Bloomberg News

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

January 07, 2013

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 Jan. 4 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    01/04       12/28
===========================================================================
COCA-COLA CO/THE       22.98     13.11      9.87     98.81       54.98
CROWN CASTLE INT       29.59     18.09     11.50     98.81       94.42
HESS CORP              35.68     26.16      9.52     98.02       95.62
CAMPBELL SOUP CO       23.08     13.69      9.39     96.83       90.84
CONOCOPHILLIPS         25.62     13.95     11.68     96.41       99.60
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
GAMESTOP CORP-A        45.35     37.90      7.45     96.03       98.41
INTUIT INC             25.44     16.63      8.81     96.03       99.20
CONAGRA FOODS          22.73     13.11      9.63     96.03       83.67
NETAPP INC             42.95     37.52      5.43     94.84       94.42
CONSTELLATION-A        46.11     35.12     10.99     94.44       94.82
NIKE INC -CL B         26.09     16.13      9.96     94.44       99.60

Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
APACHE CORP            27.51     25.22      2.29      0.00        9.16
DIRECTV                27.75     24.75      2.99      0.00        4.38
LIMITED BRANDS         31.39     25.51      5.88      0.00       20.32
MARRIOTT INTL-A        28.40     21.43      6.97      0.40       54.58
ZIONS BANCORP          29.78     24.52      5.27      0.40       45.42
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
TEXAS INSTRUMENT       29.13     22.81      6.31      0.40       33.87
EXPRESS SCRIPTS        27.12     24.83      2.28      0.79        0.00
NORFOLK SOUTHERN       23.56     19.28      4.27      1.19       42.63
FAMILY DOLLAR ST       24.78     25.09     -0.31      1.98       61.36
PULTEGROUP INC         45.78     40.61      5.17      1.98        6.38
HARTFORD FINL SV       32.57     29.38      3.19      1.98       61.36
DANAHER CORP           23.37     16.12      7.25      1.98       36.26

S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
COCA-COLA CO/THE       22.98     13.11      9.87     98.81       54.98
CROWN CASTLE INT       29.59     18.09     11.50     98.81       94.42
HESS CORP              35.68     26.16      9.52     98.02       95.62
CAMPBELL SOUP CO       23.08     13.69      9.39     96.83       90.84
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
CONOCOPHILLIPS         25.62     13.95     11.68     96.41       99.60
GAMESTOP CORP-A        45.35     37.90      7.45     96.03       98.41
INTUIT INC             25.44     16.63      8.81     96.03       99.20
CONAGRA FOODS          22.73     13.11      9.63     96.03       83.67
NETAPP INC             42.95     37.52      5.43     94.84       94.42
CONSTELLATION-A        46.11     35.12     10.99     94.44       94.82
NIKE INC -CL B         26.09     16.13      9.96     94.44       99.60
COGNIZANT TECH-A       35.52     25.12     10.40     94.05       75.30
ADOBE SYS INC          28.51     20.45      8.06     94.05       86.45
ELI LILLY & CO         25.13     17.03      8.10     93.65       95.62
PRICELINE.COM          31.65     24.76      6.89     93.25       77.29
AUTOZONE INC           25.95     17.23      8.72     92.06       79.28
WAL-MART STORES        22.56     13.67      8.89     92.06       60.16
AMERICAN ELECTRI       21.23     10.63     10.60     90.87       86.85
JOHNSON&JOHNSON        18.77     10.75      8.02     90.48       64.94
GENERAL DYNAMICS       28.94     17.14     11.80     89.68       85.66
PEPSICO INC            21.74     11.83      9.91     89.29       95.62
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
FOSSIL INC             57.28     48.86      8.42     89.29       55.38
AGILENT TECH INC       30.53     20.59      9.94     88.89       92.03
JDS UNIPHASE           47.32     39.31      8.00     87.70       93.23
NYSE EURONEXT          26.30     16.30     10.00     86.11       78.88
RANGE RESOURCES        32.65     28.62      4.03     85.32       88.45
XL GROUP PLC           29.63     18.99     10.64     84.52       81.67
GANNETT CO             36.91     27.30      9.61     84.52       66.14
CHEVRON CORP           24.09     13.04     11.05     84.52       99.60
ZIMMER HLDGS           25.08     17.14      7.95     83.33       71.71
RED HAT INC            32.15     26.55      5.59     82.94       70.12
CIGNA CORP             29.50     22.14      7.37     82.54       67.33
DUKE ENERGY CORP       19.63     11.73      7.90     82.47       94.00
PACCAR INC             32.95     22.40     10.54     81.35       92.03
ABERCROMBIE & FI       48.51     42.13      6.38     81.35       94.42
UNITED TECH CORP       26.33     14.76     11.56     81.35       72.51
EXXON MOBIL CORP       23.15     13.07     10.08     80.56       96.41
US BANCORP             27.65     15.81     11.84     80.56       63.75
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
ACCENTURE PLC-A        25.80     15.63     10.17     80.56       84.06
HALLIBURTON CO         31.89     23.77      8.11     80.16       89.24
PFIZER INC             22.94     13.83      9.10     80.16       91.24
LOCKHEED MARTIN        26.10     15.25     10.84     79.37       98.01
BMC SOFTWARE INC       30.14     24.91      5.23     78.97       88.45
LOWE’S COS INC         29.47     20.22      9.25     77.78       52.99
WELLPOINT INC          31.56     24.96      6.60     77.78       66.14
NORDSTROM INC          29.95     21.02      8.93     76.59       65.74
3M CO                  24.27     13.41     10.87     76.19       98.01
BAKER HUGHES INC       33.74     24.98      8.76     76.19       84.46
BRISTOL-MYER SQB       23.58     14.20      9.38     75.79       39.04
ST JUDE MEDICAL        34.07     26.49      7.58     75.40       66.14
MONSTER BEVERAGE       44.51     35.73      8.79     75.00       95.62
MONSANTO CO            27.65     19.65      8.00     74.60       72.91
XEROX CORP             34.74     29.06      5.68     73.02       70.52
COSTCO WHOLESALE       23.19     14.81      8.38     72.22       52.99
VERIZON COMMUNIC       22.56     13.75      8.82     71.83       30.68
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
FORD MOTOR CO          34.07     29.36      4.71     71.43       88.05
UNITEDHEALTH GRP       28.72     20.30      8.42     70.64       64.54
MOTOROLA SOLUTIO       26.66     18.74      7.92     70.24       78.49
FRONTIER COMMUNI       44.60     38.23      6.37     69.84       37.45
CELGENE CORP           31.91     24.28      7.63     69.84       64.54
WESTERN DIGITAL        45.57     40.33      5.24     69.44       78.88
AETNA INC              29.34     23.28      6.06     69.44       48.21
LAM RESEARCH           35.26     27.72      7.53     69.05       74.10
DEERE & CO             27.54     19.01      8.53     68.65       88.85
REYNOLDS AMERICA       23.33     14.18      9.16     68.65       90.04
CA INC                 29.34     21.50      7.84     68.65       86.45
EXPEDIA INC            49.78     43.51      6.27     67.86       60.56
ELECTRONIC ARTS        42.14     37.69      4.45     67.46       55.38
NORTHROP GRUMMAN       27.55     17.67      9.88     67.46       64.14
WHOLE FOODS MKT        33.09     26.54      6.55     67.06       66.93
ALTRIA GROUP INC       22.80     12.32     10.48     66.67       43.03
NORTHERN TRUST         25.17     16.48      8.69     65.08       47.81
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
CARNIVAL CORP          29.22     20.79      8.43     64.68       60.56
VERISIGN INC           38.25     30.89      7.36     64.29       27.09
MEAD JOHNSON           29.41     24.15      5.26     64.29       59.76
COLGATE-PALMOLIV       22.88     12.36     10.52     64.29       82.87
DENBURY RESOURCE       30.69     23.57      7.12     64.29       13.94
KOHLS CORP             30.69     23.20      7.49     64.29       42.23
ADT CORP/THE           26.82     23.73      3.08     64.06       88.33
WALGREEN CO            24.63     18.73      5.90     63.10       86.06
CERNER CORP            34.44     28.12      6.32     62.70       37.45
HEWLETT-PACKARD        43.30     36.83      6.46     62.30       72.11
BECTON DICKINSON       18.27     12.66      5.60     61.91       56.97
AMERICAN INTERNA       29.14     23.11      6.03     60.96       64.00
CLIFFS NATURAL R       49.98     43.20      6.77     60.71       70.92
MACY’S INC             31.33     23.23      8.10     60.71       92.83
AKAMAI TECHNOLOG       46.08     41.77      4.30     60.71       80.08
BOSTON SCIENTIFC       37.30     33.66      3.65     60.32       33.87
SCHWAB (CHARLES)       29.79     22.58      7.21     59.92       27.09
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
TERADATA CORP          39.64     32.93      6.72     59.92       22.71
CME GROUP INC          28.14     20.17      7.97     59.52       82.07
GENERAL MILLS IN       19.53     10.13      9.40     59.52       31.87
ORACLE CORP            24.88     16.08      8.80     59.13       85.26
JPMORGAN CHASE         28.69     20.13      8.57     59.13       38.65
JUNIPER NETWORKS       45.27     39.40      5.87     58.33       66.14
STANLEY BLACK &        31.44     21.73      9.71     58.33       47.81
PHILIP MORRIS IN       23.17     15.20      7.97     57.94       51.79
DIAMOND OFFSHORE       26.10     17.32      8.78     57.54       66.93
QUALCOMM INC           31.36     23.97      7.39     56.35       62.15
CHIPOTLE MEXICAN       44.82     37.15      7.66     56.35       25.90
TYCO INTL LTD          29.29     22.46      6.83     55.78       44.00
BERKSHIRE HATH-B       20.71     11.89      8.81     55.56       51.39
ROWAN COMPANIE-A       30.42     23.84      6.58     55.16       56.18
YAHOO! INC             30.07     27.59      2.48     54.76       81.28
ALEXION PHARM          38.13     32.85      5.28     53.97       51.00
GAP INC/THE            32.79     25.72      7.07     53.18       83.67
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
DISCOVER FINANCI       27.97     19.53      8.44     52.78       51.79
SEMPRA ENERGY          18.12     11.52      6.60     52.78       71.71
PRAXAIR INC            24.76     14.51     10.25     52.38       70.12
EOG RESOURCES          32.90     26.45      6.45     52.38       39.84
AT&T INC               22.63     14.74      7.90     52.38       58.96
NEWMONT MINING         29.85     26.47      3.38     51.19       18.73
GOODYEAR TIRE          38.59     31.73      6.86     51.19       45.42
TYSON FOODS-A          29.09     22.94      6.15     51.19       71.71
MICRON TECH            44.29     42.20      2.09     51.19        0.40
TE CONNECTIVITY        23.65     19.89      3.77     50.40       60.16
MURPHY OIL CORP        31.82     25.99      5.83     50.40       32.67
NABORS INDS LTD        37.82     33.27      4.55     50.40       27.09
LSI CORP               40.09     36.48      3.61     50.00       39.44
KINDER MORGAN IN       24.07     20.63      3.45     50.00       78.09
ALCOA INC              32.25     28.41      3.84     50.00       64.54
ANADARKO PETROLE       32.48     27.88      4.60     50.00       48.61
FIFTH THIRD BANC       27.21     18.05      9.15     50.00       34.66
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
AMERISOURCEBERGE       22.60     15.81      6.79     49.60       44.22
VISA INC-CLASS A       25.78     19.83      5.96     49.60       96.41
MCDONALDS CORP         21.17     15.89      5.28     49.21       50.60
BOSTON PROPERTIE       25.74     16.42      9.32     49.21       62.15
GOOGLE INC-CL A        30.72     26.04      4.68     49.21       84.86
WYNN RESORTS LTD       32.45     26.79      5.66     49.21       63.75
AMAZON.COM INC         40.51     33.75      6.76     48.81       86.85
METLIFE INC            31.31     24.41      6.90     48.41       48.21
NEWFIELD EXPLORA       33.09     27.70      5.39     48.41       21.51
JOY GLOBAL INC         34.51     28.70      5.82     48.41       66.93
AUTODESK INC           31.18     23.81      7.37     48.02       31.08
BANK NY MELLON         29.45     19.50      9.95     48.02       66.14
DAVITA HEALTHCAR       31.96     23.22      8.73     47.62       25.90
GENERAL ELECTRIC       27.96     20.41      7.55     47.62       78.09
CLOROX CO              18.31     11.79      6.52     47.22       51.00
STRYKER CORP           24.42     16.37      8.05     46.83       70.52
UNITED PARCEL-B        23.57     15.41      8.17     46.83       74.50
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
TARGET CORP            23.66     16.26      7.41     46.83       49.80
EXELON CORP            23.09     17.30      5.79     46.83       18.73
WESTERN UNION          31.35     26.97      4.38     46.83       58.96
LYONDELLBASELL-A       32.52     24.63      7.89     46.43       83.27
MARATHON PETROLE       32.50     26.98      5.52     46.43       52.59
STARBUCKS CORP         31.07     24.98      6.09     46.03       76.49
UNION PAC CORP         25.97     16.82      9.15     46.03       49.80
HUMANA INC             29.53     23.69      5.84     45.64       28.69
KIMBERLY-CLARK         19.70     11.95      7.76     44.84       63.35
ALTERA CORP            34.06     27.63      6.43     44.44       39.44
F5 NETWORKS            47.14     42.32      4.82     44.44       17.53
FASTENAL CO            32.76     24.93      7.83     44.44       19.52
SEAGATE TECHNOLO       47.03     41.96      5.08     44.44       40.64
RAYTHEON CO            24.47     15.26      9.21     44.44       90.44
INTUITIVE SURGIC       40.00     34.42      5.58     44.44       70.52
EASTMAN CHEMICAL       32.67     23.99      8.68     44.44       56.18
KELLOGG CO             16.48     12.54      3.94     44.05       96.02
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
LENNAR CORP-A          39.48     32.01      7.47     43.25       41.04
BEAM INC               26.77     24.01      2.76     43.25       51.00
PITNEY BOWES INC       40.01     30.87      9.14     43.25       27.49
SCHLUMBERGER LTD       29.05     21.03      8.02     43.25       49.00
BEST BUY CO INC        66.19     64.59      1.59     43.25       22.31
MOODY’S CORP           32.31     23.59      8.72     43.25       58.57
BLACKROCK INC          26.76     17.38      9.39     42.86        4.38
GARMIN LTD             32.59     26.99      5.59     42.46       90.04
CABLEVISION SY-A       30.51     28.97      1.53     42.46       34.26
DELPHI AUTOMOTIV       27.62     22.58      5.05     42.06       51.00
DOW CHEMICAL CO        31.00     20.86     10.14     41.67       60.16
MERCK & CO             25.64     18.73      6.91     41.67       61.75
HUNTINGTON BANC        30.95     26.52      4.43     41.67       72.51
JABIL CIRCUIT          32.82     26.80      6.02     40.87       28.69
CITIGROUP INC          32.30     25.34      6.96     40.08       63.35
COMERICA INC           28.90     20.54      8.36     40.08        8.37
MICROCHIP TECH         27.82     19.75      8.07     40.08       69.32
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
FEDEX CORP             24.41     16.20      8.21     39.29       35.06
MYLAN INC              25.97     18.06      7.91     39.29       68.92
AVALONBAY COMMUN       25.21     15.61      9.61     39.29       39.84
DU PONT (EI)           26.80     16.82      9.98     38.49       47.41
NUCOR CORP             28.37     18.94      9.43     38.10       31.87
SYMANTEC CORP          37.33     32.96      4.37     37.70       39.44
NEXTERA ENERGY         19.80     11.30      8.50     37.70       46.22
NRG ENERGY             31.22     24.86      6.36     37.70       39.04
CARDINAL HEALTH        22.90     15.08      7.83     37.70       31.47
REGIONS FINANCIA       32.84     25.59      7.25     37.70       55.78
PARKER HANNIFIN        30.67     22.45      8.22     37.30       76.49
CHUBB CORP             24.43     15.01      9.42     37.30       55.38
MICROSOFT CORP         26.77     21.93      4.84     36.91       58.96
SPRINT NEXTEL CO       23.78     21.36      2.43     36.51       85.26
WEYERHAEUSER CO        27.90     20.60      7.31     36.51       49.80
SOUTHWESTRN ENGY       31.84     27.83      4.01     36.51       47.81
PPL CORPORATION        14.44     11.80      2.64     36.11       67.33
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
SANDISK CORP           41.36     37.16      4.20     36.11       51.39
CF INDUSTRIES HO       31.93     26.89      5.04     36.11       31.08
STATE ST CORP          28.97     19.49      9.48     36.11       68.13
FOREST LABS INC        29.64     30.66     -1.02     35.71       28.69
HASBRO INC             34.03     28.80      5.22     35.71       35.06
NOBLE ENERGY INC       28.64     21.89      6.75     35.71       24.70
VF CORP                29.14     21.97      7.17     35.71       54.98
PRUDENTL FINL          29.75     21.41      8.34     35.71       20.72
EMC CORP/MA            31.85     25.37      6.48     35.32       35.06
HOSPIRA INC            30.14     27.32      2.82     34.92        2.79
SYSCO CORP             19.01     13.07      5.95     33.73       44.22
WALT DISNEY CO         25.73     18.08      7.65     33.33       61.36
IBM                    24.32     17.83      6.48     32.94       85.66
GOLDMAN SACHS GP       30.45     24.26      6.19     32.94       74.50
EMERSON ELEC CO        26.37     16.26     10.10     32.94       82.07
AVON PRODUCTS          45.13     45.18     -0.05     32.94        0.40
VALERO ENERGY          34.82     30.23      4.59     32.54       72.91
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
ABBOTT LABS            23.13     17.54      5.59     32.27        9.56
MASCO CORP             42.72     35.65      7.08     32.14       60.56
SAFEWAY INC            31.89     29.53      2.36     32.14        9.16
EBAY INC               36.31     30.01      6.31     31.75       72.11
INTEL CORP             29.84     24.35      5.50     31.75       88.05
STARWOOD HOTELS        29.91     23.18      6.73     31.75       22.71
INTL GAME TECH         39.61     34.17      5.44     31.75        9.16
BANK OF AMERICA        35.85     32.70      3.15     31.35       17.13
INTERPUBLIC GRP        30.26     30.32     -0.06     31.35       37.45
HJ HEINZ CO            15.86     11.34      4.52     31.35       69.32
J.C. PENNEY CO         60.25     56.14      4.10     30.56       34.66
MARATHON OIL           30.37     22.60      7.77     30.16       42.63
CSX CORP               28.52     21.84      6.69     29.76       15.94
ALLERGAN INC           22.28     15.50      6.79     29.76       76.89
NEWS CORP-A            26.47     20.75      5.73     29.37       45.42
TESORO CORP            39.60     34.79      4.80     29.37       40.24
CONSOL ENERGY          40.07     33.38      6.70     29.37       43.03
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
WELLS FARGO & CO       26.74     18.79      7.95     29.37       73.31
BROADCOM CORP-A        35.24     29.60      5.65     28.97       35.06
HONEYWELL INTL         26.29     15.90     10.39     28.97       79.68
MORGAN STANLEY         36.06     30.57      5.49     28.97       58.17
ALLSTATE CORP          26.27     18.39      7.88     28.57       25.50
EATON CORP PLC         28.35     20.36      7.99     28.57       96.02
BOEING CO/THE          26.35     18.60      7.75     28.18       53.79
BB&T CORP              26.76     19.13      7.63     27.78       19.52
WATSON PHARM           27.31     23.76      3.56     27.78       46.22
CISCO SYSTEMS          30.46     25.61      4.85     27.38       78.88
CITRIX SYSTEMS         43.68     38.70      4.98     27.38       23.90
BAXTER INTL INC        26.35     19.93      6.41     27.38       12.35
PAYCHEX INC            20.39     13.20      7.19     25.79       86.85
TRAVELERS COS IN       21.97     14.53      7.45     25.40       67.73
DOLLAR TREE INC        31.08     26.91      4.17     25.40       24.30
FLUOR CORP             30.54     22.01      8.54     25.40       23.90
PROCTER & GAMBLE       22.49     16.00      6.49     25.00       74.90
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
PPG INDS INC           31.32     22.21      9.12     24.60       98.01
MATTEL INC             29.40     22.95      6.44     24.60       82.87
INVESCO LTD            25.01     19.48      5.53     24.60       48.21
QUANTA SERVICES        24.98     18.21      6.77     24.60        0.00
CABOT OIL & GAS        36.72     33.87      2.85     24.60       69.72
LEUCADIA NATL          22.79     19.74      3.05     24.21       40.24
LIFE TECHNOLOGIE       33.04     28.96      4.08     24.21       12.75
CAMERON INTERNAT       31.51     24.79      6.73     24.21       24.70
AFLAC INC              29.74     20.69      9.05     24.21       74.50
FIRSTENERGY CORP       18.22     14.14      4.09     23.81       39.44
MCKESSON CORP          22.77     15.87      6.90     23.81       77.29
HEALTH CARE REIT       19.73     13.92      5.80     23.41       41.43
O’REILLY AUTOMOT       31.00     26.94      4.06     23.41       12.35
LEGG MASON INC         30.59     24.19      6.39     22.62       23.51
DARDEN RESTAURAN       24.53     18.35      6.18     22.62       12.75
THERMO FISHER          25.91     18.87      7.04     22.62       79.68
CR BARD INC            25.89     21.37      4.52     22.62        8.37
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
E*TRADE FINANCIA       38.60     37.37      1.23     22.62       62.55
LINEAR TECH CORP       28.21     21.27      6.94     22.22       62.95
MOSAIC CO/THE          27.42     22.53      4.89     22.22       64.14
CUMMINS INC            34.83     28.20      6.63     21.83       36.26
MOLSON COORS-B         23.06     21.61      1.45     21.83       29.48
URBAN OUTFITTER        32.86     26.97      5.89     21.43       45.02
DELL INC               36.34     33.82      2.52     21.03        9.56
MONDELEZ INTER-A       19.74     14.35      5.39     20.72       28.00
INTERCONTINENTAL       28.47     21.49      6.98     20.64       11.95
COMPUTER SCIENCE       39.84     34.89      4.95     20.64       35.86
XILINX INC             30.16     22.67      7.49     20.24       24.30
SALESFORCE.COM         33.35     27.41      5.94     19.84       20.32
AMGEN INC              25.64     20.97      4.66     19.84       27.89
SHERWIN-WILLIAMS       30.71     22.70      8.01     19.84       29.08
WHIRLPOOL CORP         38.47     33.08      5.39     19.84       14.34
CVS CAREMARK COR       23.10     15.68      7.41     19.44       74.10
HARLEY-DAVIDSON        33.49     25.64      7.86     19.05       19.52
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
LORILLARD INC          29.90     22.85      7.05     19.05       52.59
CONS EDISON INC        15.91     12.02      3.89     19.05       22.71
ARCHER-DANIELS         26.94     23.67      3.27     19.05       27.09
APPLIED MATERIAL       29.80     23.19      6.61     19.05       13.55
ENSCO PLC-CL A         27.80     21.40      6.40     18.65       59.76
OWENS-ILLINOIS         30.87     25.78      5.08     17.86       25.10
PHILLIPS 66            36.95     35.19      1.76     17.54       17.37
PIONEER NATURAL        37.02     34.29      2.73     17.46       18.33
SLM CORP               32.52     24.54      7.98     17.46       62.95
NETFLIX INC            67.70     66.62      1.08     17.46        2.79
US STEEL CORP          46.46     42.79      3.67     17.06        8.77
MASTERCARD INC-A       27.61     22.73      4.88     17.06       99.20
PEABODY ENERGY         43.52     37.57      5.96     17.06       27.49
VIACOM INC-B           25.26     20.14      5.13     16.67       24.70
BIOGEN IDEC INC        28.45     24.86      3.59     16.27       19.12
ACE LTD                23.19     14.34      8.85     16.27       69.32
SIMON PROPERTY         22.44     12.76      9.69     16.27       60.56
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
OCCIDENTAL PETE        28.20     21.06      7.14     16.27       22.71
HOST HOTELS & RE       27.73     22.97      4.77     16.27       29.08
ILLINOIS TOOL WO       24.77     15.80      8.97     16.27       70.52
CENTERPOINT ENER       13.79     14.05     -0.26     15.87       64.94
COCA-COLA ENTER        26.56     21.35      5.21     15.87       45.42
GENWORTH FINANCI       48.52     45.18      3.33     15.48       16.34
SUNTRUST BANKS         33.41     25.36      8.05     15.48       59.36
INGERSOLL-RAND         28.99     22.00      6.99     15.48       73.31
EXPEDITORS INTL        23.64     17.53      6.10     15.08       25.90
COMCAST CORP-A         26.07     18.53      7.54     15.08       66.53
AIR PRODS & CHEM       22.04     14.62      7.41     15.08       77.69
CHESAPEAKE ENERG       37.35     34.15      3.20     14.68        3.98
H&R BLOCK INC          21.49     16.78      4.72     14.68       37.85
JOHNSON CONTROLS       31.16     23.43      7.74     14.68       22.31
EDWARDS LIFE           32.17     28.22      3.95     14.68       24.70
CENTURYLINK INC        21.88     13.51      8.37     14.29       69.32
BIG LOTS INC           36.23     32.81      3.43     14.29       12.75
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
GILEAD SCIENCES        30.04     25.48      4.56     14.29       23.90
ANALOG DEVICES         26.78     19.92      6.86     13.89       25.90
AUTOMATIC DATA         20.58     13.43      7.15     13.49       62.55
DOMINION RES/VA        15.25     11.21      4.04     13.10       70.52
INTL PAPER CO          30.22     22.95      7.27     13.10        1.99
HOME DEPOT INC         25.12     18.37      6.76     12.70       31.47
BED BATH &BEYOND       25.78     21.55      4.23     12.70        7.97
DEVON ENERGY CO        27.25     22.80      4.45     12.70       14.34
DOLLAR GENERAL C       28.19     24.37      3.83     12.70        3.98
RALPH LAUREN COR       37.13     30.64      6.50     12.70        5.58
CBS CORP-B             31.84     27.32      4.52     12.70       18.33
CH ROBINSON            29.76     23.70      6.06     12.30       73.31
KROGER CO              19.80     16.15      3.65     12.30       39.84
CAPITAL ONE FINA       30.46     23.34      7.12     12.30       77.29
FREEPORT-MCMORAN       31.09     27.02      4.07     11.91       13.94
NASDAQ OMX GROUP       26.97     22.25      4.71     11.91       25.90
MCGRAW-HILL COS        23.89     19.61      4.28     11.91       56.18
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
KLA-TENCOR CORP        29.88     24.07      5.81     11.51       56.18
NATL OILWELL VAR       30.73     24.72      6.01     11.11       12.75
APPLE INC              39.52     37.15      2.37     11.11       44.62
TRIPADVISOR INC        50.76     48.81      1.95     11.11        9.56
NVIDIA CORP            38.23     38.64     -0.42     10.71       11.16
PNC FINANCIAL SE       26.34     19.31      7.03     10.71       27.89
TIME WARNER INC        26.94     18.76      8.18     10.71       38.65
AMERICAN EXPRESS       26.02     19.35      6.67     10.32       70.12
LINCOLN NATL CRP       33.89     26.31      7.58     10.32       48.61
DR HORTON INC          36.97     32.15      4.83      9.92       28.29
ESTEE LAUDER           30.39     24.84      5.55      9.52       43.03
TJX COS INC            24.56     18.04      6.52      9.13       81.67
WINDSTREAM CORP        28.14     26.57      1.57      8.73       38.25
SOUTHERN CO            19.88     12.36      7.52      8.33       15.94
DEAN FOODS CO          36.70     33.08      3.62      7.94       63.35
WASTE MANAGEMENT       19.65     13.25      6.41      7.94       57.37
AMERICAN TOWER C       22.23     13.20      9.04      7.54       43.83
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
YUM! BRANDS INC        28.21     22.99      5.22      7.54        6.77
ADV MICRO DEVICE       67.93     69.85     -1.92      7.54       19.92
MEDTRONIC INC          24.58     20.20      4.38      7.14       39.84
STAPLES INC            29.09     30.37     -1.28      6.75       22.31
ROSS STORES INC        28.76     24.02      4.73      6.75       15.94
CARMAX INC             28.57     22.89      5.67      6.35       23.90
KRAFT FOODS GROU       17.40     15.67      1.73      6.25       93.33
TIME WARNER CABL       25.09     20.22      4.87      5.95        9.56
KEYCORP                29.36     25.27      4.10      5.56       45.82
SOUTHWEST AIR          23.25     23.37     -0.12      5.56       55.38
METROPCS COMMUNI       36.83     45.83     -9.01      5.56       10.36
COVIDIEN PLC           23.58     16.69      6.89      5.56       17.93
APOLLO GROUP-A         59.82     55.25      4.57      5.56       13.15
ALLEGHENY TECH         39.35     34.78      4.57      5.56       15.14
CORNING INC            31.45     28.48      2.96      5.16       29.48
TEXTRON INC            32.05     27.13      4.92      5.16       55.38
HELMERICH & PAYN       33.41     28.20      5.20      4.76       76.49
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
CATERPILLAR INC        28.27     23.23      5.05      4.76       67.73
WILLIAMS COS INC       27.15     27.11      0.03      4.37        7.60
NOBLE CORP             32.78     28.32      4.46      3.97       11.95
TIFFANY & CO           33.26     29.43      3.83      3.18       26.69
SPECTRA ENERG          20.44     19.89      0.55      2.38       71.71
COACH INC              38.05     33.90      4.14      2.38       13.94
FIRST SOLAR INC        62.31     60.69      1.62      2.38       17.93
FAMILY DOLLAR ST       24.78     25.09     -0.31      1.98       61.36
DANAHER CORP           23.37     16.12      7.25      1.98       36.26
PULTEGROUP INC         45.78     40.61      5.17      1.98        6.38
HARTFORD FINL SV       32.57     29.38      3.19      1.98       61.36
NORFOLK SOUTHERN       23.56     19.28      4.27      1.19       42.63
EXPRESS SCRIPTS        27.12     24.83      2.28      0.79        0.00
TEXAS INSTRUMENT       29.13     22.81      6.31      0.40       33.87
ZIONS BANCORP          29.78     24.52      5.27      0.40       45.42
MARRIOTT INTL-A        28.40     21.43      6.97      0.40       54.58
APACHE CORP            27.51     25.22      2.29      0.00        9.16
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    01/04       12/28
===========================================================================
DIRECTV                27.75     24.75      2.99      0.00        4.38
LIMITED BRANDS         31.39     25.51      5.88      0.00       20.32

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

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 Vannucci 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


Toyota's Hydrogen Man
LIMITED-TIME OFFER SUBSCRIBE NOW
 
blog comments powered by Disqus