3.32%
26.09.2013
26.52
28.24
30.32
-0.102 0.146
0.288
0.005
0.000
9531 JT Equity
TOKYO GAS CO LTD
Utilities
508.00
1.87%
26.09.2013
20.39
22.12
24.17
-0.040 -0.045 -0.122
0.022 -0.001 -0.005
9983 JT Equity
FAST RETAILING CO LTD
Consumer Discretionary
30150.00
0.93%
26.02.2014
42.69
49.08
58.36
0.042
0.201
0.415
0.001 -0.008 -0.019
7974 JT Equity
NINTENDO CO LTD
Information Technology
10410.00
0.96%
27.03.2014
37.12
39.43
42.06
-0.026 0.111
0.232
0.002 -0.006 -0.012
6273 JT Equity
SMC CORP
Industrials
18000.00
0.21%
26.09.2013
29.62
29.32
29.27
-0.018 0.002
0.003
0.001
4523 JT Equity
EISAI CO LTD
Health Care
4330.00
3.46%
26.09.2013
17.63
21.01
24.68
-0.172 -0.059 -0.052
0.008 -0.001 -0.003
9735 JT Equity
SECOM CO LTD
Industrials
4970.00
2.01%
27.03.2014
23.20
25.38
28.02
-0.034 -0.048 -0.078
0.009 -0.003 -0.007
3402 JT Equity
TORAY INDUSTRIES INC
Materials
646.00
1.55%
26.09.2013
25.83
25.52
25.59
-0.078 0.208
0.453
0.012
0.011
0.022
1925 JT Equity
DAIWA HOUSE INDUSTRY CO LTD
Financials
1856.00
1.62%
27.03.2014
25.93
27.95
30.06
-0.091 -0.193 -0.325
0.008
0.002
0.002
6367 JT Equity
DAIKIN INDUSTRIES LTD
Industrials
3745.00
0.99%
26.09.2013
35.93
35.40
35.33
-0.218 -0.080 0.016
0.000
0.000
0.000
8308 JT Equity
RESONA HOLDINGS INC
Financials
503.00
2.39%
27.03.2014
35.66
46.04
57.48
0.007
0.792
0.004 -0.012 -0.025
2502 JT Equity
ASAHI GROUP HOLDINGS LTD
Consumer Staples
2230.00
1.93%
26.06.2014
23.15
23.82
25.03
-0.123 -0.114 -0.132
0.009 -0.003 -0.006
4661 JT Equity
ORIENTAL LAND CO LTD
Consumer Discretionary
15520.00
0.74%
26.09.2013
20.45
20.19
20.15
-0.091 0.003
0.004
0.005
5411 JT Equity
JFE HOLDINGS INC
Materials
1789.00
1.68%
26.09.2013
44.69
47.26
49.84
-0.111 0.152
0.388
-0.002 -0.019 -0.038
6988 JT Equity
NITTO DENKO CORP
Materials
5520.00
1.63%
26.09.2013
32.60
32.18
32.03
0.008 -0.053 -0.115
0.001
0.010
0.021
7270 JT Equity
FUJI HEAVY INDUSTRIES LTD
Consumer Discretionary
1464.00
0.68%
26.09.2013
7269 JT Equity
SUZUKI MOTOR CORP
Consumer Discretionary
2169.00
0.74%
26.09.2013
30.26
26.80
23.24
-0.200 -0.107 -0.013
0.005
0.004
0.005
8630 JT Equity
NKSJ HOLDINGS INC
Financials
2055.00
2.92%
27.03.2014
33.74
36.84
40.55
0.020
0.002 -0.003 -0.006
7261 JT Equity
MAZDA MOTOR CORP
Consumer Discretionary
280.00
27.03.2014
46.01
43.24
40.51
-0.155 -0.276 -0.347
0.025
0.007
0.004
7741 JT Equity
HOYA CORP
Information Technology
1798.00
3.89%
27.03.2013
22.04
20.53
19.11
0.109
0.006
0.002
0.005
1928 JT Equity
SEKISUI HOUSE LTD
Consumer Discretionary
1291.00
2.79%
29.07.2014
30.53
40.91
52.28
-0.058 -0.208 -0.433
0.003 -0.018 -0.037
4901 JT Equity
FUJIFILM HOLDINGS CORP
Information Technology
1900.00
2.11%
26.09.2013
29.13
29.72
29.25
-0.175 0.135
0.003 -0.001 -0.003
5802 JT Equity
SUMITOMO ELECTRIC INDUSTRIES
Industrials
1146.00
1.83%
26.09.2013
31.14
28.57
26.31
-0.128 -0.137 -0.130
0.007
9005 JT Equity
TOKYU CORP
Industrials
714.00
0.91%
26.09.2013
30.56
30.27
30.17
-0.067 0.018
0.004 -0.001 0.000
7731 JT Equity
NIKON CORP
Consumer Discretionary
2249.00
0.98%
26.09.2013
37.79
36.34
33.38
-0.191 -0.026 0.118
0.005
0.005
0.007
3407 JT Equity
ASAHI KASEI CORP
Materials
636.00
2.36%
26.09.2013
23.62
25.37
27.56
-0.067 0.023
0.016
0.002
0.001
9041 JT Equity
KINTETSU CORP
Industrials
456.00
1.10%
27.03.2014
2802 JT Equity
AJINOMOTO CO INC
Consumer Staples
1378.00
1.16%
26.09.2013
22.54
24.78
26.10
-0.111 -0.057 -0.095
0.013 -0.005 -0.011
8267 JT Equity
AEON CO LTD
Consumer Staples
1153.00
2.08%
28.08.2013
18.29
19.70
21.24
-0.208 -0.109 -0.096
0.015
0.001 -0.004
9202 JT Equity
ALL NIPPON AIRWAYS CO LTD
Industrials
203.00
1.97%
27.03.2014
25.26
25.36
25.15
-0.008 -0.011 -0.004
0.021
0.003
9532 JT Equity
OSAKA GAS CO LTD
Utilities
410.00
2.07%
26.09.2013
20.32
21.47
22.91
-0.229 -0.147 -0.179
0.015
0.000 -0.006
9021 JT Equity
WEST JAPAN RAILWAY CO
Industrials
4605.00
2.28%
26.09.2013
25.50
30.26
35.60
-0.067 0.047
0.094
0.003 -0.006 -0.013
9201 JT Equity
JAPAN AIRLINES CO LTD
Industrials
4555.00
3.95%
9007 JT Equity
ODAKYU ELECTRIC RAILWAY CO
Industrials
1189.00
0.63%
6702 JT Equity
FUJITSU LTD
Information Technology
395.00
8795 JT Equity
T&D HOLDINGS INC
Financials
1117.00
5713 JT Equity
SUMITOMO METAL MINING CO LTD
Materials
1371.00
9042 JT Equity
HANKYU HANSHIN HOLDINGS INC
Industrials
1878 JT Equity
DAITO TRUST CONSTRUCT CO LTD
9502 JT Equity 8035 JT Equity 8332 JT Equity
0.011
0.037
0.003
0.185
0.383
0.006 0.009
0.049
0.005
0.004
0.009 0.009 0.393 0.004 0.077
0.005
0.010
0.000 -0.004
0.001 -0.005 -0.011
0.000 -0.001
0.001 -0.001
0.003
0.000
0.000
0.003
0.008
0.016
0.002
0.000
0.004
0.000 0.001
0.000
0.000
0.008
0.000
0.007
0.001
0.000
0.000
0.000
0.013
0.000
20.01
19.93
19.91
-0.044 0.013
0.012
0.003
0.000
0.000
26.09.2013
36.86
37.02
37.57
0.007
0.187
0.387
0.001
0.002
0.005
2.01%
27.03.2014
40.63
39.45
38.54
0.009
0.006
0.009
0.000
0.000
0.000
2.04%
26.09.2013
32.36
33.91
35.07
-0.089 -0.023 0.071
0.003
0.002
0.003
576.00
0.87%
27.03.2014
Financials
8370.00
3.80%
26.09.2013
CHUBU ELECTRIC POWER CO INC
Utilities
1159.00
4.31%
26.09.2013
39.78
27.36
14.40
0.002
0.197
0.409
0.000
0.009
0.019
TOKYO ELECTRON LTD
Information Technology
4050.00
0.89%
26.09.2013
36.24
36.41
36.90
-0.140 0.004
0.120
0.002 -0.003 -0.007
BANK OF YOKOHAMA LTD/THE
Financials
540.00
1.85%
26.09.2013
9503 JT Equity
KANSAI ELECTRIC POWER CO INC
Utilities
828.00
26.09.2013
42.48
39.62
34.25
-0.054 0.138
0.314
0.002 -0.005 -0.013
7202 JT Equity
ISUZU MOTORS LTD
Consumer Discretionary
579.00
1.38%
26.09.2013
32.83
32.89
30.10
-0.179 -0.206 -0.232
0.005 -0.001 0.002
5201 JT Equity
ASAHI GLASS CO LTD
Industrials
648.00
4.01%
26.06.2014
32.60
26.56
20.27
-0.066 0.036
0.070
0.003
0.002
0.003
6701 JT Equity
NEC CORP
Information Technology
253.00
1.58%
27.03.2014
39.11
33.25
27.65
0.011
0.185
0.004
0.004
0.009
9064 JT Equity
YAMATO HOLDINGS CO LTD
Industrials
1720.00
1.28%
26.09.2013
26.54
28.19
29.91
-0.147 -0.067 -0.073
0.006 -0.004 -0.010
6201 JT Equity
TOYOTA INDUSTRIES CORP
Consumer Discretionary
3495.00
1.57%
26.09.2013
8113 JT Equity
UNICHARM CORP
Consumer Staples
5500.00
0.62%
26.09.2013
20.51
20.25
20.22
0.010
0.004
0.003
0.007
0.000
0.000
9001 JT Equity
TOBU RAILWAY CO LTD
Industrials
556.00
0.90%
26.09.2013
7259 JT Equity
AISIN SEIKI CO LTD
Consumer Discretionary
3405.00
1.62%
26.09.2013
34.62
34.84
35.42
0.005
0.028
0.055
0.000
0.002
0.003
4543 JT Equity
TERUMO CORP
Health Care
4050.00
1.09%
26.09.2013
26.41
26.69
27.74
-0.160 -0.068 0.006
0.001
0.001
0.000
7752 JT Equity
RICOH CO LTD
Information Technology
1028.00
3.26%
26.09.2013
37.05
40.14
41.72
-0.114 -0.118 -0.073
0.004 -0.002 -0.006
8355 JT Equity
SHIZUOKA BANK LTD/THE
Financials
1057.00
1.28%
26.09.2013
4507 JT Equity
SHIONOGI & CO LTD
Health Care
1995.00
2.16%
26.09.2013
4188 JT Equity
MITSUBISHI CHEMICAL HOLDINGS
Materials
465.00
2.37%
26.09.2013
35.65
37.04
38.78
-0.063 0.023
0.053
0.002 -0.004 -0.008
6594 JT Equity
NIDEC CORP
Industrials
5610.00
1.52%
26.09.2013
32.44
29.50
28.55
0.050
0.001 -0.001
-0.005 -0.001 0.000
4689 JT Equity
YAHOO JAPAN CORP
Information Technology
41400.00
0.93%
27.03.2014
29.19
29.86
30.82
0.001
0.002 -0.004
0.000 -0.003 -0.006
4528 JT Equity
ONO PHARMACEUTICAL CO LTD
Health Care
5800.00
3.10%
26.09.2013
7309 JT Equity
SHIMANO INC
Consumer Discretionary
7300.00
0.17%
26.06.2014
7912 JT Equity
DAI NIPPON PRINTING CO LTD
Industrials
926.00
3.46%
26.09.2013
23.92
23.82
24.42
-0.104 -0.066 0.002
0.014
1963 JT Equity
JGC CORP
Industrials
2494.00
1.74%
27.03.2014
26.63
35.15
32.53
-0.013 -0.001 -0.010
0.009 -0.005 -0.001
5938 JT Equity
LIXIL GROUP CORP
Industrials
1919.00
2.08%
26.09.2013
27.47
26.29
25.28
0.043
0.011
0.003 -0.004 -0.007
4324 JT Equity
DENTSU INC
Consumer Discretionary
2900.00
1.10%
26.09.2013
41.52
34.50
27.95
-0.269 -0.063 0.047
-0.010 -0.005 -0.003
8015 JT Equity
TOYOTA TSUSHO CORP
Industrials
2488.00
1.97%
26.09.2013
2651 JT Equity
LAWSON INC
Consumer Staples
7240.00
2.76%
28.08.2013
25.19
24.19
24.48
-0.179 -0.073 -0.070
0.002 -0.002 -0.003
6645 JT Equity
OMRON CORP
Information Technology
2413.00
1.78%
26.09.2013
3099 JT Equity
ISETAN MITSUKOSHI HOLDINGS L
Consumer Discretionary
1362.00
0.73%
27.03.2014
7733 JT Equity
OLYMPUS CORP
Health Care
2260.00
27.03.2014
39.59
32.01
29.10
-0.181 -0.155 -0.171
-0.015 -0.008 0.000
6586 JT Equity 4519 JT Equity
MAKITA CORP CHUGAI PHARMACEUTICAL CO LTD
Industrials Health Care
4330.00 2149.00
27.03.2013 26.06.2014
20.60
25.57
31.09
-0.077 -0.117 -0.248
0.013 -0.005 -0.011
0.88% 2.09%
26.09.2013
0.090
0.008
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.001
0.000
26.03.2013
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
At The Money Implied Volatilities by Terms
TOPIX 1000 Index - TPX1000
Ticker 8331 JT Equity 9006 JT Equity 4911 JT Equity 2267 JT Equity 3405 JT Equity 7211 JT Equity 7012 JT Equity 9008 JT Equity 6806 JT Equity 4204 JT Equity 6460 JT Equity 7262 JT Equity 9508 JT Equity 6869 JT Equity 8253 JT Equity 9101 JT Equity 4005 JT Equity 4185 JT Equity 7013 JT Equity 7911 JT Equity 7272 JT Equity 8333 JT Equity 9831 JT Equity 2897 JT Equity 9613 JT Equity 6762 JT Equity 8815 JT Equity 8303 JT Equity 8354 JT Equity 9501 JT Equity 4902 JT Equity 9062 JT Equity 6963 JT Equity 3086 JT Equity 7832 JT Equity 9506 JT Equity 9504 JT Equity 4581 JT Equity 5711 JT Equity 3861 JT Equity 4530 JT Equity 8369 JT Equity 6471 JT Equity 5406 JT Equity 8697 JT Equity 4536 JT Equity 9104 JT Equity 1802 JT Equity 9009 JT Equity 2875 JT Equity 9533 JT Equity 1801 JT Equity 6753 JT Equity 4676 JT Equity 2269 JT Equity 9513 JT Equity 5012 JT Equity 7936 JT Equity 2801 JT Equity 6965 JT Equity 8358 JT Equity 9843 JT Equity 5333 JT Equity 9602 JT Equity 5332 JT Equity 2432 JT Equity 8729 JT Equity 6417 JT Equity 4307 JT Equity 4151 JT Equity 5334 JT Equity 8252 JT Equity 2282 JT Equity 8379 JT Equity 8377 JT Equity 8028 JT Equity 9404 JT Equity 1812 JT Equity 7205 JT Equity 8233 JT Equity 9783 JT Equity 2002 JT Equity 6448 JT Equity 9987 JT Equity 4508 JT Equity 4506 JT Equity 5233 JT Equity 8905 JT Equity 2784 JT Equity 4732 JT Equity 6923 JT Equity 4613 JT Equity 7459 JT Equity 9301 JT Equity 8334 JT Equity 5110 JT Equity 8227 JT Equity 6481 JT Equity 5101 JT Equity 4544 JT Equity 8804 JT Equity 6370 JT Equity 7532 JT Equity 8593 JT Equity 9505 JT Equity 9507 JT Equity 4088 JT Equity 8382 JT Equity 5947 JT Equity 6305 JT Equity 6302 JT Equity 9048 JT Equity 8473 JT Equity 2433 JT Equity 1803 JT Equity 6506 JT Equity 8136 JT Equity 4704 JT Equity 8304 JT Equity 4182 JT Equity 6113 JT Equity 5019 JT Equity 8410 JT Equity 8359 JT Equity 8327 JT Equity 5901 JT Equity
Name CHIBA BANK LTD/THE KEIKYU CORP SHISEIDO CO LTD YAKULT HONSHA CO LTD KURARAY CO LTD MITSUBISHI MOTORS CORP KAWASAKI HEAVY INDUSTRIES KEIO CORP HIROSE ELECTRIC CO LTD SEKISUI CHEMICAL CO LTD SEGA SAMMY HOLDINGS INC DAIHATSU MOTOR CO LTD KYUSHU ELECTRIC POWER CO INC SYSMEX CORP CREDIT SAISON CO LTD NIPPON YUSEN SUMITOMO CHEMICAL CO LTD JSR CORP IHI CORP TOPPAN PRINTING CO LTD YAMAHA MOTOR CO LTD JOYO BANK LTD/THE YAMADA DENKI CO LTD NISSIN FOODS HOLDINGS CO LTD NTT DATA CORP TDK CORP TOKYU LAND CORP SHINSEI BANK LTD FUKUOKA FINANCIAL GROUP INC TOKYO ELECTRIC POWER CO INC KONICA MINOLTA HOLDINGS INC NIPPON EXPRESS CO LTD ROHM CO LTD J FRONT RETAILING CO LTD NAMCO BANDAI HOLDINGS INC TOHOKU ELECTRIC POWER CO INC CHUGOKU ELECTRIC POWER CO TAISHO PHARMACEUTICAL HOLDIN MITSUBISHI MATERIALS CORP OJI HOLDINGS CORP HISAMITSU PHARMACEUTICAL CO BANK OF KYOTO LTD/THE NSK LTD KOBE STEEL LTD JAPAN EXCHANGE GROUP INC SANTEN PHARMACEUTICAL CO LTD MITSUI OSK LINES LTD OBAYASHI CORP KEISEI ELECTRIC RAILWAY CO TOYO SUISAN KAISHA LTD TOHO GAS CO LTD TAISEI CORP SHARP CORP FUJI MEDIA HOLDINGS INC MEIJI HOLDINGS CO LTD ELECTRIC POWER DEVELOPMENT C TONENGENERAL SEKIYU KK ASICS CORP KIKKOMAN CORP HAMAMATSU PHOTONICS KK SURUGA BANK LTD NITORI HOLDINGS CO LTD NGK INSULATORS LTD TOHO CO LTD TOTO LTD DENA CO LTD SONY FINANCIAL HOLDINGS INC SANKYO CO LTD NOMURA RESEARCH INSTITUTE LT KYOWA HAKKO KIRIN CO LTD NGK SPARK PLUG CO LTD MARUI GROUP CO LTD NIPPON MEAT PACKERS INC HIROSHIMA BANK LTD/THE HOKUHOKU FINANCIAL GROUP INC FAMILYMART CO LTD NIPPON TELEVISION HOLDINGS KAJIMA CORP HINO MOTORS LTD TAKASHIMAYA CO LTD BENESSE HOLDINGS INC NISSHIN SEIFUN GROUP INC BROTHER INDUSTRIES LTD SUZUKEN CO LTD MITSUBISHI TANABE PHARMA DAINIPPON SUMITOMO PHARMA CO TAIHEIYO CEMENT CORP AEON MALL CO LTD ALFRESA HOLDINGS CORP USS CO LTD STANLEY ELECTRIC CO LTD KANSAI PAINT CO LTD MEDIPAL HOLDINGS CORP MITSUBISHI LOGISTICS CORP GUNMA BANK LTD/THE SUMITOMO RUBBER INDUSTRIES SHIMAMURA CO LTD THK CO LTD YOKOHAMA RUBBER CO LTD MIRACA HOLDINGS INC TOKYO TATEMONO CO LTD KURITA WATER INDUSTRIES LTD DON QUIJOTE CO LTD MITSUBISHI UFJ LEASE & FINAN HOKURIKU ELECTRIC POWER CO SHIKOKU ELECTRIC POWER CO AIR WATER INC CHUGOKU BANK LTD/THE RINNAI CORP HITACHI CONSTRUCTION MACHINE SUMITOMO HEAVY INDUSTRIES NAGOYA RAILROAD CO LTD SBI HOLDINGS INC HAKUHODO DY HOLDINGS INC SHIMIZU CORP YASKAWA ELECTRIC CORP SANRIO CO LTD TREND MICRO INC AOZORA BANK LTD MITSUBISHI GAS CHEMICAL CO AMADA CO LTD IDEMITSU KOSAN CO LTD SEVEN BANK LTD HACHIJUNI BANK LTD/THE NISHI-NIPPON CITY BANK LTD TOYO SEIKAN KAISHA LTD
GICS_SECTOR_NAME Financials Industrials Consumer Staples Consumer Staples Materials Consumer Discretionary Industrials Industrials Information Technology Consumer Discretionary Consumer Discretionary Consumer Discretionary Utilities Health Care Financials Industrials Materials Materials Industrials Industrials Consumer Discretionary Financials Consumer Discretionary Consumer Staples Information Technology Information Technology Financials Financials Financials Utilities Information Technology Industrials Information Technology Consumer Discretionary Consumer Discretionary Utilities Utilities Health Care Materials Materials Health Care Financials Industrials Materials Financials Health Care Industrials Industrials Industrials Consumer Staples Utilities Industrials Consumer Discretionary Consumer Discretionary Consumer Staples Utilities Energy Consumer Discretionary Consumer Staples Information Technology Financials Consumer Discretionary Industrials Consumer Discretionary Industrials Information Technology Financials Consumer Discretionary Information Technology Health Care Consumer Discretionary Consumer Discretionary Consumer Staples Financials Financials Consumer Staples Consumer Discretionary Industrials Industrials Consumer Discretionary Consumer Discretionary Consumer Staples Information Technology Health Care Health Care Health Care Materials Financials Health Care Consumer Discretionary Consumer Discretionary Materials Health Care Industrials Financials Consumer Discretionary Consumer Discretionary Industrials Consumer Discretionary Health Care Financials Industrials Consumer Discretionary Financials Utilities Utilities Materials Financials Consumer Discretionary Industrials Industrials Industrials Financials Consumer Discretionary Industrials Information Technology Consumer Discretionary Information Technology Financials Materials Industrials Energy Financials Financials Financials Materials
ATM Ref 682.00 985.00 1350.00 3805.00 1374.00 101.00 309.00 821.00 12270.00 985.00 1909.00 1923.00 922.00 5670.00 2312.00 251.00 275.00 1907.00 288.00 696.00 1281.00 517.00 4255.00 4350.00 312000.00 3365.00 871.00 219.00 467.00 220.00 705.00 467.00 3325.00 752.00 1668.00 690.00 1222.00 6690.00 273.00 361.00 5090.00 924.00 731.00 111.00 8470.00 4365.00 320.00 456.00 1019.00 2956.00 595.00 265.00 290.00 157000.00 4455.00 2375.00 932.00 1576.00 1601.00 3695.00 1486.00 7160.00 1017.00 1951.00 848.00 2639.00 1430.00 4455.00 2415.00 1073.00 1483.00 1036.00 1553.00 452.00 190.00 4315.00 1448.00 264.00 1035.00 965.00 4035.00 1264.00 991.00 3370.00 1460.00 1716.00 220.00 2816.00 4945.00 10770.00 1612.00 1054.00 1257.00 1743.00 558.00 1509.00 10750.00 1848.00 1042.00 4405.00 637.00 2071.00 4055.00 4600.00 1174.00 1271.00 1324.00 1488.00 6570.00 2049.00 382.00 312.00 859.00 7440.00 310.00 963.00 4240.00 2689.00 292.00 630.00 641.00 8220.00 306.00 557.00 288.00 1338.00
Dividend Yield
Next ExDividend Date
1.61% 0.61% 3.70% 0.62% 2.62%
26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013
1.62% 0.73% 1.18% 1.83% 2.62% 2.70% 2.17% 0.43% 1.30% 1.59% 2.18% 1.78% 1.39% 2.87% 1.33% 1.64% 1.79% 1.61% 2.08% 2.38% 0.86% 0.46% 2.14%
27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2013 26.09.2013 26.09.2013 27.03.2014 27.03.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.06.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 28.08.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 28.08.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.06.2014 27.03.2014 27.03.2014 27.03.2014 26.09.2013 16.08.2013 26.09.2013 28.08.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 26.09.2013 26.06.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 28.08.2013 26.09.2013 26.09.2013 26.09.2013 28.08.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 28.08.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.06.2014 16.08.2013 26.09.2013 26.06.2014 26.09.2013 26.12.2014 26.09.2013 26.12.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 26.09.2013 18.09.2013 26.09.2013 26.12.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013
2.13% 2.14% 1.35% 1.20% 1.80% 4.09% 1.79% 1.47% 2.77% 1.45% 1.08% 1.50% 1.65% 2.29% 0.94% 1.75% 0.49% 1.35% 1.51% 2.08% 2.99% 1.80% 2.95% 4.08% 0.76% 0.94% 1.24% 0.87% 1.12% 2.06% 0.51% 1.30% 1.89% 1.75% 3.48% 2.15% 2.33% 1.48% 1.64% 1.09% 1.22% 1.97% 2.13% 2.00% 2.27% 1.26% 1.04% 2.42% 1.58% 2.42% 1.51% 2.74% 1.05% 1.82% 0.78% 1.88% 2.60% 1.74% 1.04% 1.43% 0.69% 1.61% 1.99% 1.30% 1.14% 2.11% 1.82% 0.63% 1.93% 0.76% 1.28% 4.26% 2.36% 1.66% 0.89% 0.88% 1.95% 2.09% 0.96% 1.16% 1.08% 2.26% 1.04% 1.06% 2.79% 4.39% 1.90% 1.56% 2.13% 1.99% 1.26% 1.74% 0.75%
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
24.98
25.10
25.66
-0.135 -0.058 0.007
0.011
0.001
0.000
25.52
25.48
25.58
-0.146 -0.071 0.006
0.009
0.002
0.000
36.68
35.29
34.24
-0.066 0.113
0.240
0.002
0.002
0.004
31.53
31.18
31.05
-0.004 0.004
0.006
0.000
0.000
0.000
36.88
34.40
32.07
-0.001 0.231
0.477
-0.001 -0.004 -0.008
40.51 38.37 45.86
39.88 40.08 42.19
40.67 42.12 40.15
-0.155 -0.052 0.001 0.078 0.128 0.131 -0.305 -0.089 0.124
-0.002 -0.001 0.000 0.005 -0.009 -0.018 0.001 0.003 0.008
41.16 25.76
45.93 25.31
46.37 25.22
0.034 -0.056 -0.123 -0.076 0.002 0.007
0.008 0.011
39.78
40.97
42.65
-0.011 0.107
0.000 -0.004 -0.008
28.18 35.88
29.38 35.68
28.19 34.77
-0.113 -0.003 0.068 -0.154 0.001 0.146
0.004 0.002
0.006 0.002
0.007 0.000
43.61 39.01 21.51 38.54
37.84 39.44 24.63 38.11
33.26 38.97 28.24 38.49
-0.039 -0.008 -0.057 0.144
0.014 0.030 -0.072 0.389
0.094 0.055 -0.157 0.658
0.002 0.000 0.019 -0.004
-0.005 -0.003 -0.003 0.000
-0.012 -0.003 -0.006 0.004
30.51 21.32
30.04 25.31
29.88 27.03
-0.062 0.005 0.167 0.402
0.003 0.476
0.005 0.000 0.000 0.014 -0.002 -0.006
32.31 35.59
37.80 37.44
34.31 39.79
0.042 -0.008 -0.027 -0.041 0.159 0.327
0.002 -0.005 0.000 0.003 -0.012 -0.026
36.79 34.63
36.40 37.04
36.28 36.03
-0.021 0.003 -0.024 0.326
0.004 0.513
0.001 0.023
47.85 25.33
45.23 26.87
42.79 28.78
-0.014 0.101 0.120 0.047
0.207 0.098
0.001 -0.012 -0.025 0.007 -0.005 -0.010
27.47 58.30 26.56
26.79 59.00 28.69
25.15 60.36 31.19
-0.070 -0.008 0.012 0.011 0.443 0.921 -0.011 0.213 0.434
0.017 0.001 -0.001 0.000 -0.007 -0.015 0.002 -0.003 -0.006
24.56
24.28
24.14
-0.105 0.004
0.003
0.010
0.000
0.000
29.26
30.49
30.02
-0.102 -0.055 0.004
0.008
0.000
0.000
40.77
40.24
40.10
-0.017 -0.007 -0.004
0.001
0.000
0.000
31.22
36.23
34.47
0.066 -0.005 -0.033
0.006 -0.003 -0.002
33.69
39.53
46.22
-0.034 0.019
0.043
0.002 -0.004 -0.008
20.71 25.49 25.20
20.48 26.69 25.11
20.40 28.30 24.91
-0.132 0.003 0.003 -0.057 -0.029 -0.063 -0.072 -0.041 -0.020
0.007 0.000 0.000 0.007 -0.004 -0.009 0.020 0.011 0.016
25.04
25.33
26.84
-0.115 -0.037 0.004
0.011
0.002
0.000
31.61
31.27
31.17
-0.051 0.001
0.003
0.000
0.000
31.78 36.41
48.63 37.13
55.60 36.43
-0.057 -0.018 -0.037 -0.005 -0.012 -0.017
0.035 0.009 0.000 0.000 -0.001 -0.001
38.07
42.18
41.46
-0.023 -0.060 -0.070
0.003 -0.003 -0.003
31.81
31.29
31.11
-0.043 -0.006 0.009
0.011
0.000
0.000
31.51
27.47
22.36
-0.123 -0.109 0.001
0.001
0.000
0.000
36.46
37.06
38.48
-0.122 -0.055 0.007
0.003
0.002
0.001
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.228
0.004
0.001 0.000
0.000 0.007
0.001 0.000
0.000 0.003
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker
Name
GICS_SECTOR_NAME
ATM2 Ref
Dividend Yield
Next ExDividend Date
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M
Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
2212 JT Equity
YAMAZAKI BAKING CO LTD
Consumer Staples
1204.00
1.33%
26.12.2014
4540 JT Equity
TSUMURA & CO
Health Care
3450.00
1.74%
26.09.2013
9045 JT Equity
KEIHAN ELECTRIC RAILWAY CO
Industrials
437.00
1.14%
26.09.2013
4208 JT Equity
UBE INDUSTRIES LTD
Materials
195.00
2.56%
27.03.2014
3003 JT Equity
HULIC CO LTD
Financials
761.00
0.66%
26.06.2014
3231 JT Equity
NOMURA REAL ESTATE HOLDINGS
Financials
2048.00
1.46%
26.09.2013
9364 JT Equity
KAMIGUMI CO LTD
Industrials
867.00
1.15%
27.03.2014
9962 JT Equity
MISUMI GROUP INC
Industrials
2607.00
1.04%
26.09.2013
6268 JT Equity
NABTESCO CORP
Industrials
1845.00
1.90%
26.09.2013
6857 JT Equity
ADVANTEST CORP
Information Technology
1397.00
1.43%
26.09.2013
43.71
43.79
41.82
-0.121 0.001
0.106
0.005
0.006
0.008
4183 JT Equity
MITSUI CHEMICALS INC
Materials
214.00
2.80%
26.09.2013
30.55
30.40
30.06
-0.031 0.005
0.016
0.014
0.001
0.000
6473 JT Equity
JTEKT CORP
Industrials
888.00
1.69%
26.09.2013
4091 JT Equity
TAIYO NIPPON SANSO CORP
Materials
685.00
1.75%
26.09.2013
6841 JT Equity
YOKOGAWA ELECTRIC CORP
Information Technology
932.00
1.07%
26.09.2013
9107 JT Equity
KAWASAKI KISEN KAISHA LTD
Industrials
212.00
0.47%
27.03.2013
63.65
63.76
63.39
-0.154 -0.064 -0.018
0.004
0.000 -0.002
8418 JT Equity
YAMAGUCHI FINANCIAL GROUP IN
Financials
941.00
1.28%
26.09.2013
2768 JT Equity
SOJITZ CORP
Industrials
149.00
2.68%
26.09.2013
35.57
31.83
28.28
-0.078 0.024
0.066
0.010
0.013
0.023
4666 JT Equity
PARK24 CO LTD
Industrials
1800.00
1.94%
29.10.2014
4205 JT Equity
ZEON CORP
Materials
1023.00
1.17%
26.09.2013
4202 JT Equity
DAICEL CORP
Materials
738.00
1.36%
26.09.2013
8385 JT Equity
IYO BANK LTD/THE
Financials
863.00
0.98%
26.09.2013
8570 JT Equity
AEON CREDIT SERVICE CO LTD
Financials
2528.00
1.58%
26.09.2013
4768 JT Equity
OTSUKA CORP
Information Technology
10220.00
2.01%
26.12.2014
4062 JT Equity
IBIDEN CO LTD
Information Technology
1480.00
2.36%
27.03.2013
40.77
40.78
41.23
0.008 -0.262 -0.553
0.000
0.005
0.011
4004 JT Equity
SHOWA DENKO K K
Materials
138.00
2.17%
26.12.2014
3401 JT Equity
TEIJIN LTD
Materials
223.00
2.24%
26.09.2013
5214 JT Equity
NIPPON ELECTRIC GLASS CO LTD
Information Technology
477.00
2.94%
26.09.2013
37.20
44.60
47.85
0.213
0.063 -0.013
0.016
0.005
0.000
9044 JT Equity
NANKAI ELECTRIC RAILWAY CO
Industrials
420.00
1.19%
27.03.2014
3391 JT Equity
TSURUHA HOLDINGS INC
Consumer Staples
9000.00
1.17%
13.11.2013
6366 JT Equity
CHIYODA CORP
Industrials
1076.00
1.63%
27.03.2014
9766 JT Equity
KONAMI CORP
Information Technology
1950.00
3.03%
26.09.2013
32.62
30.26
27.99
0.001
0.064
0.136
0.000
0.012
0.026
4021 JT Equity
NISSAN CHEMICAL INDUSTRIES
Materials
1166.00
2.23%
26.09.2013
6674 JT Equity
GS YUASA CORP
Industrials
448.00
1.79%
27.03.2014
40.92
40.35
40.18
0.031
0.000
0.000
0.001
0.000
0.000
5714 JT Equity
DOWA HOLDINGS CO LTD
Materials
742.00
1.35%
27.03.2014
4272 JT Equity
NIPPON KAYAKU CO LTD
Materials
1161.00
1.72%
27.11.2013
9509 JT Equity
HOKKAIDO ELECTRIC POWER CO
Utilities
903.00
2.77%
26.09.2013
6504 JT Equity
FUJI ELECTRIC CO LTD
Industrials
280.00
1.43%
27.03.2013
4612 JT Equity
NIPPON PAINT CO LTD
Materials
929.00
1.18%
26.09.2013
5631 JT Equity
JAPAN STEEL WORKS LTD
Industrials
514.00
1.95%
26.09.2013
33.02
31.42
26.65
0.050
0.164
0.269
0.003 -0.002 -0.001
6361 JT Equity
EBARA CORP
Industrials
382.00
1.31%
26.09.2013
5471 JT Equity
DAIDO STEEL CO LTD
Materials
508.00
1.08%
26.09.2013
4716 JT Equity
ORACLE CORP JAPAN
Information Technology
4165.00
2.09%
28.05.2014
21.50
21.11
21.27
-0.101 0.004
0.005
0.005
0.000
0.000
6754 JT Equity
ANRITSU CORP
Information Technology
1507.00
1.16%
26.09.2013
7276 JT Equity
KOITO MANUFACTURING CO LTD
Consumer Discretionary
1615.00
1.24%
27.03.2013
5463 JT Equity
MARUICHI STEEL TUBE LTD
Materials
2283.00
2.69%
26.09.2013
8616 JT Equity
TOKAI TOKYO FINANCIAL HOLDIN
Financials
705.00
2.55%
26.09.2013
8341 JT Equity
77 BANK LTD/THE
Financials
516.00
1.36%
26.09.2013
4042 JT Equity
TOSOH CORP
Materials
281.00
2.14%
26.09.2013
1911 JT Equity
SUMITOMO FORESTRY CO LTD
Consumer Discretionary
1018.00
1.47%
26.09.2013
2229 JT Equity
CALBEE INC
Consumer Staples
7680.00
0.65%
27.03.2014
8609 JT Equity
OKASAN SECURITIES GROUP INC
Financials
928.00
1.62%
27.03.2014
7701 JT Equity
SHIMADZU CORP
Information Technology
642.00
1.40%
26.09.2013
4555 JT Equity
SAWAI PHARMACEUTICAL CO LTD
Health Care
11120.00
1.26%
26.09.2013
6592 JT Equity
MABUCHI MOTOR CO LTD
Industrials
5140.00
1.17%
26.06.2014
25.53
25.19
25.08
-0.083 0.004
0.005
0.004
0.000
0.000
9989 JT Equity
SUNDRUG CO LTD
Consumer Staples
4035.00
1.09%
26.09.2013
4631 JT Equity
DIC CORP
Materials
204.00
2.94%
26.09.2013
30.69
30.20
29.80
-0.025 -0.015 0.024
0.014
0.000 -0.001
3101 JT Equity
TOYOBO CO LTD
Consumer Discretionary
171.00
2.05%
27.03.2014
2809 JT Equity
KEWPIE CORP
Consumer Staples
1325.00
1.66%
28.05.2014
7453 JT Equity
RYOHIN KEIKAKU CO LTD
Consumer Discretionary
7210.00
1.66%
28.08.2013
3893 JT Equity
NIPPON PAPER GROUP INC
Materials
1466.00
2.05%
26.09.2013
2.70
2.70
2.70
0.033
0.023
0.023
3659 JT Equity
NEXON CO LTD
Information Technology
911.00
1.10%
4967 JT Equity
KOBAYASHI PHARMACEUTICAL CO
Consumer Staples
4660.00
1.72%
26.09.2013
4684 JT Equity
OBIC CO LTD
Information Technology
21670.00
1.85%
26.09.2013
5991 JT Equity
NHK SPRING CO LTD
Consumer Discretionary
968.00
1.55%
27.03.2013
9401 JT Equity
TOKYO BROADCASTING SYSTEM
Consumer Discretionary
1365.00
0.99%
26.09.2013
4118 JT Equity
KANEKA CORP
Materials
557.00
2.87%
26.09.2013
6952 JT Equity
CASIO COMPUTER CO LTD
Consumer Discretionary
761.00
2.23%
27.03.2013
34.85
35.04
33.19
-0.096 -0.075 -0.062
0.001 -0.002 0.001
2811 JT Equity
KAGOME CO LTD
Consumer Staples
1800.00
1.11%
27.03.2014
2501 JT Equity
SAPPORO HOLDINGS LTD
Consumer Staples
394.00
1.78%
26.12.2014
4061 JT Equity
DENKI KAGAKU KOGYO K K
Materials
344.00
2.91%
26.09.2013
8282 JT Equity
K'S HOLDINGS CORP
Consumer Discretionary
2909.00
2.06%
26.09.2013
2531 JT Equity
TAKARA HOLDINGS INC
Consumer Staples
810.00
1.11%
27.03.2014
31.47
24.75
21.20
-0.127 -0.116 -0.132
0.003 -0.001 -0.001
7003 JT Equity
MITSUI ENGINEER & SHIPBUILD
Industrials
182.00
1.65%
27.03.2014
2871 JT Equity
NICHIREI CORP
Consumer Staples
556.00
1.80%
26.09.2013
4521 JT Equity
KAKEN PHARMACEUTICAL CO LTD
Health Care
1695.00
2.48%
26.09.2013
5801 JT Equity
FURUKAWA ELECTRIC CO LTD
Industrials
211.00
3.08%
26.09.2013
40.17
37.89
36.11
-0.006 0.037
0.085
0.004 -0.001 -0.004
8933 JT Equity
NTT URBAN DEVELOPMENT CORP
Financials
112900.00
1.24%
26.09.2013
2371 JT Equity
KAKAKU.COM INC
Information Technology
4860.00
0.72%
27.03.2014
6457 JT Equity
GLORY LTD
Industrials
2285.00
1.79%
26.09.2013
8129 JT Equity
TOHO HOLDINGS CO LTD
Health Care
2126.00
0.75%
26.09.2013
3436 JT Equity
SUMCO CORP
Information Technology
1049.00
47.40
50.35
50.56
0.106
0.092
0.144
0.005
0.000 -0.003
8219 JT Equity
AOYAMA TRADING CO LTD
Consumer Discretionary
2448.00
2.45%
26.09.2013
7951 JT Equity
YAMAHA CORP
Consumer Discretionary
906.00
0.99%
26.09.2013
8270 JT Equity
UNY GROUP HOLDINGS CO LTD
Consumer Staples
704.00
3.13%
16.08.2013
2593 JT Equity
ITO EN LTD
Consumer Staples
2180.00
1.74%
29.10.2013
5486 JT Equity
HITACHI METALS LTD
Materials
893.00
1.57%
26.09.2013
8012 JT Equity
NAGASE & CO LTD
Industrials
1187.00
2.11%
26.09.2013
4217 JT Equity
HITACHI CHEMICAL CO LTD
Materials
1459.00
2.54%
26.09.2013
6727 JT Equity
WACOM CO LTD
Information Technology
359000.00
1.11%
27.03.2014
3591 JT Equity
WACOAL HOLDINGS CORP
Consumer Discretionary
1045.00
2.68%
27.03.2014
9076 JT Equity
SEINO HOLDINGS CO LTD
Industrials
840.00
1.31%
27.03.2014
2810 JT Equity
HOUSE FOODS CORPORATION
Consumer Staples
1648.00
1.82%
26.09.2013
7240 JT Equity
NOK CORP
Consumer Discretionary
1342.00
1.49%
26.09.2013
4569 JT Equity
KYORIN HOLDINGS INC
Health Care
2325.00
2.15%
26.09.2013
4114 JT Equity
NIPPON SHOKUBAI CO LTD
Materials
843.00
1.96%
26.09.2013
6146 JT Equity
DISCO CORP
Information Technology
5490.00
0.93%
26.09.2013
6849 JT Equity
NIHON KOHDEN CORP
Health Care
3180.00
1.45%
26.09.2013
3632 JT Equity
GREE INC
Information Technology
1239.00
2.58%
26.06.2013
30.59
30.22
30.02
-0.055 0.002
0.007
0.005
0.000
0.000
4912 JT Equity
LION CORP
Consumer Staples
521.00
1.92%
26.06.2014
9601 JT Equity
SHOCHIKU CO LTD
Consumer Discretionary
962.00
0.31%
26.02.2014
1721 JT Equity
COMSYS HOLDINGS CORP
Industrials
1145.00
1.75%
26.09.2013
6724 JT Equity
SEIKO EPSON CORP
Information Technology
912.00
2.19%
26.09.2013
5002 JT Equity
SHOWA SHELL SEKIYU KK
Energy
659.00
2.73%
26.06.2014
7282 JT Equity
TOYODA GOSEI CO LTD
Consumer Discretionary
2183.00
1.74%
26.09.2013
6141 JT Equity
MORI SEIKI CO LTD
Industrials
1112.00
1.80%
26.09.2013
1808 JT Equity
HASEKO CORP
Consumer Discretionary
41.66
48.75
45.55
-0.060 0.030
0.269
0.017
0.001
0.000
7004 JT Equity
HITACHI ZOSEN CORP
Industrials
154.00
1.30%
27.03.2014
3349 JT Equity
COSMOS PHARMACEUTICAL CORP
Consumer Staples
12200.00
0.35%
27.11.2013
8628 JT Equity
MATSUI SECURITIES CO LTD
Financials
1035.00
1.93%
27.03.2014
6465 JT Equity
HOSHIZAKI ELECTRIC CO LTD
Industrials
2750.00
1.09%
26.12.2014
2579 JT Equity
COCA-COLA WEST CO LTD
Consumer Staples
1578.00
2.60%
26.06.2014
8415 JT Equity
KIYO HOLDINGS INC
Financials
152.00
1.97%
27.03.2014
8242 JT Equity
H2O RETAILING CORP
Consumer Discretionary
930.00
1.34%
26.09.2013
8336 JT Equity
MUSASHINO BANK LTD/THE
Financials
3775.00
1.85%
26.09.2013
8366 JT Equity
SHIGA BANK LTD/THE
Financials
636.00
0.94%
26.09.2013
1662 JT Equity
JAPAN PETROLEUM EXPLORATION
Energy
3690.00
1.08%
26.09.2013
8036 JT Equity
HITACHI HIGH-TECHNOLOGIES CO
Information Technology
1953.00
1.28%
26.09.2013
6925 JT Equity
USHIO INC
Industrials
962.00
2.29%
27.03.2014
4527 JT Equity
ROHTO PHARMACEUTICAL CO LTD
Health Care
1325.00
1.28%
26.09.2013
5007 JT Equity
COSMO OIL COMPANY LTD
Energy
201.00
6976 JT Equity
TAIYO YUDEN CO LTD
Information Technology
1191.00
0.84%
26.09.2013
49.23
49.58
50.83
-0.130 -0.018 0.043
0.000
0.001
0.001
6856 JT Equity
HORIBA LTD
Information Technology
2919.00
1.54%
26.06.2014
9003 JT Equity 5706 JT Equity
SOTETSU HOLDINGS INC MITSUI MINING & SMELTING CO
Industrials Materials
359.00 215.00
1.39% 1.40%
26.09.2013 27.03.2014
40.40
39.28
39.11
-0.004 0.010
0.002
0.000
0.000
87.00
0.033
0.033
0.023
27.03.2013
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.011
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker 8585 JT Equity 6845 JT Equity 8016 JT Equity 8439 JT Equity 5444 JT Equity 7313 JT Equity 6136 JT Equity 8273 JT Equity 6472 JT Equity 4739 JT Equity 7762 JT Equity 4665 JT Equity 9832 JT Equity 5232 JT Equity 2331 JT Equity 9065 JT Equity 7649 JT Equity 6395 JT Equity 4045 JT Equity 5803 JT Equity 4206 JT Equity 5202 JT Equity 9031 JT Equity 8572 JT Equity 4534 JT Equity 8840 JT Equity 8356 JT Equity 7988 JT Equity 7956 JT Equity 8088 JT Equity 8324 JT Equity 8184 JT Equity 7550 JT Equity 6103 JT Equity 9072 JT Equity 8394 JT Equity 8515 JT Equity 8086 JT Equity 8388 JT Equity 3116 JT Equity 8381 JT Equity 8524 JT Equity 4681 JT Equity 7860 JT Equity 9435 JT Equity 6770 JT Equity 5929 JT Equity 9747 JT Equity 9409 JT Equity 8361 JT Equity 3360 JT Equity 3105 JT Equity 8060 JT Equity 3088 JT Equity 8390 JT Equity 2413 JT Equity 1944 JT Equity 8363 JT Equity 6479 JT Equity 8714 JT Equity 2131 JT Equity 8544 JT Equity 9719 JT Equity 8425 JT Equity 7735 JT Equity 8367 JT Equity 9303 JT Equity 4634 JT Equity 8595 JT Equity 8130 JT Equity 8218 JT Equity 9706 JT Equity 8698 JT Equity 2685 JT Equity 4922 JT Equity 1883 JT Equity 8368 JT Equity 8386 JT Equity 3941 JT Equity 6995 JT Equity 4321 JT Equity 1951 JT Equity 9684 JT Equity 6412 JT Equity 9744 JT Equity 2670 JT Equity 1334 JT Equity 4186 JT Equity 2206 JT Equity 9681 JT Equity 7222 JT Equity 3626 JT Equity 7966 JT Equity 6376 JT Equity 4095 JT Equity 4043 JT Equity 2607 JT Equity 8586 JT Equity 3050 JT Equity 4547 JT Equity 7296 JT Equity 9412 JT Equity 4403 JT Equity 1833 JT Equity 9956 JT Equity 5943 JT Equity 8522 JT Equity 4917 JT Equity 6005 JT Equity 4927 JT Equity 4401 JT Equity 7984 JT Equity 6703 JT Equity 5949 JT Equity 6474 JT Equity 3774 JT Equity 5105 JT Equity 7242 JT Equity 6588 JT Equity 8848 JT Equity 7729 JT Equity 3098 JT Equity 1979 JT Equity 6383 JT Equity 9934 JT Equity 9603 JT Equity
Name ORIENT CORP AZBIL CORP ONWARD HOLDINGS CO LTD CENTURY TOKYO LEASING CORP YAMATO KOGYO CO LTD TS TECH CO LTD OSG CORP IZUMI CO LTD NTN CORP ITOCHU TECHNO-SOLUTIONS CORP CITIZEN HOLDINGS CO LTD DUSKIN CO LTD AUTOBACS SEVEN CO LTD SUMITOMO OSAKA CEMENT CO LTD SOHGO SECURITY SERVICES CO SANKYU INC SUGI HOLDINGS CO LTD TADANO LTD TOAGOSEI CO LTD FUJIKURA LTD AICA KOGYO CO LTD NIPPON SHEET GLASS CO LTD NISHI-NIPPON RAILROAD CO LTD ACOM CO LTD MOCHIDA PHARMACEUTICAL CO DAIKYO INC JUROKU BANK LTD/THE NIFCO INC PIGEON CORP IWATANI CORP DAISHI BANK LTD/THE SHIMACHU CO LTD ZENSHO HOLDINGS CO LTD OKUMA CORP NIPPON KONPO UNYU SOKO CO HIGO BANK LTD/THE AIFUL CORP NIPRO CORP AWA BANK LTD/THE TOYOTA BOSHOKU CORP SAN-IN GODO BANK LTD/THE NORTH PACIFIC BANK LTD RESORTTRUST INC AVEX GROUP HOLDINGS INC HIKARI TSUSHIN INC ALPS ELECTRIC CO LTD SANWA HOLDINGS CORP ASATSU-DK INC TV ASAHI CORP OGAKI KYORITSU BANK LTD/THE SHIP HEALTHCARE HOLDINGS INC NISSHINBO HOLDINGS INC CANON MARKETING JAPAN INC MATSUMOTOKIYOSHI HOLDINGS CO KAGOSHIMA BANK LTD/THE M3 INC KINDEN CORP HOKKOKU BANK LTD/THE MINEBEA CO LTD SENSHU IKEDA HOLDINGS INC ACCORDIA GOLF CO LTD KEIYO BANK LTD/THE SCSK CORP IBJ LEASING CO LTD DAINIPPON SCREEN MFG CO LTD NANTO BANK LTD/THE SUMITOMO WAREHOUSE CO LTD TOYO INK SC HOLDINGS CO LTD JAFCO CO LTD SANGETSU CO LTD KOMERI CO LTD JAPAN AIRPORT TERMINAL CO MONEX GROUP INC POINT INC KOSE CORP MAEDA ROAD CONSTRUCTION CO HYAKUGO BANK LTD/THE HYAKUJUSHI BANK LTD/THE RENGO CO LTD TOKAI RIKA CO LTD KENEDIX INC KYOWA EXEO CORP SQUARE ENIX HOLDINGS CO LTD HEIWA CORP MEITEC CORP ABC-MART INC MARUHA NICHIRO HOLDINGS INC TOKYO OHKA KOGYO CO LTD EZAKI GLICO CO LTD TOKYO DOME CORP NISSAN SHATAI CO LTD IT HOLDINGS CORP LINTEC CORP NIKKISO CO LTD NIHON PARKERIZING CO LTD TOKUYAMA CORPORATION FUJI OIL CO LTD HITACHI CAPITAL CORP DCM HOLDINGS CO LTD KISSEI PHARMACEUTICAL CO LTD FCC CO LTD SKY PERFECT JSAT HOLDINGS NOF CORP OKUMURA CORP VALOR CO LTD NORITZ CORP BANK OF NAGOYA LTD/THE MANDOM CORP MIURA CO LTD POLA ORBIS HOLDINGS INC ADEKA CORP KOKUYO CO LTD OKI ELECTRIC INDUSTRY CO LTD UNIPRES CORP NACHI-FUJIKOSHI CORP INTERNET INITIATIVE JAPAN TOYO TIRE & RUBBER CO LTD KYB CO LTD TOSHIBA TEC CORP LEOPALACE21 CORP TOKYO SEIMITSU CO LTD COCOKARA FINE INC TAIKISHA LTD DAIFUKU CO LTD INABA DENKI SANGYO CO LTD H I S CO LTD
GICS_SECTOR_NAME Financials Information Technology Consumer Discretionary Financials Materials Consumer Discretionary Industrials Consumer Discretionary Industrials Information Technology Information Technology Industrials Consumer Discretionary Materials Industrials Industrials Consumer Staples Industrials Materials Industrials Industrials Industrials Industrials Financials Health Care Financials Financials Consumer Discretionary Consumer Staples Industrials Financials Consumer Discretionary Consumer Discretionary Industrials Industrials Financials Financials Health Care Financials Consumer Discretionary Financials Financials Consumer Discretionary Consumer Discretionary Consumer Discretionary Information Technology Industrials Consumer Discretionary Consumer Discretionary Financials Health Care Industrials Consumer Discretionary Consumer Staples Financials Health Care Industrials Financials Industrials Financials Consumer Discretionary Financials Information Technology Financials Information Technology Financials Industrials Materials Financials Consumer Discretionary Consumer Discretionary Industrials Financials Consumer Discretionary Consumer Staples Industrials Financials Financials Materials Consumer Discretionary Financials Industrials Information Technology Consumer Discretionary Industrials Consumer Discretionary Consumer Staples Materials Consumer Staples Consumer Discretionary Consumer Discretionary Information Technology Materials Health Care Materials Materials Consumer Staples Financials Consumer Discretionary Health Care Consumer Discretionary Consumer Discretionary Materials Industrials Consumer Staples Industrials Financials Consumer Staples Industrials Consumer Staples Materials Industrials Information Technology Consumer Discretionary Industrials Information Technology Consumer Discretionary Consumer Discretionary Information Technology Financials Information Technology Consumer Staples Industrials Industrials Industrials Consumer Discretionary
ATM2 Ref 298.00 2028.00 812.00 2445.00 2600.00 2653.00 1293.00 2245.00 255.00 4700.00 483.00 1887.00 4460.00 284.00 1385.00 429.00 3285.00 1064.00 414.00 302.00 1727.00 106.00 388.00 2517.00 1264.00 327.00 402.00 2124.00 6560.00 452.00 386.00 2185.00 1296.00 715.00 1505.00 597.00 589.00 899.00 588.00 1364.00 820.00 316.00 2654.00 2515.00 4695.00 635.00 481.00 2681.00 1846.00 350.00 3250.00 687.00 1393.00 2728.00 654.00 181800.00 602.00 391.00 327.00 543.00 96100.00 541.00 1870.00 2947.00 426.00 443.00 647.00 459.00 3195.00 2463.00 2829.00 1256.00 38350.00 4675.00 2246.00 1302.00 470.00 384.00 493.00 1760.00 40850.00 1011.00 1127.00 1860.00 2494.00 3445.00 187.00 1983.00 986.00 514.00 1163.00 1200.00 1833.00 1120.00 1582.00 257.00 1432.00 2003.00 756.00 1972.00 2345.00 44700.00 470.00 382.00 1779.00 1840.00 422.00 3345.00 2401.00 2999.00 828.00 715.00 102.00 2098.00 389.00 3115.00 408.00 464.00 564.00 409.00 1958.00 3405.00 2188.00 758.00 2975.00 4060.00
Dividend Yield
3.16% 3.20% 1.76% 1.15% 0.98% 1.78% 1.60% 2.13% 1.55% 2.12% 3.25% 1.76% 1.52% 2.10% 0.76% 0.94% 2.42% 1.66% 1.97% 1.55% 2.22% 0.92% 1.74% 2.26% 1.86% 1.55% 1.81% 2.52% 1.23% 1.40% 1.53% 1.42% 2.36% 1.19% 1.25% 1.34% 0.47% 1.88% 2.19% 1.96% 1.57% 2.08% 0.93% 1.63% 2.00% 0.92% 2.18% 1.72% 1.47% 1.30% 0.55% 1.99% 1.53% 2.75% 2.76% 5.72% 1.85% 1.82% 1.70%
Next ExDividend Date 26.09.2013 26.02.2014 26.09.2013 26.09.2013 26.09.2013 28.05.2014 28.08.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 28.08.2013 26.09.2013 26.06.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 29.07.2014 27.03.2014 26.09.2013 26.02.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013
1.35% 1.62% 2.51% 0.78% 3.05% 1.24% 0.56% 1.10% 2.78% 1.78% 1.38% 1.60% 1.82% 2.43% 1.70%
26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.06.2013 26.09.2013 26.09.2013 26.06.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.06.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 28.08.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013
2.18% 2.66% 2.96% 4.25% 1.51% 1.60% 2.02% 1.52% 0.97% 0.77% 2.00% 2.13% 1.25% 1.42% 2.33% 1.82% 1.80% 2.38% 1.93% 1.54% 2.68% 2.13% 2.36% 1.52% 1.63% 1.54% 1.79% 1.75% 1.83% 2.66% 2.10%
26.09.2013 26.09.2013 26.09.2013 26.09.2013 28.08.2013 27.03.2014 26.09.2013 26.09.2013 28.01.2015 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 28.08.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.06.2014 26.09.2013 26.09.2013 26.09.2013 26.06.2014 26.09.2013 26.06.2014
1.19% 1.54% 0.62% 2.21% 1.72% 1.24%
26.09.2013 26.11.2014 26.09.2013 26.12.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 29.10.2014
0.92% 1.91% 1.60% 1.98% 3.06% 0.84%
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
25.70
25.43
25.37
-0.059 0.004
0.005
0.004
0.000
0.000
41.66
41.28
41.20
-0.015 0.008
0.004
0.002
0.000
0.000
28.42
31.93
35.41
-0.210 -0.069 0.064
0.025
0.010
0.008
41.35
42.35
43.04
-0.126 0.291
0.720
0.004
0.005
0.007
33.34
27.42
23.80
0.091
0.129
0.166
0.000 -0.005 -0.002
35.89
35.61
35.51
-0.007 0.000
0.000
0.005
0.000
0.001
38.74
52.28
56.83
0.273
0.171
0.033
0.011
0.006
0.226
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker
Name
GICS_SECTOR_NAME
ATM3 Ref
Dividend Yield
Next ExDividend Date
8078 JT Equity
HANWA CO LTD
Industrials
348.00
3.45%
26.09.2013
6310 JT Equity
ISEKI & CO LTD
Industrials
343.00
0.87%
27.03.2014
7312 JT Equity
TAKATA CORP
Consumer Discretionary
1881.00
1.86%
27.03.2013
8424 JT Equity
FUYO GENERAL LEASE CO LTD
Financials
3615.00
1.88%
26.09.2013
7606 JT Equity
UNITED ARROWS LTD
Consumer Discretionary
3190.00
1.29%
26.09.2013
1414 JT Equity
SHO-BOND HOLDINGS CO LTD
Industrials
3390.00
1.56%
26.12.2013
9075 JT Equity
FUKUYAMA TRANSPORTING CO LTD
Industrials
554.00
1.81%
26.09.2013
2270 JT Equity
MEGMILK SNOW BRAND CO LTD
Consumer Staples
1511.00
1.65%
27.03.2014
3593 JT Equity
HOGY MEDICAL CO LTD
Health Care
5030.00
1.95%
26.06.2013
7981 JT Equity
TAKARA STANDARD CO LTD
Industrials
721.00
1.39%
26.09.2013
7616 JT Equity
COLOWIDE CO LTD
Consumer Discretionary
1011.00
0.49%
27.03.2014
5541 JT Equity
PACIFIC METALS CO LTD
Materials
491.00
0.61%
26.09.2013
4541 JT Equity
NICHI-IKO PHARMACEUTICAL CO
Health Care
2157.00
1.48%
26.09.2013
9948 JT Equity
ARCS CO LTD
Consumer Staples
1942.00
2.06%
28.08.2013
8803 JT Equity
HEIWA REAL ESTATE CO LTD
Financials
1745.00
1.15%
26.09.2013
5413 JT Equity
NISSHIN STEEL HOLDINGS CO LT
Materials
722.00
0.69%
7230 JT Equity
NISSIN KOGYO CO LTD
Consumer Discretionary
1571.00
2.29%
26.09.2013
1893 JT Equity
PENTA-OCEAN CONSTRUCTION CO
Industrials
238.00
0.84%
27.03.2014
8584 JT Equity
JACCS CO LTD
Financials
582.00
1.89%
26.09.2013
7518 JT Equity
NET ONE SYSTEMS CO LTD
Information Technology
881.00
3.86%
26.09.2013
9749 JT Equity
FUJI SOFT INC
Information Technology
2256.00
1.06%
26.09.2013
5857 JT Equity
ASAHI HOLDINGS INC
Materials
2006.00
2.99%
26.09.2013
4203 JT Equity
SUMITOMO BAKELITE CO LTD
Materials
387.00
2.58%
26.09.2013
7947 JT Equity
FP CORP
Materials
6120.00
1.96%
26.09.2013
7451 JT Equity
MITSUBISHI SHOKUHIN CO LTD
Consumer Staples
2907.00
1.44%
26.09.2013
3865 JT Equity
HOKUETSU KISHU PAPER CO LTD
Materials
481.00
2.08%
26.09.2013
8237 JT Equity
MATSUYA CO LTD
Consumer Discretionary
1547.00
8600 JT Equity
TOMONY HOLDINGS INC
Financials
404.00
1.98%
26.09.2013
2284 JT Equity
ITOHAM FOODS INC
Consumer Staples
495.00
1.01%
27.03.2014
9672 JT Equity
TOKYOTOKEIBA CO LTD
Consumer Discretionary
378.00
0.79%
26.06.2014
7278 JT Equity
EXEDY CORP
Consumer Discretionary
2234.00
2.24%
26.09.2013
9375 JT Equity
KINTETSU WORLD EXPRESS INC
Industrials
3385.00
0.95%
26.09.2013
5301 JT Equity
TOKAI CARBON CO LTD
Materials
333.00
1.80%
26.06.2014
1881 JT Equity
NIPPO CORP
Industrials
1163.00
1.29%
27.03.2014
9697 JT Equity
CAPCOM CO LTD
Information Technology
1590.00
2.83%
26.09.2013
2001 JT Equity
NIPPON FLOUR MILLS CO LTD
Consumer Staples
437.00
2.29%
26.09.2013
4044 JT Equity
CENTRAL GLASS CO LTD
Industrials
320.00
2.50%
26.09.2013
4516 JT Equity
NIPPON SHINYAKU CO LTD
Health Care
1365.00
1.54%
26.09.2013
6222 JT Equity
SHIMA SEIKI MFG LTD
Industrials
2182.00
0.92%
27.03.2013
7817 JT Equity
PARAMOUNT BED HOLDINGS CO LT
Health Care
3455.00
1.30%
26.09.2013
3608 JT Equity
TSI HOLDINGS CO LTD
Consumer Discretionary
549.00
3.19%
26.02.2014
8140 JT Equity
RYOSAN CO LTD
Information Technology
1835.00
3.81%
26.09.2013
9449 JT Equity
GMO INTERNET INC
Information Technology
895.00
1.56%
27.03.2014
6508 JT Equity
MEIDENSHA CORP
Industrials
297.00
1.68%
27.03.2014
9861 JT Equity
YOSHINOYA HOLDINGS CO LTD
Consumer Discretionary
109900.00
1.82%
28.08.2013
3064 JT Equity
MONOTARO CO LTD
Industrials
4430.00
0.54%
26.06.2014
1860 JT Equity
TODA CORP
Industrials
225.00
2.22%
27.03.2014
8895 JT Equity
ARNEST ONE CORP
Consumer Discretionary
1794.00
2.23%
26.09.2013
9627 JT Equity
AIN PHARMACIEZ INC
Consumer Staples
4925.00
1.22%
25.04.2014
1417 JT Equity
MIRAIT HOLDINGS CORP
Industrials
915.00
2.19%
26.09.2013
8397 JT Equity
BANK OF OKINAWA LTD/THE
Financials
3950.00
1.65%
26.09.2013
7864 JT Equity
FUJI SEAL INTERNATIONAL INC
Materials
2386.00
1.59%
26.09.2013
8399 JT Equity
BANK OF THE RYUKYUS LTD
Financials
1397.00
2.15%
26.09.2013
9119 JT Equity
IINO KAIUN KAISHA LTD
Industrials
689.00
0.87%
26.09.2013
7224 JT Equity
SHINMAYWA INDUSTRIES LTD
Industrials
703.00
1.42%
26.09.2013
6135 JT Equity
MAKINO MILLING MACHINE CO
Industrials
584.00
1.37%
26.09.2013
3110 JT Equity
NITTO BOSEKI CO LTD
Industrials
366.00
1.09%
27.03.2013
8806 JT Equity
DAIBIRU CORP
Financials
1107.00
0.99%
26.09.2013
1924 JT Equity
PANAHOME CORP
Consumer Discretionary
671.00
2.24%
26.09.2013
4041 JT Equity
NIPPON SODA CO LTD
Materials
449.00
1.34%
27.03.2014
8276 JT Equity
HEIWADO CO LTD
Consumer Staples
1398.00
1.72%
16.08.2013
2264 JT Equity
MORINAGA MILK INDUSTRY CO
Consumer Staples
294.00
2.38%
27.03.2014
4921 JT Equity
FANCL CORP
Consumer Staples
1056.00
3.22%
26.09.2013
9869 JT Equity
KATO SANGYO CO LTD
Consumer Staples
1948.00
2.26%
27.03.2014
8511 JT Equity
JAPAN SECURITIES FINANCE CO
Financials
732.00
2.32%
26.09.2013
7248 JT Equity
CALSONIC KANSEI CORP
Consumer Discretionary
406.00
1.85%
26.09.2013
8345 JT Equity
BANK OF IWATE LTD/THE
Financials
3855.00
1.56%
26.09.2013
6436 JT Equity
AMANO CORP
Information Technology
896.00
3.13%
26.09.2013
7251 JT Equity
KEIHIN CORP
Consumer Discretionary
1308.00
2.22%
26.09.2013
6406 JT Equity
FUJITEC CO LTD
Industrials
928.00
1.19%
26.09.2013
3880 JT Equity
DAIO PAPER CORP
Materials
613.00
1.47%
26.09.2013
8020 JT Equity
KANEMATSU CORP
Industrials
128.00
4553 JT Equity
TOWA PHARMACEUTICAL CO LTD
Health Care
5030.00
1.44%
26.09.2013
6967 JT Equity
SHINKO ELECTRIC INDUSTRIES
Information Technology
793.00
2.52%
26.09.2013
8281 JT Equity
XEBIO CO LTD
Consumer Discretionary
1986.00
1.51%
26.09.2013
8050 JT Equity
SEIKO HOLDINGS CORP
Consumer Discretionary
416.00
0.60%
27.03.2014
8344 JT Equity
YAMAGATA BANK LTD/THE
Financials
441.00
1.36%
26.09.2013
9605 JT Equity
TOEI CO LTD
Consumer Discretionary
638.00
0.94%
26.09.2013
7915 JT Equity
NISSHA PRINTING CO LTD
Industrials
1709.00
5393 JT Equity
NICHIAS CORP
Industrials
563.00
2.58%
5932 JT Equity
SANKYO TATEYAMA INC
Industrials
1912.00
1.05%
5451 JT Equity
YODOGAWA STEEL WORKS LTD
Materials
350.00
2.43%
26.09.2013
8153 JT Equity
MOS FOOD SERVICES INC
Consumer Discretionary
2011.00
0.99%
26.09.2013
5738 JT Equity
SUMITOMO LIGHT METAL IND LTD
Materials
102.00
1.96%
1766 JT Equity
TOKEN CORP
Consumer Discretionary
6130.00
1.39%
25.04.2014
6996 JT Equity
NICHICON CORP
Information Technology
814.00
1.84%
26.09.2013
8185 JT Equity
CHIYODA CO LTD
Consumer Discretionary
2203.00
2.27%
28.08.2013
9302 JT Equity
MITSUI-SOKO CO LTD
Industrials
551.00
1.72%
26.09.2013
1824 JT Equity
MAEDA CORP
Industrials
370.00
1.89%
27.03.2014
4023 JT Equity
KUREHA CORP
Materials
345.00
2.90%
26.09.2013
6371 JT Equity
TSUBAKIMOTO CHAIN CO
Industrials
473.00
1.69%
26.09.2013
9086 JT Equity
HITACHI TRANSPORT SYSTEM LTD
Industrials
1455.00
1.51%
26.09.2013
8360 JT Equity
YAMANASHI CHUO BANK LTD/THE
Financials
417.00
1.44%
26.09.2013
5703 JT Equity
NIPPON LIGHT METAL HOLDINGS
Materials
114.00
2.63%
27.03.2014
8346 JT Equity
TOHO BANK LTD/THE
Financials
300.00
2.25%
26.09.2013
6330 JT Equity
TOYO ENGINEERING CORP
Industrials
416.00
1.20%
27.03.2014
9536 JT Equity
SAIBU GAS CO LTD
Utilities
221.00
2.71%
26.09.2013
1969 JT Equity
TAKASAGO THERMAL ENGINEERING
Industrials
773.00
3.23%
26.09.2013
9793 JT Equity
DAISEKI CO LTD
Industrials
1591.00
1.32%
28.08.2013
7994 JT Equity
OKAMURA CORP
Industrials
638.00
1.72%
26.09.2013
2590 JT Equity
DYDO DRINCO INC
Consumer Staples
4315.00
1.39%
16.07.2014
8051 JT Equity
YAMAZEN CORP
Industrials
639.00
2.03%
26.09.2013
4985 JT Equity
EARTH CHEMICAL CO LTD
Materials
3205.00
2.96%
26.12.2014
8841 JT Equity
TOC CO LTD
Financials
709.00
1.27%
26.09.2013
4708 JT Equity
MOSHI MOSHI HOTLINE INC
Industrials
1396.00
4.08%
26.09.2013
5423 JT Equity
TOKYO STEEL MFG CO LTD
Materials
417.00
0.72%
26.09.2013
6269 JT Equity
MODEC INC
Energy
2781.00
1.08%
26.06.2014
3087 JT Equity
DOUTOR NICHIRES HOLDINGS CO
Consumer Discretionary
1375.00
1.89%
28.08.2013
3092 JT Equity
START TODAY CO LTD
Consumer Discretionary
1153.00
1.73%
26.09.2013
4626 JT Equity
TAIYO HOLDINGS CO LTD
Materials
2766.00
3.43%
26.09.2013
8703 JT Equity
KABU.COM SECURITIES CO LTD
Financials
586.00
1.37%
27.03.2014
6349 JT Equity
KOMORI CORP
Industrials
925.00
1.08%
26.09.2013
2201 JT Equity
MORINAGA & CO LTD
Consumer Staples
215.00
2.79%
27.03.2014
7274 JT Equity
SHOWA CORP
Consumer Discretionary
995.00
2.41%
26.09.2013
8160 JT Equity
KISOJI CO LTD
Consumer Discretionary
1942.00
0.72%
26.09.2013
8325 JT Equity
HOKUETSU BANK LTD/THE
Financials
232.00
2.59%
26.09.2013
8624 JT Equity
ICHIYOSHI SECURITIES CO LTD
Financials
1056.00
2.84%
26.09.2013
3201 JT Equity
JAPAN WOOL TEXTILE CO LTD
Consumer Discretionary
704.00
2.56%
28.05.2014
6140 JT Equity
ASAHI DIAMOND INDUSTRIAL CO
Industrials
900.00
3.33%
26.09.2013
9678 JT Equity
KANAMOTO CO LTD
Industrials
1882.00
1.06%
25.04.2014
6104 JT Equity
TOSHIBA MACHINE CO LTD
Industrials
441.00
1.93%
26.09.2013
1820 JT Equity
NISHIMATSU CONSTRUCTION CO
Industrials
165.00
2.42%
27.03.2014
8706 JT Equity 6444 JT Equity
KYOKUTO SECURITIES SANDEN CORP
Financials Consumer Discretionary
1715.00 400.00
4.66% 2.50%
26.09.2013 27.03.2014
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
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
27.03.2013 26.09.2013
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker 5707 JT Equity 7220 JT Equity 1942 JT Equity 4680 JT Equity 8056 JT Equity 1332 JT Equity 8342 JT Equity 1835 JT Equity 9477 JT Equity 7239 JT Equity 2127 JT Equity 8387 JT Equity 2874 JT Equity 8022 JT Equity 6773 JT Equity 7541 JT Equity 8613 JT Equity 5482 JT Equity 1983 JT Equity 9759 JT Equity 8339 JT Equity 9830 JT Equity 6581 JT Equity 6651 JT Equity 5191 JT Equity 1379 JT Equity 4548 JT Equity 8074 JT Equity 8338 JT Equity 7522 JT Equity 8179 JT Equity 1377 JT Equity 8392 JT Equity 5946 JT Equity 8214 JT Equity 5715 JT Equity 8879 JT Equity 7246 JT Equity 9787 JT Equity 9069 JT Equity 6767 JT Equity 1950 JT Equity 6013 JT Equity 8173 JT Equity 2681 JT Equity 3002 JT Equity 8278 JT Equity 9430 JT Equity 2815 JT Equity 4924 JT Equity 8279 JT Equity 6707 JT Equity 2730 JT Equity 8870 JT Equity 7238 JT Equity 6498 JT Equity 8170 JT Equity 6282 JT Equity 3715 JT Equity 1722 JT Equity 6756 JT Equity 6369 JT Equity 7732 JT Equity 5975 JT Equity 3106 JT Equity 8527 JT Equity 6741 JT Equity 6986 JT Equity 7581 JT Equity 5726 JT Equity 6118 JT Equity 7280 JT Equity 6454 JT Equity 9511 JT Equity 8251 JT Equity 6755 JT Equity 8550 JT Equity 3635 JT Equity 8545 JT Equity 9715 JT Equity 8343 JT Equity 6379 JT Equity 6287 JT Equity 8362 JT Equity 7226 JT Equity 8266 JT Equity 4958 JT Equity 8263 JT Equity 8151 JT Equity 7447 JT Equity 8880 JT Equity 6816 JT Equity 5186 JT Equity 2288 JT Equity 6339 JT Equity 8393 JT Equity 4914 JT Equity 8566 JT Equity 4201 JT Equity 5481 JT Equity 6961 JT Equity 2602 JT Equity 9792 JT Equity 3569 JT Equity 8871 JT Equity 4733 JT Equity 9938 JT Equity 4116 JT Equity 4212 JT Equity 7739 JT Equity 1973 JT Equity 7599 JT Equity 4471 JT Equity 6407 JT Equity 4919 JT Equity 8409 JT Equity 8098 JT Equity 6807 JT Equity 9755 JT Equity 9543 JT Equity 5959 JT Equity 6480 JT Equity 4282 JT Equity 9474 JT Equity 3151 JT Equity 2580 JT Equity
Name TOHO ZINC CO LTD MUSASHI SEIMITSU INDUSTRY CO KANDENKO CO LTD ROUND ONE CORP NIHON UNISYS LTD NIPPON SUISAN KAISHA LTD AOMORI BANK LTD/THE TOTETSU KOGYO CO LTD KADOKAWA GROUP HOLDINGS INC TACHI-S CO LTD NIHON M&A CENTER INC SHIKOKU BANK LTD/THE YOKOHAMA REITO CO LTD MIZUNO CORP PIONEER CORP MEGANE TOP CO LTD MARUSAN SECURITIES CO LTD AICHI STEEL CORP TOSHIBA PLANT SYSTEMS & SERV NSD CO LTD TOKYO TOMIN BANK LTD/THE TRUSCO NAKAYAMA CORP HITACHI KOKI CO LTD NITTO KOGYO CORP TOKAI RUBBER INDUSTRIES HOKUTO CORP SEIKAGAKU CORP YUASA TRADING CO LTD TSUKUBA BANK LTD WATAMI CO LTD ROYAL HOLDINGS CO LTD SAKATA SEED CORP OITA BANK LTD/THE CHOFU SEISAKUSHO CO LTD AOKI HOLDINGS INC FURUKAWA CO LTD TOKYU LIVABLE INC PRESS KOGYO CO LTD AEON DELIGHT CO LTD SENKO CO LTD MITSUMI ELECTRIC CO LTD NIPPON DENSETSU KOGYO CO LTD TAKUMA CO LTD JOSHIN DENKI CO LTD GEO HOLDINGS CORP GUNZE LTD FUJI CO LTD NEC MOBILING LTD ARIAKE JAPAN CO LTD DR CI:LABO CO LTD YAOKO CO LTD SANKEN ELECTRIC CO LTD EDION CORP SUMITOMO REAL ESTATE SALES AKEBONO BRAKE INDUSTRY CO KITZ CORP ADERANS CO LTD OILES CORP DWANGO CO LTD MISAWA HOMES CO LTD HITACHI KOKUSAI ELECTRIC INC TOYO KANETSU K K TOPCON CORP TOPRE CORP KURABO INDUSTRIES LTD AICHI BANK LTD/THE NIPPON SIGNAL CO LTD/THE FUTABA CORP/CHIBA SAIZERIYA CO LTD OSAKA TITANIUM TECHNOLOGIES AIDA ENGINEERING LTD MITSUBA CORP MAX CO LTD OKINAWA ELECTRIC POWER CO PARCO CO LTD FUJITSU GENERAL LTD TOCHIGI BANK LTD/THE TECMO KOEI HOLDINGS CO LTD KANSAI URBAN BANKING CORP TRANSCOSMOS INC AKITA BANK LTD/THE SHINKO PLANTECH CO LTD SATO HOLDINGS CORP FUKUI BANK LTD/THE KYOKUTO KAIHATSU KOGYO CO IZUMIYA CO LTD T HASEGAWA CO LTD DAIEI INC TOYO CORP NAGAILEBEN CO LTD IIDA HOME MAX ALPINE ELECTRONICS INC NITTA CORP MARUDAI FOOD CO LTD SINTOKOGIO LTD MIYAZAKI BANK LTD/THE TAKASAGO INTERNATIONAL CORP RICOH LEASING CO LTD NIPPON SYNTHETIC CHEMICAL SANYO SPECIAL STEEL CO LTD ENPLAS CORP NISSHIN OILLIO GROUP LTD/THE NICHII GAKKAN CO SEIREN CO LTD GOLDCREST CO LTD OBIC BUSINESS CONSULTANTS SUMIKIN BUSSAN CORP DAINICHISEIKA COLOR & CHEM SEKISUI JUSHI CORP CANON ELECTRONICS INC NEC NETWORKS & SYSTEM INTEGR GULLIVER INTERNATIONAL CO SANYO CHEMICAL INDUSTRIES CKD CORP MILBON CO LTD YACHIYO BANK LTD/THE INABATA & CO LTD JAPAN AVIATION ELECTRONICS OYO CORP SHIZUOKA GAS CO LTD OKABE CO LTD NIPPON THOMPSON CO LTD EPS CORPORATION ZENRIN CO LTD VITAL KSK HOLDINGS INC COCA-COLA CENTRAL JAPAN CO
GICS_SECTOR_NAME Materials Consumer Discretionary Industrials Consumer Discretionary Information Technology Consumer Staples Financials Industrials Consumer Discretionary Consumer Discretionary Industrials Financials Consumer Staples Consumer Discretionary Consumer Discretionary Consumer Discretionary Financials Materials Industrials Information Technology Financials Industrials Industrials Industrials Consumer Discretionary Consumer Staples Health Care Industrials Financials Consumer Discretionary Consumer Discretionary Consumer Staples Financials Consumer Discretionary Consumer Discretionary Industrials Financials Consumer Discretionary Industrials Industrials Information Technology Industrials Industrials Consumer Discretionary Consumer Discretionary Consumer Discretionary Consumer Discretionary Consumer Discretionary Consumer Staples Consumer Staples Consumer Staples Information Technology Consumer Discretionary Financials Consumer Discretionary Industrials Consumer Staples Industrials Information Technology Consumer Discretionary Information Technology Energy Information Technology Consumer Discretionary Consumer Discretionary Financials Industrials Industrials Consumer Discretionary Materials Industrials Consumer Discretionary Industrials Utilities Consumer Discretionary Consumer Discretionary Financials Information Technology Financials Information Technology Financials Energy Industrials Financials Industrials Consumer Staples Materials Consumer Discretionary Information Technology Health Care Financials Consumer Discretionary Industrials Consumer Staples Industrials Financials Materials Financials Materials Materials Information Technology Consumer Staples Health Care Consumer Discretionary Financials Information Technology Industrials Materials Industrials Information Technology Information Technology Consumer Discretionary Materials Industrials Consumer Staples Financials Industrials Information Technology Industrials Utilities Industrials Industrials Health Care Consumer Discretionary Health Care Consumer Staples
ATM3 Ref 381.00 2104.00 438.00 681.00 815.00 184.00 300.00 1518.00 2604.00 1641.00 4095.00 304.00 886.00 437.00 178.00 1274.00 713.00 384.00 1170.00 1089.00 1135.00 1875.00 788.00 1430.00 1081.00 1835.00 1044.00 207.00 507.00 1782.00 1258.00 1248.00 353.00 2035.00 2405.00 116.00 1944.00 475.00 1997.00 502.00 528.00 989.00 566.00 934.00 118600.00 256.00 1815.00 5510.00 1950.00 279200.00 3990.00 391.00 464.00 5560.00 425.00 478.00 1567.00 1789.00 384000.00 1469.00 845.00 345.00 836.00 957.00 179.00 5370.00 755.00 1021.00 1294.00 1836.00 766.00 1023.00 1196.00 3130.00 991.00 785.00 374.00 948.00 134.00 1350.00 271.00 796.00 1674.00 215.00 978.00 490.00 1368.00 317.00 1335.00 1383.00 1609.00 919.00 1729.00 333.00 845.00 271.00 516.00 2606.00 823.00 339.00 3965.00 359.00 852.00 618.00 2229.00 5500.00 337.00 458.00 1171.00 1875.00 1847.00 5160.00 518.00 607.00 3300.00 3350.00 698.00 738.00 1543.00 648.00 817.00 491.00 271100.00 1279.00 896.00 1187.00
Dividend Yield
Next ExDividend Date
1.31% 1.90% 2.74% 2.94% 1.35% 1.36% 2.00% 1.32% 1.34% 0.79% 1.34% 1.81% 2.26% 2.29%
27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013
1.10% 1.89% 2.60% 1.28% 2.48% 1.32% 3.28% 3.81% 2.66% 1.57% 3.11% 2.39% 2.42% 0.99% 1.68% 0.95% 1.60% 1.70% 1.47% 1.87% 1.72% 1.03% 1.79% 2.50% 2.59%
26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 26.06.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.12.2014 27.11.2013 26.09.2013 26.06.2014 26.09.2013
1.21% 0.71% 1.71% 2.53% 2.93% 0.83% 2.36% 2.46% 3.22% 1.38% 1.53% 4.31% 1.98% 2.35% 2.20%
27.03.2014 26.09.2013 28.08.2013 26.09.2013 27.03.2014 27.03.2014 26.09.2013 27.03.2014 26.09.2013 27.03.2014 28.08.2013 26.09.2013 26.09.2013 29.07.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013
1.96% 0.52% 0.68% 1.42% 1.16% 0.96% 1.57% 2.79% 1.49% 1.85% 3.43% 1.39% 0.82% 2.22% 0.68% 3.01% 1.92% 1.82% 1.02% 1.87% 3.06% 2.24% 2.22% 2.21% 3.77% 2.15% 2.33% 1.12% 1.22% 1.83%
26.09.2013 26.09.2014 27.03.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2013 27.08.2014 26.09.2013 27.03.2014 27.03.2014 27.03.2014 26.09.2013 28.08.2013 27.03.2014 26.09.2013 27.03.2014 27.03.2014 27.03.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 28.08.2013 27.03.2014
3.52% 2.53% 1.62% 2.18% 1.62% 2.70% 1.66% 2.21% 1.55% 1.59% 1.46% 2.65% 1.01% 2.79% 2.11% 2.02% 1.79% 1.82% 3.12% 2.62% 1.88% 3.47% 2.06% 1.74% 2.90% 1.98% 2.00% 1.79% 2.87% 1.49% 1.17% 1.39% 1.96% 2.24% 1.33% 2.31% 1.79% 3.03%
27.03.2014 27.08.2014 29.10.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.06.2013 26.09.2013 28.08.2013 26.09.2013 26.09.2013 18.06.2014 26.09.2013 26.09.2013 26.09.2013 26.06.2014 26.06.2014 26.06.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.12.2013
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
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
44.19
43.37
43.20
-0.015 0.009
79.24
35.55
35.47
0.692 -0.138 0.026
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.005
0.002
0.000
0.000
-0.035 0.003
0.000
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker
Name
GICS_SECTOR_NAME
ATM4 Ref
Dividend Yield
Next ExDividend Date
3048 JT Equity
BIC CAMERA INC
Consumer Discretionary
44100.00
2.27%
26.02.2014
8217 JT Equity
OKUWA CO LTD
Consumer Staples
1065.00
2.44%
16.08.2013
7867 JT Equity
TOMY COMPANY LTD
Consumer Discretionary
499.00
2.00%
26.09.2013
9945 JT Equity
PLENUS CO LTD
Consumer Discretionary
1488.00
3.36%
28.08.2013
4617 JT Equity
CHUGOKU MARINE PAINTS LTD
Materials
509.00
2.55%
26.09.2013
7231 JT Equity
TOPY INDUSTRIES LTD
Materials
219.00
1.83%
26.09.2013
6463 JT Equity
TPR CO LTD
Consumer Discretionary
1463.00
1.71%
26.09.2013
8396 JT Equity
EIGHTEENTH BANK LTD/THE
Financials
256.00
2.34%
26.09.2013
3141 JT Equity
WELCIA HOLDINGS CO LTD
Consumer Staples
4665.00
1.14%
26.02.2014
3107 JT Equity
DAIWABO HOLDINGS CO LTD
Information Technology
178.00
2.25%
27.03.2014
7740 JT Equity
TAMRON CO LTD
Consumer Discretionary
2067.00
2.42%
26.06.2014
5911 JT Equity
YOKOGAWA BRIDGE HOLDINGS COR
Industrials
801.00
1.12%
26.09.2013
8011 JT Equity
SANYO SHOKAI LTD
Consumer Discretionary
289.00
2.77%
26.12.2014
9746 JT Equity
TKC CORP
Information Technology
1733.00
2.54%
27.03.2014
7718 JT Equity
STAR MICRONICS CO LTD
Information Technology
901.00
2.89%
28.08.2013
4694 JT Equity
BML INC
Health Care
2558.00
1.66%
26.09.2013
5440 JT Equity
KYOEI STEEL LTD
Materials
1611.00
1.86%
26.09.2013
7943 JT Equity
NICHIHA CORP
Industrials
1353.00
1.48%
26.09.2013
2659 JT Equity
SAN-A CO LTD
Consumer Staples
4195.00
0.91%
26.02.2014
6905 JT Equity
COSEL CO LTD
Industrials
1074.00
1.96%
18.11.2013
3076 JT Equity
AI HOLDINGS CORP
Information Technology
881.00
2.27%
26.12.2013
7862 JT Equity
TOPPAN FORMS CO LTD
Industrials
861.00
2.90%
26.09.2013
6622 JT Equity
DAIHEN CORP
Industrials
281.00
2.49%
26.09.2013
6101 JT Equity
TSUGAMI CORP
Industrials
550.00
2.55%
26.09.2013
7102 JT Equity
NIPPON SHARYO LTD
Industrials
421.00
1.19%
26.09.2013
7516 JT Equity
KOHNAN SHOJI CO LTD
Consumer Discretionary
1183.00
2.87%
28.08.2013
8174 JT Equity
NIPPON GAS CO LTD
Energy
1126.00
1.33%
26.09.2013
7630 JT Equity
ICHIBANYA CO LTD
Consumer Discretionary
3850.00
1.43%
28.05.2014
1941 JT Equity
CHUDENKO CORP
Industrials
943.00
2.12%
26.09.2013
3148 JT Equity
CREATE SD HOLDINGS CO
Consumer Staples
3670.00
1.36%
27.11.2013
6332 JT Equity
TSUKISHIMA KIKAI CO LTD
Industrials
893.00
1.68%
26.09.2013
6632 JT Equity
JVC KENWOOD CORP
Consumer Discretionary
250.00
2.00%
27.03.2014
4028 JT Equity
ISHIHARA SANGYO KAISHA LTD
Materials
6951 JT Equity
JEOL LTD
Health Care
407.00
0.61%
27.03.2013
9682 JT Equity
DTS CORP
Information Technology
1591.00
1.89%
26.09.2013
6804 JT Equity
HOSIDEN CORP
Information Technology
551.00
2.72%
26.09.2013
3103 JT Equity
UNITIKA LTD
Consumer Discretionary
52.00
2726 JT Equity
PAL CO LTD
Consumer Discretionary
2595.00
0.77%
26.02.2014
8897 JT Equity
TAKARA LEBEN CO LTD
Financials
1435.00
1.18%
26.09.2013
4997 JT Equity
NIHON NOHYAKU CO LTD
Materials
621.00
1.45%
27.03.2014
8876 JT Equity
RELO HOLDINGS INC
Financials
4150.00
1.81%
27.03.2014
7517 JT Equity
KURODA ELECTRIC CO LTD
Industrials
1112.00
2.61%
26.09.2013
7483 JT Equity
DOSHISHA CO LTD
Consumer Discretionary
2791.00
2.06%
26.09.2013
5602 JT Equity
KURIMOTO LTD
Materials
317.00
1.26%
26.09.2013
8395 JT Equity
BANK OF SAGA LTD/THE
Financials
242.00
2.48%
26.09.2013
3395 JT Equity
SAINT MARC HOLDINGS CO LTD
Consumer Discretionary
4545.00
2.35%
26.09.2013
3864 JT Equity
MITSUBISHI PAPER MILLS LTD
Materials
97.00
1.03%
27.03.2014
7545 JT Equity
NISHIMATSUYA CHAIN CO LTD
Consumer Discretionary
742.00
2.96%
16.08.2013
2613 JT Equity
J-OIL MILLS INC
Consumer Staples
308.00
2.60%
26.09.2013
4551 JT Equity
TORII PHARMACEUTICAL CO LTD
Health Care
2296.00
1.83%
26.09.2013
6462 JT Equity
RIKEN CORP
Consumer Discretionary
395.00
2.53%
26.09.2013
3104 JT Equity
FUJIBO HOLDINGS INC
Consumer Discretionary
286.00
1.75%
27.03.2014
1518 JT Equity
MITSUI MATSUSHIMA CO LTD
Industrials
195.00
2.05%
27.03.2014
8283 JT Equity
PALTAC CORP
Consumer Discretionary
1219.00
3.28%
26.09.2013
6737 JT Equity
EIZO NANAO CORP
Information Technology
1660.00
3.01%
26.09.2013
1813 JT Equity
FUDO TETRA CORP
Industrials
177.00
6277 JT Equity
HOSOKAWA MICRON CORP
Industrials
801.00
1.50%
27.03.2014
6997 JT Equity
NIPPON CHEMI-CON CORP
Information Technology
242.00
7976 JT Equity
MITSUBISHI PENCIL CO LTD
Industrials
1687.00
1.54%
26.06.2014
9616 JT Equity
KYORITSU MAINTENANCE CO LTD
Consumer Discretionary
2682.00
1.45%
26.09.2013
6801 JT Equity
TOKO INC
Information Technology
275.00
2281 JT Equity
PRIMA MEAT PACKERS LTD
Consumer Staples
220.00
0.91%
27.03.2014
1515 JT Equity
NITTETSU MINING CO LTD
Materials
483.00
1.45%
26.09.2013
6413 JT Equity
RISO KAGAKU CORP
Information Technology
1914.00
2.61%
27.03.2014
7421 JT Equity
KAPPA CREATE HOLDINGS CO LTD
Consumer Discretionary
1898.00
1.58%
26.02.2014
8111 JT Equity
GOLDWIN INC
Consumer Discretionary
572.00
1.05%
27.03.2014
8907 JT Equity
HOOSIERS CORP
Consumer Discretionary
103600.00
0.68%
26.09.2013
5384 JT Equity
FUJIMI INC
Materials
1429.00
2.45%
26.09.2013
3950 JT Equity
PACK CORP/THE
Materials
1836.00
2.72%
26.06.2014
9882 JT Equity
YELLOW HAT LTD
Consumer Discretionary
1455.00
1.72%
26.09.2013
5851 JT Equity
RYOBI LTD
Industrials
231.00
2.60%
26.09.2013
5310 JT Equity
TOYO TANSO CO LTD
Industrials
2328.00
0.86%
28.05.2014
2664 JT Equity
CAWACHI LTD
Consumer Staples
1964.00
2.04%
12.03.2014
7840 JT Equity
FRANCE BED HOLDINGS CO LTD
Consumer Discretionary
214.00
1.99%
26.09.2013
7241 JT Equity
FUTABA INDUSTRIAL CO LTD
Consumer Discretionary
440.00
5727 JT Equity
TOHO TITANIUM CO LTD
Materials
754.00
0.40%
27.03.2014
1982 JT Equity
HIBIYA ENGINEERING LTD
Industrials
971.00
3.09%
26.09.2013
6794 JT Equity
FOSTER ELECTRIC CO LTD
Consumer Discretionary
1304.00
2.30%
26.09.2013
6820 JT Equity
ICOM INC
Information Technology
2397.00
0.83%
26.09.2013
1884 JT Equity
NIPPON ROAD CO LTD
Industrials
397.00
1.76%
27.03.2014
5192 JT Equity
MITSUBOSHI BELTING CO LTD
Industrials
497.00
3.02%
26.09.2013
1885 JT Equity
TOA CORP
Industrials
134.00
6728 JT Equity
ULVAC INC
Information Technology
777.00
1961 JT Equity
SANKI ENGINEERING CO LTD
Industrials
513.00
2.92%
26.09.2013
3167 JT Equity
TOKAI HOLDINGS CORP
Industrials
338.00
3.55%
26.09.2013
3028 JT Equity
ALPEN CO LTD
Consumer Discretionary
1727.00
2.17%
26.12.2013
2109 JT Equity
MITSUI SUGAR CO LTD
Consumer Staples
295.00
2.71%
26.09.2013
3738 JT Equity
T-GAIA CORP
Consumer Discretionary
1055.00
3.34%
26.09.2013
2211 JT Equity
FUJIYA CO LTD
Consumer Staples
201.00
1.00%
5563 JT Equity
NIPPON DENKO CO LTD
Materials
312.00
1.60%
26.12.2014
5930 JT Equity
BUNKA SHUTTER CO LTD
Industrials
476.00
2.31%
26.09.2013
5632 JT Equity
MITSUBISHI STEEL MFG CO LTD
Materials
202.00
0.99%
26.09.2013
7972 JT Equity
ITOKI CORP
Industrials
605.00
2.07%
26.12.2014
5331 JT Equity
NORITAKE CO LTD
Industrials
234.00
1.92%
27.03.2013
6877 JT Equity
OBARA GROUP INC
Industrials
1776.00
1.13%
27.03.2014
4633 JT Equity
SAKATA INX CORP
Materials
592.00
2.20%
26.09.2013
6875 JT Equity
MEGACHIPS CORP
Information Technology
1510.00
1.99%
27.03.2013
6839 JT Equity
FUNAI ELECTRIC CO LTD
Consumer Discretionary
1227.00
3.26%
27.03.2013
2327 JT Equity
NS SOLUTIONS CORP
Information Technology
1866.00
2.14%
26.09.2013
6517 JT Equity
DENYO CO LTD
Industrials
1243.00
1.37%
26.09.2013
7494 JT Equity
KONAKA CO LTD
Consumer Discretionary
1050.00
1.90%
27.03.2014
5812 JT Equity
HITACHI CABLE LTD
Industrials
149.00
6844 JT Equity
SHINDENGEN ELECTRIC MFG
Information Technology
377.00
0.93%
27.03.2014
5302 JT Equity
NIPPON CARBON CO LTD
Industrials
219.00
2.28%
26.12.2014
5805 JT Equity
SWCC SHOWA HOLDINGS CO LTD
Industrials
90.00
8037 JT Equity
KAMEI CORP
Industrials
1033.00
1.45%
26.09.2013
7294 JT Equity
YOROZU CORP
Consumer Discretionary
1640.00
1.16%
26.09.2013
4996 JT Equity
KUMIAI CHEMICAL INDUSTRY CO
Materials
556.00
1.08%
29.10.2014
4078 JT Equity
SAKAI CHEMICAL INDUSTRY CO
Materials
304.00
2.63%
26.09.2013
6706 JT Equity
DENKI KOGYO CO LTD
Information Technology
441.00
1.59%
27.03.2014
8059 JT Equity
DAIICHI JITSUGYO CO LTD
Industrials
515.00
3.11%
26.09.2013
2466 JT Equity
PGM HOLDINGS K K
Consumer Discretionary
78200.00
1.28%
26.12.2014
8133 JT Equity
ITOCHU ENEX CO LTD
Energy
528.00
3.03%
26.09.2013
6652 JT Equity
IDEC CORP
Industrials
880.00
3.41%
26.09.2013
7250 JT Equity
PACIFIC INDUSTRIAL CO LTD
Consumer Discretionary
562.00
1.60%
26.09.2013
8196 JT Equity
KASUMI CO LTD
Consumer Staples
564.00
2.48%
28.08.2013
6247 JT Equity
HISAKA WORKS LTD
Industrials
861.00
2.32%
26.09.2013
2678 JT Equity
ASKUL CORP
Consumer Discretionary
1350.00
2.22%
18.11.2013
1926 JT Equity
RAITO KOGYO CO LTD
Industrials
451.00
1.77%
27.03.2014
6730 JT Equity
AXELL CORP
Information Technology
2257.00
4.43%
26.09.2013
8536 JT Equity
HIGASHI-NIPPON BANK LTD/THE
Financials
261.00
3.07%
26.09.2013
6419 JT Equity
MARS ENGINEERING CORP
Consumer Discretionary
1983.00
2.77%
26.09.2013
6486 JT Equity 5195 JT Equity
EAGLE INDUSTRY CO LTD BANDO CHEMICAL INDUSTRIES
Consumer Discretionary Industrials
898.00 308.00
1.34% 2.92%
26.09.2013 26.09.2013
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: 2 IVt = atx + btx + ct
ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 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
80.00
27.03.2014
27.03.2013
27.03.2014 26.06.2013
27.03.2013
27.03.2014
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
26.03.2013
TOPIX 1000 Index - TPX1000
Ticker 1301 JT Equity 9946 JT Equity 6999 JT Equity 8097 JT Equity 7995 JT Equity 3315 JT Equity 5809 JT Equity 7905 JT Equity 2108 JT Equity 2572 JT Equity 6929 JT Equity 6278 JT Equity 6430 JT Equity 6910 JT Equity 7245 JT Equity 7611 JT Equity 8200 JT Equity 5741 JT Equity 7456 JT Equity 1890 JT Equity 9037 JT Equity 2322 JT Equity 6507 JT Equity 9997 JT Equity 6676 JT Equity 9842 JT Equity 8141 JT Equity 2918 JT Equity 3529 JT Equity 6966 JT Equity 4549 JT Equity 8068 JT Equity 6440 JT Equity 5976 JT Equity 5410 JT Equity 6935 JT Equity 6363 JT Equity 6368 JT Equity 1964 JT Equity 4714 JT Equity 7942 JT Equity 7631 JT Equity 2695 JT Equity 2317 JT Equity 7958 JT Equity 8089 JT Equity 9900 JT Equity 8150 JT Equity 6641 JT Equity 1719 JT Equity 7283 JT Equity 6482 JT Equity 9305 JT Equity 5196 JT Equity 9742 JT Equity 4514 JT Equity 3730 JT Equity 1919 JT Equity 7613 JT Equity 8084 JT Equity 5017 JT Equity 2792 JT Equity 6985 JT Equity 2290 JT Equity 7236 JT Equity 6459 JT Equity 6584 JT Equity 2440 JT Equity 1968 JT Equity 3433 JT Equity 3397 JT Equity 7266 JT Equity 5449 JT Equity 9470 JT Equity 5480 JT Equity 5981 JT Equity 4109 JT Equity 6779 JT Equity 4775 JT Equity 3636 JT Equity 8168 JT Equity 5210 JT Equity 7007 JT Equity 8154 JT Equity 6798 JT Equity 3109 JT Equity 6345 JT Equity 7769 JT Equity 7970 JT Equity 1959 JT Equity 9370 JT Equity 6768 JT Equity 7944 JT Equity 6445 JT Equity 1661 JT Equity 4008 JT Equity 6859 JT Equity 6924 JT Equity 1805 JT Equity 6317 JT Equity 6617 JT Equity 1868 JT Equity 6742 JT Equity 8155 JT Equity 3333 JT Equity 2533 JT Equity 6815 JT Equity 8178 JT Equity 6796 JT Equity 6644 JT Equity 6355 JT Equity 1819 JT Equity 4228 JT Equity 6958 JT Equity 8029 JT Equity 8248 JT Equity 6723 JT Equity 5453 JT Equity 6505 JT Equity 4047 JT Equity 5344 JT Equity 7952 JT Equity 2715 JT Equity 4825 JT Equity 7873 JT Equity 7756 JT Equity
Name KYOKUYO CO LTD MINISTOP CO LTD KOA CORP SAN-AI OIL CO LTD NIPPON VALQUA INDUSTRIES LTD NIPPON COKE & ENGINEERING CO TATSUTA ELEC WIRE & CABLE DAIKEN CORP NIPPON BEET SUGAR MFG CO LTD MIKUNI COCA-COLA BOTTLING CO NIPPON CERAMIC CO LTD UNION TOOL CO DAIKOKU DENKI CO LTD HITACHI MEDICAL CORP DAIDO METAL CO LTD HIDAY HIDAKA CORP RINGER HUT CO LTD FURUKAWA-SKY ALUMINUM CORP MATSUDA SANGYO CO LTD TOYO CONSTRUCTION CO LTD HAMAKYOREX CO LTD NEC FIELDING LTD SINFONIA TECHNOLOGY CO LTD BELLUNA CO LTD MELCO HOLDINGS INC ARC LAND SAKAMOTO CO LTD SHINKO SHOJI CO LTD WARABEYA NICHIYO CO LTD ATSUGI CO LTD MITSUI HIGH-TEC INC EIKEN CHEMICAL CO LTD RYOYO ELECTRO CORP JUKI CORP NETUREN CO LTD GODO STEEL LTD JAPAN DIGITAL LABORATORY CO TORISHIMA PUMP MFG CO LTD ORGANO CORP CHUGAI RO CO LTD RISO KYOIKU CO LTD JSP CORP MACNICA INC KURA CORP SYSTENA CORP TENMA CORP NICE HOLDINGS INC SAGAMI CHAIN CO LTD SANSHIN ELECTRONICS CO LTD NISSIN ELECTRIC CO LTD HAZAMA CORP AISAN INDUSTRY CO LTD YUSHIN PRECISION EQUIPMENT YAMATANE CORP KINUGAWA RUBBER INDUSTRIAL INES CORP ASKA PHARMACEUTICAL CO LTD MACROMILL INC SXL CORP SIIX CORP RYODEN TRADING CO LTD AOC HOLDINGS INC HONEYS CO LTD U-SHIN LTD YONEKYU CORP T RAD CO LTD DAIWA INDUSTRIES LTD SANOH INDUSTRIAL CO LTD GURUNAVI INC TAIHEI DENGYO KAISHA LTD TOCALO CO LTD TORIDOLL.CORP IMASEN ELECTRIC INDUSTRIAL OSAKA STEEL CO LTD GAKKEN HOLDINGS CO LTD NIPPON YAKIN KOGYO CO LTD TOKYO ROPE MFG CO LTD STELLA CHEMIFA CORP NIHON DEMPA KOGYO CO LTD SOGO MEDICAL CO LTD MITSUBISHI RESEARCH INSTITUT KEIYO CO LTD NIHON YAMAMURA GLASS CO LTD SASEBO HEAVY INDUSTRIES CO KAGA ELECTRONICS CO LTD SMK CORP SHIKIBO LTD AICHI CORP RHYTHM WATCH CO LTD SHIN-ETSU POLYMER CO LTD KYUDENKO CORP YUSEN LOGISTICS CO LTD TAMURA CORP ROLAND CORP JANOME SEWING MACHINE CO LTD KANTO NATURAL GAS DEVELOP SUMITOMO SEIKA CHEMICALS CO ESPEC CORP IWASAKI ELECTRIC CO LTD TOBISHIMA CORP KITAGAWA IRON WORKS CO LTD TAKAOKA TOKO HOLDINGS CO LTD MITSUI HOME CO LTD KYOSAN ELECTRIC MFG CO LTD MIMASU SEMICONDUCTOR INDUST ASAHI CO LTD OENON HOLDINGS INC UNIDEN CORP MARUETSU INC/THE CLARION CO LTD OSAKI ELECTRIC CO LTD SUMITOMO PRECISION PRODUCTS TAIHEI KOGYO CO LTD SEKISUI PLASTICS CO LTD CMK CORP LOOK INC NISSEN HOLDINGS CO LTD RENESAS ELECTRONICS CORP TOYO KOHAN CO LTD TOYO DENKI SEIZO -TOYO ELEC KANTO DENKA KOGYO CO LTD MARUWA CO LTD KAWAI MUSICAL INSTRUMENTS MF ELEMATEC CORP WEATHERNEWS INC ARRK CORP NIDEC COPAL CORP
GICS_SECTOR_NAME Consumer Staples Consumer Staples Information Technology Energy Materials Materials Industrials Materials Consumer Staples Consumer Staples Information Technology Industrials Consumer Discretionary Health Care Consumer Discretionary Consumer Discretionary Consumer Discretionary Materials Industrials Industrials Industrials Information Technology Industrials Consumer Discretionary Information Technology Consumer Discretionary Information Technology Consumer Staples Consumer Discretionary Information Technology Health Care Information Technology Industrials Materials Materials Information Technology Industrials Industrials Industrials Consumer Discretionary Materials Information Technology Consumer Discretionary Information Technology Materials Consumer Discretionary Consumer Discretionary Information Technology Industrials Industrials Consumer Discretionary Industrials Consumer Discretionary Consumer Discretionary Information Technology Health Care Information Technology Consumer Discretionary Information Technology Information Technology Energy Consumer Discretionary Consumer Discretionary Consumer Staples Consumer Discretionary Industrials Consumer Discretionary Information Technology Industrials Industrials Consumer Discretionary Consumer Discretionary Materials Consumer Discretionary Materials Materials Materials Information Technology Consumer Staples Information Technology Consumer Discretionary Materials Industrials Information Technology Information Technology Consumer Discretionary Industrials Consumer Discretionary Materials Industrials Industrials Information Technology Consumer Discretionary Consumer Discretionary Energy Materials Information Technology Industrials Industrials Industrials Industrials Consumer Discretionary Industrials Information Technology Consumer Discretionary Consumer Staples Information Technology Consumer Staples Consumer Discretionary Information Technology Industrials Industrials Materials Information Technology Consumer Discretionary Consumer Discretionary Information Technology Materials Industrials Materials Information Technology Consumer Discretionary Information Technology Industrials Industrials Consumer Discretionary
ATM4 Ref 232.00 1510.00 875.00 478.00 252.00 129.00 554.00 267.00 189.00 923.00 1640.00 1867.00 2584.00 1443.00 759.00 2034.00 1181.00 297.00 1454.00 297.00 3620.00 1217.00 171.00 835.00 1642.00 1584.00 938.00 1506.00 115.00 694.00 1334.00 848.00 153.00 705.00 166.00 1150.00 800.00 533.00 266.00 9040.00 1403.00 1887.00 1637.00 90000.00 1122.00 238.00 794.00 654.00 457.00 224.00 886.00 1834.00 199.00 478.00 669.00 725.00 1162.00 156.00 1416.00 625.00 364.00 1132.00 629.00 888.00 257.00 536.00 675.00 1178.00 613.00 1436.00 989.00 1150.00 1595.00 281.00 108.00 116.00 1783.00 975.00 3385.00 2077.00 477.00 189.00 120.00 799.00 266.00 121.00 447.00 170.00 372.00 423.00 966.00 197.00 795.00 78.00 663.00 384.00 723.00 204.00 107.00 164.00 1452.00 504.00 337.00 804.00 1231.00 243.00 235.00 337.00 128.00 511.00 405.00 343.00 249.00 307.00 373.00 366.00 250.00 295.00 328.00 253.00 2704.00 180.00 1346.00 2355.00 165.00 650.00
Dividend Yield
Next ExDividend Date
2.16% 3.05% 2.29% 2.72% 3.97% 2.33% 1.62% 2.81% 2.65% 1.30% 1.22% 1.61% 1.55% 0.69% 1.71% 1.87% 0.85% 2.36% 1.65% 1.68% 1.13% 3.29% 1.75% 1.80% 2.44% 1.89% 3.73% 1.99% 2.61% 1.44% 2.25% 3.54% 1.96% 1.42% 0.90% 1.74% 2.25% 2.81% 2.26% 3.76% 2.21% 2.12% 0.73% 3.00% 2.23% 1.68%
27.03.2014 28.08.2013 26.09.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2014 26.12.2013 26.12.2014 28.05.2014 26.09.2013 26.09.2013 26.09.2013 28.08.2013 28.08.2013 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 16.08.2013 26.09.2013 26.02.2014 27.03.2014 29.07.2014 26.09.2013 29.07.2014 26.12.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2014 28.08.2013 26.09.2013 26.09.2013 29.10.2014 26.09.2013 26.09.2013 27.03.2014
3.36% 2.19% 1.34% 1.58% 1.09% 1.51% 1.67% 2.39% 1.93% 1.98%
26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.12.2013
2.26% 3.20% 1.65% 3.09% 1.59% 2.03% 2.33% 1.87% 2.96% 1.87% 2.45% 2.96% 1.87% 1.83% 1.41% 1.78%
26.06.2014 26.09.2013 27.03.2014 27.11.2013 28.05.2014 26.02.2014 26.09.2013 26.06.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2014
5.01% 1.88% 1.65% 2.68% 1.47% 2.55% 2.36% 1.86% 1.52% 2.20%
27.03.2014 26.09.2013 26.09.2013 26.09.2013 27.03.2014 28.08.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2014 27.03.2014 26.09.2013 27.03.2014 26.09.2013 26.09.2013 26.09.2013 26.09.2013 26.09.2013
1.81% 2.60% 2.63%
26.06.2014 26.09.2013 26.09.2013
1.22% 1.72% 3.17% 2.97% 3.11% 0.97% 2.88% 3.19% 1.78%
27.03.2014 27.03.2014 26.09.2013 26.09.2013 27.11.2013 18.02.2014 26.12.2014 27.03.2013 28.08.2013
2.64% 1.73% 2.33% 3.21% 0.81% 0.80% 2.73%
26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.03.2013 26.12.2014 18.06.2014
2.71% 1.83% 1.58% 1.15% 2.22% 3.34% 1.70%
26.09.2013 28.05.2014 26.09.2013 26.09.2013 27.03.2014 26.09.2013 27.11.2013
2.31%
26.09.2013
2.13% 2.05% 2.51% 1.44% 2.62% 3.17%
At The Money Implied Volatilities by Terms
Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct
ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 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
35.51
46.01
45.31
-0.047 0.152
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
0.272
0.011 -0.001 0.001