Bloomberg News

Percentile of Call vs Put Skew Spread for S&P 500 Companies

December 03, 2012

The following table shows the percentile rank over the past year for the 90%-110% skew spread, a measure of how expensive puts, or bearish bets, are relative to calls. The data was calculated using 30-day implied volatility of S&P 500 companies. The stocks in the screen had a daily average of more than 500 contracts trading in the past 20 days and an open interest of more than 10,000 options, according to data as of Nov. 30 compiled by Bloomberg. To see the skew data from the Bloomberg Function: {IBM US <EQUITY> GV <GO>}, or use the attached screen for selections {97 <GO>}.

Highest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
GAMESTOP CORP-A        42.19     35.42      6.77     97.22       76.10
PPG INDS INC           29.65     17.72     11.93     97.22       51.79
CLOROX CO              19.35      9.77      9.58     96.43       16.34
COLGATE-PALMOLIV       22.72     10.20     12.52     96.43       96.81
LOCKHEED MARTIN        26.84     15.05     11.79     96.03       46.22
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
MEAD JOHNSON           26.26     18.27      7.99     96.03       98.81
COGNIZANT TECH-A       30.71     19.83     10.88     94.44       47.01
GAP INC/THE            31.93     22.17      9.76     93.25       95.22
WALGREEN CO            27.20     19.09      8.11     92.06       98.81
HERSHEY CO/THE         22.54     13.67      8.87     91.67       94.42

Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
INGERSOLL-RAND         25.53     20.84      4.69      0.00       30.28
NYSE EURONEXT          27.64     26.66      0.98      0.00       11.16
BIOGEN IDEC INC        28.78     29.28     -0.50      0.00        0.40
CARMAX INC             39.60     34.88      4.72      0.00        6.38
VERISIGN INC           34.87     32.14      2.73      0.40       98.41
MERCK & CO             21.44     20.48      0.97      0.40        0.40
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
INTEL CORP             29.68     26.67      3.01      0.40        8.37
HUNTINGTON BANC        26.58     30.39     -3.80      0.40       81.28
APACHE CORP            27.94     24.37      3.57      0.40        6.77
WILLIAMS COS INC       27.36     29.35     -1.99      0.40        1.60

S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
GAMESTOP CORP-A        42.19     35.42      6.77     97.22       76.10
PPG INDS INC           29.65     17.72     11.93     97.22       51.79
CLOROX CO              19.35      9.77      9.58     96.43       16.34
COLGATE-PALMOLIV       22.72     10.20     12.52     96.43       96.81
LOCKHEED MARTIN        26.84     15.05     11.79     96.03       46.22
MEAD JOHNSON           26.26     18.27      7.99     96.03       98.81
COGNIZANT TECH-A       30.71     19.83     10.88     94.44       47.01
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
GAP INC/THE            31.93     22.17      9.76     93.25       95.22
WALGREEN CO            27.20     19.09      8.11     92.06       98.81
HERSHEY CO/THE         22.54     13.67      8.87     91.67       94.42
LYONDELLBASELL-A       36.24     26.17     10.07     91.27       82.87
GOODYEAR TIRE          39.60     30.06      9.55     91.27        0.40
ABERCROMBIE & FI       42.82     35.77      7.05     90.48       99.20
AUTOZONE INC           30.71     22.24      8.48     89.68       64.54
PROCTER & GAMBLE       23.32     12.63     10.69     88.49       98.01
UNION PAC CORP         28.38     16.60     11.78     87.70       68.13
TITANIUM METALS        22.35     14.79      7.55     87.30        1.59
KIMBERLY-CLARK         19.89     10.10      9.79     86.11       37.45
JDS UNIPHASE           43.52     35.89      7.64     86.11       97.61
FIFTH THIRD BANC       33.24     21.49     11.75     85.71       35.06
CINTAS CORP            28.28     19.72      8.55     84.92       50.60
COCA-COLA CO/THE       22.80     14.22      8.58     84.92       84.06
GENERAL MILLS IN       21.78     11.15     10.63     82.94       86.45
CISCO SYSTEMS          25.95     17.85      8.09     82.94       88.45
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
RANGE RESOURCES        32.86     29.24      3.62     82.94       99.60
LAM RESEARCH           33.55     25.62      7.93     82.54       93.23
BAKER HUGHES INC       32.05     23.31      8.74     80.16       64.94
CH ROBINSON            25.35     16.47      8.88     80.16       80.88
EATON CORP             29.94     19.87     10.07     80.16       57.37
TENET HEALTHCARE       37.32     30.84      6.48     78.88       82.80
NIKE INC -CL B         31.64     23.77      7.86     76.59       99.20
KINDER MORGAN IN       26.73     21.63      5.10     76.59       43.83
CONAGRA FOODS          23.88     17.00      6.88     75.79       72.91
CONSTELLATION-A        40.99     34.31      6.69     75.40       86.06
EXXON MOBIL CORP       23.84     13.99      9.85     75.40       93.63
CONOCOPHILLIPS         24.84     15.54      9.31     75.30       89.20
HARTFORD FINL SV       34.34     25.35      8.99     75.00       76.89
TARGET CORP            24.30     15.43      8.87     73.81       82.87
ELI LILLY & CO         23.92     18.35      5.57     73.41       92.03
ADT CORP/THE           25.39     23.23      2.16     73.17        5.56
CABOT OIL & GAS        34.84     29.91      4.93     73.02       72.91
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
MICROCHIP TECH         30.43     20.78      9.65     72.22       61.36
MONSTER BEVERAGE       47.52     39.59      7.93     72.22       98.01
STATE ST CORP          30.03     18.58     11.45     72.22       75.30
JOHNSON&JOHNSON        18.04     11.37      6.67     71.43       84.86
WATSON PHARM           23.57     16.77      6.80     71.43       89.24
EXPEDIA INC            35.18     28.83      6.35     70.52       47.60
MYLAN INC              27.87     18.50      9.37     70.24       59.76
VULCAN MATERIALS       38.37     29.27      9.10     69.84       91.63
SOUTHWESTRN ENGY       34.38     28.78      5.60     69.84       94.82
EASTMAN CHEMICAL       34.19     24.82      9.37     69.84       99.60
3M CO                  24.30     13.62     10.67     68.25       82.87
XEROX CORP             36.11     30.98      5.13     68.25       85.66
BOSTON SCIENTIFC       36.06     31.50      4.55     67.46       71.32
RED HAT INC            43.79     38.80      4.98     67.06       80.48
VISA INC-CLASS A       25.54     18.92      6.62     65.48       84.06
BANK OF AMERICA        36.86     31.20      5.65     65.48       67.33
DOVER CORP             27.42     17.94      9.48     64.68       39.44
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
MOSAIC CO/THE          33.45     26.62      6.83     64.29       53.39
CME GROUP INC          26.97     18.60      8.37     63.89       64.14
FASTENAL CO            32.56     23.51      9.05     63.89       66.53
WELLS FARGO & CO       27.35     17.58      9.77     63.49       35.06
AFLAC INC              29.34     17.99     11.36     63.10       93.63
AMGEN INC              22.45     15.73      6.72     63.10       71.71
MCKESSON CORP          21.59     13.01      8.59     61.51       64.94
SUNTRUST BANKS         34.30     24.15     10.15     60.71       71.32
BECTON DICKINSON       19.12     13.33      5.79     59.52        0.00
DIAMOND OFFSHORE       26.86     18.10      8.75     59.52       70.92
MORGAN STANLEY         39.26     31.67      7.59     58.73       68.92
HASBRO INC             27.83     21.51      6.32     58.73       46.61
QUALCOMM INC           24.85     17.21      7.64     58.33       58.57
DUKE ENERGY CORP       17.92     11.98      5.94     57.37       90.80
BLACKROCK INC          27.46     16.97     10.49     56.75       22.31
AMAZON.COM INC         32.32     25.37      6.95     56.75       92.03
HELMERICH & PAYN       37.17     30.14      7.03     56.35       74.90
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
CVS CAREMARK COR       23.83     15.31      8.52     56.35       80.08
TERADATA CORP          34.83     28.04      6.79     56.35       65.34
CARNIVAL CORP          31.99     23.79      8.20     56.35       44.22
KEYCORP                33.91     25.25      8.66     55.95       74.50
REYNOLDS AMERICA       21.37     12.83      8.53     55.56       45.02
UNITED PARCEL-B        22.45     13.72      8.73     55.16       46.22
NETAPP INC             36.60     33.64      2.96     54.76       52.19
MOODY’S CORP           30.09     20.84      9.25     54.37       90.84
PEPSICO INC            19.66     11.96      7.70     52.78       75.70
CATERPILLAR INC        27.62     19.75      7.87     52.78       45.82
ALTERA CORP            31.18     24.27      6.91     52.38       41.83
BORGWARNER INC         34.63     27.21      7.43     52.38       42.23
COMERICA INC           29.17     20.02      9.15     52.38       57.37
NORTHROP GRUMMAN       25.57     16.07      9.50     51.98        4.38
PFIZER INC             20.36     12.94      7.42     51.59       11.55
SPRINT NEXTEL CO       21.75     18.23      3.52     51.59       95.62
SLM CORP               34.39     24.28     10.12     50.79       62.15
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
BERKSHIRE HATH-B       22.88     14.28      8.60     50.79       54.58
STARBUCKS CORP         32.34     26.03      6.31     50.40       80.88
HJ HEINZ CO            18.47     12.04      6.43     50.00       21.91
LIFE TECHNOLOGIE       28.19     22.65      5.54     50.00       66.93
WESTERN DIGITAL        37.65     33.20      4.45     49.60       64.14
DEERE & CO             25.82     17.76      8.06     49.60       51.00
DARDEN RESTAURAN       28.47     21.33      7.13     49.21       37.05
BRISTOL-MYER SQB       24.04     15.71      8.33     49.21       71.32
CHUBB CORP             23.53     13.32     10.21     48.81       56.57
SCHWAB (CHARLES)       29.30     22.44      6.86     48.81       80.48
ALLERGAN INC           22.56     14.69      7.87     48.81       80.08
EMERSON ELEC CO        26.60     15.76     10.85     48.02       15.54
AMERICAN INTERNA       31.46     26.10      5.36     47.41       62.80
VALERO ENERGY          35.62     30.39      5.23     47.22       54.18
HALLIBURTON CO         31.23     24.81      6.42     47.22       70.12
TEXTRON INC            33.23     26.02      7.21     47.22       90.84
FRONTIER COMMUNI       33.33     31.33      2.00     46.43       37.05
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
BALL CORP              22.97     16.35      6.62     46.03       38.25
MOTOROLA SOLUTIO       25.60     18.51      7.09     46.03       91.24
EDISON INTL            19.86     14.03      5.83     45.64       78.49
GOOGLE INC-CL A        28.21     23.67      4.54     45.24       59.76
BOEING CO/THE          25.75     16.78      8.96     45.24       45.02
TYSON FOODS-A          28.21     22.56      5.66     44.84       41.04
SOUTHWEST AIR          27.63     24.73      2.90     44.84       23.51
AT&T INC               24.02     16.49      7.54     44.84       83.27
FAMILY DOLLAR ST       28.10     23.68      4.41     44.44       78.49
BROADCOM CORP-A        31.53     25.04      6.49     44.05       13.55
CIGNA CORP             28.93     22.83      6.10     43.65       49.40
CONSOL ENERGY          41.64     34.49      7.16     42.86       64.94
MCDONALDS CORP         21.76     16.48      5.28     42.86        3.98
ADOBE SYS INC          31.92     26.38      5.54     42.86       68.92
F5 NETWORKS            38.94     34.08      4.86     42.06       62.55
FOREST LABS INC        24.38     24.59     -0.21     41.67       74.90
LIMITED BRANDS         29.21     21.04      8.17     40.87       49.00
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
SEALED AIR CORP        34.99     32.57      2.41     40.87       19.92
ANADARKO PETROLE       30.95     26.95      4.00     40.48       34.66
MONSANTO CO            27.47     20.83      6.64     40.48       61.75
INTERCONTINENTAL       23.78     15.78      7.99     40.08       59.76
REGIONS FINANCIA       37.27     29.65      7.62     39.68       91.24
CERNER CORP            29.96     24.44      5.52     39.29       48.21
US BANCORP             26.57     16.20     10.37     38.89       68.92
ZIMMER HLDGS           23.77     17.94      5.83     38.89       26.69
PRECISION CASTPT       24.90     16.47      8.42     38.49       47.81
PRICELINE.COM          31.18     26.84      4.34     38.49       26.30
BOSTON PROPERTIE       24.38     15.47      8.91     38.10       86.06
CF INDUSTRIES HO       30.52     25.20      5.31     38.10       72.91
DAVITA HEALTHCAR       31.32     23.06      8.26     38.10       57.37
SIMON PROPERTY         23.12     11.74     11.38     37.70       30.28
FREEPORT-MCMORAN       34.91     27.74      7.16     35.71       63.35
BMC SOFTWARE INC       21.13     18.51      2.62     35.71       49.80
GOLDMAN SACHS GP       30.91     24.64      6.27     35.32       54.18
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
SHERWIN-WILLIAMS       29.18     20.47      8.71     34.92       29.88
PLUM CREEK TIMBR       23.86     14.02      9.84     34.92       79.68
SAFEWAY INC            34.91     31.89      3.02     34.52       32.27
LEUCADIA NATL          27.79     23.50      4.29     34.52       15.94
LORILLARD INC          27.70     18.86      8.84     34.52       29.48
VENTAS INC             19.81     13.78      6.02     34.13       31.47
TRIPADVISOR INC        35.28     32.07      3.21     33.76       87.50
US STEEL CORP          44.10     39.22      4.89     33.73       73.71
WYNN RESORTS LTD       30.84     26.08      4.75     33.73       51.00
CONS EDISON INC        17.04     12.51      4.52     33.73        7.57
AMERICAN EXPRESS       25.87     17.62      8.25     33.73       58.96
MURPHY OIL CORP        32.38     26.99      5.39     33.73       25.10
WYNDHAM WORLDWID       29.09     21.06      8.03     33.33       41.83
LINCOLN NATL CRP       34.92     26.16      8.76     33.33       91.63
AETNA INC              25.52     20.88      4.63     32.94       45.42
WHOLE FOODS MKT        26.65     21.28      5.37     32.54       50.60
J.C. PENNEY CO         58.18     53.32      4.86     32.54       52.19
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
CHEVRON CORP           25.26     17.64      7.62     32.14       33.87
TESORO CORP            38.63     33.52      5.11     32.14       32.67
METLIFE INC            30.48     24.66      5.81     31.75       31.87
GANNETT CO             31.17     25.49      5.68     31.75       18.33
CORNING INC            29.48     24.56      4.92     31.35       54.98
HESS CORP              33.94     28.51      5.43     30.95       38.25
MCGRAW-HILL COS        24.13     18.37      5.76     30.95       67.73
NOBLE ENERGY INC       28.26     21.54      6.72     30.56       86.06
FIRST SOLAR INC        69.01     64.64      4.37     30.16       54.98
CSX CORP               28.06     20.71      7.35     30.16       22.31
ALEXION PHARM          31.60     27.56      4.04     29.76       20.32
APOLLO GROUP-A         53.37     46.49      6.87     29.76       43.83
DOW CHEMICAL CO        30.81     21.74      9.08     28.97       28.29
DISCOVER FINANCI       33.85     26.45      7.40     28.97       49.40
GENERAL DYNAMICS       26.93     17.52      9.40     28.97       14.74
TEXAS INSTRUMENT       30.23     21.55      8.68     28.97        6.38
CA INC                 21.72     15.95      5.77     28.57        9.16
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
COSTCO WHOLESALE       24.44     17.94      6.50     28.18       33.47
VERIZON COMMUNIC       23.65     16.70      6.95     28.18       66.53
BEST BUY CO INC        89.69     90.09     -0.40     27.38       14.74
WAL-MART STORES        20.93     15.08      5.85     26.98       14.34
ESTEE LAUDER           26.53     19.82      6.71     26.98       19.52
SANDISK CORP           35.73     31.64      4.09     26.59       52.99
PHILLIPS 66            35.47     32.07      3.40     26.35       25.18
ABBOTT LABS            21.04     15.31      5.73     26.19       68.13
WW GRAINGER INC        26.19     18.35      7.85     26.19       45.82
TIME WARNER INC        25.24     15.76      9.47     26.19       20.32
AMERISOURCEBERGE       19.99     13.75      6.24     25.00        0.00
ROWAN COMPANIE-A       33.78     28.20      5.58     25.00       28.69
INTUITIVE SURGIC       28.47     23.64      4.82     25.00       45.02
PEABODY ENERGY         45.92     39.48      6.44     24.60       45.82
PULTEGROUP INC         51.23     44.82      6.41     24.60        9.56
RR DONNELLEY & S       41.96     35.99      5.97     24.60       62.55
PPL CORPORATION        12.99     10.76      2.22     24.21       16.34
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
DOMINION RES/VA        17.02     11.80      5.23     24.21       55.78
INTL GAME TECH         41.28     36.13      5.15     23.81       23.51
CITIGROUP INC          36.85     30.43      6.41     23.41       85.66
EBAY INC               31.83     25.76      6.07     23.41       74.10
MASCO CORP             39.40     32.97      6.43     23.02       69.72
NORFOLK SOUTHERN       26.42     18.61      7.81     22.62       21.51
EMC CORP/MA            30.53     24.76      5.77     22.62       74.10
BB&T CORP              29.07     21.04      8.03     21.83       15.14
AVON PRODUCTS          40.80     41.11     -0.30     21.83       79.68
NABORS INDS LTD        39.44     36.64      2.80     20.64       12.35
AIR PRODS & CHEM       22.46     14.28      8.19     20.64       23.90
CAPITAL ONE FINA       29.77     22.02      7.75     20.64       70.52
AGILENT TECH INC       29.60     21.85      7.75     20.64       56.97
AMERICAN TOWER C       25.47     15.15     10.33     20.24       38.25
NETFLIX INC            53.73     51.52      2.21     20.24       16.73
E*TRADE FINANCIA       35.49     34.26      1.22     20.24       41.43
HOME DEPOT INC         24.38     17.21      7.17     20.24       12.35
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
MICRON TECH            45.69     45.31      0.37     19.84       39.84
SCHLUMBERGER LTD       30.17     22.75      7.43     19.84       21.91
INTERPUBLIC GRP        31.84     33.06     -1.23     19.84       17.53
NVIDIA CORP            34.62     34.19      0.43     19.84       39.04
FOSSIL INC             39.07     34.81      4.26     19.44       18.73
NASDAQ OMX GROUP       23.31     17.22      6.09     19.44       31.47
FEDEX CORP             27.93     20.60      7.33     19.05       51.79
TJX COS INC            27.56     20.47      7.09     19.05       25.90
UNITED TECH CORP       25.39     16.24      9.15     19.05       38.65
HARLEY-DAVIDSON        30.96     22.86      8.10     19.05       14.74
ANALOG DEVICES         24.18     16.89      7.29     18.65       43.03
PITNEY BOWES INC       38.32     30.90      7.42     18.65       32.27
WALT DISNEY CO         23.10     16.90      6.20     18.65       31.87
BED BATH &BEYOND       37.22     32.50      4.72     18.25       11.16
M&T BANK CORP          25.06     17.24      7.81     18.25       54.98
EQUITY RESIDENTI       24.11     16.06      8.05     17.86       15.54
BANK NY MELLON         30.60     21.76      8.84     17.86       50.20
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
ALTRIA GROUP INC       20.69     13.45      7.24     17.46       27.09
PRUDENTL FINL          30.18     22.99      7.19     17.46       17.53
APPLE INC              32.46     29.72      2.74     17.06       42.63
EXPEDITORS INTL        25.55     19.32      6.24     16.67        1.59
JPMORGAN CHASE         28.98     22.61      6.38     16.27       20.32
CLIFFS NATURAL R       53.64     49.53      4.11     16.27       41.04
ACCENTURE PLC-A        30.97     23.20      7.77     16.27       68.92
EXELON CORP            22.80     18.69      4.11     15.87       76.10
TRAVELERS COS IN       21.47     14.33      7.14     15.87       12.35
MARATHON PETROLE       31.99     28.11      3.88     15.87       39.44
GENWORTH FINANCI       44.55     40.30      4.25     15.08       52.99
DOLLAR TREE INC        28.91     25.17      3.74     14.68       11.16
AUTODESK INC           30.19     24.94      5.25     14.68       42.23
ENSCO PLC-CL A         31.04     24.76      6.28     14.68       27.09
GILEAD SCIENCES        28.00     22.90      5.10     14.68       14.74
YAHOO! INC             27.58     28.41     -0.83     14.68       33.87
CAMPBELL SOUP CO       14.22     11.82      2.41     14.68       67.33
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
KRAFT FOODS GROU       16.61     14.00      2.61     14.63       30.56
HEALTH CARE REIT       19.28     13.91      5.37     14.29       75.30
DEAN FOODS CO          37.15     32.71      4.44     14.29       80.88
ORACLE CORP            30.06     23.82      6.23     13.89       49.40
CUMMINS INC            30.89     24.55      6.34     13.89       10.76
CAMERON INTERNAT       32.08     25.85      6.23     13.89       23.51
ENTERGY CORP           17.33     13.23      4.10     13.49       22.31
LENNAR CORP-A          42.31     36.33      5.98     13.49       14.74
AKAMAI TECHNOLOG       30.10     27.16      2.95     13.10       25.10
KROGER CO              20.29     16.56      3.73     13.10       47.41
WHIRLPOOL CORP         35.39     30.65      4.74     13.10       14.34
INTUIT INC             20.50     15.14      5.36     12.70        1.20
NORDSTROM INC          31.65     24.56      7.10     12.70       74.50
SOUTHERN CO            22.04     13.35      8.69     12.30        9.16
TIFFANY & CO           31.24     26.71      4.53     12.30       82.87
ZIONS BANCORP          31.13     23.75      7.39     12.30       49.40
URBAN OUTFITTER        31.30     25.87      5.43     12.30       38.65
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
FIRSTENERGY CORP       17.36     13.82      3.55     12.30       10.36
ALLSTATE CORP          27.19     20.27      6.92     11.91       27.89
MARATHON OIL           29.83     22.91      6.92     11.91        3.98
PUBLIC STORAGE         23.79     15.23      8.56     11.91       29.48
WEYERHAEUSER CO        24.84     19.06      5.79     11.91       73.71
JOHNSON CONTROLS       30.12     21.90      8.22     11.51        9.56
AMERICAN ELECTRI       16.92     11.11      5.81     11.51       43.43
EOG RESOURCES          31.04     26.31      4.73     11.11       35.46
LOWE’S COS INC         29.55     23.00      6.55     10.71       14.74
CELGENE CORP           27.80     23.37      4.43     10.71        8.77
ALCOA INC              29.84     27.91      1.93     10.71        6.77
CITRIX SYSTEMS         36.85     33.18      3.67     10.71       10.76
HEWLETT-PACKARD        40.25     36.80      3.46     10.32       28.29
HOST HOTELS & RE       28.52     23.98      4.53     10.32        1.99
DU PONT (EI)           26.22     17.63      8.59     10.32       34.26
ELECTRONIC ARTS        35.61     34.77      0.84     10.32       34.26
PAYCHEX INC            21.83     16.20      5.63     10.32       21.12
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
STAPLES INC            33.31     34.20     -0.89      9.92       11.16
AUTOMATIC DATA         19.33     12.37      6.96      9.92        2.39
NEXTERA ENERGY         17.25     11.09      6.16      9.92       40.64
IBM                    22.25     16.74      5.52      9.52       68.53
DENBURY RESOURCE       34.11     29.93      4.18      9.52       74.10
SALESFORCE.COM         33.82     28.08      5.74      9.52       50.60
WASTE MANAGEMENT       18.75     11.90      6.85      9.52        0.00
NEWS CORP-A            24.83     20.12      4.70      9.13       36.65
UNITEDHEALTH GRP       25.45     20.15      5.29      9.13       37.05
CARDINAL HEALTH        19.01     13.23      5.78      8.73       25.90
CHIPOTLE MEXICAN       36.04     30.50      5.54      8.73        8.37
RAYTHEON CO            24.68     17.96      6.71      8.73        5.98
PETSMART INC           21.19     17.19      4.01      8.33        2.39
TIME WARNER CABL       22.68     16.08      6.60      8.33        5.98
HUMANA INC             28.18     25.30      2.88      8.33        8.37
KLA-TENCOR CORP        29.08     23.38      5.70      8.33        4.78
LSI CORP               36.58     36.31      0.27      8.33        8.77
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
JUNIPER NETWORKS       40.17     36.60      3.57      7.94       22.71
MICROSOFT CORP         25.39     21.93      3.47      7.94       52.19
MACY’S INC             33.37     27.38      5.99      7.94       18.33
KOHLS CORP             31.92     27.75      4.17      7.94       40.64
H&R BLOCK INC          29.54     25.53      4.02      7.54       21.12
SEAGATE TECHNOLO       39.97     37.96      2.01      7.54       22.71
NEWMONT MINING         30.51     28.89      1.62      7.54       33.47
JOY GLOBAL INC         45.78     42.10      3.68      7.14       16.34
XILINX INC             27.56     20.48      7.08      7.14        7.17
WELLPOINT INC          25.96     22.16      3.80      6.75       12.35
MATTEL INC             20.88     16.00      4.88      6.75        5.18
MASTERCARD INC-A       26.49     22.25      4.23      6.75       31.08
VF CORP                25.68     19.63      6.05      6.75       19.92
CENTERPOINT ENER       13.98     15.13     -1.15      6.75       49.00
DANAHER CORP           22.79     14.55      8.24      6.35       14.34
ALLEGHENY TECH         40.36     35.31      5.05      6.35        4.78
CBS CORP-B             29.28     25.12      4.16      5.95        6.77
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
BIG LOTS INC           49.37     46.39      2.98      5.95       19.92
CENTURYLINK INC        21.92     14.37      7.55      5.95       23.90
WINDSTREAM CORP        28.59     27.90      0.68      5.95       29.88
ST JUDE MEDICAL        36.55     31.68      4.87      5.95        6.38
MEDTRONIC INC          25.53     20.76      4.77      5.95       12.35
ROSS STORES INC        27.38     22.32      5.06      5.56       30.68
ACE LTD                20.69     12.69      7.99      5.56       17.13
KELLOGG CO             12.31     10.39      1.91      5.56        3.98
NATL OILWELL VAR       31.36     25.51      5.85      5.16       13.55
AVALONBAY COMMUN       24.97     17.83      7.14      5.16        7.97
DIRECTV                25.08     19.65      5.43      5.16       61.36
COVIDIEN PLC           21.61     14.67      6.94      5.16        7.17
CABLEVISION SY-A       33.71     34.97     -1.26      5.16       21.51
APPLIED MATERIAL       28.93     23.30      5.62      5.16        9.96
STANLEY BLACK &        29.39     21.57      7.82      4.76        6.38
CAREFUSION CORP        19.79     16.88      2.91      4.76       67.33
INTL PAPER CO          30.12     23.35      6.77      4.76        5.58
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
WESTERN UNION          26.48     25.50      0.98      4.37       32.27
EXPRESS SCRIPTS        27.04     23.14      3.90      4.37        4.78
SIGMA-ALDRICH          18.79     14.51      4.28      4.37        0.00
LINEAR TECH CORP       24.68     18.85      5.84      4.37       33.47
RALPH LAUREN COR       29.27     23.46      5.81      4.37        9.96
LEGG MASON INC         27.29     22.51      4.78      3.97       17.93
SPECTRA ENERG          16.45     14.35      2.10      3.97        9.96
HONEYWELL INTL         25.51     17.86      7.65      3.97       24.30
VIACOM INC-B           24.95     21.06      3.89      3.57       25.50
ILLINOIS TOOL WO       24.15     15.89      8.26      3.57        3.98
PACCAR INC             29.49     21.86      7.63      3.57       34.26
HOSPIRA INC            21.91     22.75     -0.84      3.57       18.73
PHILIP MORRIS IN       22.16     16.62      5.53      3.57       32.27
PNC FINANCIAL SE       27.75     21.43      6.32      3.57       28.69
NRG ENERGY             33.40     31.52      1.87      3.57        9.16
PIONEER NATURAL        33.00     32.13      0.86      3.57        2.39
NEWFIELD EXPLORA       36.11     34.38      1.73      3.57       26.30
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
FLOWSERVE CORP         29.22     21.78      7.44      3.57        3.19
STARWOOD HOTELS        26.82     23.16      3.66      3.18        0.00
MONDELEZ INTER-A       18.70     15.78      2.92      2.79        1.60
TYCO INTL LTD          28.69     26.10      2.59      2.79       11.60
ARCHER-DANIELS         24.39     22.87      1.52      2.78        4.38
GENERAL ELECTRIC       26.36     21.98      4.38      2.78        1.99
SYSCO CORP             13.40     10.49      2.91      2.78        8.37
MOLSON COORS-B         17.96     23.96     -5.99      2.78        0.80
O’REILLY AUTOMOT       27.69     28.13     -0.44      2.38        0.00
STRYKER CORP           23.48     18.35      5.13      2.38       41.83
SYMANTEC CORP          31.51     29.92      1.59      2.38       34.26
PARKER HANNIFIN        29.86     24.43      5.43      2.38       10.36
OCCIDENTAL PETE        28.12     22.91      5.22      2.38        3.19
COMCAST CORP-A         24.18     17.81      6.38      2.38       24.70
CHESAPEAKE ENERG       38.22     36.53      1.69      1.98       26.30
DR HORTON INC          39.83     35.62      4.20      1.98        1.99
EDWARDS LIFE           34.04     31.41      2.63      1.98       13.94
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
JABIL CIRCUIT          38.16     35.50      2.66      1.98        3.59
COACH INC              32.29     27.64      4.65      1.59        9.56
NOBLE CORP             32.82     28.47      4.35      1.59        2.79
BAXTER INTL INC        22.91     19.25      3.66      1.59        9.56
COCA-COLA ENTER        26.27     22.87      3.40      1.59       24.70
DELL INC               34.39     33.86      0.53      1.59        1.99
FLUOR CORP             30.11     24.00      6.11      1.59        4.78
METROPCS COMMUNI       48.96     58.26     -9.30      1.19        6.77
JACOBS ENGIN GRP       26.04     19.47      6.57      1.19       84.06
MARRIOTT INTL-A        28.55     21.30      7.25      1.19       50.60
DEVON ENERGY CO        27.98     24.81      3.17      1.19        3.19
ADV MICRO DEVICE       74.05     78.39     -4.33      0.79        7.17
FORD MOTOR CO          30.27     30.79     -0.52      0.79       50.60
YUM! BRANDS INC        28.77     23.10      5.67      0.79       74.10
COMPUTER SCIENCE       28.57     26.22      2.34      0.79       25.90
QUANTA SERVICES        25.72     21.54      4.18      0.79       47.41
NUCOR CORP             26.90     19.20      7.70      0.79       11.16
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    11/30       11/23
===========================================================================
WILLIAMS COS INC       27.36     29.35     -1.99      0.40        1.60
MERCK & CO             21.44     20.48      0.97      0.40        0.40
HUNTINGTON BANC        26.58     30.39     -3.80      0.40       81.28
INTEL CORP             29.68     26.67      3.01      0.40        8.37
APACHE CORP            27.94     24.37      3.57      0.40        6.77
VERISIGN INC           34.87     32.14      2.73      0.40       98.41
NYSE EURONEXT          27.64     26.66      0.98      0.00       11.16
CARMAX INC             39.60     34.88      4.72      0.00        6.38
BIOGEN IDEC INC        28.78     29.28     -0.50      0.00        0.40
INGERSOLL-RAND         25.53     20.84      4.69      0.00       30.28

==============================================================================

SOURCE: Bloomberg

Definition: 90%-110% Skew Spread: Calculated as the difference of 90% and 110% moneyness options for 30-day implied volatility data, using the Black-Scholes model. The implied volatility value is computed across expirations using the Hermite spline interpolation method and across strikes using the quadratic fitting interpolation technique.

Criteria: All companies shown in this table had an average daily options volume of at least 500 contracts for the past 20 days and an open interest of more than 10,000 as of the last trading day.

-- With assistance from Cecile Vannccui and Timothy Mazzella.

To contact the reporter on this story: Wendy Soong in New York at at csoong@Bloomberg.net.

To contact the editor responsible for this story: Alex Tanzi at at atanzi@Bloomberg.net


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