S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters
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The document is a table containing stock ticker symbols, company names, financial data, and statistical metrics for various companies over different time periods. It includes columns for ticker, company name, sector, dividend yield, next ex-dividend date, average daily trading volumes, and skew measurements for periods ranging from 30 days to 24 months. There are over 100 company listings in the table with corresponding data.
S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters
- 1. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM Ref Dividend Yield Next Ex- Dividend Date ATM Vol - 30D ATM Vol - 60D ATM Vol - 90D ATM Vol - 6M ATM Vol - 12M ATM Vol - 18M ATM Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M DDD UN Equity 3D SYSTEMS CORP Information Technology 48.65 63.56 63.70 62.66 57.84 55.11 54.77 -0.069 -0.074 -0.076 -0.058 -0.097 -0.061 0.003 0.002 0.001 0.000 0.000 0.000 SHLM UW Equity SCHULMAN (A.) INC Materials 28.73 2.94% 19.07.2013 21.26 26.62 27.94 0.000 -0.147 -0.186 0.000 0.002 0.003 AAON UW Equity AAON INC Industrials 30.73 0.85% 07.06.2013 24.24 24.50 24.73 0.000 0.004 -0.031 0.000 0.000 0.001 AIR UN Equity AAR CORP Industrials 19.27 1.56% 26.07.2013 28.68 29.80 30.50 31.66 -0.076 -0.200 -0.232 -0.165 0.001 0.003 0.004 0.002 AAN UN Equity AARON'S INC Consumer Discretionary 29.06 0.25% 03.09.2013 23.34 24.77 25.51 26.10 0.000 -0.110 -0.145 -0.128 0.000 0.005 0.006 0.003 ABAX UW Equity ABAXIS INC Health Care 46.83 26.08 29.99 31.72 32.42 -0.112 -0.164 -0.180 -0.167 0.000 0.003 0.003 0.001 ABMD UW Equity ABIOMED INC Health Care 23.18 42.79 42.22 41.93 41.44 -0.266 -0.223 -0.200 -0.153 0.009 0.007 0.005 0.003 ABM UN Equity ABM INDUSTRIES INC Industrials 22.53 2.71% 02.07.2013 22.88 21.66 21.18 0.000 -0.094 -0.123 0.000 0.002 0.003 AKR UN Equity ACADIA REALTY TRUST Financials 28.91 3.01% 26.06.2013 19.57 19.57 19.57 25.26 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 ACIW UW Equity ACI WORLDWIDE INC Information Technology 45.63 22.16 22.15 22.68 24.79 0.000 -0.225 -0.302 -0.254 0.000 0.007 0.009 0.004 ACOR UW Equity ACORDA THERAPEUTICS INC Health Care 33.91 66.92 47.81 40.65 -0.202 -1.237 -1.184 -0.001 0.044 0.040 ATU UN Equity ACTUANT CORP-A Industrials 33.56 0.12% 25.09.2013 28.86 25.84 24.73 27.15 -0.277 -0.268 -0.248 -0.208 0.003 0.008 0.009 0.003 AYI UN Equity ACUITY BRANDS INC Industrials 77.62 0.67% 18.07.2013 23.61 25.86 26.98 27.75 -0.258 -0.254 -0.243 -0.204 0.008 0.010 0.010 0.005 ACXM UW Equity ACXIOM CORP Information Technology 21.39 37.63 33.95 31.75 29.50 0.018 -0.110 -0.182 -0.204 0.000 0.001 0.001 0.003 ADTN UW Equity ADTRAN INC Information Technology 22.18 1.80% 23.07.2013 33.73 35.61 36.74 38.42 38.02 38.74 -0.208 -0.241 -0.233 -0.141 -0.126 -0.081 0.004 0.005 0.004 0.001 0.001 0.001 AAP UN Equity ADVANCE AUTO PARTS INC Consumer Discretionary 86.14 0.28% 19.06.2013 27.10 25.74 24.92 24.13 23.14 23.64 -0.225 -0.174 -0.146 -0.144 -0.099 -0.100 0.006 0.003 0.001 0.001 0.000 0.000 AEIS UW Equity ADVANCED ENERGY INDUSTRIES Information Technology 18.31 30.79 30.36 31.28 0.057 -0.177 -0.253 0.001 0.006 0.006 ADVS UW Equity ADVENT SOFTWARE INC Information Technology 31.40 33.02 33.13 33.22 33.40 0.000 -0.050 -0.089 -0.164 0.000 0.003 0.004 0.001 ACM UN Equity AECOM TECHNOLOGY CORP Industrials 30.77 26.21 26.90 27.49 28.63 0.000 -0.141 -0.198 -0.186 0.000 0.004 0.005 0.003 AEGN UW Equity AEGION CORP Industrials 22.46 27.32 29.24 30.10 30.19 0.000 -0.212 -0.284 -0.202 0.000 0.003 0.004 0.003 ARO UN Equity AEROPOSTALE INC Consumer Discretionary 16.31 47.79 44.24 42.84 42.36 41.98 41.92 -0.280 -0.194 -0.165 -0.160 -0.122 -0.105 0.002 0.001 0.000 0.001 0.001 0.001 AVAV UW Equity AEROVIRONMENT INC Industrials 20.11 29.76 32.63 33.97 34.33 -0.108 -0.141 -0.147 -0.094 0.005 0.004 0.004 0.003 AMG UN Equity AFFILIATED MANAGERS GROUP Financials 164.51 17.60 18.92 19.78 21.09 -0.410 -0.324 -0.276 -0.241 0.010 0.006 0.003 0.002 AFFX UW Equity AFFYMETRIX INC Health Care 3.75 72.20 72.16 72.11 66.88 -0.370 -0.370 -0.371 -0.301 0.001 0.001 0.001 0.001 AGCO UN Equity AGCO CORP Industrials 55.68 0.54% 15.08.2013 23.12 25.00 25.95 26.66 -0.116 -0.143 -0.149 -0.131 0.002 0.004 0.005 0.003 AGYS UW Equity AGILYSYS INC Information Technology 11.65 39.83 42.39 42.11 0.000 -0.287 -0.294 0.000 0.004 0.004 AIRM UW Equity AIR METHODS CORP Health Care 34.88 40.40 38.32 37.56 -0.122 -0.266 -0.282 0.001 0.006 0.007 AKS UN Equity AK STEEL HOLDING CORP Materials 3.40 54.21 56.82 57.94 57.97 56.30 56.76 -0.288 -0.284 -0.270 -0.203 -0.137 -0.126 0.016 0.010 0.006 0.004 0.002 0.001 AKRX UW Equity AKORN INC Health Care 14.60 39.57 39.00 38.83 39.25 -0.112 -0.166 -0.181 -0.135 0.002 0.003 0.003 0.002 ALK UN Equity ALASKA AIR GROUP INC Industrials 67.86 29.45 29.76 29.94 30.30 -0.184 -0.219 -0.215 -0.170 0.009 0.007 0.005 0.003 AIN UN Equity ALBANY INTL CORP-CL A Industrials 31.70 1.89% 06.06.2013 71.94 57.35 47.50 34.64 0.000 0.000 0.041 0.053 0.000 0.029 0.043 0.034 ALB UN Equity ALBEMARLE CORP Materials 65.23 1.53% 13.09.2013 20.96 21.75 22.42 23.70 -0.309 -0.275 -0.254 -0.221 0.008 0.008 0.007 0.004 ALEX UN Equity ALEXANDER & BALDWIN INC Financials 34.02 29.95 29.26 28.85 28.01 -0.316 -0.286 -0.264 -0.231 0.004 0.008 0.010 0.007 ARE UN Equity ALEXANDRIA REAL ESTATE EQUIT Financials 77.67 3.18% 26.06.2013 11.95 11.73 12.19 0.000 -0.177 -0.252 0.000 0.002 0.004 ALGN UW Equity ALIGN TECHNOLOGY INC Health Care 36.18 31.02 34.06 34.45 34.67 37.38 38.71 -0.135 -0.281 -0.305 -0.256 -0.139 -0.107 0.006 0.008 0.008 0.006 0.002 0.003 Y UN Equity ALLEGHANY CORP Financials 394.40 ALGT UW Equity ALLEGIANT TRAVEL CO Industrials 93.79 24.86 24.24 24.35 -0.204 -0.251 -0.247 0.004 0.007 0.007 ALE UN Equity ALLETE INC Utilities 51.08 3.78% 15.08.2013 13.56 17.12 16.64 0.000 0.000 0.000 0.000 0.000 0.000 ADS UN Equity ALLIANCE DATA SYSTEMS CORP Information Technology 177.21 16.76 17.44 18.01 19.17 -0.462 -0.330 -0.258 -0.207 0.013 0.009 0.007 0.003 AOI UN Equity ALLIANCE ONE INTERNATIONAL Consumer Staples 3.70 59.67 59.67 59.67 57.98 -0.168 -0.168 -0.168 -0.153 0.000 0.000 0.000 0.000 LNT UN Equity ALLIANT ENERGY CORP Utilities 52.61 3.65% 31.07.2013 11.39 11.38 11.38 0.159 0.160 0.162 0.008 0.008 0.008 ATK UN Equity ALLIANT TECHSYSTEMS INC Industrials 77.41 1.34% 05.09.2013 20.10 21.35 22.15 22.97 -0.315 -0.302 -0.293 -0.262 0.009 0.009 0.008 0.005 MDRX UW Equity ALLSCRIPTS HEALTHCARE SOLUTI Health Care 14.08 32.73 35.94 37.62 38.87 39.50 39.21 -0.049 -0.219 -0.271 -0.163 -0.116 -0.101 0.001 0.005 0.006 0.003 0.001 0.001 AFAM UW Equity ALMOST FAMILY INC Health Care 19.50 25.55 24.89 24.77 25.52 0.000 -0.103 -0.140 -0.100 0.000 0.002 0.002 0.000 ANR UN Equity ALPHA NATURAL RESOURCES INC Energy 6.84 59.17 58.91 59.07 60.74 58.33 59.69 -0.193 -0.243 -0.219 -0.150 -0.108 -0.121 0.009 0.007 0.005 0.002 0.001 0.001 CAS UN Equity CASTLE (A.M.) & CO Materials 18.07 0.83% 30.07.2013 36.08 36.15 36.39 37.35 -0.082 -0.115 -0.131 -0.143 0.000 0.003 0.004 0.004 AMCX UW Equity AMC NETWORKS INC-A Consumer Discretionary 65.56 26.41 27.13 28.06 30.53 -0.189 -0.230 -0.232 -0.163 0.003 0.006 0.006 0.004 ACO UN Equity AMCOL INTERNATIONAL CORP Materials 30.92 2.65% 30.05.2013 29.92 30.18 30.38 30.90 0.000 -0.127 -0.181 -0.182 0.000 0.003 0.004 0.003 AMED UW Equity AMEDISYS INC Health Care 11.03 55.00 53.68 52.98 52.52 -0.053 -0.096 -0.119 -0.120 0.007 0.003 0.001 0.001 ACC UN Equity AMERICAN CAMPUS COMMUNITIES Financials 44.68 2.42% 14.08.2013 15.71 16.80 17.48 18.42 0.000 -0.050 -0.083 -0.126 0.000 0.000 0.000 0.002 AEO UN Equity AMERICAN EAGLE OUTFITTERS Consumer Discretionary 20.10 2.49% 27.06.2013 38.59 35.67 34.15 33.97 33.51 34.04 -0.315 -0.237 -0.189 -0.157 -0.130 -0.123 0.004 0.003 0.003 0.002 0.001 0.001 AFG UN Equity AMERICAN FINANCIAL GROUP INC Financials 49.72 1.69% 10.07.2013 13.35 14.05 14.27 13.79 0.000 -0.074 -0.106 -0.113 0.000 0.001 0.002 0.002 AM UN Equity AMERICAN GREETINGS CORP-CL A Consumer Discretionary 18.43 1.74% 05.07.2013 16.83 16.83 16.83 0.000 0.000 0.000 0.000 0.000 0.000 APEI UW Equity AMERICAN PUBLIC EDUCATION Consumer Discretionary 37.62 32.86 34.45 35.36 36.29 -0.166 -0.131 -0.126 -0.170 0.000 0.001 0.002 0.002 ASEI UW Equity AMERICAN SCIENCE & ENGINEERI Industrials 60.53 2.48% 22.08.2013 20.48 20.62 21.44 -0.242 -0.270 -0.244 0.005 0.008 0.009 AWR UN Equity AMERICAN STATES WATER CO Utilities 54.95 2.73% 13.08.2013 18.44 18.65 18.73 18.51 0.000 -0.087 -0.128 -0.162 0.000 0.004 0.006 0.005 AVD UN Equity AMERICAN VANGUARD CORP Materials 30.53 0.59% 25.09.2013 33.62 35.12 35.80 35.90 -0.190 -0.197 -0.188 -0.134 0.009 0.006 0.004 0.002 AMSF UW Equity AMERISAFE INC Financials 33.41 0.24% AME UN Equity AMETEK INC Industrials 42.86 0.56% 13.09.2013 19.53 19.70 19.96 20.80 -0.173 -0.261 -0.290 -0.257 0.001 0.006 0.008 0.005 AHS UN Equity AMN HEALTHCARE SERVICES INC Health Care 14.40 35.70 34.97 35.46 -0.133 -0.050 -0.029 0.002 0.001 0.000 AMSG UW Equity AMSURG CORP Health Care 35.73 24.52 25.28 25.31 23.62 0.000 -0.086 -0.129 -0.137 0.000 -0.002 -0.002 0.000 ALOG UW Equity ANALOGIC CORP Health Care 80.38 0.60% 14.06.2013 26.32 23.69 22.77 -0.339 -0.291 -0.254 0.009 0.007 0.005 ANDE UW Equity ANDERSONS INC/THE Consumer Staples 53.70 1.27% 03.10.2013 23.36 23.50 23.81 24.87 -0.136 -0.183 -0.192 -0.139 0.002 0.007 0.009 0.005 AXE UN Equity ANIXTER INTERNATIONAL INC Information Technology 73.67 17.71 20.47 21.69 22.24 -0.390 -0.303 -0.249 -0.188 0.012 0.008 0.006 0.005 ANN UN Equity ANN INC Consumer Discretionary 31.30 46.14 42.09 39.94 39.39 38.51 39.18 -0.257 -0.247 -0.232 -0.183 -0.165 -0.138 0.005 0.004 0.003 0.002 0.001 0.001 ANSS UW Equity ANSYS INC Information Technology 76.90 20.18 21.09 22.14 -0.342 -0.269 -0.231 0.011 0.006 0.003 AOS UN Equity SMITH (A.O.) CORP Industrials 79.70 0.65% 31.07.2013 18.41 19.55 20.57 -0.084 -0.058 -0.075 0.001 0.000 0.000 AOL UN Equity AOL INC Information Technology 37.78 33.46 32.71 33.61 36.35 37.18 36.89 -0.192 -0.155 -0.134 -0.114 -0.095 -0.077 0.010 0.006 0.004 0.001 0.001 0.001 APOG UW Equity APOGEE ENTERPRISES INC Industrials 27.55 1.31% 12.07.2013 34.12 35.58 36.53 37.66 -0.348 -0.310 -0.272 -0.173 0.006 0.007 0.007 0.003 AINV UW Equity APOLLO INVESTMENT CORP Financials 8.61 9.30% 11.06.2013 22.58 23.14 23.58 22.96 -0.197 -0.124 -0.096 -0.173 0.003 0.006 0.007 0.004 AIT UN Equity APPLIED INDUSTRIAL TECH INC Industrials 46.00 1.76% 15.08.2013 22.52 23.49 24.01 24.63 0.000 -0.197 -0.244 -0.148 0.000 0.005 0.006 0.004 AREX UW Equity APPROACH RESOURCES INC Energy 27.07 35.81 35.00 35.09 -0.123 -0.247 -0.257 0.002 0.003 0.003 ATR UN Equity APTARGROUP INC Materials 56.50 1.77% 05.08.2013 15.46 17.47 18.38 19.05 0.000 -0.175 -0.222 -0.175 0.000 0.005 0.006 0.003 WTR UN Equity AQUA AMERICA INC Utilities 32.89 1.73% 15.11.2013 21.39 19.95 18.81 16.55 -0.553 -0.346 -0.199 -0.098 0.024 0.011 0.003 0.004 ARB UN Equity ARBITRON INC Consumer Discretionary 46.85 0.85% 14.06.2013 13.46 12.95 12.37 10.92 0.000 0.027 0.006 -0.197 0.000 -0.001 0.000 0.007 ACI UN Equity ARCH COAL INC Energy 4.96 2.42% 28.08.2013 59.33 60.25 61.55 63.33 64.68 66.96 -0.174 -0.125 -0.108 -0.103 -0.104 -0.100 0.008 0.006 0.004 0.002 0.001 0.001 ACAT UW Equity ARCTIC CAT INC Consumer Discretionary 47.63 0.84% 28.08.2013 47.11 45.61 44.65 43.23 -0.093 -0.086 -0.087 -0.112 0.005 0.003 0.002 0.001 ABFS UW Equity ARKANSAS BEST CORP Industrials 17.04 0.70% 02.08.2013 57.97 57.70 57.25 55.58 0.028 -0.017 -0.046 -0.094 0.006 0.003 0.002 0.001 ARQL UQ Equity ARQULE INC Health Care 2.92 82.00 81.88 81.77 0.302 0.300 0.298 0.001 0.001 0.001 ARRS UW Equity ARRIS GROUP INC Information Technology 16.95 28.18 28.98 29.14 28.29 -0.092 -0.061 -0.066 -0.147 0.001 0.001 0.002 0.004 ARW UN Equity ARROW ELECTRONICS INC Information Technology 38.45 25.06 26.63 27.43 27.90 -0.234 -0.236 -0.233 -0.214 0.007 0.005 0.004 0.005 AJG UN Equity ARTHUR J GALLAGHER & CO Financials 45.40 3.11% 30.09.2013 12.11 12.38 13.00 0.000 0.002 -0.017 0.000 0.000 0.000 ASNA UW Equity ASCENA RETAIL GROUP INC Consumer Discretionary 19.85 35.04 32.84 31.63 31.46 30.95 31.31 -0.338 -0.274 -0.227 -0.160 -0.081 -0.012 0.008 0.006 0.004 0.003 0.000 0.000 ASH UN Equity ASHLAND INC Materials 89.40 1.52% 19.08.2013 24.46 24.57 25.20 26.81 -0.313 -0.257 -0.222 -0.184 0.011 0.008 0.006 0.003 AHL UN Equity ASPEN INSURANCE HOLDINGS LTD Financials 38.68 1.86% 09.08.2013 18.45 18.95 19.34 20.13 0.000 -0.029 -0.047 -0.072 0.000 0.000 0.001 0.001 ASBC UW Equity ASSOCIATED BANC-CORP Financials 15.14 3.04% 08.08.2013 21.89 22.58 22.98 23.41 0.000 -0.069 -0.106 -0.154 0.000 0.003 0.004 0.003 ASTE UW Equity ASTEC INDUSTRIES INC Industrials 34.99 1.14% 24.07.2013 26.53 27.86 28.49 28.77 -0.343 -0.367 -0.363 -0.292 0.011 0.008 0.006 0.003 AF UN Equity ASTORIA FINANCIAL CORP Financials 9.92 1.61% 15.08.2013 24.31 23.94 24.76 0.000 0.003 -0.024 0.000 0.000 0.002 ATNI UW Equity ATLANTIC TELE-NETWORK INC Telecommunication Services 50.50 2.16% 28.06.2013 28.96 28.25 28.04 28.10 0.000 -0.135 -0.197 -0.208 0.000 0.001 0.002 0.004 AAWW UW Equity ATLAS AIR WORLDWIDE HOLDINGS Industrials 45.81 26.85 29.56 30.95 32.02 -0.156 -0.217 -0.229 -0.176 0.005 0.004 0.003 0.002 ATML UW Equity ATMEL CORP Information Technology 7.25 37.54 39.12 40.67 44.87 0.000 -0.155 -0.207 -0.165 0.000 0.006 0.007 0.001 ATMI UW Equity ATMI INC Information Technology 23.58 26.10 26.58 26.93 27.74 0.148 -0.030 -0.106 -0.090 0.000 0.001 0.001 0.001 ATO UN Equity ATMOS ENERGY CORP Utilities 44.79 3.15% 27.08.2013 14.29 14.25 14.33 0.000 0.003 -0.026 0.000 0.000 0.000 ATW UN Equity ATWOOD OCEANICS INC Energy 52.00 23.06 24.67 25.57 26.59 -0.281 -0.242 -0.213 -0.161 0.009 0.005 0.004 0.004 AVID UW Equity AVID TECHNOLOGY INC Information Technology 6.86 48.09 47.68 47.53 47.55 0.000 -0.186 -0.255 -0.172 0.000 0.004 0.005 0.002 AVA UN Equity AVISTA CORP Utilities 29.03 4.25% 20.08.2013 15.39 15.26 15.14 14.76 -0.154 -0.153 -0.152 -0.148 0.002 0.002 0.002 0.003 AVT UN Equity AVNET INC Information Technology 32.97 25.79 27.80 28.76 29.12 -0.232 -0.224 -0.216 -0.189 0.010 0.007 0.006 0.003 AZZ UN Equity AZZ INC Industrials 41.60 1.61% 09.07.2013 29.80 30.32 30.78 31.88 -0.033 -0.134 -0.168 -0.138 0.000 0.003 0.004 0.003 BGS UN Equity B&G FOODS INC Consumer Staples 31.09 3.92% 28.06.2013 20.58 22.14 22.40 21.71 0.000 -0.249 -0.297 -0.163 0.000 0.006 0.008 0.005 BEAV UW Equity B/E AEROSPACE INC Industrials 64.21 21.48 21.87 22.63 -0.211 -0.231 -0.229 0.007 0.007 0.006 BMI UN Equity BADGER METER INC Information Technology 44.24 1.60% 30.08.2013 31.50 33.97 35.21 35.97 -0.296 -0.246 -0.217 -0.178 0.013 0.009 0.006 0.002 BCPC UW Equity BALCHEM CORP Materials 45.30 0.53% 13.12.2013 25.95 26.72 27.11 27.29 -0.187 -0.242 -0.246 -0.170 0.004 0.007 0.007 0.004 BYI UN Equity BALLY TECHNOLOGIES INC Consumer Discretionary 52.88 19.52 19.57 20.43 22.50 24.29 25.64 -0.383 -0.286 -0.255 -0.256 -0.198 -0.151 0.012 0.010 0.007 0.005 0.004 0.003 BXS UN Equity BANCORPSOUTH INC Financials 17.28 0.23% 13.09.2013 19.67 21.79 22.54 0.000 -0.149 -0.199 0.000 0.003 0.004 BKMU UW Equity BANK MUTUAL CORP Financials 5.32 1.50% 14.08.2013 46.90 44.15 42.83 42.72 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 BOH UN Equity BANK OF HAWAII CORP Financials 50.00 3.60% 28.08.2013 13.17 14.39 14.98 0.000 -0.180 -0.223 0.000 0.003 0.005 OZRK UW Equity BANK OF THE OZARKS Financials 43.27 1.69% 10.07.2013 21.66 23.25 23.75 23.10 -0.114 -0.054 -0.054 -0.149 0.001 0.001 0.001 0.001 BANR UW Equity BANNER CORPORATION Financials 33.85 1.48% 03.07.2013 26.69 28.07 28.72 29.11 -0.211 -0.110 -0.076 -0.119 0.004 0.001 0.001 0.004 BKS UN Equity BARNES & NOBLE INC Consumer Discretionary 20.74 72.30 64.39 58.80 51.66 45.79 42.39 -0.162 -0.124 -0.096 -0.074 -0.109 -0.139 0.000 0.002 0.002 0.001 0.001 0.001 B UN Equity BARNES GROUP INC Industrials 30.00 1.43% 29.08.2013 21.78 23.86 24.95 25.57 0.000 -0.065 -0.094 -0.134 0.000 0.005 0.006 0.005 BAS UN Equity BASIC ENERGY SERVICES INC Energy 13.89 41.20 43.74 45.31 0.080 -0.225 -0.283 0.010 0.008 0.005 BBCN UW Equity BBCN BANCORP INC Financials 13.10 1.98% 30.07.2013 95.38 95.84 96.30 81.88 0.474 0.480 0.486 -0.288 0.010 0.009 0.008 0.021 BELFB UW Equity BEL FUSE INC-CL B Information Technology 14.65 2.13% 16.07.2013 BDC UN Equity BELDEN INC Industrials 53.99 0.37% 14.06.2013 28.48 28.75 29.29 31.18 -0.348 -0.278 -0.240 -0.211 0.011 0.009 0.007 0.004 BHE UN Equity BENCHMARK ELECTRONICS INC Information Technology 19.31 28.45 28.70 29.00 -0.117 -0.053 -0.057 0.001 0.001 0.001 BGFV UW Equity BIG 5 SPORTING GOODS CORP Consumer Discretionary 22.28 1.80% 30.08.2013 38.63 38.39 38.87 -0.095 -0.164 -0.162 0.002 0.005 0.006 BIG UN Equity BIG LOTS INC Consumer Discretionary 37.36 34.74 32.31 31.62 32.29 33.03 33.06 -0.259 -0.266 -0.239 -0.159 -0.134 -0.124 0.015 0.010 0.006 0.002 0.001 0.001 BH UN Equity BIGLARI HOLDINGS INC Consumer Discretionary 403.04 BBG UN Equity BILL BARRETT CORP Energy 21.32 44.27 44.90 45.52 47.06 -0.223 -0.163 -0.136 -0.136 0.012 0.007 0.004 0.002 BIO UN Equity BIO-RAD LABORATORIES-A Health Care 115.94 20.46 20.80 21.17 22.19 -0.069 -0.155 -0.192 -0.210 0.001 0.006 0.008 0.005 BRLI UW Equity BIO-REFERENCE LABS INC Health Care 28.82 38.28 35.68 34.58 34.98 -0.393 -0.365 -0.336 -0.245 0.012 0.011 0.010 0.004 BMR UN Equity BIOMED REALTY TRUST INC Financials 22.71 4.23% 28.06.2013 12.20 14.19 15.03 14.95 0.000 0.026 0.022 -0.035 0.000 -0.001 0.000 0.001 BJRI UW Equity BJ'S RESTAURANTS INC Consumer Discretionary 37.60 25.93 25.44 25.98 -0.096 -0.285 -0.289 0.000 0.007 0.008 BBOX UW Equity BLACK BOX CORP Information Technology 26.28 1.37% 02.10.2013 33.90 34.69 35.23 36.12 -0.121 -0.202 -0.230 -0.195 0.004 0.006 0.006 0.005 Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx 2 + ct At The Money Implied Volatilities by Terms S&P1000Index Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 2. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM Ref Dividend Yield Next Ex- Dividend Date ATM Vol - 30D ATM Vol - 60D ATM Vol - 90D ATM Vol - 6M ATM Vol - 12M ATM Vol - 18M ATM Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M BKH UN Equity BLACK HILLS CORP Utilities 49.75 2.31% 16.08.2013 16.49 17.22 17.73 18.14 0.000 -0.160 -0.201 -0.193 0.000 0.008 0.009 0.004 BLKB UW Equity BLACKBAUD INC Information Technology 30.65 1.60% 28.08.2013 23.03 23.46 23.95 25.34 0.000 -0.205 -0.278 -0.235 0.000 0.006 0.007 0.006 BCOR UW Equity BLUCORA INC Information Technology 17.78 34.70 33.85 34.34 -0.027 -0.148 -0.183 -0.001 0.003 0.004 NILE UW Equity BLUE NILE INC Consumer Discretionary 32.01 35.64 41.99 44.17 43.84 -0.244 -0.212 -0.183 -0.133 0.001 0.003 0.003 0.002 BTH UN Equity BLYTH INC Consumer Discretionary 14.65 1.71% 01.10.2013 61.22 61.69 61.77 61.54 0.000 -0.117 -0.163 -0.135 0.000 0.001 0.002 0.001 BOBE UW Equity BOB EVANS FARMS Consumer Discretionary 45.81 2.63% 06.06.2013 24.69 24.59 24.49 24.25 -0.827 -0.511 -0.306 -0.114 0.027 0.018 0.011 0.004 SAM UN Equity BOSTON BEER COMPANY INC-A Consumer Staples 151.47 26.35 27.94 28.73 29.09 -0.303 -0.223 -0.180 -0.151 0.009 0.005 0.004 0.002 BPFH UW Equity BOSTON PRIVATE FINL HOLDING Financials 9.90 2.22% 16.08.2013 201.64 163.61 136.47 0.000 0.000 0.000 0.000 0.000 0.000 EPAY UW Equity BOTTOMLINE TECHNOLOGIES (DE) Information Technology 28.00 27.24 28.44 29.20 30.31 0.000 -0.111 -0.159 -0.161 0.000 0.001 0.002 0.002 BYD UN Equity BOYD GAMING CORP Consumer Discretionary 14.30 49.34 46.88 46.21 49.07 48.70 50.37 -0.205 -0.201 -0.186 -0.121 -0.201 -0.133 0.009 0.007 0.005 0.002 0.001 0.001 BRC UN Equity BRADY CORPORATION - CL A Industrials 35.40 2.23% 10.07.2013 21.09 21.09 21.09 21.09 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 BRE UN Equity BRE PROPERTIES INC Financials 52.60 3.02% 13.09.2013 17.57 18.33 18.73 -0.060 -0.019 -0.036 0.000 0.000 0.001 BGG UN Equity BRIGGS & STRATTON Industrials 23.52 2.10% 20.08.2013 26.52 26.39 26.67 -0.073 -0.350 -0.333 0.000 0.011 0.011 BCO UN Equity BRINK'S CO/THE Industrials 26.83 1.12% 19.07.2013 28.44 30.60 31.48 31.12 -0.241 -0.217 -0.200 -0.161 0.006 0.004 0.003 0.004 EAT UN Equity BRINKER INTERNATIONAL INC Consumer Discretionary 40.61 2.19% 12.06.2013 22.37 21.95 22.74 0.000 -0.134 -0.168 0.000 0.005 0.006 BRS UN Equity BRISTOW GROUP INC Energy 66.31 1.36% 05.06.2013 22.45 22.66 22.91 23.58 -0.192 -0.204 -0.203 -0.178 0.001 0.004 0.004 0.003 BR UN Equity BROADRIDGE FINANCIAL SOLUTIO Information Technology 26.38 2.84% 13.09.2013 19.66 18.67 18.09 17.35 0.000 -0.033 -0.066 -0.160 0.000 0.002 0.004 0.004 BRKL UW Equity BROOKLINE BANCORP INC Financials 8.64 3.94% 07.08.2013 31.45 31.45 31.45 31.45 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 BRKS UW Equity BROOKS AUTOMATION INC Information Technology 9.96 3.21% 04.09.2013 37.43 38.32 38.24 0.000 0.004 -0.028 0.000 0.000 0.000 BRO UN Equity BROWN & BROWN INC Financials 32.79 1.14% 05.08.2013 19.05 19.01 18.97 19.17 -0.170 -0.170 -0.171 -0.156 0.000 0.000 0.000 0.004 BWS UN Equity BROWN SHOE COMPANY INC Consumer Discretionary 17.64 1.59% 19.06.2013 41.33 39.38 38.44 38.11 -0.137 -0.076 -0.062 -0.128 0.000 0.000 0.000 0.000 BC UN Equity BRUNSWICK CORP Consumer Discretionary 32.84 0.15% 22.11.2013 36.06 38.01 39.11 40.26 -0.152 -0.176 -0.182 -0.158 0.008 0.005 0.003 0.002 BKI UN Equity BUCKEYE TECHNOLOGIES INC Materials 37.50 0.72% 09.08.2013 8.69 8.69 8.69 0.000 0.000 0.000 0.000 0.000 0.000 BKE UN Equity BUCKLE INC/THE Consumer Discretionary 53.93 1.48% 15.07.2013 32.58 31.28 30.66 30.57 -0.285 -0.282 -0.264 -0.179 0.009 0.005 0.003 0.002 BWLD UW Equity BUFFALO WILD WINGS INC Consumer Discretionary 94.79 23.94 26.07 27.31 28.98 29.68 31.70 -0.314 -0.250 -0.209 -0.157 -0.127 -0.102 0.012 0.007 0.005 0.002 0.002 0.001 CJES UN Equity C&J ENERGY SERVICES INC Energy 18.47 30.63 34.32 35.92 35.50 37.30 37.33 0.093 -0.061 -0.137 -0.158 -0.173 -0.139 0.012 0.007 0.004 0.003 0.002 0.002 CAB UN Equity CABELA'S INC Consumer Discretionary 70.45 30.40 33.05 34.34 35.05 -0.191 -0.176 -0.164 -0.137 0.006 0.003 0.002 0.001 CBT UN Equity CABOT CORP Materials 38.09 2.26% 28.08.2013 28.08 27.93 27.99 -0.160 -0.103 -0.120 0.002 0.001 0.002 CCMP UW Equity CABOT MICROELECTRONICS CORP Information Technology 35.74 25.60 25.29 25.77 0.000 -0.151 -0.194 0.000 0.004 0.004 CACI UN Equity CACI INTERNATIONAL INC -CL A Information Technology 61.04 24.61 25.88 26.73 27.72 -0.489 -0.366 -0.302 -0.248 0.016 0.010 0.007 0.004 CDNS UW Equity CADENCE DESIGN SYS INC Information Technology 14.18 18.61 22.10 23.78 24.69 0.000 -0.157 -0.208 -0.202 0.000 0.005 0.005 0.004 CALM UW Equity CAL-MAINE FOODS INC Consumer Staples 43.51 1.83% 05.08.2013 18.62 20.57 21.94 24.38 0.000 -0.224 -0.268 -0.189 0.000 0.010 0.012 0.004 CLMS UW Equity CALAMOS ASSET MANAGEMENT-A Financials 10.84 3.55% 15.08.2013 29.47 29.76 30.44 34.28 0.000 -0.129 -0.176 -0.077 0.000 -0.002 -0.002 -0.001 CVGW UW Equity CALAVO GROWERS INC Consumer Staples 30.14 2.16% 27.11.2013 30.47 29.71 29.42 0.000 -0.229 -0.272 0.000 0.007 0.007 CCC UN Equity CALGON CARBON CORP Materials 17.54 25.54 26.15 26.98 0.000 -0.151 -0.200 0.000 0.004 0.005 ELY UN Equity CALLAWAY GOLF COMPANY Consumer Discretionary 6.63 0.60% 14.08.2013 27.69 31.10 31.67 28.70 0.000 -0.109 -0.160 -0.205 0.000 0.000 0.001 0.009 CBM UN Equity CAMBREX CORP Health Care 13.14 39.53 40.30 40.12 0.000 -0.069 -0.087 0.000 -0.001 -0.001 CPT UN Equity CAMDEN PROPERTY TRUST Financials 74.49 3.42% 28.06.2013 13.72 15.02 15.44 15.15 0.000 -0.037 -0.051 -0.051 0.000 0.000 0.001 0.001 CMN UN Equity CANTEL MEDICAL CORP Health Care 34.87 0.34% 17.07.2013 29.06 29.35 29.71 30.74 0.000 -0.085 -0.117 -0.092 0.000 0.004 0.005 0.003 CPLA UW Equity CAPELLA EDUCATION CO Consumer Discretionary 42.68 27.74 28.35 29.26 31.94 -0.255 -0.248 -0.231 -0.173 0.009 0.006 0.004 0.003 CRR UN Equity CARBO CERAMICS INC Energy 70.06 1.71% 01.08.2013 30.98 34.92 36.80 37.91 37.15 37.68 -0.301 -0.211 -0.164 -0.134 -0.059 -0.064 0.011 0.006 0.004 0.001 0.002 0.001 CATM UW Equity CARDTRONICS INC Information Technology 29.03 26.05 29.49 31.26 32.78 0.000 -0.041 -0.061 -0.080 0.000 0.000 0.001 0.001 CECO UW Equity CAREER EDUCATION CORP Consumer Discretionary 2.94 56.37 61.12 63.90 65.90 0.000 0.003 -0.024 -0.074 0.000 0.000 0.001 0.003 CSL UN Equity CARLISLE COS INC Industrials 67.08 1.28% 14.08.2013 22.13 22.09 22.23 22.70 -0.381 -0.420 -0.423 -0.349 0.006 0.007 0.008 0.006 CRS UN Equity CARPENTER TECHNOLOGY Materials 46.82 1.56% 30.08.2013 24.76 26.37 27.27 28.24 -0.303 -0.261 -0.229 -0.168 0.008 0.006 0.005 0.003 CRZO UW Equity CARRIZO OIL & GAS INC Energy 26.85 40.78 40.27 40.53 41.53 42.15 42.49 -0.195 -0.203 -0.189 -0.151 -0.132 -0.122 0.005 0.004 0.003 0.001 0.001 0.001 CRI UN Equity CARTER'S INC Consumer Discretionary 70.52 0.23% 20.96 22.15 22.98 24.31 -0.288 -0.275 -0.256 -0.196 0.007 0.006 0.005 0.003 CASY UW Equity CASEY'S GENERAL STORES INC Consumer Staples 60.65 1.22% 01.08.2013 33.88 28.57 26.17 22.97 -1.123 -0.444 -0.191 -0.150 0.016 0.033 0.034 0.006 CSH UN Equity CASH AMERICA INTL INC Financials 47.15 0.30% 29.07.2013 28.61 27.41 27.19 28.61 -0.323 -0.427 -0.446 -0.318 0.007 0.007 0.007 0.005 CATY UW Equity CATHAY GENERAL BANCORP Financials 20.60 0.78% 31.05.2013 28.16 25.12 25.79 37.13 0.000 -0.281 -0.551 -0.860 0.000 0.007 0.015 0.036 CATO UN Equity CATO CORP-CLASS A Consumer Discretionary 24.87 4.95% 13.06.2013 27.99 27.07 26.69 -0.076 -0.091 -0.102 0.001 0.003 0.003 CBEY UW Equity CBEYOND INC Telecommunication Services 9.54 32.21 35.70 37.37 38.23 0.000 -0.106 -0.157 -0.215 0.000 0.006 0.007 0.005 CBOE UW Equity CBOE HOLDINGS INC Financials 40.10 1.72% 28.08.2013 17.88 17.79 17.62 17.06 17.09 17.20 -0.215 -0.253 -0.265 -0.234 -0.169 -0.150 0.011 0.010 0.008 0.006 0.004 0.003 CDI UN Equity CDI CORP Industrials 13.68 3.80% 06.08.2013 40.13 37.80 36.24 34.27 0.000 -0.040 -0.064 -0.081 0.000 0.000 0.000 0.000 CEC UN Equity CEC ENTERTAINMENT INC Consumer Discretionary 38.87 2.62% 03.09.2013 25.86 25.68 25.76 26.47 0.000 -0.012 -0.041 -0.130 0.000 0.000 0.001 0.004 CDR UN Equity CEDAR REALTY TRUST INC Financials 6.61 3.03% 07.08.2013 28.94 28.87 28.80 -0.330 -0.329 -0.328 0.002 0.002 0.002 CNC UN Equity CENTENE CORP Health Care 51.36 32.79 33.42 34.30 37.80 34.98 36.62 -0.306 -0.267 -0.238 -0.184 -0.125 -0.106 0.010 0.008 0.006 0.002 0.003 0.002 CENTA UW Equity CENTRAL GARDEN AND PET CO-A Consumer Staples 7.59 38.85 38.57 38.76 40.23 0.000 0.003 0.002 -0.004 0.000 0.000 0.000 0.000 CENX UW Equity CENTURY ALUMINUM COMPANY Materials 8.65 45.73 46.35 46.52 45.68 -0.237 -0.211 -0.197 -0.176 0.011 0.007 0.005 0.003 CEVA UW Equity CEVA INC Information Technology 15.91 30.31 31.27 32.18 34.29 0.000 -0.061 -0.085 -0.077 0.000 0.002 0.003 0.001 CHG UN Equity CH ENERGY GROUP INC Utilities 64.18 3.46% 11.07.2013 CRL UN Equity CHARLES RIVER LABORATORIES Health Care 45.72 23.91 25.80 26.74 27.34 -0.183 -0.188 -0.182 -0.152 0.004 0.006 0.006 0.002 CKP UN Equity CHECKPOINT SYSTEMS INC Information Technology 12.40 38.75 38.46 38.36 38.80 0.000 -0.080 -0.100 -0.065 0.000 0.004 0.005 0.003 CAKE UW Equity CHEESECAKE FACTORY INC/THE Consumer Discretionary 40.80 1.18% 05.08.2013 19.94 20.15 21.06 22.85 -0.136 -0.193 -0.200 -0.174 0.005 0.007 0.006 0.003 CHE UN Equity CHEMED CORP Health Care 65.94 1.23% 24.05.2013 38.24 37.39 36.74 35.26 -0.672 -0.525 -0.427 -0.268 0.015 0.011 0.008 0.002 CHS UN Equity CHICO'S FAS INC Consumer Discretionary 19.46 1.16% 12.09.2013 40.83 36.94 34.80 33.56 33.96 34.48 -0.193 -0.167 -0.152 -0.135 -0.117 -0.097 0.005 0.005 0.004 0.002 0.001 0.001 PLCE UW Equity CHILDREN'S PLACE Consumer Discretionary 50.95 39.10 36.04 34.27 32.91 -0.352 -0.284 -0.240 -0.200 0.007 0.005 0.004 0.002 CBK UN Equity CHRISTOPHER & BANKS CORP Consumer Discretionary 7.65 55.78 52.77 51.56 52.43 0.347 0.072 -0.077 -0.135 0.014 0.009 0.005 0.003 CHD UN Equity CHURCH & DWIGHT CO INC Consumer Staples 64.59 1.83% 15.08.2013 14.06 13.28 13.50 -0.079 -0.009 0.003 0.001 0.000 0.000 CBR UN Equity CIBER INC Information Technology 3.89 60.85 60.85 60.85 60.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CIEN UW Equity CIENA CORP Information Technology 15.21 48.65 45.08 43.89 44.46 44.91 44.33 -0.155 -0.172 -0.166 -0.135 -0.125 -0.116 0.010 0.007 0.005 0.002 0.000 0.000 XEC UN Equity CIMAREX ENERGY CO Energy 69.46 0.84% 14.08.2013 31.05 32.56 33.30 33.72 -0.164 -0.172 -0.173 -0.162 0.010 0.006 0.004 0.002 CBB UN Equity CINCINNATI BELL INC Telecommunication Services 3.61 64.57 64.61 64.64 65.91 -0.085 -0.085 -0.085 -0.246 0.000 0.000 0.000 0.001 CNK UN Equity CINEMARK HOLDINGS INC Consumer Discretionary 30.20 2.78% 06.06.2013 18.64 19.51 20.09 21.12 0.000 -0.167 -0.219 -0.163 0.000 0.006 0.007 0.005 CIR UN Equity CIRCOR INTERNATIONAL INC Industrials 50.22 0.30% 07.08.2013 27.94 30.06 30.41 30.02 -0.186 -0.228 -0.216 -0.161 0.006 0.007 0.008 0.008 CRUS UW Equity CIRRUS LOGIC INC Information Technology 22.59 44.22 46.91 48.25 49.17 47.14 47.74 -0.140 -0.140 -0.137 -0.120 -0.117 -0.098 0.009 0.005 0.003 0.001 0.001 0.001 CHCO UW Equity CITY HOLDING CO Financials 39.60 3.72% 10.07.2013 20.92 21.55 21.97 22.41 0.000 0.096 0.088 -0.110 0.000 0.000 0.001 0.003 CYN UN Equity CITY NATIONAL CORP Financials 60.49 2.15% 29.07.2013 15.93 16.36 17.15 19.90 -0.173 -0.350 -0.377 -0.252 0.003 0.011 0.011 0.004 CLC UN Equity CLARCOR INC Industrials 54.70 1.07% 03.07.2013 22.74 22.09 21.79 21.88 -0.198 -0.223 -0.226 -0.184 0.003 0.004 0.004 0.003 CLH UN Equity CLEAN HARBORS INC Industrials 55.39 27.68 28.41 29.22 -0.207 -0.233 -0.223 0.002 0.007 0.007 CLW UN Equity CLEARWATER PAPER CORP Materials 46.62 24.16 24.29 25.07 -0.232 -0.202 -0.176 0.006 0.005 0.005 CNL UN Equity CLECO CORPORATION Utilities 48.09 3.02% 08.08.2013 14.77 14.77 14.77 15.46 0.001 0.001 0.001 0.008 0.000 0.000 0.000 0.000 CLD UN Equity CLOUD PEAK ENERGY INC Energy 18.19 36.60 37.13 37.16 36.29 -0.151 -0.154 -0.150 -0.130 -0.001 0.003 0.005 0.003 CGNX UW Equity COGNEX CORP Information Technology 44.14 29.05.2013 22.38 25.14 26.61 28.00 -0.467 -0.287 -0.186 -0.174 0.020 0.011 0.006 0.001 COHR UW Equity COHERENT INC Information Technology 57.19 47.23 34.74 25.56 28.17 0.708 0.306 -0.015 -0.179 -0.002 0.021 0.037 0.028 COHU UW Equity COHU INC Information Technology 10.35 2.32% 26.06.2013 32.17 33.90 34.97 36.23 0.000 0.028 0.005 -0.138 0.000 -0.001 0.000 0.004 CSTR UW Equity COINSTAR INC Consumer Discretionary 55.26 35.69 36.90 37.71 38.83 38.93 38.68 -0.106 -0.170 -0.169 -0.139 -0.127 -0.112 0.004 0.003 0.002 0.001 0.001 0.001 CWTR UW Equity COLDWATER CREEK INC Consumer Discretionary 3.87 82.46 83.98 81.66 0.000 -0.314 -0.375 0.000 0.001 0.001 CLP UN Equity COLONIAL PROPERTIES TRUST Financials 23.93 3.68% 08.08.2013 19.60 17.32 16.33 16.85 0.000 -0.052 -0.089 -0.129 0.000 0.000 0.000 0.001 COLB UW Equity COLUMBIA BANKING SYSTEM INC Financials 21.84 2.11% 05.08.2013 26.41 44.56 47.58 38.92 -0.076 -0.089 -0.214 -0.727 0.001 0.002 0.003 -0.001 FIX UN Equity COMFORT SYSTEMS USA INC Industrials 13.43 1.12% 28.08.2013 39.44 38.47 36.75 -0.513 -0.363 -0.195 -0.002 -0.002 0.000 CBSH UW Equity COMMERCE BANCSHARES INC Financials 41.71 2.16% 04.09.2013 32.99 27.48 23.66 22.54 0.000 -0.001 -0.004 0.345 0.000 -0.001 0.000 0.010 CMC UN Equity COMMERCIAL METALS CO Materials 15.17 3.16% 11.07.2013 25.73 27.41 28.35 29.36 -0.198 -0.270 -0.286 -0.219 0.003 0.003 0.003 0.002 CBU UN Equity COMMUNITY BANK SYSTEM INC Financials 29.30 3.79% 13.09.2013 20.38 21.07 21.39 21.39 0.000 0.009 0.002 -0.043 0.000 0.000 0.000 0.001 CYH UN Equity COMMUNITY HEALTH SYSTEMS INC Health Care 45.42 28.00 29.43 30.27 31.27 -0.279 -0.221 -0.186 -0.147 0.009 0.006 0.004 0.002 CVLT UW Equity COMMVAULT SYSTEMS INC Information Technology 74.64 37.72 37.49 38.03 -0.200 -0.189 -0.181 0.004 0.003 0.002 CMP UN Equity COMPASS MINERALS INTERNATION Materials 88.82 2.53% 30.08.2013 16.02 18.10 19.11 19.69 -0.341 -0.277 -0.226 -0.135 0.012 0.006 0.004 0.007 CPSI UW Equity COMPUTER PROGRAMS & SYSTEMS Health Care 49.12 4.34% 06.08.2013 29.86 31.11 31.90 32.94 -0.075 -0.147 -0.166 -0.113 0.001 0.002 0.002 0.000 CPWR UW Equity COMPUWARE CORP Information Technology 11.30 37.55 34.99 32.62 27.34 0.000 -0.176 -0.219 -0.059 0.000 0.002 0.002 0.004 SCOR UW Equity COMSCORE INC Information Technology 19.19 34.41 34.28 34.38 35.13 -0.030 -0.029 -0.025 -0.009 0.000 0.001 0.002 0.002 CRK UN Equity COMSTOCK RESOURCES INC Energy 17.50 0.71% 45.85 46.49 47.02 48.08 -0.229 -0.155 -0.115 -0.084 0.013 0.007 0.005 0.002 CMTL UW Equity COMTECH TELECOMMUNICATIONS Information Technology 26.09 4.22% 19.07.2013 29.32 26.91 26.13 -0.154 -0.211 -0.230 0.000 0.003 0.004 CNW UN Equity CON-WAY INC Industrials 36.15 0.83% 15.08.2013 28.23 29.68 30.78 32.90 -0.319 -0.275 -0.243 -0.186 0.007 0.006 0.005 0.003 CNQR UW Equity CONCUR TECHNOLOGIES INC Information Technology 83.40 24.77 27.13 28.15 28.41 -0.315 -0.258 -0.225 -0.190 0.009 0.006 0.005 0.002 CNMD UW Equity CONMED CORP Health Care 32.80 1.89% 14.06.2013 22.50 22.43 22.37 22.41 -0.095 -0.095 -0.094 -0.140 0.001 0.001 0.001 0.003 CGX UN Equity CONSOLIDATED GRAPHICS INC Industrials 42.00 34.55 36.16 35.61 31.52 -0.173 -0.176 -0.169 -0.130 0.004 -0.004 -0.006 0.002 MCF UA Equity CONTANGO OIL & GAS Energy 37.35 30.88 29.34 29.05 -0.167 -0.253 -0.255 0.002 0.007 0.007 CVG UN Equity CONVERGYS CORP Information Technology 18.27 1.31% 19.06.2013 21.47 21.48 22.02 0.000 0.004 -0.031 0.000 0.000 0.001 COO UN Equity COOPER COS INC/THE Health Care 111.84 0.05% 18.07.2013 25.22 22.75 21.61 21.93 -0.254 -0.228 -0.207 -0.164 0.006 0.006 0.006 0.005 CPRT UW Equity COPART INC Industrials 36.82 37.50 34.62 32.98 31.80 -0.120 -0.116 -0.116 -0.128 0.009 0.007 0.005 0.002 CLGX UN Equity CORELOGIC INC Information Technology 27.99 28.73 26.66 26.81 -0.172 -0.202 -0.216 0.002 0.008 0.009 COR UN Equity CORESITE REALTY CORP Financials 36.86 3.20% 26.06.2013 25.79 27.39 28.03 -0.055 -0.021 -0.043 0.000 0.000 0.001 COCO UW Equity CORINTHIAN COLLEGES INC Consumer Discretionary 2.19 48.25 59.06 62.04 57.03 0.000 0.011 0.003 -0.047 0.000 0.000 0.000 -0.001 CEB UN Equity CORPORATE EXECUTIVE BOARD CO Industrials 59.58 1.59% 13.09.2013 24.74 25.03 25.54 27.12 -0.224 -0.224 -0.211 -0.159 0.004 0.005 0.006 0.005 OFC UN Equity CORPORATE OFFICE PROPERTIES Financials 29.11 3.78% 26.09.2013 14.51 16.05 16.85 17.51 0.000 -0.058 -0.087 -0.116 0.000 0.001 0.002 0.003 CXW UN Equity CORRECTIONS CORP OF AMERICA Financials 38.77 4.64% 01.07.2013 17.37 19.39 20.39 21.14 22.16 23.45 -0.152 -0.267 -0.286 -0.151 -0.148 -0.097 0.002 0.005 0.006 0.004 0.003 0.002 CRVL UW Equity CORVEL CORP Health Care 49.20 CUZ UN Equity COUSINS PROPERTIES INC Financials 11.06 1.54% 09.08.2013 23.56 23.56 23.34 0.000 0.000 0.000 0.000 0.000 0.000 CVD UN Equity COVANCE INC Health Care 77.34 17.14 19.33 20.24 20.36 -0.220 -0.204 -0.189 -0.148 0.003 0.004 0.005 0.004 CBRL UW Equity CRACKER BARREL OLD COUNTRY Consumer Discretionary 86.92 2.47% 17.07.2013 23.45 22.63 22.19 21.94 -0.437 -0.330 -0.260 -0.186 0.017 0.012 0.008 0.005 CR UN Equity CRANE CO Industrials 59.66 1.98% 28.08.2013 18.07 18.79 19.48 21.02 -0.075 -0.289 -0.358 -0.287 0.001 0.009 0.011 0.007 CREE UW Equity CREE INC Information Technology 59.91 37.68 40.77 42.24 42.88 41.50 40.82 -0.073 -0.121 -0.138 -0.115 -0.119 -0.104 0.009 0.005 0.003 0.001 0.000 0.000 CROX UW Equity CROCS INC Consumer Discretionary 17.40 28.26 31.33 33.16 35.68 37.56 39.07 -0.163 -0.214 -0.226 -0.185 -0.131 -0.120 0.004 0.004 0.003 0.002 0.001 0.001 CCRN UW Equity CROSS COUNTRY HEALTHCARE INC Health Care 5.21 50.19 52.00 52.87 52.90 0.000 0.052 0.072 0.048 0.000 0.002 0.002 0.001 CRY UN Equity CRYOLIFE INC Health Care 6.40 1.56% 12.06.2013 42.42 42.41 42.39 -0.155 -0.154 -0.154 0.001 0.001 0.001 CSGS UW Equity CSG SYSTEMS INTL INC Information Technology 21.69 21.78 23.05 23.78 24.63 0.000 -0.030 -0.054 -0.099 0.000 -0.001 0.000 0.002 Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct At The Money Implied Volatilities by Terms S&P1000Index Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 3. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM2 Ref Dividend Yield Next Ex- Dividend Date ATM2 Vol - 30D ATM2 Vol - 60D ATM2 Vol - 90D ATM2 Vol - 6M ATM2 Vol - 12M ATM2 Vol - 18M ATM2 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M CST UN Equity CST BRANDS INC Consumer Discretionary 33.16 33.84 33.82 33.02 31.98 0.410 0.157 0.048 0.045 -0.003 0.002 0.004 0.004 CTS UN Equity CTS CORP Information Technology 10.93 1.28% 26.06.2013 35.72 34.30 34.36 0.000 -0.027 -0.050 0.000 0.000 0.000 CUB UN Equity CUBIC CORP Industrials 45.85 0.57% 28.08.2013 21.11 20.84 21.79 -0.132 -0.104 -0.096 0.004 0.004 0.003 CBST UW Equity CUBIST PHARMACEUTICALS INC Health Care 48.45 43.72 39.67 37.41 36.81 -0.676 -0.410 -0.243 -0.126 0.008 0.006 0.004 0.003 CFR UN Equity CULLEN/FROST BANKERS INC Financials 63.06 3.17% 30.08.2013 13.12 13.00 13.81 -0.063 -0.064 -0.129 0.000 0.001 0.003 CW UN Equity CURTISS-WRIGHT CORP Industrials 35.56 1.12% 02.10.2013 23.32 23.52 23.64 23.72 0.000 -0.098 -0.146 -0.167 0.000 0.001 0.002 0.003 CVBF UW Equity CVB FINANCIAL CORP Financials 11.35 3.00% 01.07.2013 24.33 24.27 24.21 23.92 -0.140 -0.140 -0.140 -0.144 0.000 0.000 0.000 0.000 CYBX UW Equity CYBERONICS INC Health Care 48.30 43.45 42.13 42.18 -0.204 -0.185 -0.167 0.008 0.007 0.005 CYMI UW Equity CYMER INC Information Technology 109.67 20.50 23.36 24.19 23.54 -0.188 -0.318 -0.372 -0.370 0.004 0.003 0.003 0.004 CY UW Equity CYPRESS SEMICONDUCTOR CORP Information Technology 11.15 3.95% 24.09.2013 31.04 33.38 34.50 35.40 36.98 38.30 -0.470 -0.292 -0.196 -0.136 -0.140 -0.120 0.013 0.007 0.004 0.002 0.000 0.000 CYT UN Equity CYTEC INDUSTRIES INC Materials 71.66 0.77% 09.08.2013 23.25 25.21 25.98 25.88 -0.204 -0.190 -0.193 -0.228 0.004 0.003 0.003 0.004 DAKT UW Equity DAKTRONICS INC Information Technology 10.39 2.21% 11.06.2013 39.85 37.03 36.21 0.000 0.017 -0.023 0.000 0.000 0.000 DAR UN Equity DARLING INTERNATIONAL INC Consumer Staples 18.79 26.54 25.04 24.83 -0.143 -0.103 -0.102 0.001 0.000 0.001 TRAK UW Equity DEALERTRACK TECHNOLOGIES INC Information Technology 31.41 29.51 29.77 30.08 30.92 0.000 -0.084 -0.122 -0.129 0.000 0.003 0.004 0.003 DECK UW Equity DECKERS OUTDOOR CORP Consumer Discretionary 55.23 36.90 37.25 39.72 42.45 43.10 43.25 -0.199 -0.175 -0.169 -0.146 -0.143 -0.128 0.010 0.005 0.003 0.001 0.001 0.000 DEL UN Equity DELTIC TIMBER CORP Materials 67.67 0.59% 04.09.2013 DLX UN Equity DELUXE CORP Industrials 39.42 2.54% 22.08.2013 27.98 27.67 27.74 -0.221 -0.258 -0.257 0.004 0.007 0.007 DV UN Equity DEVRY INC Consumer Discretionary 30.19 1.19% 21.06.2013 30.33 34.44 36.33 37.10 -0.281 -0.230 -0.198 -0.137 0.008 0.005 0.004 0.002 DMND UW Equity DIAMOND FOODS INC Consumer Staples 16.18 43.53 41.58 40.47 39.05 43.19 42.19 -0.033 -0.048 -0.055 -0.093 -0.082 -0.073 0.013 0.009 0.006 0.003 0.003 0.002 DRH UN Equity DIAMONDROCK HOSPITALITY CO Financials 10.08 4.41% 12.06.2013 23.37 24.44 25.23 26.62 0.000 0.029 0.024 -0.044 0.000 -0.001 -0.001 0.001 DHX UN Equity DICE HOLDINGS INC Information Technology 8.92 39.05 42.66 43.79 42.13 0.000 -0.072 -0.085 -0.033 0.000 0.001 0.000 0.000 DKS UN Equity DICK'S SPORTING GOODS INC Consumer Discretionary 53.00 0.94% 03.06.2013 30.55 28.04 26.70 26.06 26.23 26.78 -0.357 -0.271 -0.216 -0.153 -0.144 -0.121 0.009 0.006 0.004 0.002 0.001 0.001 DBD UN Equity DIEBOLD INC Information Technology 30.67 2.83% 30.08.2013 19.77 21.64 22.48 22.69 0.000 -0.087 -0.112 -0.083 0.000 0.003 0.003 0.002 DGII UW Equity DIGI INTERNATIONAL INC Information Technology 9.38 35.38 36.13 36.47 36.48 0.000 0.030 0.035 -0.006 0.000 -0.001 -0.001 0.000 DGIT UW Equity DIGITAL GENERATION INC Consumer Discretionary 7.47 42.81 49.87 53.05 54.23 0.000 -0.113 -0.154 -0.143 0.000 0.000 0.000 0.001 DRIV UW Equity DIGITAL RIVER INC Information Technology 16.78 38.60 39.54 40.17 41.13 0.006 -0.067 -0.102 -0.108 0.002 0.003 0.003 0.002 DCOM UW Equity DIME COMMUNITY BANCSHARES Financials 14.42 3.88% 08.08.2013 85.84 86.74 87.62 76.51 -0.884 -0.894 -0.904 -0.766 0.019 0.018 0.017 0.012 DIN UN Equity DINEEQUITY INC Consumer Discretionary 72.51 4.14% 11.09.2013 21.80 24.78 26.18 26.88 -0.348 -0.297 -0.261 -0.186 0.011 0.005 0.003 0.005 DIOD UW Equity DIODES INC Information Technology 24.29 33.59 34.20 34.72 35.76 -0.233 -0.245 -0.242 -0.200 0.007 0.005 0.003 0.002 UFS UN Equity DOMTAR CORP Materials 73.99 2.97% 17.09.2013 26.64 27.24 27.61 -0.275 -0.264 -0.226 0.012 0.010 0.009 DCI UN Equity DONALDSON CO INC Industrials 38.34 1.20% 05.06.2013 20.81 22.12 22.14 21.35 -0.213 -0.251 -0.253 -0.205 0.004 0.006 0.007 0.005 DORM UW Equity DORMAN PRODUCTS INC Consumer Discretionary 44.24 28.11 28.52 28.92 29.82 -0.176 -0.180 -0.164 -0.099 0.003 0.005 0.006 0.002 DWA UW Equity DREAMWORKS ANIMATION SKG-A Consumer Discretionary 21.97 26.19 29.62 31.27 32.29 -0.057 -0.097 -0.112 -0.105 0.005 0.004 0.003 0.002 DRC UN Equity DRESSER-RAND GROUP INC Energy 62.25 36.26 35.79 35.50 35.12 0.013 -0.013 -0.032 -0.065 0.008 0.005 0.003 0.002 DW UN Equity DREW INDUSTRIES INC Consumer Discretionary 36.85 24.14 24.58 25.41 -0.073 -0.097 -0.119 0.000 0.001 0.002 DRQ UN Equity DRIL-QUIP INC Energy 91.42 21.25 22.38 23.16 24.60 -0.360 -0.272 -0.223 -0.182 0.011 0.010 0.009 0.006 DSPG UW Equity DSP GROUP INC Information Technology 8.03 DST UN Equity DST SYSTEMS INC Information Technology 70.01 2.18% 09.08.2013 15.50 16.85 17.56 18.40 -0.104 -0.150 -0.176 -0.210 0.002 0.003 0.004 0.006 DTSI UW Equity DTS INC Information Technology 19.67 29.52 30.55 31.29 32.59 -0.103 -0.138 -0.149 -0.132 0.002 0.004 0.005 0.003 DRE UN Equity DUKE REALTY CORP Financials 18.49 2.76% 15.08.2013 18.80 18.20 17.77 16.83 0.000 -0.007 -0.006 0.019 0.000 -0.001 -0.001 0.003 DY UN Equity DYCOM INDUSTRIES INC Industrials 19.49 38.88 38.17 37.77 37.45 -0.234 -0.214 -0.195 -0.144 0.000 0.002 0.002 0.002 EXP UN Equity EAGLE MATERIALS INC Materials 74.71 0.54% 21.06.2013 38.47 37.94 37.59 -0.350 -0.313 -0.270 0.007 0.005 0.003 EWBC UW Equity EAST WEST BANCORP INC Financials 25.22 2.62% 09.08.2013 17.47 18.78 19.20 0.000 -0.104 -0.129 0.000 0.002 0.003 EGP UN Equity EASTGROUP PROPERTIES INC Financials 65.37 3.33% 12.06.2013 15.22 14.60 14.28 14.37 0.000 -0.070 -0.100 -0.087 0.000 -0.001 0.000 0.002 EV UN Equity EATON VANCE CORP Financials 43.00 1.93% 31.07.2013 23.75 22.64 22.43 23.88 -0.026 -0.186 -0.249 -0.248 0.000 0.007 0.009 0.006 EBIX UW Equity EBIX INC Information Technology 19.72 2.00% 20.05.2013 20.04 21.31 21.03 18.67 -0.143 -0.527 -0.702 -0.576 0.008 0.012 0.013 0.009 EHTH UW Equity EHEALTH INC Financials 24.14 38.41 40.43 41.48 41.77 -0.305 -0.339 -0.322 -0.180 0.007 0.004 0.003 0.002 EE UN Equity EL PASO ELECTRIC CO Utilities 37.61 2.82% 10.09.2013 15.95 15.95 15.95 15.61 0.000 0.000 0.000 -0.037 0.000 0.000 0.000 0.000 ESIO UW Equity ELECTRO SCIENTIFIC INDS INC Information Technology 11.02 2.90% 23.08.2013 43.18 41.77 40.63 38.38 0.000 -0.171 -0.242 -0.186 0.000 0.002 0.003 0.002 EFII UW Equity ELECTRONICS FOR IMAGING Information Technology 26.48 30.00 29.66 29.62 0.000 -0.142 -0.174 0.000 0.003 0.004 EME UN Equity EMCOR GROUP INC Industrials 40.00 0.70% 17.07.2013 23.47 23.09 23.30 -0.297 -0.353 -0.340 0.006 0.009 0.009 EBS UN Equity EMERGENT BIOSOLUTIONS INC Health Care 14.39 41.59 39.32 38.15 37.87 -0.235 -0.249 -0.237 -0.145 0.004 0.006 0.006 0.002 EIG UN Equity EMPLOYERS HOLDINGS INC Financials 25.38 1.18% 12.08.2013 74.90 87.87 92.06 0.794 0.779 0.626 0.002 -0.013 -0.020 ECPG UW Equity ENCORE CAPITAL GROUP INC Financials 31.93 25.82 27.65 28.34 27.75 0.000 -0.042 -0.070 -0.125 0.000 0.000 0.000 0.003 WIRE UW Equity ENCORE WIRE CORP Industrials 34.85 0.23% 26.06.2013 21.27 23.35 24.46 25.48 0.000 -0.075 -0.114 -0.159 0.000 0.001 0.002 0.003 ENDP UW Equity ENDO HEALTH SOLUTIONS INC Health Care 33.41 36.97 36.02 35.63 35.44 34.80 34.21 -0.219 -0.206 -0.163 -0.102 -0.121 -0.096 0.005 -0.001 -0.002 0.001 0.001 0.001 EGN UN Equity ENERGEN CORP Energy 51.10 0.86% 15.08.2013 24.03 22.90 22.94 -0.214 -0.220 -0.221 0.006 0.004 0.003 ENR UN Equity ENERGIZER HOLDINGS INC Consumer Staples 101.70 1.57% 16.08.2013 18.58 22.32 23.67 23.57 -0.304 -0.261 -0.224 -0.149 0.009 0.007 0.006 0.003 ENS UN Equity ENERSYS Industrials 48.64 25.07 25.27 25.58 26.61 -0.365 -0.276 -0.220 -0.159 0.012 0.009 0.007 0.003 EGL UN Equity ENGILITY HOLDINGS INC Industrials 23.62 NPO UN Equity ENPRO INDUSTRIES INC Industrials 50.05 27.30 27.78 27.93 27.68 -0.312 -0.218 -0.160 -0.105 0.013 0.009 0.006 0.003 ENSG UW Equity ENSIGN GROUP INC/THE Health Care 35.13 0.77% 28.06.2013 24.71 27.19 28.29 28.49 0.000 -0.158 -0.228 -0.235 0.000 -0.004 -0.005 -0.001 ENTR UW Equity ENTROPIC COMMUNICATIONS INC Information Technology 4.22 44.87 45.64 46.51 48.82 0.000 -0.059 -0.094 -0.125 0.000 -0.002 -0.002 0.001 ENZ UN Equity ENZO BIOCHEM INC Health Care 2.24 65.83 67.64 66.77 0.000 0.000 0.000 0.000 0.000 0.000 EPIQ UW Equity EPIQ SYSTEMS INC Information Technology 12.54 2.87% 16.07.2013 28.45 28.93 29.69 0.000 0.002 -0.012 0.000 0.000 0.001 EPR UN Equity EPR PROPERTIES Financials 59.01 5.49% 29.05.2013 16.10 15.40 15.39 -0.135 -0.203 -0.227 0.001 0.005 0.005 EQIX UW Equity EQUINIX INC Information Technology 230.60 25.63 27.05 28.04 29.91 30.59 30.99 -0.309 -0.248 -0.209 -0.157 -0.109 -0.087 0.012 0.008 0.006 0.003 0.001 0.000 EQY UN Equity EQUITY ONE INC Financials 26.19 3.36% 13.09.2013 18.21 16.28 15.46 15.89 0.000 -0.196 -0.255 -0.092 0.000 0.006 0.009 0.003 ERA UN Equity ERA GROUP INC Energy 26.13 ESE UN Equity ESCO TECHNOLOGIES INC Industrials 32.53 1.05% 04.10.2013 32.21 31.40 30.63 28.58 -0.194 -0.191 -0.184 -0.158 0.000 0.004 0.006 0.005 ESS UN Equity ESSEX PROPERTY TRUST INC Financials 164.93 2.99% 28.06.2013 12.60 12.69 13.22 -0.106 -0.130 -0.164 0.001 0.003 0.005 ESL UN Equity ESTERLINE TECHNOLOGIES CORP Industrials 79.06 26.42 26.25 26.12 26.00 -0.145 -0.157 -0.155 -0.123 0.003 0.003 0.003 0.003 ETH UN Equity ETHAN ALLEN INTERIORS INC Consumer Discretionary 32.41 1.30% 10.10.2013 32.10 32.90 33.36 34.07 -0.142 -0.281 -0.307 -0.191 0.000 0.005 0.006 0.003 RE UN Equity EVEREST RE GROUP LTD Financials 136.37 1.46% 22.05.2013 14.92 15.07 15.54 -0.157 -0.119 -0.122 0.002 0.002 0.003 SSP UN Equity EW SCRIPPS CO/THE-A Consumer Discretionary 13.58 35.37 34.95 34.50 33.29 -0.007 -0.072 -0.109 -0.137 0.000 -0.001 0.000 0.002 EXAR UW Equity EXAR CORP Information Technology 10.99 30.12 31.55 32.32 0.000 -0.011 -0.003 0.000 0.000 0.000 XLS UN Equity EXELIS INC Industrials 11.83 3.49% 28.08.2013 26.06 27.04 26.92 0.000 -0.296 -0.296 0.000 0.005 0.005 EXLS UW Equity EXLSERVICE HOLDINGS INC Information Technology 29.41 71.33 60.46 52.38 0.000 0.005 -0.048 0.000 -0.001 0.006 EXPO UW Equity EXPONENT INC Industrials 54.48 0.28% 23.70 24.52 25.06 25.80 -0.112 -0.155 -0.183 -0.240 0.002 0.004 0.004 0.002 EXH UN Equity EXTERRAN HOLDINGS INC Energy 28.98 31.97 33.20 33.73 33.87 -0.209 -0.185 -0.171 -0.163 0.004 0.006 0.006 0.003 EXR UN Equity EXTRA SPACE STORAGE INC Financials 43.98 2.36% 14.06.2013 14.99 15.73 16.25 17.24 0.000 -0.027 -0.042 -0.060 0.000 0.001 0.001 0.000 EZPW UW Equity EZCORP INC-CL A Financials 19.00 32.77 34.04 34.64 34.88 -0.142 -0.147 -0.143 -0.109 0.001 0.003 0.004 0.003 FDS UN Equity FACTSET RESEARCH SYSTEMS INC Information Technology 97.84 1.43% 28.08.2013 26.02 23.99 23.03 23.07 -0.364 -0.288 -0.243 -0.218 0.010 0.008 0.006 0.004 FICO UN Equity FAIR ISAAC CORP Information Technology 49.99 0.28% 18.05.2013 18.57 19.89 20.73 -0.219 -0.253 -0.241 0.004 0.009 0.009 FCS UN Equity FAIRCHILD SEMICONDUCTOR INTE Information Technology 14.72 33.11 33.63 33.96 34.29 -0.256 -0.308 -0.299 -0.180 0.000 0.005 0.006 0.003 FARO UW Equity FARO TECHNOLOGIES INC Information Technology 35.58 35.22 36.39 37.28 38.89 -0.137 -0.132 -0.127 -0.106 0.004 0.004 0.004 0.002 FRT UN Equity FEDERAL REALTY INVS TRUST Financials 117.39 2.62% 20.09.2013 14.55 12.31 12.15 15.76 -0.090 -0.337 -0.405 -0.165 0.000 0.007 0.008 0.003 FSS UN Equity FEDERAL SIGNAL CORP Industrials 8.61 0.58% 19.06.2013 49.75 45.75 44.33 46.59 0.000 -0.079 -0.119 -0.093 0.000 0.000 -0.001 0.001 FII UN Equity FEDERATED INVESTORS INC-CL B Financials 25.42 3.78% 08.08.2013 24.78 24.45 24.41 -0.205 -0.114 -0.097 0.005 0.003 0.002 FEIC UW Equity FEI COMPANY Information Technology 70.83 0.45% 05.07.2013 24.15 25.66 26.82 29.22 -0.556 -0.446 -0.362 -0.230 0.019 0.016 0.013 0.008 FNF UN Equity FIDELITY NATIONAL FINL-A Financials 25.39 2.60% 16.09.2013 20.94 21.38 21.57 21.67 0.000 -0.133 -0.181 -0.152 0.000 0.005 0.007 0.005 FNP UN Equity FIFTH & PACIFIC COS INC Consumer Discretionary 22.38 34.41 34.38 35.66 38.58 39.75 39.96 -0.119 -0.171 -0.189 -0.163 -0.102 -0.085 0.004 0.005 0.004 0.002 0.000 0.001 FNGN UW Equity FINANCIAL ENGINES INC Financials 42.33 0.12% 27.47 27.93 28.27 28.91 -0.055 -0.162 -0.201 -0.166 0.000 0.003 0.004 0.003 FINL UW Equity FINISH LINE/THE - CL A Consumer Discretionary 21.42 1.35% 28.08.2013 32.60 34.24 35.12 35.98 -0.101 -0.145 -0.149 -0.102 0.001 0.005 0.006 0.002 FAF UN Equity FIRST AMERICAN FINANCIAL Financials 25.50 1.88% 26.06.2013 27.02 27.05 31.79 0.000 -0.309 -0.615 0.000 0.013 0.016 FBP UN Equity FIRST BANCORP PUERTO RICO Financials 6.06 35.55 37.82 38.83 38.99 0.000 -0.152 -0.209 -0.190 0.000 0.004 0.006 0.005 FCFS UW Equity FIRST CASH FINL SVCS INC Financials 55.48 25.77 26.52 26.78 25.53 -0.138 -0.166 -0.190 -0.245 0.003 0.002 0.002 0.004 FCF UN Equity FIRST COMMONWEALTH FINL CORP Financials 7.30 3.28% 31.07.2013 131.30 131.30 131.30 0.000 0.000 0.000 0.000 0.000 0.000 FFBC UW Equity FIRST FINANCIAL BANCORP Financials 15.65 6.77% 28.08.2013 25.33 25.35 25.21 24.45 0.000 0.022 0.004 -0.115 0.000 0.000 0.000 0.002 FFIN UW Equity FIRST FINL BANKSHARES INC Financials 53.18 1.96% 13.09.2013 21.93 21.07 20.60 -0.060 -0.068 -0.084 0.000 0.000 0.001 FMBI UW Equity FIRST MIDWEST BANCORP INC/IL Financials 13.27 1.50% 02.10.2013 35.98 29.35 25.54 30.95 0.000 -0.001 0.003 -0.126 0.000 0.000 0.000 0.017 FNFG UW Equity FIRST NIAGARA FINANCIAL GRP Financials 9.89 3.24% 31.07.2013 19.82 20.17 20.87 0.000 0.000 0.000 0.000 0.000 0.000 FMER UW Equity FIRSTMERIT CORP Financials 17.97 3.56% 30.05.2013 20.58 19.49 19.41 21.08 0.000 0.025 0.018 -0.038 0.000 -0.001 -0.001 0.001 FLO UN Equity FLOWERS FOODS INC Consumer Staples 34.16 2.03% 12.06.2013 27.94 27.14 26.45 -0.144 -0.149 -0.143 0.001 0.002 0.002 FNB UN Equity FNB CORP Financials 11.73 4.09% 30.05.2013 25.72 25.72 25.72 26.12 0.000 0.000 0.000 -0.108 0.000 0.000 0.000 0.002 FL UN Equity FOOT LOCKER INC Consumer Discretionary 36.57 2.24% 17.07.2013 29.17 28.03 27.32 26.84 27.41 28.24 -0.256 -0.233 -0.209 -0.167 -0.150 -0.126 0.007 0.006 0.005 0.002 0.001 0.001 FST UN Equity FOREST OIL CORP Energy 5.11 63.45 63.36 62.83 60.33 59.86 60.25 -0.035 -0.059 -0.086 -0.156 -0.102 -0.098 -0.001 0.001 0.001 0.002 0.001 0.000 FOR UN Equity FORESTAR GROUP INC Financials 24.71 34.74 35.04 35.75 38.27 -0.014 -0.174 -0.200 -0.042 0.000 0.006 0.006 0.001 FORR UW Equity FORRESTER RESEARCH INC Information Technology 35.99 1.67% 03.09.2013 20.56 20.47 20.59 21.36 0.000 -0.069 -0.100 -0.107 0.000 0.002 0.003 0.003 FBHS UN Equity FORTUNE BRANDS HOME & SECURI Industrials 42.75 0.23% 30.16 30.71 31.14 31.98 -0.052 -0.101 -0.120 -0.119 0.000 0.003 0.004 0.004 FWRD UW Equity FORWARD AIR CORPORATION Industrials 38.25 1.12% 23.08.2013 61.34 61.34 61.34 61.34 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 FRAN UW Equity FRANCESCAS HOLDINGS CORP Consumer Discretionary 29.65 52.21 50.44 49.65 50.13 48.89 49.53 -0.342 -0.279 -0.241 -0.206 -0.168 -0.138 0.008 0.005 0.004 0.002 0.001 0.001 FELE UW Equity FRANKLIN ELECTRIC CO INC Industrials 33.46 0.94% 06.08.2013 31.01 31.01 31.01 -0.055 -0.055 -0.055 0.001 0.001 0.001 FSP UA Equity FRANKLIN STREET PROPERTIES C Financials 14.04 5.41% 24.07.2013 22.62 22.57 22.52 21.84 -0.084 -0.084 -0.084 -0.111 0.001 0.001 0.001 0.001 FRED UW Equity FRED'S INC-CLASS A Consumer Discretionary 15.50 1.61% 31.05.2013 34.63 33.00 31.42 0.000 0.000 0.000 0.000 0.000 0.000 FCN UN Equity FTI CONSULTING INC Industrials 36.53 24.70 26.12 27.26 30.52 26.54 28.30 -0.376 -0.252 -0.204 -0.283 0.002 -0.056 0.010 0.009 0.007 0.003 0.005 0.003 FULT UW Equity FULTON FINANCIAL CORP Financials 11.59 2.76% 05.07.2013 21.69 21.66 21.63 20.67 -0.128 -0.128 -0.128 -0.104 0.001 0.001 0.001 0.001 GK UW Equity G & K SERVICES INC -CL A Industrials 47.31 1.93% 17.09.2013 22.98 24.54 25.23 25.20 -0.121 -0.126 -0.131 -0.152 0.000 0.003 0.004 0.003 GDI UN Equity GARDNER DENVER INC Industrials 75.18 0.13% 21.05.2013 3.83 4.76 4.96 -0.359 -0.406 -0.392 0.006 0.008 0.009 IT UN Equity GARTNER INC Information Technology 58.25 19.71 20.83 21.54 22.50 -0.065 -0.145 -0.177 -0.182 0.000 0.006 0.007 0.005 GMT UN Equity GATX CORP Industrials 53.99 2.33% 13.09.2013 22.99 22.30 21.73 21.75 0.146 -0.078 -0.179 -0.216 -0.002 0.003 0.005 0.006 GY UN Equity GENCORP INC Industrials 13.87 34.75 33.24 33.19 36.31 -0.070 -0.024 -0.013 -0.048 0.001 0.005 0.007 0.003 BGC UN Equity GENERAL CABLE CORP Industrials 33.36 32.30 35.04 36.12 35.85 -0.305 -0.248 -0.214 -0.167 0.016 0.009 0.006 0.002 GNCMA UW EquityGENERAL COMMUNICATION INC-A Telecommunication Services 9.62 37.05 37.60 38.12 0.000 0.002 -0.013 0.000 0.000 0.000 Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx 2 + ct At The Money Implied Volatilities by Terms S&P1000Index Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 4. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM2 Ref Dividend Yield Next Ex- Dividend Date ATM2 Vol - 30D ATM2 Vol - 60D ATM2 Vol - 90D ATM2 Vol - 6M ATM2 Vol - 12M ATM2 Vol - 18M ATM2 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M GCO UN Equity GENESCO INC Consumer Discretionary 65.20 34.24 34.37 33.98 33.80 -0.291 -0.306 -0.301 -0.247 0.004 0.004 0.004 0.003 GWR UN Equity GENESEE & WYOMING INC-CL A Industrials 91.77 25.14 25.37 25.90 -0.351 -0.330 -0.293 0.010 0.008 0.006 GNTX UW Equity GENTEX CORP Consumer Discretionary 25.01 2.32% 05.07.2013 21.83 23.40 24.51 26.56 -0.201 -0.191 -0.174 -0.118 0.004 0.007 0.007 0.004 GTIV UW Equity GENTIVA HEALTH SERVICES Health Care 10.31 42.84 42.93 43.33 44.64 0.000 -0.162 -0.214 -0.131 0.000 0.006 0.007 0.004 GEO UN Equity GEO GROUP INC/THE Financials 38.43 2.66% 19.08.2013 26.98 26.33 26.25 26.97 -0.114 -0.223 -0.238 -0.108 0.002 0.009 0.011 0.006 GEOS UW Equity GEOSPACE TECHNOLOGIES CORP Energy 87.63 39.87 39.34 39.79 42.68 -0.157 -0.117 -0.095 -0.082 0.004 0.001 0.000 0.001 GTY UN Equity GETTY REALTY CORP Financials 22.70 3.66% 24.09.2013 19.81 19.88 20.08 20.75 0.000 0.024 0.009 -0.090 0.000 0.000 0.000 0.002 ROCK UW Equity GIBRALTAR INDUSTRIES INC Industrials 17.41 38.22 37.77 37.55 37.55 -0.150 -0.242 -0.265 -0.204 0.003 0.006 0.006 0.003 GBCI UW Equity GLACIER BANCORP INC Financials 19.44 2.98% 12.07.2013 102.76 83.96 71.61 0.000 0.010 -0.093 0.000 0.000 0.001 GPN UN Equity GLOBAL PAYMENTS INC Information Technology 46.71 0.13% 16.08.2013 19.54 20.98 21.80 22.70 -0.030 -0.205 -0.248 -0.189 0.000 0.007 0.008 0.003 GSM UW Equity GLOBE SPECIALTY METALS INC Materials 12.48 2.30% 31.05.2013 35.76 34.79 34.41 34.83 0.000 -0.104 -0.150 -0.158 0.000 0.004 0.005 0.004 GOV UN Equity GOVERNMENT PROPERTIES INCOME Financials 26.66 6.45% 25.07.2013 20.62 18.79 17.62 16.24 0.000 0.020 0.018 -0.034 0.000 -0.001 -0.001 0.001 GGG UN Equity GRACO INC Industrials 62.15 1.69% 18.07.2013 21.79 22.70 23.06 23.06 -0.214 -0.233 -0.222 -0.145 0.005 0.006 0.006 0.003 GVA UN Equity GRANITE CONSTRUCTION INC Industrials 31.40 1.66% 28.06.2013 31.71 31.91 32.10 32.53 0.000 -0.107 -0.160 -0.189 0.000 0.002 0.003 0.002 GXP UN Equity GREAT PLAINS ENERGY INC Utilities 24.20 3.64% 28.08.2013 17.59 15.79 15.00 15.20 -0.149 -0.170 -0.176 -0.155 0.001 0.004 0.005 0.006 GB UN Equity GREATBATCH INC Health Care 31.09 26.05 25.41 25.27 26.10 0.000 -0.084 -0.136 -0.162 0.000 -0.002 -0.002 0.003 GMCR UW Equity GREEN MOUNTAIN COFFEE ROASTE Consumer Staples 78.85 44.10 43.09 45.88 49.94 44.84 44.56 -0.177 -0.105 -0.090 -0.117 -0.084 -0.079 0.007 0.004 0.002 0.001 0.000 0.000 GHL UN Equity GREENHILL & CO INC Financials 48.41 3.72% 03.09.2013 29.91 30.27 30.68 31.66 -0.213 -0.171 -0.143 -0.108 0.006 0.004 0.003 0.003 GEF UN Equity GREIF INC-CL A Materials 49.99 3.36% 19.06.2013 26.26 25.63 25.90 -0.406 -0.326 -0.276 0.010 0.007 0.006 GFF UN Equity GRIFFON CORP Industrials 11.01 0.91% 28.08.2013 43.73 39.97 38.61 0.000 -0.136 -0.191 0.000 -0.001 -0.001 GPI UN Equity GROUP 1 AUTOMOTIVE INC Consumer Discretionary 64.90 1.11% 31.05.2013 27.27 28.58 29.24 -0.303 -0.099 -0.021 0.013 0.005 0.002 GTAT UW Equity GT ADVANCED TECHNOLOGIES INC Information Technology 4.14 101.59 94.69 90.05 83.07 0.000 -0.134 -0.198 -0.169 0.000 0.000 0.001 0.001 GES UN Equity GUESS? INC Consumer Discretionary 30.08 2.66% 03.06.2013 39.63 37.59 36.54 36.17 35.92 36.40 -0.354 -0.318 -0.291 -0.227 -0.173 -0.134 0.007 0.005 0.003 0.002 0.001 0.001 GIFI UW Equity GULF ISLAND FABRICATION INC Energy 20.12 2.58% 12.08.2013 42.73 43.29 43.61 -0.228 -0.266 -0.266 0.005 0.003 0.002 GPOR UW Equity GULFPORT ENERGY CORP Energy 49.04 41.31 40.86 41.38 -0.316 -0.236 -0.195 0.009 0.006 0.004 HAE UN Equity HAEMONETICS CORP/MASS Health Care 39.41 19.14 21.33 22.49 22.49 -0.181 -0.256 -0.279 -0.161 0.003 0.007 0.007 0.002 HAIN UW Equity HAIN CELESTIAL GROUP INC Consumer Staples 64.44 27.79 27.85 28.30 30.22 -0.234 -0.206 -0.181 -0.130 0.012 0.007 0.004 0.002 HBHC UW Equity HANCOCK HOLDING CO Financials 28.36 3.39% 05.09.2013 40.42 38.10 36.13 30.56 0.214 0.168 0.110 -0.638 0.003 0.007 0.012 0.042 HBI UN Equity HANESBRANDS INC Consumer Discretionary 51.32 1.56% 16.08.2013 22.31 22.75 23.72 -0.197 -0.278 -0.272 0.005 0.009 0.009 HGR UN Equity HANGER INC Health Care 32.21 31.98 30.87 30.54 31.31 -0.119 -0.170 -0.181 -0.132 0.000 0.005 0.007 0.005 HAFC UW Equity HANMI FINANCIAL CORPORATION Financials 16.26 29.45 27.35 26.85 0.000 -0.140 -0.184 0.000 0.000 0.000 THG UN Equity HANOVER INSURANCE GROUP INC/ Financials 51.06 2.66% 06.09.2013 41.83 34.95 29.75 22.72 0.000 0.020 0.008 -0.323 0.000 0.000 0.000 0.008 HLIT UW Equity HARMONIC INC Information Technology 5.96 45.80 45.80 42.60 0.000 0.000 -0.070 0.000 0.000 0.000 HTSI UN Equity HARRIS TEETER SUPERMARKETS I Consumer Staples 45.88 1.31% 05.06.2013 26.61 26.76 27.09 28.27 -0.062 -0.052 -0.040 -0.006 -0.001 0.002 0.003 0.001 HSC UN Equity HARSCO CORP Industrials 23.16 3.56% 15.10.2013 24.68 23.15 23.06 0.000 -0.203 -0.290 0.000 0.004 0.006 HHS UN Equity HARTE-HANKS INC Consumer Discretionary 8.64 3.99% 11.09.2013 43.07 43.08 43.10 45.57 0.022 0.022 0.022 -0.085 0.000 0.000 0.000 -0.001 HVT UN Equity HAVERTY FURNITURE Consumer Discretionary 24.49 0.65% 23.08.2013 34.60 34.17 33.69 32.41 -0.131 -0.090 -0.088 -0.157 0.002 0.002 0.003 0.004 HE UN Equity HAWAIIAN ELECTRIC INDS Utilities 27.92 4.58% 15.08.2013 21.22 21.22 21.22 19.71 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HWKN UW Equity HAWKINS INC Materials 38.53 1.87% 18.09.2013 HAYN UW Equity HAYNES INTERNATIONAL INC Materials 47.92 1.92% 04.09.2013 33.62 34.09 34.32 34.46 -0.144 -0.215 -0.237 -0.194 0.001 0.003 0.003 0.002 FUL UN Equity H.B. FULLER CO. Materials 39.71 1.02% 16.07.2013 23.02 23.93 24.38 24.68 -0.195 -0.141 -0.121 -0.143 0.004 0.002 0.001 0.003 HCC UN Equity HCC INSURANCE HOLDINGS INC Financials 43.59 1.62% 02.07.2013 36.37 37.71 39.01 28.62 -0.621 -0.629 -0.634 -0.560 0.010 0.009 0.007 0.006 HW UN Equity HEADWATERS INC Materials 11.55 41.45 43.45 44.05 43.10 -0.089 -0.105 -0.117 -0.142 0.003 0.004 0.004 0.002 HMA UN Equity HEALTH MGMT ASSOCIATES INC-A Health Care 11.01 39.05 39.59 40.03 41.12 -0.140 -0.194 -0.188 -0.068 0.006 0.006 0.005 0.002 HNT UN Equity HEALTH NET INC Health Care 31.70 32.06 31.05 31.42 -0.018 -0.166 -0.209 0.004 0.006 0.005 HR UN Equity HEALTHCARE REALTY TRUST INC Financials 29.89 4.15% 13.08.2013 14.91 14.58 14.43 14.45 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HCSG UW Equity HEALTHCARE SERVICES GROUP Industrials 22.41 3.05% 31.07.2013 50.20 50.20 50.20 0.000 0.000 0.000 0.000 0.000 0.000 HSTM UW Equity HEALTHSTREAM INC Health Care 23.99 33.82 36.41 37.70 38.50 -0.002 -0.093 -0.131 -0.139 0.000 0.003 0.003 0.003 HWAY UW Equity HEALTHWAYS INC Health Care 14.24 43.33 41.21 40.61 43.09 -0.179 -0.205 -0.212 -0.224 0.003 0.007 0.008 0.005 HTLD UW Equity HEARTLAND EXPRESS INC Industrials 14.22 0.56% 19.06.2013 142.04 114.07 94.59 74.25 0.000 0.048 0.049 -0.306 0.000 0.000 0.000 0.003 HPY UN Equity HEARTLAND PAYMENT SYSTEMS IN Information Technology 31.97 0.92% 23.08.2013 28.39 28.87 28.94 0.047 -0.072 -0.109 0.000 0.000 0.000 HSII UW Equity HEIDRICK & STRUGGLES INTL Industrials 14.75 3.53% 07.08.2013 38.24 38.94 38.83 -0.233 -0.226 -0.208 0.005 0.001 0.000 HELE UW Equity HELEN OF TROY LTD Consumer Discretionary 37.37 25.88 28.07 28.90 28.20 -0.069 -0.227 -0.247 -0.122 0.000 0.007 0.008 0.003 HLX UN Equity HELIX ENERGY SOLUTIONS GROUP Energy 24.74 31.35 31.90 32.44 33.78 -0.211 -0.203 -0.197 -0.183 0.007 0.006 0.005 0.003 HSIC UW Equity HENRY SCHEIN INC Health Care 95.35 13.40 13.80 14.51 -0.198 -0.262 -0.271 0.001 0.006 0.007 MLHR UW Equity HERMAN MILLER INC Industrials 26.40 1.95% 28.08.2013 29.69 30.09 30.44 31.15 0.000 -0.143 -0.196 -0.176 0.000 0.004 0.005 0.004 HF UN Equity HFF INC-CLASS A Financials 20.19 30.23 29.88 29.78 0.000 -0.158 -0.203 0.000 0.001 0.002 HITK UW Equity HI-TECH PHARMACAL CO INC Health Care 31.61 42.29 41.00 40.68 -0.133 -0.157 -0.174 0.001 0.002 0.002 HIBB UW Equity HIBBETT SPORTS INC Consumer Discretionary 60.76 25.82 25.80 25.90 -0.202 -0.251 -0.258 0.002 -0.001 -0.001 ONE UN Equity HIGHER ONE HOLDINGS INC Information Technology 11.47 40.79 38.55 38.18 41.42 0.000 -0.175 -0.250 -0.212 0.000 0.005 0.006 0.004 HIW UN Equity HIGHWOODS PROPERTIES INC Financials 39.86 4.26% 22.08.2013 15.59 18.47 19.45 18.76 0.000 -0.055 -0.107 -0.220 0.000 0.002 0.003 0.003 HRC UN Equity HILL-ROM HOLDINGS INC Health Care 36.98 1.35% 19.06.2013 22.54 21.46 21.35 23.03 0.000 -0.135 -0.189 -0.171 0.000 0.005 0.007 0.005 HI UN Equity HILLENBRAND INC Consumer Discretionary 25.31 3.10% 16.09.2013 17.39 19.24 20.01 0.000 -0.153 -0.191 0.000 0.003 0.005 HSH UN Equity HILLSHIRE BRANDS CO Consumer Staples 36.65 1.69% 29.08.2013 22.53 22.06 22.21 23.22 23.91 23.70 0.072 0.032 -0.014 -0.065 -0.056 -0.069 0.004 0.005 0.005 0.003 0.001 0.001 HITT UW Equity HITTITE MICROWAVE CORP Information Technology 56.38 24.71 26.03 26.87 28.08 -0.214 -0.207 -0.201 -0.185 0.004 0.005 0.005 0.003 HMSY UW Equity HMS HOLDINGS CORP Health Care 25.92 34.06 35.06 35.70 36.63 -0.151 -0.191 -0.201 -0.166 0.005 0.006 0.006 0.004 HNI UN Equity HNI CORP Industrials 36.59 2.13% 16.08.2013 29.72 30.94 31.02 -0.019 -0.141 -0.168 0.000 0.002 0.002 HFC UN Equity HOLLYFRONTIER CORP Energy 48.31 3.10% 12.06.2013 37.38 37.73 37.89 37.80 38.00 37.87 -0.158 -0.149 -0.141 -0.117 -0.095 -0.091 0.006 0.004 0.003 0.001 0.001 0.001 HOLX UW Equity HOLOGIC INC Health Care 21.21 29.08 29.44 29.68 30.19 -0.086 -0.137 -0.157 -0.149 0.003 0.003 0.003 0.002 HOMB UW Equity HOME BANCSHARES INC Financials 41.76 1.44% 12.08.2013 20.02 19.78 19.56 19.04 0.000 0.046 0.058 0.008 0.000 0.000 0.000 0.000 HME UN Equity HOME PROPERTIES INC Financials 65.59 3.26% 14.08.2013 12.34 13.14 13.46 0.000 0.002 -0.017 0.000 0.000 0.000 HMN UN Equity HORACE MANN EDUCATORS Financials 22.74 3.56% 13.06.2013 24.03 24.86 25.14 24.84 0.000 -0.016 -0.018 0.003 0.000 0.000 0.000 0.000 HOS UN Equity HORNBECK OFFSHORE SERVICES Energy 51.47 34.03 34.99 35.60 36.30 -0.285 -0.257 -0.230 -0.155 0.011 0.007 0.004 0.002 HPT UN Equity HOSPITALITY PROPERTIES TRUST Financials 30.53 6.16% 26.07.2013 15.94 16.17 16.46 17.31 0.000 -0.102 -0.141 -0.123 0.000 0.003 0.004 0.005 HOTT UW Equity HOT TOPIC INC Consumer Discretionary 13.94 14.01 14.01 14.01 14.01 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HSNI UW Equity HSN INC Consumer Discretionary 56.33 1.31% 03.09.2013 24.05 23.93 24.24 25.82 -0.218 -0.224 -0.211 -0.147 0.003 0.006 0.006 0.004 HUBG UW Equity HUB GROUP INC-CL A Industrials 39.03 25.96 27.62 28.61 0.000 0.023 0.027 0.000 0.005 0.004 HUB/B UN Equity HUBBELL INC -CL B Industrials 98.36 1.88% 26.09.2013 29.71 25.89 21.56 19.36 -0.920 -0.659 -0.481 -0.259 0.014 0.024 0.029 0.020 HII UN Equity HUNTINGTON INGALLS INDUSTRIE Industrials 54.42 0.74% 28.08.2013 21.35 21.97 22.50 23.65 -0.137 -0.198 -0.217 -0.199 0.002 0.006 0.007 0.005 ICON UW Equity ICONIX BRAND GROUP INC Consumer Discretionary 30.49 30.08 30.51 31.12 32.99 0.000 -0.123 -0.167 -0.183 0.000 0.008 0.009 0.000 ICUI UW Equity ICU MEDICAL INC Health Care 67.54 27.02 27.23 26.97 25.11 -0.932 -0.504 -0.330 -0.235 0.036 0.050 0.049 0.026 IDA UN Equity IDACORP INC Utilities 49.65 3.22% 08.08.2013 27.34 29.24 31.01 17.91 -0.731 -0.743 -0.753 -0.570 0.013 0.012 0.011 0.007 IEX UN Equity IDEX CORP Industrials 55.45 1.62% 17.07.2013 19.84 18.69 19.42 0.000 -0.147 -0.200 0.000 0.004 0.006 IDXX UW Equity IDEXX LABORATORIES INC Health Care 88.59 16.31 16.74 17.45 -0.195 -0.226 -0.228 0.003 0.005 0.005 IGTE UW Equity IGATE CORP Information Technology 16.47 24.02.2014 30.27 31.87 32.69 33.00 -0.188 -0.336 -0.371 -0.237 0.001 0.001 0.001 0.002 IIVI UW Equity II-VI INC Industrials 16.08 29.90 30.42 30.95 -0.095 -0.110 -0.126 0.000 0.000 0.001 INDB UW Equity INDEPENDENT BANK CORP/MA Financials 32.49 2.74% 27.06.2013 18.21 18.18 18.16 19.08 -0.049 -0.049 -0.049 -0.011 0.000 0.000 0.000 0.000 IPCC UW Equity INFINITY PROPERTY & CASUALTY Financials 60.58 2.06% 11.09.2013 35.83 30.98 27.61 22.91 0.000 -0.267 -0.367 -0.241 0.000 0.017 0.024 0.019 INFA UW Equity INFORMATICA CORP Information Technology 35.03 33.16 35.24 36.12 35.81 36.15 36.92 -0.256 -0.179 -0.143 -0.143 -0.135 -0.112 0.007 0.004 0.003 0.001 0.001 0.001 IM UN Equity INGRAM MICRO INC-CL A Information Technology 18.09 20.77 20.45 20.50 21.35 0.000 -0.142 -0.194 -0.147 0.000 0.003 0.005 0.003 INGR UN Equity INGREDION INC Consumer Staples 71.69 2.15% 02.07.2013 18.33 18.19 18.89 -0.160 -0.171 -0.167 0.003 0.005 0.005 IRC UN Equity INLAND REAL ESTATE CORP Financials 11.53 4.94% 29.05.2013 20.37 20.32 20.27 20.41 -0.091 -0.091 -0.090 -0.050 0.001 0.001 0.001 0.001 IPHS UW Equity INNOPHOS HOLDINGS INC Materials 52.92 2.17% 16.10.2013 19.26 20.95 21.70 21.83 -0.697 -0.436 -0.268 -0.130 0.028 0.016 0.008 0.004 NSIT UW Equity INSIGHT ENTERPRISES INC Information Technology 18.45 28.62 28.72 29.07 29.88 -0.056 -0.211 -0.254 -0.184 0.000 0.007 0.008 0.004 NSP UN Equity INSPERITY INC Industrials 29.86 2.38% 31.05.2013 22.04 21.13 20.99 0.000 -0.024 -0.044 0.000 0.000 0.001 IART UW Equity INTEGRA LIFESCIENCES HOLDING Health Care 35.46 31.88 32.21 32.47 33.01 -0.253 -0.217 -0.193 -0.157 0.007 0.005 0.004 0.002 IDTI UW Equity INTEGRATED DEVICE TECH INC Information Technology 7.71 33.23 33.98 34.59 35.74 -0.191 -0.208 -0.199 -0.137 0.002 0.006 0.007 0.004 IPAR UW Equity INTER PARFUMS INC Consumer Staples 31.24 1.54% 25.09.2013 30.16 29.63 29.14 27.94 0.000 -0.048 -0.087 -0.153 0.000 -0.001 -0.001 0.005 IBKR UW Equity INTERACTIVE BROKERS GRO-CL A Financials 15.86 2.52% 30.08.2013 15.99 16.24 16.36 16.44 17.28 17.84 0.000 -0.033 -0.056 -0.096 -0.090 -0.056 0.000 0.000 0.001 0.004 0.003 0.002 ININ UW Equity INTERACTIVE INTELLIGENCE GRO Information Technology 49.75 36.27 37.13 37.59 37.79 -0.251 -0.258 -0.249 -0.183 0.002 0.005 0.006 0.003 IDCC UW Equity INTERDIGITAL INC Information Technology 47.21 0.80% 08.07.2013 29.68 31.39 32.41 33.55 35.38 36.34 -0.258 -0.167 -0.125 -0.137 -0.077 -0.079 0.016 0.008 0.005 0.004 -0.001 -0.001 TILE UW Equity INTERFACE INC Industrials 18.46 0.65% 07.08.2013 36.65 36.97 36.79 -0.023 -0.093 -0.118 0.000 0.002 0.003 IN UN Equity INTERMEC INC Information Technology 9.74 IBOC UW Equity INTERNATIONAL BANCSHARES CRP Financials 21.76 2.11% 30.09.2013 29.47 29.04 28.38 26.86 0.000 -0.155 -0.191 -0.074 0.000 0.003 0.004 0.004 IRF UN Equity INTL RECTIFIER CORP Information Technology 21.94 30.96 32.72 33.46 33.19 -0.118 -0.202 -0.231 -0.194 0.002 0.002 0.003 0.002 ISCA UW Equity INTL SPEEDWAY CORP-CL A Consumer Discretionary 34.16 0.64% 28.05.2014 19.50 20.25 20.86 22.20 0.000 -0.133 -0.188 -0.214 0.000 0.006 0.008 0.006 ISIL UW Equity INTERSIL CORP-A Information Technology 7.82 6.14% 09.08.2013 39.61 37.49 37.34 -0.038 -0.116 -0.157 0.001 0.004 0.005 IILG UW Equity INTERVAL LEISURE GROUP Consumer Discretionary 22.03 2.00% 06.09.2013 28.56 28.39 28.56 29.71 -0.086 -0.223 -0.276 -0.269 0.001 0.005 0.007 0.006 IVAC UW Equity INTEVAC INC Information Technology 4.40 52.86 48.13 47.29 0.000 0.000 0.000 0.000 0.000 0.000 IPI UN Equity INTREPID POTASH INC Materials 17.51 27.09 27.79 28.54 30.75 -0.061 -0.089 -0.105 -0.127 0.001 0.003 0.004 0.002 IVC UN Equity INVACARE CORP Health Care 14.84 0.34% 28.06.2013 38.86 39.16 39.21 39.33 0.000 -0.063 -0.077 -0.021 0.000 0.001 0.002 0.002 ITG UN Equity INVESTMENT TECHNOLOGY GROUP Financials 13.07 26.10 26.67 26.51 0.000 -0.004 -0.078 0.000 0.000 0.001 IO UN Equity ION GEOPHYSICAL CORP Energy 6.29 41.04 42.28 43.28 45.05 -0.048 -0.192 -0.232 -0.155 0.000 0.005 0.006 0.002 IPCM UW Equity IPC THE HOSPITALIST CO Health Care 49.45 28.12 28.85 29.41 30.44 -0.046 -0.112 -0.140 -0.137 0.001 0.003 0.003 0.003 IRBT UW Equity IROBOT CORP Consumer Discretionary 34.53 39.11 42.01 43.37 43.79 -0.002 -0.043 -0.055 -0.028 0.000 0.002 0.002 0.001 ITRI UW Equity ITRON INC Information Technology 41.69 26.55 28.45 29.30 29.53 -0.029 -0.104 -0.135 -0.146 0.000 0.004 0.005 0.002 ITT UN Equity ITT CORP Industrials 30.45 1.35% 28.08.2013 17.49 18.07 18.76 0.000 0.005 -0.036 0.000 0.000 0.002 ESI UN Equity ITT EDUCATIONAL SERVICES INC Consumer Discretionary 24.60 75.27 73.68 71.03 65.88 63.84 63.64 -0.060 -0.065 -0.081 -0.104 -0.083 -0.075 0.002 0.003 0.003 0.001 0.002 0.002 XXIA UW Equity IXIA Information Technology 16.01 42.83 46.95 48.41 47.46 -0.092 -0.159 -0.169 -0.108 0.000 0.000 0.000 0.000 JJSF UW Equity J & J SNACK FOODS CORP Consumer Staples 77.35 0.88% 13.09.2013 JCOM UW Equity J2 GLOBAL INC Information Technology 40.98 2.42% 15.08.2013 25.38 26.65 27.29 27.59 0.015 -0.064 -0.093 -0.091 0.003 0.003 0.003 0.003 JKHY UW Equity JACK HENRY & ASSOCIATES INC Information Technology 48.02 1.27% 05.09.2013 16.08 16.03 15.98 16.54 -0.239 -0.238 -0.236 -0.201 0.007 0.007 0.007 0.006 JACK UW Equity JACK IN THE BOX INC Consumer Discretionary 38.65 25.85 24.33 23.60 23.57 -0.135 -0.168 -0.176 -0.146 0.001 0.006 0.007 0.006 JAKK UW Equity JAKKS PACIFIC INC Consumer Discretionary 10.43 2.68% 11.09.2013 37.97 37.35 37.16 37.81 0.000 -0.287 -0.384 -0.249 0.000 0.008 0.010 0.006 JNS UN Equity JANUS CAPITAL GROUP INC Financials 8.60 3.26% 08.08.2013 28.70 28.51 28.54 29.00 -0.056 -0.136 -0.167 -0.139 0.000 0.004 0.006 0.006 JAH UN Equity JARDEN CORP Consumer Discretionary 49.04 01.07.2013 21.33 21.04 21.49 -0.124 -0.130 -0.148 0.002 0.002 0.003 At The Money Implied Volatilities by Terms Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct S&P1000Index Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 5. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend Yield Next Ex- Dividend Date ATM3 Vol - 30D ATM3 Vol - 60D ATM3 Vol - 90D ATM3 Vol - 6M ATM3 Vol - 12M ATM3 Vol - 18M ATM3 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M JBHT UW Equity HUNT (JB) TRANSPRT SVCS INC Industrials 73.82 0.87% 31.07.2013 21.23 23.08 23.87 24.01 23.43 24.12 -0.229 -0.265 -0.268 -0.224 -0.155 -0.125 0.005 0.005 0.005 0.003 0.005 0.003 JBLU UW Equity JETBLUE AIRWAYS CORP Industrials 6.73 33.27 34.16 34.47 34.18 31.78 33.96 -0.012 -0.101 -0.149 -0.207 -0.122 -0.130 0.000 0.004 0.005 0.005 0.001 0.001 JBT UN Equity JOHN BEAN TECHNOLOGIES CORP Industrials 21.12 1.33% 30.05.2013 28.00 26.99 26.90 0.000 -0.070 -0.118 0.000 0.000 0.001 JW/A UN Equity WILEY (JOHN) & SONS-CLASS A Consumer Discretionary 39.00 2.77% 05.07.2013 52.87 41.05 34.21 29.42 0.622 0.477 0.301 -0.242 -0.012 -0.007 -0.004 0.016 JLL UN Equity JONES LANG LASALLE INC Financials 96.92 0.23% 15.11.2013 20.89 22.41 23.23 24.10 -0.292 -0.342 -0.342 -0.237 0.007 0.008 0.008 0.006 JOSB UW Equity JOS A BANK CLOTHIERS INC Consumer Discretionary 43.79 40.99 36.99 35.40 -0.273 -0.228 -0.196 0.005 0.004 0.004 KALU UW Equity KAISER ALUMINUM CORP Materials 64.00 1.91% 26.07.2013 23.33 23.67 24.13 25.53 -0.179 -0.277 -0.303 -0.236 0.003 0.009 0.010 0.007 KAMN UN Equity KAMAN CORP Industrials 33.42 2.09% 20.06.2013 26.19 27.12 27.39 26.60 0.000 -0.032 -0.054 -0.082 0.000 -0.002 -0.001 0.003 KSU UN Equity KANSAS CITY SOUTHERN Industrials 116.40 0.76% 12.09.2013 26.72 26.96 27.26 28.06 -0.224 -0.191 -0.174 -0.166 0.003 0.003 0.003 0.003 KS UN Equity KAPSTONE PAPER AND PACKAGING Materials 28.86 27.00 27.61 27.80 27.44 0.000 -0.078 -0.113 -0.123 0.000 0.002 0.002 0.002 KDN UN Equity KAYDON CORP Industrials 26.26 3.16% 12.09.2013 22.72 21.51 21.43 0.000 0.005 -0.042 0.000 0.000 0.001 KBH UN Equity KB HOME Consumer Discretionary 24.96 0.40% 30.07.2013 40.26 43.37 44.13 43.70 43.34 43.23 -0.267 -0.191 -0.157 -0.121 -0.082 -0.071 0.009 0.004 0.002 0.001 0.001 0.001 KBR UN Equity KBR INC Industrials 32.32 0.99% 14.06.2013 26.41 27.42 28.04 28.83 -0.227 -0.212 -0.197 -0.159 0.007 0.005 0.003 0.002 KELYA UW Equity KELLY SERVICES INC -A Industrials 16.95 1.18% 15.08.2013 32.41 30.87 30.17 30.07 -0.267 -0.187 -0.153 -0.182 0.004 0.003 0.002 0.004 KMPR UN Equity KEMPER CORP Financials 33.76 2.96% 14.08.2013 KMT UN Equity KENNAMETAL INC Industrials 42.07 1.66% 09.08.2013 25.64 26.01 26.32 -0.102 -0.186 -0.205 0.000 0.004 0.005 KRC UN Equity KILROY REALTY CORP Financials 58.24 2.49% 26.06.2013 16.83 16.78 16.74 17.08 -0.059 -0.059 -0.059 -0.188 0.000 0.000 0.000 0.004 KND UN Equity KINDRED HEALTHCARE INC Health Care 12.17 32.56 34.64 35.78 36.84 0.000 -0.183 -0.236 -0.174 0.000 0.005 0.005 0.001 KEX UN Equity KIRBY CORP Industrials 80.07 21.99 23.25 24.01 25.02 -0.343 -0.320 -0.291 -0.205 0.006 0.006 0.005 0.004 KIRK UW Equity KIRKLAND'S INC Consumer Discretionary 13.96 35.10 35.36 35.86 -0.091 -0.085 -0.113 0.001 0.001 0.001 KRG UN Equity KITE REALTY GROUP TRUST Financials 6.68 3.59% 05.07.2013 KNX UN Equity KNIGHT TRANSPORTATION INC Industrials 17.03 1.64% 29.05.2013 21.88 21.70 21.93 23.37 0.000 -0.076 -0.105 -0.089 0.000 0.001 0.001 0.001 KOPN UW Equity KOPIN CORP Information Technology 3.32 73.75 73.75 70.07 0.000 0.000 -0.058 0.000 0.000 0.000 KOP UN Equity KOPPERS HOLDINGS INC Materials 41.54 2.45% 21.08.2013 28.95 30.36 31.04 31.46 -0.286 -0.261 -0.236 -0.179 0.009 0.006 0.004 0.003 KFY UN Equity KORN/FERRY INTERNATIONAL Industrials 17.50 35.73 36.13 36.59 37.31 -0.163 -0.180 -0.180 -0.138 0.004 0.002 0.002 0.001 KRA UN Equity KRATON PERFORMANCE POLYMERS Materials 21.13 35.79 33.73 33.92 -0.184 -0.185 -0.176 -0.001 0.008 0.009 KLIC UW Equity KULICKE & SOFFA INDUSTRIES Information Technology 11.50 30.83 30.94 31.62 -0.005 -0.049 -0.069 0.000 0.002 0.002 LZB UN Equity LA-Z-BOY INC Consumer Discretionary 19.35 0.83% 06.09.2013 40.05 37.58 37.18 -0.155 -0.256 -0.267 0.002 0.007 0.008 LG UN Equity LACLEDE GROUP INC/THE Utilities 46.18 3.72% 11.09.2013 44.23 37.25 31.92 22.21 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LAMR UW Equity LAMAR ADVERTISING CO-A Consumer Discretionary 48.46 29.38 27.11 26.60 26.92 26.22 26.21 -0.468 -0.367 -0.301 -0.246 -0.205 -0.181 0.015 0.010 0.006 0.003 0.002 0.001 LANC UW Equity LANCASTER COLONY CORP Consumer Staples 82.45 1.89% 10.06.2013 22.44 21.21 19.94 16.99 0.000 -0.012 -0.035 -0.152 0.000 0.004 0.006 0.010 LDR UN Equity LANDAUER INC Health Care 48.62 4.73% 12.06.2013 LSTR UW Equity LANDSTAR SYSTEM INC Industrials 55.10 13.08.2013 21.63 22.27 22.71 -0.373 -0.218 -0.122 0.014 0.003 0.000 LHO UN Equity LASALLE HOTEL PROPERTIES Financials 27.35 3.62% 26.06.2013 28.35 26.48 25.41 24.57 0.000 -0.087 -0.130 -0.130 0.000 0.001 0.001 0.001 LPS UN Equity LENDER PROCESSING SERVICES Information Technology 28.92 1.38% 27.08.2013 27.76 29.28 30.24 31.89 -0.327 -0.369 -0.352 -0.200 0.005 0.005 0.005 0.003 LII UN Equity LENNOX INTERNATIONAL INC Industrials 64.82 1.51% 26.06.2013 22.77 23.64 24.14 24.59 -0.244 -0.237 -0.228 -0.198 0.006 0.005 0.005 0.003 LXP UN Equity LEXINGTON REALTY TRUST Financials 13.31 4.73% 28.06.2013 20.98 20.98 20.98 21.42 -0.452 -0.448 -0.444 -0.029 0.018 0.018 0.018 0.001 LXK UN Equity LEXMARK INTERNATIONAL INC-A Information Technology 30.61 3.92% 28.08.2013 36.17 35.81 37.12 40.49 42.01 42.03 -0.261 -0.188 -0.162 -0.155 -0.135 -0.121 0.010 0.007 0.004 0.002 0.001 0.001 LHCG UW Equity LHC GROUP INC Health Care 22.00 30.63 30.67 30.73 31.19 -0.236 -0.247 -0.241 -0.190 0.005 0.006 0.006 0.005 LRY UN Equity LIBERTY PROPERTY TRUST Financials 44.09 4.31% 28.06.2013 12.42 13.11 13.28 0.000 -0.123 -0.172 0.000 0.002 0.004 LTM UN Equity LIFE TIME FITNESS INC Consumer Discretionary 49.64 23.44 25.04 25.98 27.24 -0.106 -0.193 -0.211 -0.150 0.003 0.005 0.005 0.002 LPNT UW Equity LIFEPOINT HOSPITALS INC Health Care 47.44 23.53 23.75 24.16 25.29 -0.076 -0.171 -0.200 -0.153 0.001 0.003 0.004 0.002 LINC UW Equity LINCOLN EDUCATIONAL SERVICES Consumer Discretionary 6.32 4.43% 13.09.2013 133.43 127.93 122.19 89.38 0.779 0.983 1.160 0.782 -0.023 -0.022 -0.018 -0.008 LECO UW Equity LINCOLN ELECTRIC HOLDINGS Industrials 58.30 1.46% 25.09.2013 20.89 21.49 21.93 22.74 -0.072 -0.138 -0.167 -0.171 0.001 0.002 0.003 0.003 LNN UN Equity LINDSAY CORP Industrials 81.86 0.48% 16.08.2013 28.50 28.85 29.43 31.14 -0.172 -0.163 -0.156 -0.140 0.004 0.003 0.003 0.002 LQDT UW Equity LIQUIDITY SERVICES INC Information Technology 37.80 43.54 44.30 44.62 44.59 -0.121 -0.135 -0.142 -0.153 0.000 0.001 0.001 0.001 LAD UN Equity LITHIA MOTORS INC-CL A Consumer Discretionary 52.96 1.02% 09.08.2013 29.77 32.65 33.99 34.60 -0.330 -0.226 -0.175 -0.182 0.013 0.007 0.004 0.003 LFUS UW Equity LITTELFUSE INC Information Technology 71.61 1.20% 22.08.2013 21.45 21.92 22.18 22.41 0.000 -0.115 -0.163 -0.159 0.000 0.003 0.005 0.004 LYV UN Equity LIVE NATION ENTERTAINMENT IN Consumer Discretionary 13.95 34.05 33.82 34.16 35.79 38.60 40.62 -0.387 -0.358 -0.309 -0.218 -0.168 -0.167 0.013 0.010 0.008 0.005 0.002 0.001 LPSN UW Equity LIVEPERSON INC Information Technology 8.65 49.28 47.21 46.18 0.033 -0.028 -0.070 0.000 0.000 0.000 LKQ UW Equity LKQ CORP Consumer Discretionary 25.05 25.24 26.59 27.32 27.96 -0.196 -0.203 -0.200 -0.182 0.004 0.007 0.007 0.004 LOGM UW Equity LOGMEIN INC Information Technology 24.34 45.35 46.05 44.82 42.18 0.586 0.175 -0.023 -0.131 0.005 -0.001 0.000 0.008 LPX UN Equity LOUISIANA-PACIFIC CORP Materials 19.90 40.64 41.15 41.31 41.02 42.17 43.69 -0.238 -0.206 -0.190 -0.182 -0.147 -0.133 0.005 0.004 0.003 0.002 0.001 0.001 LXU UN Equity LSB INDUSTRIES INC Materials 33.13 79.42 65.53 53.12 33.80 -1.144 -1.169 -1.133 -0.486 0.013 0.019 0.026 0.031 LTC UN Equity LTC PROPERTIES INC Financials 47.28 4.08% 19.07.2013 17.39 17.29 17.60 18.89 0.000 -0.038 -0.069 -0.133 0.000 0.000 0.000 0.001 LUFK UW Equity LUFKIN INDUSTRIES INC Energy 88.31 0.62% 30.08.2013 4.39 5.90 6.61 7.01 -0.197 -0.631 -0.351 -0.300 -0.002 0.027 0.013 0.010 LL UN Equity LUMBER LIQUIDATORS HOLDINGS Consumer Discretionary 89.88 34.16 37.84 39.39 39.62 -0.287 -0.235 -0.201 -0.149 0.009 0.005 0.003 0.002 LMNX UW Equity LUMINEX CORP Health Care 18.30 36.87 50.28 51.56 -0.362 -0.233 -0.115 0.001 0.026 0.025 LMOS UW Equity LUMOS NETWORKS CORP Telecommunication Services 16.61 3.38% 11.09.2013 36.34 36.72 38.14 -0.291 -0.291 -0.238 0.002 0.001 0.001 LDL UN Equity LYDALL INC Industrials 14.68 34.62 35.36 35.58 35.08 0.000 0.021 0.004 -0.109 0.000 -0.001 0.000 0.003 MHO UN Equity M/I HOMES INC Consumer Discretionary 26.74 44.23 41.57 41.78 -0.149 -0.147 -0.131 0.003 0.007 0.007 CLI UN Equity MACK-CALI REALTY CORP Financials 28.28 4.24% 05.07.2013 14.42 14.42 15.57 0.000 0.000 -0.067 0.000 0.000 0.001 MGLN UW Equity MAGELLAN HEALTH SERVICES INC Health Care 51.69 25.31 22.93 22.41 24.63 0.029 -0.110 -0.169 -0.158 0.000 0.004 0.006 0.006 MFB UN Equity MAIDENFORM BRANDS INC Consumer Discretionary 18.52 31.66 31.02 31.35 -0.084 -0.249 -0.239 0.000 0.009 0.009 MANH UW Equity MANHATTAN ASSOCIATES INC Information Technology 73.11 20.47 21.56 22.72 -0.189 -0.155 -0.158 0.005 0.002 0.002 MAN UN Equity MANPOWERGROUP INC Industrials 56.90 1.62% 05.12.2013 26.01 27.08 28.07 30.18 -0.364 -0.334 -0.307 -0.208 0.014 0.010 0.008 0.003 MANT UW Equity MANTECH INTERNATIONAL CORP-A Information Technology 27.95 3.01% 06.09.2013 27.09 26.98 27.09 27.23 -0.106 -0.170 -0.184 -0.124 0.001 0.005 0.006 0.003 MCS UN Equity MARCUS CORPORATION Consumer Discretionary 13.95 2.44% 25.07.2013 HZO UN Equity MARINEMAX INC Consumer Discretionary 12.78 47.07 44.27 43.90 0.000 -0.302 -0.361 0.000 0.009 0.009 MKTX UW Equity MARKETAXESS HOLDINGS INC Financials 46.09 1.22% 09.08.2013 29.17 29.79 30.44 32.13 -0.207 -0.176 -0.164 -0.184 0.005 0.006 0.006 0.003 VAC UN Equity MARRIOTT VACATIONS WORLD Consumer Discretionary 46.34 26.49 26.59 26.38 -0.045 -0.241 -0.268 0.000 0.005 0.005 MLM UN Equity MARTIN MARIETTA MATERIALS Materials 108.75 1.47% 31.05.2013 23.70 23.85 24.35 -0.438 -0.351 -0.297 0.012 0.008 0.006 MASI UW Equity MASIMO CORPORATION Health Care 22.35 33.64 33.03 32.92 33.73 -0.058 -0.103 -0.124 -0.122 0.003 0.003 0.002 0.002 MTRN UN Equity MATERION CORP Materials 28.15 1.15% 14.08.2013 35.13 34.94 35.04 35.87 -0.189 -0.184 -0.178 -0.163 0.003 0.004 0.004 0.002 MTRX UW Equity MATRIX SERVICE CO Energy 16.82 38.14 38.28 38.15 37.29 -0.127 -0.085 -0.072 -0.092 0.002 0.002 0.002 0.002 MATX UN Equity MATSON INC Industrials 26.07 2.30% 30.07.2013 27.33 27.75 28.02 28.37 0.000 -0.118 -0.172 -0.200 0.000 0.005 0.006 0.004 MATW UW Equity MATTHEWS INTL CORP-CLASS A Consumer Discretionary 38.59 1.11% 01.08.2013 24.93 24.43 24.30 25.00 -0.210 -0.364 -0.395 -0.225 0.002 0.009 0.012 0.008 MMS UN Equity MAXIMUS INC Information Technology 76.67 0.47% 15.08.2013 28.88 23.73 22.37 0.000 0.357 0.146 0.000 0.014 0.017 MBFI UW Equity MB FINANCIAL INC Financials 26.05 2.23% 24.05.2013 22.07 22.90 23.32 23.48 0.000 -0.045 -0.080 -0.147 0.000 0.002 0.003 0.004 MDC UN Equity MDC HOLDINGS INC Consumer Discretionary 38.46 1.30% 03.02.2014 33.82 35.26 36.18 37.51 -0.265 -0.227 -0.200 -0.151 0.006 0.004 0.002 0.001 MDU UN Equity MDU RESOURCES GROUP INC Utilities 26.86 2.62% 04.06.2013 50.40 50.41 50.41 0.773 0.629 0.544 -0.022 -0.025 -0.026 MIG UN Equity MEADOWBROOK INSURANCE GROUP Financials 8.06 1.36% 07.08.2013 38.97 38.32 37.53 0.000 0.005 -0.040 0.000 0.000 -0.001 MEAS UW Equity MEASUREMENT SPECIALTIES INC Information Technology 46.38 24.90 24.28 24.54 -0.303 -0.226 -0.185 0.005 0.003 0.003 MPW UN Equity MEDICAL PROPERTIES TRUST INC Financials 17.26 4.98% 11.06.2013 25.67 22.66 21.65 -0.328 -0.199 -0.125 0.006 0.004 0.003 MDCO UW Equity MEDICINES COMPANY Health Care 36.98 40.12 48.07 47.14 42.04 38.50 38.08 -0.260 -0.009 -0.110 -0.246 -0.040 -0.046 0.005 0.002 0.003 0.003 0.000 0.001 MDSO UW Equity MEDIDATA SOLUTIONS INC Health Care 74.85 25.46 26.37 28.16 -0.154 -0.181 -0.180 0.002 0.003 0.003 MED UN Equity MEDIFAST INC Consumer Staples 26.13 30.38 32.48 33.88 36.49 -0.476 -0.410 -0.364 -0.307 0.012 0.006 0.004 0.002 MD UN Equity MEDNAX INC Health Care 90.96 20.24 21.66 22.60 24.09 -0.350 -0.306 -0.277 -0.238 0.009 0.006 0.004 0.003 WFR UN Equity MEMC ELECTRONIC MATERIALS Information Technology 6.20 64.19 62.89 62.00 61.74 63.54 64.24 -0.247 -0.163 -0.126 -0.115 -0.118 -0.107 0.009 0.007 0.005 0.003 0.001 0.001 MW UN Equity MEN'S WEARHOUSE INC/THE Consumer Discretionary 34.83 2.15% 13.09.2013 41.43 36.94 34.67 34.38 -0.287 -0.227 -0.190 -0.156 0.005 0.004 0.003 0.002 MENT UW Equity MENTOR GRAPHICS CORP Information Technology 18.22 34.21 31.53 30.28 -0.079 -0.162 -0.181 -0.001 0.004 0.005 MCY UN Equity MERCURY GENERAL CORP Financials 45.91 5.35% 13.09.2013 17.08 18.18 18.81 19.26 0.000 -0.181 -0.219 -0.151 0.000 0.010 0.012 0.007 MRCY UW Equity MERCURY SYSTEMS INC Information Technology 9.06 51.38 50.55 49.92 -0.498 -0.501 -0.260 0.003 0.005 0.003 MDP UN Equity MEREDITH CORP Consumer Discretionary 43.12 3.81% 30.08.2013 28.59 27.77 27.47 28.17 0.024 -0.109 -0.166 -0.130 0.000 -0.001 -0.001 0.000 VIVO UW Equity MERIDIAN BIOSCIENCE INC Health Care 21.97 3.82% 25.07.2013 26.08 26.64 27.04 -0.153 -0.107 -0.113 0.002 0.001 0.002 MMSI UW Equity MERIT MEDICAL SYSTEMS INC Health Care 10.20 30.14 29.91 30.95 0.000 0.002 -0.016 0.000 0.000 0.000 MTH UN Equity MERITAGE HOMES CORP Consumer Discretionary 52.36 35.01 35.43 35.89 37.08 -0.242 -0.203 -0.173 -0.120 0.006 0.005 0.004 0.002 MEI UN Equity METHODE ELECTRONICS INC Information Technology 15.00 2.00% 10.07.2013 31.02 35.02 36.02 0.000 -0.175 -0.200 0.000 0.003 0.005 MTD UN Equity METTLER-TOLEDO INTERNATIONAL Health Care 227.96 21.09 21.47 21.52 -0.163 -0.147 -0.143 0.001 0.000 0.000 MCRL UW Equity MICREL INC Information Technology 10.31 1.75% 05.08.2013 26.22 29.30 30.54 30.40 0.000 0.037 0.007 -0.170 0.000 0.000 0.000 0.003 MCRS UW Equity MICROS SYSTEMS INC Information Technology 43.26 23.51 24.09 24.58 25.75 -0.210 -0.236 -0.239 -0.194 0.003 0.007 0.007 0.004 MSCC UW Equity MICROSEMI CORP Information Technology 21.20 32.36 32.78 33.11 33.83 -0.074 -0.152 -0.190 -0.211 0.000 0.004 0.005 0.004 MSTR UW Equity MICROSTRATEGY INC-CL A Information Technology 94.53 31.96 31.70 33.18 -0.217 -0.122 -0.077 0.009 0.007 0.005 MAA UN Equity MID-AMERICA APARTMENT COMM Financials 72.90 3.88% 11.07.2013 11.91 12.14 12.29 12.45 -0.059 -0.100 -0.109 -0.057 0.000 0.002 0.003 0.001 MSA UN Equity MINE SAFETY APPLIANCES CO Industrials 50.16 1.79% 16.08.2013 23.53 24.56 24.91 24.90 -0.095 -0.173 -0.202 -0.196 0.002 0.003 0.004 0.005 MTX UN Equity MINERALS TECHNOLOGIES INC Materials 42.51 0.47% 30.08.2013 23.31 23.16 23.01 22.59 0.000 -0.028 -0.046 -0.069 0.000 0.000 0.000 0.002 MKSI UW Equity MKS INSTRUMENTS INC Information Technology 27.52 2.33% 30.08.2013 30.21 28.76 28.51 0.000 -0.219 -0.287 0.000 0.006 0.007 MINI UW Equity MOBILE MINI INC Industrials 36.91 26.82 29.05 30.33 31.71 0.028 -0.095 -0.131 -0.099 0.000 0.005 0.006 0.003 MHK UN Equity MOHAWK INDUSTRIES INC Consumer Discretionary 119.56 26.44 27.94 28.63 28.99 -0.206 -0.196 -0.184 -0.150 0.005 0.004 0.003 0.002 MOH UN Equity MOLINA HEALTHCARE INC Health Care 37.89 31.09 33.75 34.82 34.85 -0.448 -0.354 -0.283 -0.184 0.015 0.006 0.002 0.001 MNTA UW Equity MOMENTA PHARMACEUTICALS INC Health Care 13.40 41.01 43.13 45.92 53.51 -0.059 -0.080 -0.084 -0.079 0.018 0.011 0.006 0.002 MCRI UW Equity MONARCH CASINO & RESORT INC Consumer Discretionary 14.95 34.12 34.51 34.76 34.82 -0.268 -0.214 -0.199 -0.240 0.003 0.006 0.006 0.004 MPWR UW Equity MONOLITHIC POWER SYSTEMS INC Information Technology 24.45 31.85 33.01 33.63 34.14 -0.162 -0.199 -0.205 -0.148 0.005 0.004 0.003 0.002 TYPE UW Equity MONOTYPE IMAGING HOLDINGS IN Information Technology 23.32 1.07% 27.09.2013 30.64 31.63 32.26 33.19 -0.058 -0.039 -0.022 0.015 0.000 0.000 0.001 0.001 MNRO UW Equity MONRO MUFFLER BRAKE INC Consumer Discretionary 45.70 1.05% 07.06.2013 28.12 25.75 25.29 0.050 -0.167 -0.241 0.000 0.003 0.004 MWW UN Equity MONSTER WORLDWIDE INC Information Technology 5.17 50.84 47.40 46.47 50.14 48.90 50.29 0.168 0.029 -0.051 -0.096 -0.121 -0.122 0.002 0.005 0.006 0.002 0.002 0.002 MOG/A UN Equity MOOG INC-CLASS A Industrials 50.07 MOV UN Equity MOVADO GROUP INC Consumer Discretionary 33.83 0.65% 13.06.2013 43.12 42.37 41.89 41.23 -0.291 -0.309 -0.305 -0.234 0.009 0.007 0.006 0.003 MSM UN Equity MSC INDUSTRIAL DIRECT CO-A Industrials 83.48 1.51% 10.07.2013 20.01 21.59 22.56 23.89 -0.153 -0.334 -0.384 -0.298 0.001 0.008 0.010 0.008 MSCI UN Equity MSCI INC Financials 34.39 21.88 23.31 24.02 24.67 -0.141 -0.223 -0.250 -0.209 0.003 0.004 0.005 0.004 MTSC UW Equity MTS SYSTEMS CORP Information Technology 56.73 2.12% 11.06.2013 24.75 23.14 22.75 0.000 -0.243 -0.308 0.000 0.006 0.007 MLI UN Equity MUELLER INDUSTRIES INC Industrials 53.00 0.94% 04.09.2013 23.99 24.15 24.30 24.59 -0.055 -0.058 -0.068 -0.120 0.000 0.002 0.003 0.003 MGAM UW Equity MULTIMEDIA GAMES HOLDING CO Consumer Discretionary 25.47 36.16 35.70 36.55 -0.160 -0.208 -0.202 0.006 0.009 0.009 MWIV UW Equity MWI VETERINARY SUPPLY INC Health Care 115.87 23.43 24.65 25.95 -0.106 -0.097 -0.099 0.001 0.001 0.000 S&P1000Index At The Money Implied Volatilities by Terms Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx 2 + ct Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 6. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend Yield Next Ex- Dividend Date ATM3 Vol - 30D ATM3 Vol - 60D ATM3 Vol - 90D ATM3 Vol - 6M ATM3 Vol - 12M ATM3 Vol - 18M ATM3 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M MYE UN Equity MYERS INDUSTRIES INC Materials 15.29 2.42% 12.06.2013 28.99 29.41 29.72 30.33 0.000 -0.067 -0.103 -0.136 0.000 0.001 0.002 0.002 NANO UW Equity NANOMETRICS INC Information Technology 14.36 30.38 31.35 32.38 35.07 -0.152 -0.162 -0.154 -0.104 0.003 0.005 0.006 0.002 NAFC UW Equity NASH FINCH CO Consumer Staples 22.76 2.37% 21.08.2013 92.93 60.44 39.78 45.07 0.000 -0.393 -0.685 -1.365 0.000 0.009 0.012 0.018 NFP UN Equity NATIONAL FINANCIAL PARTNERS Financials 25.14 5.55 5.55 5.15 0.000 0.000 0.000 0.000 0.000 0.000 NFG UN Equity NATIONAL FUEL GAS CO Utilities 63.43 2.36% 28.06.2013 18.89 18.91 19.42 -0.217 -0.169 -0.165 0.006 0.004 0.004 NATI UW Equity NATIONAL INSTRUMENTS CORP Information Technology 28.61 2.10% 15.08.2013 24.40 24.33 24.66 26.11 0.000 -0.167 -0.223 -0.176 0.000 0.009 0.012 0.007 NPBC UW Equity NATL PENN BCSHS INC Financials 10.02 3.99% 31.07.2013 28.07 27.59 25.87 0.000 0.000 0.000 0.000 0.000 0.000 NPK UN Equity NATIONAL PRESTO INDS INC Industrials 76.79 1.44% 28.02.2014 NNN UN Equity NATIONAL RETAIL PROPERTIES Financials 41.49 3.90% 31.07.2013 16.96 15.14 14.27 14.32 0.083 -0.116 -0.199 -0.109 0.000 0.005 0.006 0.002 BABY UW Equity NATUS MEDICAL INC Health Care 13.76 27.77 27.74 28.48 -0.065 -0.065 -0.075 0.001 0.001 0.001 NCI UN Equity NAVIGANT CONSULTING INC Industrials 13.11 27.77 28.53 29.15 -0.040 -0.193 -0.243 0.001 0.002 0.002 NAVG UW Equity NAVIGATORS GROUP INC Financials 59.41 NBTB UW Equity N B T BANCORP INC Financials 20.25 3.95% 30.08.2013 19.97 19.91 19.85 19.57 0.000 -0.057 -0.088 -0.119 0.000 0.002 0.002 0.002 NCS UN Equity NCI BUILDING SYSTEMS INC Industrials 17.40 38.10 38.28 38.16 37.16 -0.220 -0.209 -0.195 -0.157 0.004 0.007 0.008 0.006 NCR UN Equity NCR CORPORATION Information Technology 30.79 24.28 27.13 28.16 -0.118 -0.177 -0.183 0.003 0.005 0.004 NP UN Equity NEENAH PAPER INC Materials 30.97 2.13% 07.08.2013 30.13 29.47 29.42 0.000 -0.061 -0.108 0.000 -0.001 0.000 NEOG UW Equity NEOGEN CORP Health Care 54.00 21.84 22.68 23.10 -0.170 -0.080 -0.070 0.002 0.001 0.001 NTGR UW Equity NETGEAR INC Information Technology 31.89 30.03 32.22 33.60 35.80 -0.208 -0.209 -0.206 -0.195 0.005 0.004 0.003 0.002 NTCT UW Equity NETSCOUT SYSTEMS INC Information Technology 23.10 32.42 34.32 35.35 36.30 -0.063 -0.117 -0.152 -0.203 0.000 0.001 0.003 0.005 NSR UN Equity NEUSTAR INC-CLASS A Information Technology 47.83 24.01 24.58 25.61 -0.085 -0.252 -0.295 0.001 0.008 0.009 NJR UN Equity NEW JERSEY RESOURCES CORP Utilities 46.29 3.54% 14.06.2013 NYCB UN Equity NEW YORK COMMUNITY BANCORP Financials 13.55 7.38% 07.08.2013 15.30 15.00 15.19 15.92 -0.115 -0.029 -0.016 -0.111 0.001 0.000 0.005 0.010 NYT UN Equity NEW YORK TIMES CO-A Consumer Discretionary 9.86 0.51% 30.08.2013 37.20 39.12 39.96 -0.007 -0.130 -0.164 0.002 -0.002 -0.002 NEU UN Equity NEWMARKET CORP Materials 272.69 1.36% 13.09.2013 19.72 22.95 24.54 25.60 -0.212 -0.191 -0.181 -0.169 0.004 0.004 0.003 0.002 NEWP UW Equity NEWPORT CORP Information Technology 13.87 34.09 35.98 37.03 38.12 -0.199 -0.183 -0.179 -0.182 0.001 0.008 0.009 0.003 EGOV UW Equity NIC INC Information Technology 16.92 32.88 32.76 32.42 -0.201 -0.141 -0.138 0.003 0.003 0.003 NDSN UW Equity NORDSON CORP Industrials 73.52 0.94% 30.08.2013 29.20 28.06 27.45 27.10 -0.153 -0.128 -0.120 -0.139 0.002 0.003 0.004 0.003 NOG UA Equity NORTHERN OIL AND GAS INC Energy 14.01 38.54 39.13 39.73 41.39 40.50 41.22 -0.102 -0.168 -0.196 -0.201 -0.083 -0.098 0.001 0.002 0.002 0.002 0.000 0.000 NWBI UW Equity NORTHWEST BANCSHARES INC Financials 12.49 4.80% 30.07.2013 17.42 17.42 17.42 16.32 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 NWN UN Equity NORTHWEST NATURAL GAS CO Utilities 45.23 4.08% 31.07.2013 14.96 16.52 17.28 17.66 0.000 -0.060 -0.082 -0.077 0.000 0.001 0.002 0.002 NWE UN Equity NORTHWESTERN CORP Utilities 42.54 3.64% 13.09.2013 16.04 16.20 16.35 15.95 0.095 0.096 0.096 0.071 0.000 0.000 0.000 0.000 NTLS UW Equity NTELOS HOLDINGS CORP Telecommunication Services 15.56 10.80% 13.09.2013 58.84 58.84 58.84 58.84 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 NTRI UW Equity NUTRISYSTEM INC Consumer Discretionary 8.70 8.05% 08.08.2013 29.58 32.63 33.96 34.15 -0.114 -0.199 -0.224 -0.181 0.001 0.002 0.002 0.003 NUVA UW Equity NUVASIVE INC Health Care 22.82 35.31 36.31 36.74 36.68 -0.018 -0.078 -0.105 -0.117 -0.001 0.003 0.004 0.003 NVE UN Equity NV ENERGY INC Utilities 20.81 3.84% 06.09.2013 18.57 18.59 18.20 16.53 0.000 0.010 0.002 -0.050 0.000 -0.001 0.000 0.003 NVR UN Equity NVR INC Consumer Discretionary 1003.26 OII UN Equity OCEANEERING INTL INC Energy 73.49 1.20% 28.08.2013 24.02 24.43 24.99 -0.294 -0.217 -0.180 0.010 0.007 0.005 ODP UN Equity OFFICE DEPOT INC Consumer Discretionary 4.01 38.90 40.72 41.37 41.45 41.00 40.63 0.000 -0.144 -0.110 -0.068 -0.235 -0.198 0.000 -0.002 0.000 0.004 0.002 0.002 OMX UN Equity OFFICEMAX INC Consumer Discretionary 11.78 0.68% 13.08.2013 32.46 34.26 35.25 36.25 -0.319 -0.250 -0.222 -0.239 0.007 0.007 0.006 0.003 OGE UN Equity OGE ENERGY CORP Utilities 71.70 2.40% 10.07.2013 11.90 13.69 14.64 15.65 -1.830 -1.090 -0.489 -0.070 0.066 0.038 0.016 0.000 OIS UN Equity OIL STATES INTERNATIONAL INC Energy 100.57 33.21 32.88 32.66 32.29 -0.263 -0.201 -0.161 -0.112 0.010 0.006 0.004 0.001 ODFL UW Equity OLD DOMINION FREIGHT LINE Industrials 40.87 25.40 25.08 25.40 -0.205 -0.189 -0.186 0.006 0.004 0.003 ONB UN Equity OLD NATIONAL BANCORP Financials 13.15 3.19% 30.08.2013 26.85 27.14 27.30 27.78 0.000 -0.178 -0.229 -0.124 0.000 0.006 0.007 0.005 ORI UN Equity OLD REPUBLIC INTL CORP Financials 14.42 5.01% 04.09.2013 20.37 20.09 20.08 -0.197 -0.195 -0.141 0.002 0.003 0.002 OLN UN Equity OLIN CORP Materials 24.69 3.24% 09.08.2013 21.27 22.89 23.77 24.48 -0.171 -0.194 -0.191 -0.175 0.003 0.007 0.007 0.003 ZEUS UW Equity OLYMPIC STEEL INC Materials 24.00 0.33% 04.09.2013 38.74 35.21 34.20 -0.037 -0.190 -0.227 0.000 0.009 0.009 OMG UN Equity OM GROUP INC Materials 28.90 28.72 31.21 32.52 33.58 -0.356 -0.310 -0.268 -0.185 0.018 0.009 0.005 0.003 OHI UN Equity OMEGA HEALTHCARE INVESTORS Financials 36.25 5.35% 31.07.2013 18.04 17.73 17.71 18.26 0.000 -0.088 -0.131 -0.143 0.000 0.002 0.003 0.004 OCR UN Equity OMNICARE INC Health Care 45.26 1.24% 07.06.2013 18.84 20.73 21.92 23.47 25.19 26.99 -0.314 -0.246 -0.215 -0.200 -0.092 -0.110 0.010 0.007 0.005 0.004 0.002 0.002 OMCL UW Equity OMNICELL INC Health Care 18.76 31.46 31.82 32.38 34.35 -0.087 -0.155 -0.173 -0.128 0.000 0.003 0.004 0.002 ASGN UN Equity ON ASSIGNMENT INC Industrials 26.19 35.09 36.09 36.64 37.11 -0.153 -0.142 -0.131 -0.101 0.003 0.004 0.004 0.003 OPEN UW Equity OPENTABLE INC Information Technology 64.91 34.11 34.98 36.10 37.54 37.71 38.23 -0.163 -0.162 -0.138 -0.127 -0.166 -0.124 0.006 0.004 0.003 0.001 0.001 0.001 OPLK UW Equity OPLINK COMMUNICATIONS INC Information Technology 16.15 40.88 39.78 40.09 -0.230 -0.244 -0.129 0.000 0.000 0.000 ORB UN Equity ORBITAL SCIENCES CORP Industrials 18.41 26.64 27.41 27.74 27.70 -0.063 -0.097 -0.114 -0.127 0.000 0.003 0.004 0.004 ORN UN Equity ORION MARINE GROUP INC Industrials 11.82 36.19 39.12 40.37 40.15 0.000 -0.008 -0.026 -0.101 0.000 0.000 0.000 0.003 ORIT UW Equity ORITANI FINANCIAL CORP Financials 15.72 4.45% 31.07.2013 21.18 22.23 22.32 0.000 0.000 0.000 0.000 0.000 0.000 OSK UN Equity OSHKOSH CORP Industrials 39.41 32.10 32.21 32.84 33.72 -0.420 -0.303 -0.263 -0.209 0.013 0.007 0.004 0.003 OSIS UW Equity OSI SYSTEMS INC Information Technology 62.90 32.47 33.27 34.60 -0.172 -0.192 -0.182 0.001 0.003 0.003 OMI UN Equity OWENS & MINOR INC Health Care 33.90 2.89% 13.09.2013 19.03 19.00 18.97 17.65 -0.106 -0.106 -0.105 -0.117 0.002 0.002 0.002 0.002 OXM UN Equity OXFORD INDUSTRIES INC Consumer Discretionary 64.45 1.15% 15.07.2013 35.29 34.33 33.60 -0.216 -0.180 -0.163 0.004 0.005 0.005 PKG UN Equity PACKAGING CORP OF AMERICA Materials 50.59 2.67% 17.09.2013 19.31 21.53 22.23 -0.217 -0.272 -0.256 0.004 0.008 0.008 PACW UW Equity PACWEST BANCORP Financials 28.10 2.81% 22.08.2013 22.82 24.97 25.84 25.84 0.000 -0.125 -0.174 -0.156 0.000 0.002 0.003 0.004 PMTI UW Equity PALOMAR MEDICAL TECHNOLOGIES Health Care 13.57 23.78 23.78 23.78 23.05 -0.046 -0.046 -0.046 -0.001 0.000 0.000 0.000 0.000 PNRA UW Equity PANERA BREAD COMPANY-CLASS A Consumer Discretionary 185.27 20.04 23.62 25.19 25.83 26.25 27.17 -0.331 -0.250 -0.208 -0.177 -0.124 -0.096 0.014 0.008 0.005 0.003 0.002 0.001 PZZA UW Equity PAPA JOHN'S INTL INC Consumer Discretionary 66.05 20.01 19.24 19.47 -0.199 -0.264 -0.271 0.003 0.005 0.007 PRXL UW Equity PAREXEL INTERNATIONAL CORP Health Care 47.15 23.41 26.54 28.00 28.63 -0.054 -0.066 -0.077 -0.108 0.000 0.001 0.002 0.002 PKE UN Equity PARK ELECTROCHEMICAL CORP Information Technology 24.29 1.65% 05.07.2013 29.59 29.20 28.94 28.76 -0.137 -0.209 -0.227 -0.179 0.002 0.005 0.006 0.004 PKY UN Equity PARKWAY PROPERTIES INC Financials 19.51 3.08% 10.06.2013 29.60 25.57 23.98 24.44 -0.858 -0.414 -0.131 0.011 0.018 0.010 0.003 0.000 PTEN UW Equity PATTERSON-UTI ENERGY INC Energy 22.14 0.99% 13.09.2013 32.56 33.85 34.60 35.26 36.24 37.45 -0.193 -0.192 -0.187 -0.160 -0.121 -0.106 0.006 0.004 0.003 0.002 0.001 0.001 PCTI UQ Equity PC-TEL INC Information Technology 6.62 2.12% 08.08.2013 71.83 71.83 73.77 0.000 0.000 -0.504 0.000 0.000 0.003 PDCE UW Equity PDC ENERGY INC Energy 48.96 47.64 47.34 47.74 -0.235 -0.181 -0.147 0.006 0.003 0.002 PVA UN Equity PENN VIRGINIA CORP Energy 4.73 09.08.2013 49.98 47.19 46.31 48.08 0.000 0.054 0.045 -0.089 0.000 -0.001 -0.001 0.002 PEI UN Equity PENN REAL ESTATE INVEST TST Financials 21.39 3.37% 29.05.2013 21.42 21.21 21.67 -0.025 -0.195 -0.261 0.001 0.004 0.005 PBY UN Equity PEP BOYS-MANNY MOE & JACK Consumer Discretionary 11.96 35.49 34.38 33.37 -0.324 -0.357 -0.337 0.011 0.004 0.001 PRFT UW Equity PERFICIENT INC Information Technology 11.67 36.96 36.21 36.07 -0.143 -0.137 -0.120 0.001 0.001 0.001 PSEM UW Equity PERICOM SEMICONDUCTOR CORP Information Technology 6.99 36.37 40.50 42.65 0.000 0.007 -0.049 0.000 0.000 0.001 PERY UW Equity PERRY ELLIS INTERNATIONAL Consumer Discretionary 18.76 36.75 35.41 34.71 34.50 -0.245 -0.218 -0.200 -0.180 0.005 0.006 0.006 0.003 PETS UW Equity PETMED EXPRESS INC Consumer Discretionary 13.38 4.78% 13.08.2013 26.92 27.10 27.85 30.66 -0.162 -0.241 -0.251 -0.179 0.002 0.008 0.010 0.006 PQ UN Equity PETROQUEST ENERGY INC Energy 4.76 46.24 46.68 45.99 -0.731 -0.484 -0.397 0.013 0.009 0.007 GLT UN Equity GLATFELTER Materials 25.15 1.59% 04.10.2013 25.63 26.24 26.52 0.000 -0.059 -0.083 0.000 0.001 0.002 PMC UN Equity PHARMERICA CORP Health Care 14.10 30.84 33.90 35.26 35.20 0.000 -0.070 -0.116 -0.204 0.000 0.001 0.002 0.003 PNY UN Equity PIEDMONT NATURAL GAS CO Utilities 34.87 3.58% 21.06.2013 15.53 16.98 17.34 16.15 0.000 -0.145 -0.194 -0.129 0.000 0.003 0.005 0.003 PNK UN Equity PINNACLE ENTERTAINMENT INC Consumer Discretionary 20.90 31.28 32.91 34.14 36.45 -0.244 -0.281 -0.282 -0.215 0.006 0.005 0.004 0.002 PNFP UW Equity PINNACLE FINANCIAL PARTNERS Financials 26.15 23.49 23.93 24.07 23.78 0.000 -0.030 -0.063 -0.153 0.000 0.001 0.002 0.004 PES UN Equity PIONEER ENERGY SERVICES CORP Energy 7.39 47.87 49.07 49.44 48.56 0.000 -0.051 -0.083 -0.138 0.000 0.000 0.001 0.002 PJC UN Equity PIPER JAFFRAY COS Financials 35.77 27.22 28.27 29.02 30.38 0.000 -0.115 -0.168 -0.190 0.000 0.001 0.002 0.002 PXP UN Equity PLAINS EXPLORATION & PRODUCT Energy 44.39 27.81 26.22 24.84 22.70 22.88 21.30 -0.289 -0.017 -0.066 -0.027 -0.079 -0.010 0.006 0.000 0.002 0.004 0.004 0.003 PLT UN Equity PLANTRONICS INC Information Technology 45.54 1.21% 21.08.2013 24.13 26.62 27.71 28.26 -0.207 -0.173 -0.166 -0.200 0.004 0.004 0.004 0.004 PLXS UW Equity PLEXUS CORP Information Technology 29.41 27.65 28.94 29.69 30.58 -0.341 -0.303 -0.269 -0.191 0.007 0.004 0.003 0.002 PNM UN Equity PNM RESOURCES INC Utilities 23.36 2.86% 31.07.2013 18.08 19.03 19.14 17.78 0.000 -0.123 -0.140 -0.070 0.000 0.004 0.004 0.001 PII UN Equity POLARIS INDUSTRIES INC Consumer Discretionary 90.36 1.91% 28.08.2013 25.57 27.40 28.40 29.20 30.81 31.49 -0.324 -0.268 -0.237 -0.194 -0.174 -0.136 0.011 0.007 0.004 0.002 0.001 0.001 PLCM UW Equity POLYCOM INC Information Technology 11.05 38.30 39.59 41.76 -0.005 -0.070 -0.110 0.000 0.000 0.001 POL UN Equity POLYONE CORPORATION Materials 24.95 1.04% 11.06.2013 29.08 30.27 30.97 31.80 -0.011 -0.062 -0.093 -0.136 0.000 0.000 0.001 0.001 POOL UW Equity POOL CORP Consumer Discretionary 53.02 1.41% 15.08.2013 21.27 21.48 22.15 -0.162 -0.319 -0.320 0.001 0.010 0.009 PRAA UW Equity PORTFOLIO RECOVERY ASSOCIATE Financials 149.87 15.65 18.46 19.99 21.68 0.000 -0.351 -0.439 -0.254 0.000 0.014 0.017 0.007 POST UN Equity POST HOLDINGS INC Consumer Staples 44.54 23.34 25.07 25.99 26.73 -0.240 -0.180 -0.147 -0.113 0.005 0.003 0.003 0.003 PPS UN Equity POST PROPERTIES INC Financials 49.89 2.20% 28.06.2013 16.10 17.19 17.79 18.37 0.000 -0.192 -0.265 -0.257 0.000 0.005 0.006 0.005 PCH UW Equity POTLATCH CORP Financials 50.02 2.48% 17.09.2013 16.55 17.89 18.53 18.36 -0.227 -0.304 -0.317 -0.239 0.004 0.007 0.007 0.005 POWL UW Equity POWELL INDUSTRIES INC Industrials 52.19 POWI UW Equity POWER INTEGRATIONS INC Information Technology 44.20 0.72% 30.08.2013 29.27 29.21 29.98 -0.137 -0.183 -0.188 0.002 0.005 0.005 PBH UN Equity PRESTIGE BRANDS HOLDINGS INC Consumer Staples 30.57 27.06 27.20 27.75 -0.145 -0.158 -0.150 0.005 0.005 0.003 PRI UN Equity PRIMERICA INC Financials 34.66 1.62% 21.08.2013 18.58 19.36 19.81 20.42 0.000 -0.072 -0.106 -0.126 0.000 0.002 0.003 0.002 PVTB UW Equity PRIVATEBANCORP INC Financials 20.15 0.20% 14.06.2013 27.18 26.16 25.90 26.88 0.000 -0.091 -0.127 -0.105 0.000 0.001 0.002 0.002 PRA UN Equity PROASSURANCE CORP Financials 51.27 2.00% 27.06.2013 41.67 32.30 25.62 19.94 0.000 -0.190 -0.307 -0.372 0.000 0.003 0.006 0.010 PKT UW Equity PROCERA NETWORKS INC Information Technology 13.40 48.01 50.21 51.08 50.73 -0.019 -0.043 -0.051 -0.048 0.000 0.002 0.003 0.001 PRGS UW Equity PROGRESS SOFTWARE CORP Information Technology 23.51 27.75 29.70 30.67 31.22 -0.117 -0.165 -0.183 -0.176 0.000 0.002 0.003 0.002 PSEC UW Equity PROSPECT CAPITAL CORP Financials 10.92 12.12% 27.09.2013 18.48 18.48 18.48 18.53 0.000 0.000 0.000 0.078 0.000 0.000 0.000 0.000 PB UN Equity PROSPERITY BANCSHARES INC Financials 48.00 1.83% 12.06.2013 PL UN Equity PROTECTIVE LIFE CORP Financials 39.10 2.05% 14.08.2013 22.66 21.06 21.68 -0.248 -0.304 -0.299 0.004 0.012 0.012 PFS UN Equity PROVIDENT FINANCIAL SERVICES Financials 15.60 2.76% 15.08.2013 136.27 109.96 91.43 0.000 -0.273 -0.479 0.000 0.010 0.018 PSB UN Equity PS BUSINESS PARKS INC/CA Financials 84.62 2.08% 09.09.2013 14.03 14.57 14.56 0.000 -0.043 -0.045 0.000 0.001 0.001 PMTC UW Equity PTC INC Information Technology 24.49 29.48 28.91 29.54 -0.110 -0.219 -0.223 0.001 0.009 0.010 QLGC UW Equity QLOGIC CORP Information Technology 9.96 33.04 35.19 36.18 0.000 0.004 -0.031 0.000 0.000 0.001 KWR UN Equity QUAKER CHEMICAL CORP Materials 62.89 1.59% 16.10.2013 27.07 30.73 31.34 -0.153 -0.237 -0.212 0.004 0.004 0.004 QSII UW Equity QUALITY SYSTEMS INC Health Care 18.67 4.28% 14.06.2013 38.26 35.22 33.43 31.57 -0.259 -0.181 -0.133 -0.092 0.007 0.005 0.004 0.002 NX UN Equity QUANEX BUILDING PRODUCTS Industrials 17.60 1.14% 14.06.2013 37.09 37.69 37.61 35.71 0.000 -0.143 -0.204 -0.176 0.000 0.001 0.002 0.001 STR UN Equity QUESTAR CORP Utilities 25.57 2.82% 14.08.2013 16.86 16.88 17.37 -0.178 -0.265 -0.285 0.004 0.006 0.006 QCOR UW Equity QUESTCOR PHARMACEUTICALS Health Care 40.12 2.49% 19.07.2013 63.44 61.23 60.21 60.12 58.98 56.73 -0.188 -0.233 -0.245 -0.219 -0.135 -0.111 0.008 0.006 0.004 0.002 0.001 0.001 KWK UN Equity QUICKSILVER RESOURCES INC Energy 2.30 92.23 82.26 76.46 71.63 77.55 76.22 0.000 -0.112 -0.172 -0.177 0.079 -0.003 0.000 0.002 0.003 0.003 -0.003 -0.001 ZQK UN Equity QUIKSILVER INC Consumer Discretionary 7.61 47.03 45.07 43.73 41.90 40.90 40.51 0.012 -0.053 -0.078 -0.066 -0.040 -0.033 0.004 0.005 0.005 0.002 0.001 0.001 QNST UW Equity QUINSTREET INC Information Technology 6.99 43.98 46.34 47.26 46.45 0.000 -0.069 -0.103 -0.121 0.000 0.001 0.002 0.003 RAX UN Equity RACKSPACE HOSTING INC Information Technology 41.83 38.60 41.61 42.99 43.27 42.57 42.48 -0.159 -0.164 -0.167 -0.169 -0.140 -0.123 0.009 0.005 0.003 0.002 0.001 0.001 RSYS UW Equity RADISYS CORP Information Technology 4.66 424.28 337.22 275.08 194.79 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 RJF UN Equity RAYMOND JAMES FINANCIAL INC Financials 44.43 1.35% 02.07.2013 22.36 22.95 23.40 24.26 -0.110 -0.180 -0.195 -0.153 0.002 0.005 0.005 0.003 RYN UN Equity RAYONIER INC Financials 60.13 3.13% 14.06.2013 14.43 14.97 15.62 16.53 -0.224 -0.310 -0.321 -0.208 0.004 0.007 0.007 0.004 O UN Equity REALTY INCOME CORP Financials 53.76 4.06% 26.06.2013 15.43 15.17 15.14 15.55 -0.156 -0.212 -0.228 -0.201 0.002 0.006 0.007 0.006 S&P1000Index At The Money Implied Volatilities by Terms Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 7. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM4 Ref Dividend Yield Next Ex- Dividend Date ATM4 Vol - 30D ATM4 Vol - 60D ATM4 Vol - 90D ATM4 Vol - 6M ATM4 Vol - 12M ATM4 Vol - 18M ATM4 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M RRGB UW Equity RED ROBIN GOURMET BURGERS Consumer Discretionary 50.10 44.16 40.55 38.43 36.60 -0.277 -0.193 -0.138 -0.080 0.007 0.005 0.003 0.002 RBC UN Equity REGAL-BELOIT CORP Industrials 68.28 1.17% 02.10.2013 22.45 24.92 26.01 26.44 -0.075 -0.150 -0.172 -0.152 0.000 0.003 0.003 0.001 REG UN Equity REGENCY CENTERS CORP Financials 58.31 3.97% 12.08.2013 14.60 14.76 15.22 -0.133 -0.080 -0.092 0.001 0.001 0.001 RGS UN Equity REGIS CORP Consumer Discretionary 18.58 1.29% 03.09.2013 26.69 28.90 30.08 31.13 -0.063 -0.078 -0.101 -0.164 0.000 0.001 0.002 0.004 RGA UN Equity REINSURANCE GROUP OF AMERICA Financials 63.95 1.88% 09.08.2013 14.08 14.91 15.47 0.000 0.002 -0.016 0.000 0.000 0.000 RS UN Equity RELIANCE STEEL & ALUMINUM Materials 67.67 1.85% 14.08.2013 26.97 27.88 28.48 29.33 -0.182 -0.184 -0.180 -0.154 0.011 0.007 0.005 0.003 RCII UW Equity RENT-A-CENTER INC Consumer Discretionary 35.09 2.51% 01.10.2013 21.34 23.04 24.01 25.11 0.000 -0.057 -0.092 -0.141 0.000 0.001 0.001 0.003 RMD UN Equity RESMED INC Health Care 50.31 1.41% 23.08.2013 35.62 32.21 30.56 29.20 -0.173 -0.197 -0.175 -0.101 0.006 0.002 0.000 0.002 RECN UW Equity RESOURCES CONNECTION INC Industrials 11.24 2.49% 20.08.2013 29.86 29.84 29.82 28.05 -0.107 -0.107 -0.107 -0.026 0.000 0.000 0.000 0.004 RFMD UW Equity RF MICRO DEVICES INC Information Technology 5.71 42.08 43.27 43.62 42.97 -0.066 -0.142 -0.159 -0.094 0.001 0.005 0.006 0.003 RVBD UW Equity RIVERBED TECHNOLOGY INC Information Technology 15.66 35.39 41.78 44.84 47.09 45.58 47.02 -0.065 -0.065 -0.064 -0.052 -0.050 -0.063 0.012 0.006 0.003 0.002 0.000 0.000 RLI UN Equity RLI CORP Financials 74.71 1.82% 30.08.2013 28.88 24.00 20.76 15.57 0.000 -0.169 -0.287 -0.387 0.000 0.002 0.003 0.008 RKT UN Equity ROCK TENN COMPANY -CL A Materials 103.10 1.16% 09.08.2013 25.54 25.69 26.28 -0.336 -0.311 -0.274 0.009 0.008 0.006 RSTI UW Equity ROFIN-SINAR TECHNOLOGIES INC Information Technology 26.06 30.65 30.54 30.62 31.17 0.000 -0.173 -0.247 -0.238 0.000 0.005 0.007 0.005 ROG UN Equity ROGERS CORP Information Technology 45.23 28.34 28.94 29.19 29.11 -0.185 -0.239 -0.251 -0.184 0.004 0.006 0.006 0.004 ROL UN Equity ROLLINS INC Industrials 24.67 1.62% 09.08.2013 21.59 21.59 21.76 22.49 0.000 0.002 -0.006 -0.047 0.000 0.000 0.000 0.002 ROSE UW Equity ROSETTA RESOURCES INC Energy 46.72 32.07 32.01 32.88 34.41 35.47 37.24 -0.254 -0.237 -0.219 -0.176 -0.142 -0.133 0.007 0.005 0.003 0.003 0.003 0.002 ROVI UW Equity ROVI CORP Information Technology 24.30 31.74 30.41 31.23 -0.067 -0.132 -0.149 0.001 0.004 0.004 RGLD UW Equity ROYAL GOLD INC Materials 50.40 1.67% 03.07.2013 39.73 39.06 38.54 38.01 38.45 38.99 -0.167 -0.142 -0.125 -0.100 -0.060 -0.046 0.008 0.007 0.005 0.002 0.002 0.001 RPM UN Equity RPM INTERNATIONAL INC Materials 34.03 2.78% 10.07.2013 16.73 19.35 20.21 19.92 0.000 -0.076 -0.119 -0.177 0.000 0.001 0.002 0.004 RRD UW Equity RR DONNELLEY & SONS CO Industrials 12.60 8.25% 06.08.2013 28.53 32.93 34.47 34.23 29.09 29.93 -0.501 -0.420 -0.363 -0.223 -0.282 -0.251 0.018 0.010 0.006 0.003 0.005 0.003 RTI UN Equity RTI INTERNATIONAL METALS INC Materials 28.83 36.09 36.90 37.32 37.37 -0.360 -0.268 -0.221 -0.192 0.012 0.007 0.005 0.003 RBCN UW Equity RUBICON TECHNOLOGY INC Information Technology 7.12 49.53 52.27 53.73 55.16 -0.339 -0.222 -0.164 -0.143 0.008 0.004 0.002 0.001 RT UN Equity RUBY TUESDAY INC Consumer Discretionary 9.76 25.91 28.75 29.48 0.000 0.002 -0.016 0.000 0.000 0.001 RTEC UW Equity RUDOLPH TECHNOLOGIES INC Information Technology 11.15 38.87 41.31 41.58 38.68 0.000 -0.054 -0.091 -0.154 0.000 -0.001 0.000 0.003 RUE UW Equity RUE21 INC Consumer Discretionary 34.05 41.75 39.28 37.78 36.24 -0.197 -0.177 -0.161 -0.138 0.004 0.001 0.000 0.003 RUTH UW Equity RUTH'S HOSPITALITY GROUP INC Consumer Discretionary 11.85 27.15 30.73 32.42 33.78 0.000 -0.156 -0.192 -0.108 0.000 0.002 0.003 0.002 RYL UN Equity RYLAND GROUP INC/THE Consumer Discretionary 49.61 0.24% 15.10.2013 37.46 37.37 38.09 39.65 40.13 40.46 -0.278 -0.214 -0.186 -0.157 -0.121 -0.115 0.003 0.003 0.002 0.001 0.000 0.000 STBA UW Equity S & T BANCORP INC Financials 19.12 3.14% 09.08.2013 21.20 22.99 23.58 0.000 -0.075 -0.106 0.000 0.001 0.002 SBRA UW Equity SABRA HEALTH CARE REIT INC Financials 31.52 4.44% 14.08.2013 SAFT UW Equity SAFETY INSURANCE GROUP INC Financials 51.44 4.66% 04.09.2013 16.40 16.82 17.01 17.06 0.000 0.007 0.001 -0.036 0.000 0.000 0.000 0.001 SKS UN Equity SAKS INC Consumer Discretionary 12.00 34.75 33.93 33.42 32.96 34.46 35.07 -0.197 -0.259 -0.270 -0.195 -0.155 -0.145 0.001 0.003 0.004 0.003 0.001 0.001 SLXP UW Equity SALIX PHARMACEUTICALS LTD Health Care 59.62 31.84 30.01 30.05 -0.133 0.050 0.061 -0.002 0.001 0.002 SAFM UW Equity SANDERSON FARMS INC Consumer Staples 65.21 1.09% 09.08.2013 23.38 23.89 24.33 25.38 -0.045 -0.083 -0.106 -0.125 0.001 0.000 0.000 0.004 BFS UN Equity SAUL CENTERS INC Financials 45.26 3.18% 17.07.2013 SCSC UW Equity SCANSOURCE INC Information Technology 30.76 25.01 26.76 27.46 27.00 0.000 -0.045 -0.083 -0.144 0.000 -0.003 -0.001 0.010 SCHL UW Equity SCHOLASTIC CORP Consumer Discretionary 29.73 1.85% 30.08.2013 33.86 36.42 37.13 34.77 0.000 -0.183 -0.255 -0.210 0.000 0.000 0.000 0.001 SWM UN Equity SCHWEITZER-MAUDUIT INTL INC Materials 44.38 2.70% 30.08.2013 16.33 18.96 20.34 21.88 0.000 -0.222 -0.282 -0.199 0.000 0.005 0.007 0.004 SGMS UW Equity SCIENTIFIC GAMES CORP-A Consumer Discretionary 8.79 47.71 47.17 47.13 -0.089 -0.155 -0.150 0.000 0.000 0.000 SMG UN Equity SCOTTS MIRACLE-GRO CO-CL A Materials 48.51 2.83% 27.08.2013 19.30 20.29 20.95 21.93 -0.091 -0.155 -0.178 -0.172 0.001 0.004 0.004 0.003 CKH UN Equity SEACOR HOLDINGS INC Energy 76.57 23.19 20.79 20.13 -0.232 -0.360 -0.351 0.004 0.010 0.010 SEIC UW Equity SEI INVESTMENTS COMPANY Financials 29.75 1.13% 20.06.2013 17.95 20.11 21.40 23.30 0.000 -0.038 -0.075 -0.195 0.000 0.003 0.004 0.002 SCSS UW Equity SELECT COMFORT CORPORATION Consumer Discretionary 22.55 37.40 45.15 46.06 45.76 -0.254 -0.175 -0.151 -0.136 0.008 0.007 0.004 0.001 SIGI UW Equity SELECTIVE INSURANCE GROUP Financials 24.46 1.59% 15.08.2013 31.22 25.79 22.63 20.83 0.000 -0.002 -0.012 -0.046 0.000 0.000 0.000 0.001 SMTC UW Equity SEMTECH CORP Information Technology 35.53 29.97 28.97 28.50 28.61 -0.405 -0.337 -0.291 -0.230 0.009 0.007 0.006 0.005 SENEA UW Equity SENECA FOODS CORP - CL A Consumer Staples 34.43 SNH UN Equity SENIOR HOUSING PROP TRUST Financials 29.26 5.43% 26.07.2013 11.42 14.12 15.17 15.11 0.000 -0.174 -0.227 -0.193 0.000 0.004 0.005 0.004 SXT UN Equity SENSIENT TECHNOLOGIES CORP Materials 40.00 2.32% 08.08.2013 41.91 41.91 35.49 0.000 0.000 -0.143 0.000 0.000 0.009 SCI UN Equity SERVICE CORP INTERNATIONAL Consumer Discretionary 17.10 1.64% 16.10.2013 20.22 23.33 25.89 27.58 0.702 0.720 0.729 0.462 0.004 -0.001 -0.005 -0.013 SHFL UW Equity SHFL ENTERTAINMENT INC Consumer Discretionary 16.69 36.12 34.92 34.69 36.25 -0.288 -0.273 -0.257 -0.211 0.006 0.005 0.004 0.003 SIGM UW Equity SIGMA DESIGNS INC Information Technology 4.70 46.73 43.66 42.40 0.000 0.000 0.000 0.000 0.000 0.000 SBNY UW Equity SIGNATURE BANK Financials 77.02 21.00 20.50 20.47 21.39 -0.010 -0.032 -0.064 -0.155 0.000 0.002 0.003 0.005 SIG UN Equity SIGNET JEWELERS LTD Consumer Discretionary 70.00 0.90% 24.07.2013 25.17 24.28 24.33 -0.244 -0.303 -0.285 0.006 0.009 0.008 SLGN UW Equity SILGAN HOLDINGS INC Materials 48.47 1.18% 04.09.2013 17.42 17.39 17.67 18.85 -0.195 -0.194 -0.184 -0.149 0.002 0.006 0.006 0.001 SLAB UW Equity SILICON LABORATORIES INC Information Technology 41.04 24.37 24.42 25.22 -0.060 -0.147 -0.178 -0.001 0.004 0.005 SFNC UW Equity SIMMONS FIRST NATL CORP-CL A Financials 25.13 3.33% 14.06.2013 SSD UN Equity SIMPSON MANUFACTURING CO INC Industrials 29.26 1.79% 01.10.2013 25.46 26.78 27.36 27.33 0.000 -0.068 -0.097 -0.146 0.000 0.005 0.006 0.002 SKX UN Equity SKECHERS USA INC-CL A Consumer Discretionary 21.70 42.61 40.53 40.17 41.07 41.56 41.82 -0.222 -0.179 -0.164 -0.158 -0.132 -0.123 0.007 0.005 0.003 0.002 0.001 0.001 SKYW UW Equity SKYWEST INC Industrials 14.79 1.08% 28.06.2013 37.07 36.74 36.93 -0.295 -0.218 -0.201 0.006 0.004 0.003 SWKS UW Equity SKYWORKS SOLUTIONS INC Information Technology 23.67 35.34 39.63 41.50 42.12 42.29 43.02 -0.197 -0.213 -0.211 -0.173 -0.131 -0.112 0.008 0.004 0.002 0.001 0.000 0.000 SLG UN Equity SL GREEN REALTY CORP Financials 90.91 1.61% 28.06.2013 15.46 16.19 16.61 17.27 -0.190 -0.278 -0.294 -0.247 0.002 0.007 0.008 0.006 SM UN Equity SM ENERGY CO Energy 60.11 0.25% 24.10.2013 34.63 36.24 37.16 38.25 38.27 39.01 -0.146 -0.163 -0.160 -0.114 -0.111 -0.090 0.005 0.004 0.003 0.002 0.001 0.001 SFD UN Equity SMITHFIELD FOODS INC Consumer Staples 26.55 32.54 30.02 28.84 28.40 29.14 29.84 -0.308 -0.277 -0.253 -0.216 -0.170 -0.147 0.013 0.009 0.007 0.004 0.002 0.001 LNCE UW Equity SNYDERS-LANCE INC Consumer Staples 26.51 2.41% 15.08.2013 26.12 25.70 25.50 25.58 0.000 -0.083 -0.123 -0.128 0.000 0.001 0.001 0.003 SWI UN Equity SOLARWINDS INC Information Technology 46.11 29.91 33.27 34.96 36.10 37.37 38.07 -0.071 -0.133 -0.160 -0.154 -0.171 -0.140 0.009 0.006 0.004 0.002 0.002 0.001 SLH UN Equity SOLERA HOLDINGS INC Information Technology 56.45 0.97% 06.09.2013 19.07 20.18 20.84 21.64 -0.101 -0.171 -0.193 -0.163 0.000 0.002 0.003 0.003 SAH UN Equity SONIC AUTOMOTIVE INC-CLASS A Consumer Discretionary 23.96 0.42% 10.09.2013 30.58 30.20 30.35 31.52 -0.363 -0.169 -0.125 -0.241 0.007 0.012 0.011 0.004 SONC UW Equity SONIC CORP Consumer Discretionary 13.48 29.79 28.83 28.41 28.53 0.000 -0.113 -0.164 -0.157 0.000 0.003 0.004 0.003 SON UN Equity SONOCO PRODUCTS CO Materials 35.61 3.51% 14.08.2013 16.44 17.47 17.75 0.000 0.010 -0.074 0.000 0.000 0.002 BID UN Equity SOTHEBY'S Consumer Discretionary 36.00 0.83% 04.09.2013 35.09 34.54 35.21 37.40 38.88 39.23 -0.196 -0.206 -0.207 -0.186 -0.133 -0.102 0.008 0.007 0.005 0.002 0.001 0.001 FIRE UW Equity SOURCEFIRE INC Information Technology 55.22 41.56 43.55 44.80 46.48 48.28 47.45 -0.181 -0.181 -0.176 -0.154 -0.122 -0.105 0.006 0.003 0.002 0.001 0.001 0.001 SJI UN Equity SOUTH JERSEY INDUSTRIES Utilities 59.73 3.11% 10.09.2013 18.58 18.58 18.58 0.000 0.000 0.000 0.000 0.000 0.000 SWX UN Equity SOUTHWEST GAS CORP Utilities 50.40 1.96% 14.11.2013 41.81 34.62 28.46 0.000 0.000 0.000 0.000 0.000 0.000 SSS UN Equity SOVRAN SELF STORAGE INC Financials 68.94 2.90% 12.07.2013 14.99 15.14 15.59 17.19 0.000 -0.071 -0.107 -0.141 0.000 0.003 0.003 0.002 SPAR UW Equity SPARTAN MOTORS INC Consumer Discretionary 5.67 2.65% 05.11.2013 36.93 44.30 47.23 46.51 0.000 -0.006 -0.006 0.009 0.000 0.000 0.000 0.000 SPTN UW Equity SPARTAN STORES INC Consumer Staples 17.50 2.28% 31.05.2013 26.50 25.84 25.56 0.000 -0.162 -0.205 0.000 0.005 0.006 SPPI UW Equity SPECTRUM PHARMACEUTICALS INC Health Care 8.09 47.87 51.15 52.60 52.91 55.31 56.17 -0.155 -0.106 -0.083 -0.094 -0.012 -0.030 0.004 0.005 0.005 0.002 0.000 0.000 SPW UN Equity SPX CORP Industrials 77.75 1.29% 14.06.2013 22.24 23.83 24.87 26.43 -0.253 -0.178 -0.148 -0.157 0.008 0.009 0.008 0.006 SSI UN Equity STAGE STORES INC Consumer Discretionary 27.37 1.83% 07.06.2013 38.72 35.06 33.74 0.000 -0.173 -0.225 0.000 0.007 0.011 STMP UW Equity STAMPS.COM INC Information Technology 36.79 32.17 35.15 36.63 37.59 -0.264 -0.226 -0.196 -0.132 0.007 0.005 0.004 0.002 SFG UN Equity STANCORP FINANCIAL GROUP Financials 44.84 2.18% 20.11.2013 13.14 14.44 15.31 0.000 0.005 -0.040 0.000 0.000 0.001 SMP UN Equity STANDARD MOTOR PRODS Consumer Discretionary 32.66 1.07% 16.08.2013 26.89 29.55 30.90 32.05 -0.136 -0.201 -0.208 -0.151 0.000 0.004 0.004 0.002 SPF UN Equity STANDARD PACIFIC CORP Consumer Discretionary 9.52 41.02 44.02 45.57 46.68 45.59 48.02 -0.299 -0.257 -0.223 -0.132 -0.059 -0.065 0.007 0.006 0.004 0.002 0.002 0.001 SXI UN Equity STANDEX INTERNATIONAL CORP Industrials 51.27 0.74% 08.08.2013 28.32 28.39 28.40 28.34 -0.308 -0.283 -0.248 -0.150 0.007 0.006 0.004 0.000 STLD UW Equity STEEL DYNAMICS INC Materials 15.08 2.92% 28.06.2013 28.49 30.11 31.08 32.39 33.15 33.93 -0.207 -0.200 -0.183 -0.132 -0.160 -0.137 0.007 0.006 0.005 0.002 0.001 0.001 SMRT UW Equity STEIN MART INC Consumer Discretionary 11.00 44.70 41.55 39.67 38.61 0.000 -0.158 -0.233 -0.174 0.000 -0.001 -0.001 0.002 SCL UN Equity STEPAN CO Materials 53.47 1.23% 28.08.2013 STE UN Equity STERIS CORP Health Care 45.81 1.86% 23.08.2013 19.42 20.45 20.84 20.65 0.000 -0.165 -0.224 -0.189 0.000 0.001 0.003 0.009 STL UN Equity STERLING BANCORP-N Y Financials 11.57 2.33% 13.09.2013 SHOO UW Equity STEVEN MADDEN LTD Consumer Discretionary 49.63 26.42 27.65 28.44 29.58 -0.326 -0.295 -0.272 -0.235 0.011 0.006 0.004 0.002 STC UN Equity STEWART INFORMATION SERVICES Financials 29.41 0.68% 13.12.2013 43.66 41.05 38.91 35.53 -1.246 -1.018 -0.759 -0.110 0.023 0.032 0.032 0.016 SF UN Equity STIFEL FINANCIAL CORP Financials 34.29 24.72 24.59 25.50 -0.252 -0.178 -0.177 0.004 0.006 0.006 SWC UN Equity STILLWATER MINING CO Materials 11.87 42.91 43.14 43.34 44.15 45.57 45.69 -0.251 -0.205 -0.166 -0.139 -0.163 -0.139 0.009 0.006 0.004 0.002 0.001 0.001 SGY UN Equity STONE ENERGY CORP Energy 22.45 37.66 38.97 39.67 40.15 -0.179 -0.200 -0.202 -0.166 0.002 0.003 0.003 0.002 STRI UN Equity STR HOLDINGS INC Information Technology 2.74 93.89 84.02 78.69 76.36 0.000 -0.011 -0.010 0.022 0.000 0.000 0.000 0.000 STRA UW Equity STRAYER EDUCATION INC Consumer Discretionary 50.84 1.97% 29.08.2013 43.12 42.11 43.02 -0.346 -0.342 -0.316 0.008 0.009 0.007 RGR UN Equity STURM RUGER & CO INC Consumer Discretionary 52.61 2.49% 14.08.2013 31.12 32.60 33.78 37.29 37.27 37.77 -0.218 -0.158 -0.159 -0.127 -0.092 -0.086 0.007 0.006 0.004 0.001 0.001 0.000 SXC UN Equity SUNCOKE ENERGY INC Materials 15.40 30.92 31.53 32.01 32.99 0.000 -0.168 -0.238 -0.242 0.000 0.004 0.005 0.005 SMCI UW Equity SUPER MICRO COMPUTER INC Information Technology 10.12 51.29 49.68 49.23 0.000 0.002 -0.016 0.000 0.000 0.000 SPN UN Equity SUPERIOR ENERGY SERVICES INC Energy 28.15 31.68 32.58 33.17 34.01 -0.092 -0.111 -0.119 -0.117 0.001 0.002 0.002 0.002 SUP UN Equity SUPERIOR INDUSTRIES INTL Consumer Discretionary 18.21 1.76% 08.01.2014 27.91 27.13 26.99 0.000 -0.182 -0.220 0.000 0.004 0.005 SUPX UW Equity SUPERTEX INC Information Technology 20.90 30.79 32.90 34.06 35.02 0.028 -0.157 -0.229 -0.198 0.001 0.001 0.001 0.001 SVU UN Equity SUPERVALU INC Consumer Staples 6.95 30.08.2013 39.15 41.35 42.66 43.29 42.93 44.00 -0.019 -0.085 -0.109 -0.155 -0.192 -0.151 0.016 0.011 0.007 0.002 0.003 0.002 SRDX UW Equity SURMODICS INC Health Care 26.51 28.15 29.30 30.03 31.14 0.000 -0.190 -0.246 -0.162 0.000 0.003 0.004 0.002 SUSQ UW Equity SUSQUEHANNA BANCSHARES INC Financials 12.11 2.64% 02.08.2013 23.44 23.11 23.36 24.95 0.000 0.015 0.003 -0.088 0.000 0.000 0.000 0.002 SIVB UW Equity SVB FINANCIAL GROUP Financials 73.29 16.97 20.04 21.19 21.14 -0.325 -0.293 -0.259 -0.191 0.009 0.009 0.008 0.004 SFY UN Equity SWIFT ENERGY CO Energy 13.30 44.47 45.48 45.64 44.62 -0.075 -0.103 -0.109 -0.091 -0.001 0.002 0.003 0.002 SWS UN Equity SWS GROUP INC Financials 5.69 81.92 81.92 81.92 66.04 0.000 0.000 0.000 -0.071 0.000 0.000 0.000 -0.003 SYKE UW Equity SYKES ENTERPRISES INC Information Technology 15.68 36.04 33.94 33.04 0.000 -0.080 -0.130 0.000 -0.001 0.000 SYMM UW Equity SYMMETRICOM INC Information Technology 5.27 SMA UN Equity SYMMETRY MEDICAL INC Health Care 10.44 29.18 30.59 31.51 0.000 0.001 -0.006 0.000 0.000 0.000 SYNA UW Equity SYNAPTICS INC Information Technology 44.10 33.86 35.62 36.65 38.14 37.10 38.00 -0.079 -0.100 -0.108 -0.105 -0.114 -0.093 0.009 0.005 0.003 0.002 0.001 0.001 SNCR UW Equity SYNCHRONOSS TECHNOLOGIES INC Information Technology 30.72 33.24 34.53 36.06 39.97 -0.249 -0.192 -0.171 -0.189 0.013 0.009 0.006 0.004 SNX UN Equity SYNNEX CORP Information Technology 36.24 18.94 19.62 20.27 21.75 0.000 -0.151 -0.208 -0.196 0.000 0.003 0.004 0.005 SNPS UW Equity SYNOPSYS INC Information Technology 35.45 22.66 21.92 21.34 20.12 0.000 -0.106 -0.161 -0.186 0.000 0.000 0.001 0.004 SNV UN Equity SYNOVUS FINANCIAL CORP Financials 2.80 1.43% 11.06.2013 35.59 35.59 35.59 34.88 35.46 41.69 0.021 0.021 0.021 0.069 -0.072 -0.050 0.000 0.000 0.000 -0.002 0.008 0.003 TTWO UW Equity TAKE-TWO INTERACTIVE SOFTWRE Information Technology 16.33 33.27 36.07 37.49 38.33 39.07 39.44 0.009 -0.036 -0.060 -0.087 -0.044 -0.078 0.002 0.002 0.002 0.001 0.001 0.001 SKT UN Equity TANGER FACTORY OUTLET CENTER Financials 38.15 2.40% 30.07.2013 15.50 15.47 15.44 16.58 -0.237 -0.235 -0.231 -0.181 0.008 0.008 0.008 0.005 TCO UN Equity TAUBMAN CENTERS INC Financials 87.44 2.33% 18.06.2013 12.40 13.64 14.54 16.11 -0.220 -0.239 -0.240 -0.212 0.004 0.006 0.006 0.004 TAYC UW Equity TAYLOR CAPITAL GROUP INC Financials 16.22 33.75 30.61 28.55 25.95 0.000 -0.105 -0.161 -0.157 0.000 0.000 0.000 0.003 TCB UN Equity TCF FINANCIAL CORP Financials 14.64 1.37% 14.08.2013 21.49 22.60 23.45 -0.091 -0.166 -0.182 0.001 0.003 0.004 TECD UW Equity TECH DATA CORP Information Technology 48.35 25.52 25.24 25.16 25.45 -0.257 -0.266 -0.261 -0.214 0.014 0.010 0.007 0.003 TECH UW Equity TECHNE CORP Health Care 68.25 1.85% 14.08.2013 23.29 23.29 23.29 0.000 0.000 0.000 0.000 0.000 0.000 TDY UN Equity TELEDYNE TECHNOLOGIES INC Industrials 77.41 28.03 27.27 26.90 26.83 -0.216 -0.234 -0.235 -0.193 0.005 0.007 0.008 0.004 S&P1000Index At The Money Implied Volatilities by Terms Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx 2 + ct Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
- 8. 15.05.2013 Ticker Name GICS_SECTOR_NAME ATM4 Ref Dividend Yield Next Ex- Dividend Date ATM4 Vol - 30D ATM4 Vol - 60D ATM4 Vol - 90D ATM4 Vol - 6M ATM4 Vol - 12M ATM4 Vol - 18M ATM4 Vol - 24M Skew (a) - 30D Skew (a) - 60D Skew (a) - 90D Skew (a) - 6M Skew (a) - 12M Skew (a) - 18M Skew (a) - 24M Skew (b) - 30D Skew (b) - 60D Skew (b) - 90D Skew (b) - 6M Skew (b) - 12M Skew (b) - 18M Skew (b) - 24M TFX UN Equity TELEFLEX INC Health Care 80.40 1.27% 15.08.2013 24.52 19.10 16.57 0.000 -0.524 -0.583 0.000 0.009 0.012 TDS UN Equity TELEPHONE AND DATA SYSTEMS Telecommunication Services 22.65 2.28% 14.06.2013 24.51 25.70 26.24 26.33 0.000 -0.064 -0.105 -0.169 0.000 0.001 0.002 0.004 TTEC UW Equity TELETECH HOLDINGS INC Information Technology 22.73 20.62 20.69 21.76 0.000 -0.091 -0.145 0.000 0.002 0.003 TLAB UW Equity TELLABS INC Information Technology 2.09 4.80% 22.05.2013 33.49 35.47 36.35 36.35 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 TPX UN Equity TEMPUR-PEDIC INTERNATIONAL Consumer Discretionary 47.84 37.22 38.81 39.97 41.94 45.14 44.46 -0.286 -0.239 -0.208 -0.163 -0.141 -0.110 0.009 0.006 0.004 0.001 0.001 0.001 TNC UN Equity TENNANT CO Industrials 50.66 1.54% 30.08.2013 24.71 25.31 26.32 -0.177 -0.286 -0.284 0.003 0.008 0.008 TEX UN Equity TEREX CORP Industrials 31.47 39.96 41.37 42.25 43.54 45.10 45.94 -0.299 -0.261 -0.226 -0.181 -0.154 -0.130 0.006 0.004 0.003 0.002 0.001 0.001 TSRA UW Equity TESSERA TECHNOLOGIES INC Information Technology 20.78 1.93% 26.08.2013 29.23 29.33 29.53 30.11 -0.127 -0.170 -0.179 -0.136 -0.001 0.002 0.003 0.002 TTEK UW Equity TETRA TECH INC Industrials 27.89 25.19 24.70 24.61 25.21 -0.232 -0.220 -0.201 -0.132 0.001 0.004 0.005 0.004 TTI UN Equity TETRA TECHNOLOGIES INC Energy 9.34 44.56 44.20 44.14 44.57 -0.370 -0.249 -0.183 -0.138 0.007 0.004 0.002 0.002 TCBI UW Equity TEXAS CAPITAL BANCSHARES INC Financials 44.79 21.58 22.04 22.62 24.31 -0.141 -0.164 -0.168 -0.141 0.003 0.004 0.004 0.002 TXI UN Equity TEXAS INDUSTRIES INC Materials 70.99 07.08.2013 34.37 39.13 40.14 -0.448 -0.396 -0.331 0.009 0.005 0.003 TXRH UW Equity TEXAS ROADHOUSE INC Consumer Discretionary 24.28 2.02% 10.06.2013 23.80 24.16 24.55 25.64 -0.047 -0.089 -0.112 -0.138 0.000 0.002 0.003 0.003 THO UN Equity THOR INDUSTRIES INC Consumer Discretionary 41.24 2.04% 20.06.2013 33.18 33.14 33.14 33.80 -0.299 -0.294 -0.276 -0.208 0.006 0.005 0.004 0.002 THOR UW Equity THORATEC CORP Health Care 33.67 24.83 24.91 26.81 0.014 -0.018 -0.047 0.004 0.006 0.005 TIBX UW Equity TIBCO SOFTWARE INC Information Technology 20.85 38.41 41.66 42.90 42.24 42.33 42.64 -0.032 -0.055 -0.075 -0.105 -0.126 -0.109 0.019 0.009 0.004 0.002 0.001 0.001 TDW UN Equity TIDEWATER INC Energy 56.54 2.12% 29.05.2013 28.19 25.80 25.11 -0.166 -0.234 -0.250 0.004 0.005 0.005 TKR UN Equity TIMKEN CO Industrials 56.97 1.69% 21.08.2013 29.98 31.23 31.70 31.37 -0.091 -0.137 -0.154 -0.140 0.005 0.004 0.004 0.002 TWI UN Equity TITAN INTERNATIONAL INC Industrials 23.81 0.08% 28.06.2013 29.72 29.73 30.58 -0.073 -0.210 -0.229 0.001 0.007 0.007 TOL UN Equity TOLL BROTHERS INC Consumer Discretionary 36.90 33.09 32.54 32.41 33.14 32.86 33.20 -0.337 -0.261 -0.213 -0.164 -0.108 -0.100 0.008 0.005 0.003 0.001 0.001 0.001 TMP UA Equity TOMPKINS FINANCIAL CORP Financials 41.69 3.79% 07.08.2013 TR UN Equity TOOTSIE ROLL INDS Consumer Staples 31.40 1.02% 21.06.2013 21.60 21.60 21.60 0.000 0.000 0.000 0.000 0.000 0.000 TTC UN Equity TORO CO Industrials 47.78 1.28% 06.06.2013 23.11 22.72 22.58 22.75 -0.196 -0.203 -0.204 -0.200 0.001 0.004 0.005 0.004 TWGP UW Equity TOWER GROUP INTERNATIONAL LT Financials 19.34 3.41% 12.09.2013 24.02 23.99 26.59 -0.267 -0.267 -0.355 0.004 0.004 0.006 TW UN Equity TOWERS WATSON & CO-CL A Industrials 77.81 0.32% 18.12.2013 16.22 15.91 16.27 -0.176 -0.187 -0.196 0.001 0.004 0.005 TSCO UW Equity TRACTOR SUPPLY COMPANY Consumer Discretionary 114.74 0.91% 22.08.2013 22.45 22.90 23.92 25.88 26.75 27.24 -0.217 -0.228 -0.210 -0.161 -0.132 -0.114 0.006 0.004 0.003 0.002 0.002 0.002 TG UN Equity TREDEGAR CORP Materials 25.24 1.13% 12.06.2013 44.29 45.25 45.37 43.68 -0.193 -0.147 -0.127 -0.135 0.006 0.005 0.005 0.003 THS UN Equity TREEHOUSE FOODS INC Consumer Staples 66.13 20.55 22.72 23.77 24.45 -0.125 -0.181 -0.191 -0.154 0.001 0.006 0.007 0.004 TRMB UW Equity TRIMBLE NAVIGATION LTD Information Technology 28.84 24.34 25.71 26.63 28.00 -0.181 -0.269 -0.284 -0.192 0.005 0.006 0.006 0.003 TRN UN Equity TRINITY INDUSTRIES INC Industrials 41.49 1.25% 17.10.2013 27.87 28.38 29.07 -0.283 -0.243 -0.208 0.007 0.007 0.006 TQNT UW Equity TRIQUINT SEMICONDUCTOR INC Information Technology 6.20 35.61 38.93 40.30 40.58 40.62 41.75 0.000 -0.142 -0.165 -0.070 -0.082 -0.090 0.000 0.007 0.008 0.001 0.001 0.001 TGI UN Equity TRIUMPH GROUP INC Industrials 74.09 0.22% 30.08.2013 23.57 24.11 24.39 24.55 -0.150 -0.186 -0.200 -0.184 0.008 0.006 0.005 0.003 TRLG UW Equity TRUE RELIGION APPAREL INC Consumer Discretionary 31.64 5.07 5.12 4.90 -0.466 -0.467 -0.480 0.011 0.010 0.012 TBI UN Equity TRUEBLUE INC Industrials 22.23 28.42 29.60 30.28 31.20 -0.128 -0.211 -0.221 -0.143 0.003 0.006 0.007 0.004 TRST UW Equity TRUSTCO BANK CORP NY Financials 5.58 4.70% 29.05.2013 31.45 31.45 31.45 0.000 0.000 0.000 0.000 0.000 0.000 TRMK UW Equity TRUSTMARK CORP Financials 25.75 3.57% 30.08.2013 19.78 19.18 19.82 24.19 0.000 -0.045 -0.076 -0.112 0.000 0.001 0.002 0.003 TTMI UW Equity TTM TECHNOLOGIES Information Technology 8.07 36.00 35.71 35.78 36.67 0.000 -0.025 -0.041 -0.065 0.000 0.000 -0.001 -0.001 TUES UW Equity TUESDAY MORNING CORP Consumer Discretionary 8.36 47.00 46.97 46.93 46.12 -0.094 -0.095 -0.096 -0.088 -0.001 -0.001 -0.001 0.001 TUP UN Equity TUPPERWARE BRANDS CORP Consumer Discretionary 81.95 3.15% 20.06.2013 20.99 21.62 22.55 -0.271 -0.275 -0.250 0.007 0.008 0.007 TWTC UW Equity TW TELECOM INC Telecommunication Services 29.50 32.30 29.68 28.50 -0.146 -0.146 -0.147 0.003 0.003 0.003 TYL UN Equity TYLER TECHNOLOGIES INC Information Technology 66.46 21.40 23.50 24.50 24.91 0.016 -0.021 -0.043 -0.077 0.000 0.000 0.001 0.001 UDR UN Equity UDR INC Financials 26.16 3.63% 12.07.2013 14.06 14.06 14.45 -0.522 -0.505 -0.325 0.020 0.019 0.013 UGI UN Equity UGI CORP Utilities 40.64 2.78% 13.09.2013 14.35 15.33 15.89 0.000 0.007 -0.056 0.000 0.000 0.001 UIL UN Equity UIL HOLDINGS CORP Utilities 41.27 4.19% 19.09.2013 19.61 19.61 19.61 19.61 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 UTEK UW Equity ULTRATECH INC Information Technology 31.26 33.87 36.85 38.07 38.05 -0.266 -0.224 -0.202 -0.180 0.006 0.004 0.003 0.002 UMBF UW Equity UMB FINANCIAL CORP Financials 52.05 1.69% 11.09.2013 22.47 21.30 20.95 21.82 0.040 -0.011 -0.047 -0.099 0.000 0.001 0.001 0.002 UMPQ UW Equity UMPQUA HOLDINGS CORP Financials 13.11 3.13% 28.06.2013 24.58 25.23 25.63 26.16 0.000 -0.035 -0.060 -0.089 0.000 -0.002 -0.003 0.001 UA UN Equity UNDER ARMOUR INC-CLASS A Consumer Discretionary 61.11 27.39 27.09 28.22 31.11 32.70 33.42 -0.250 -0.227 -0.207 -0.170 -0.137 -0.124 0.004 0.004 0.003 0.001 0.001 0.001 UNF UN Equity UNIFIRST CORP/MA Industrials 94.66 0.16% 11.09.2013 UNT UN Equity UNIT CORP Energy 44.28 28.02 29.20 29.92 30.92 -0.235 -0.221 -0.208 -0.175 0.002 0.003 0.003 0.002 UBSI UW Equity UNITED BANKSHARES INC Financials 26.59 4.74% 05.06.2013 85.00 69.54 58.60 44.22 0.000 -0.393 -0.537 -0.338 0.000 0.014 0.018 0.011 UCBI UW Equity UNITED COMMUNITY BANKS/GA Financials 11.42 1.75% 12.06.2013 29.94 29.91 29.89 30.28 -0.086 -0.087 -0.087 -0.056 0.000 0.000 0.000 0.000 UFCS UW Equity UNITED FIRE GROUP INC Financials 28.50 2.09% 31.05.2013 36.73 35.34 34.88 35.49 -0.164 -0.181 -0.178 -0.133 0.002 0.005 0.006 0.002 UNFI UW Equity UNITED NATURAL FOODS INC Consumer Staples 54.10 26.51 25.73 25.38 25.42 -0.085 -0.144 -0.170 -0.170 0.001 0.002 0.003 0.003 UNTD UW Equity UNITED ONLINE INC Information Technology 6.27 6.38% 12.08.2013 37.58 37.56 37.54 37.12 -0.057 -0.057 -0.057 -0.040 0.000 0.000 0.000 0.000 URI UN Equity UNITED RENTALS INC Industrials 59.27 35.22 37.33 38.42 39.16 39.20 39.26 -0.391 -0.307 -0.258 -0.203 -0.122 -0.122 0.009 0.005 0.003 0.002 0.001 0.001 USTR UW Equity UNITED STATIONERS INC Industrials 34.00 1.71% 14.06.2013 UTHR UW Equity UNITED THERAPEUTICS CORP Health Care 68.09 26.10 27.75 28.78 30.21 -0.127 -0.177 -0.185 -0.132 0.002 0.003 0.003 0.001 UVV UN Equity UNIVERSAL CORP/VA Consumer Staples 61.26 3.29% 11.07.2013 19.93 19.68 19.58 20.30 -0.139 -0.216 -0.244 -0.192 0.003 0.004 0.005 0.004 UEIC UW Equity UNIVERSAL ELECTRONICS INC Consumer Discretionary 26.57 UFPI UW Equity UNIVERSAL FOREST PRODUCTS Industrials 38.90 1.03% 29.11.2013 31.39 33.59 34.81 -0.146 -0.287 -0.297 0.002 0.009 0.009 UHT UN Equity UNIVERSAL HEALTH RLTY INCOME Financials 54.05 4.66% 14.06.2013 UHS UN Equity UNIVERSAL HEALTH SERVICES-B Health Care 68.84 0.29% 29.05.2013 25.38 24.76 25.09 -0.298 -0.280 -0.240 0.004 0.008 0.007 UTI UN Equity UNIVERSAL TECHNICAL INSTITUT Consumer Discretionary 12.00 3.33% 12.06.2013 30.87 32.10 32.80 0.000 -0.219 -0.257 0.000 0.004 0.005 UNS UN Equity UNS ENERGY CORP Utilities 50.38 3.54% 05.09.2013 24.29 26.19 26.25 19.96 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 URS UN Equity URS CORP Industrials 46.35 1.83% 13.09.2013 23.31 22.24 22.34 -0.239 -0.352 -0.358 0.007 0.011 0.010 UBA UN Equity URSTADT BIDDLE - CLASS A Financials 22.84 4.40% 26.06.2013 23.66 23.66 23.66 23.30 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 USMO UW Equity USA MOBILITY INC Telecommunication Services 13.56 4.61% 14.08.2013 33.28 31.44 30.61 0.000 -0.140 -0.217 0.000 0.000 0.002 UTIW UW Equity UTI WORLDWIDE INC Industrials 15.97 0.44% 25.06.2013 32.83 30.30 28.99 29.01 0.000 -0.046 -0.082 -0.128 0.000 -0.001 -0.001 0.001 VCI UN Equity VALASSIS COMMUNICATIONS INC Consumer Discretionary 25.99 4.92% 25.06.2013 28.82 30.69 31.99 34.08 -0.141 -0.101 -0.088 -0.116 0.004 0.005 0.005 0.003 VLY UN Equity VALLEY NATIONAL BANCORP Financials 9.18 3.92% 12.06.2013 21.02 20.98 20.92 21.01 0.000 -0.082 -0.119 -0.119 0.000 0.001 0.002 0.004 VMI UN Equity VALMONT INDUSTRIES Industrials 155.16 0.64% 25.09.2013 24.27 25.51 26.16 27.04 -0.153 -0.173 -0.178 -0.174 0.004 0.006 0.007 0.006 VAL UN Equity VALSPAR CORP Materials 71.73 1.42% 28.06.2013 19.90 19.79 20.36 -0.196 -0.327 -0.327 0.003 0.009 0.009 VCLK UW Equity VALUECLICK INC Information Technology 27.19 31.18 34.52 36.06 36.68 -0.242 -0.196 -0.171 -0.142 0.008 0.005 0.003 0.002 VDSI UR Equity VASCO DATA SECURITY INTL Information Technology 8.46 46.57 47.16 47.48 47.80 0.000 -0.020 -0.054 -0.167 0.000 -0.002 -0.002 0.002 WOOF UW Equity VCA ANTECH INC Health Care 24.96 36.16 32.97 31.19 30.05 0.002 -0.062 -0.097 -0.114 0.000 0.003 0.004 0.003 VVC UN Equity VECTREN CORPORATION Utilities 36.16 3.97% 14.08.2013 15.44 15.29 15.22 14.94 0.000 -0.113 -0.158 -0.157 0.000 0.004 0.005 0.005 VECO UW Equity VEECO INSTRUMENTS INC Information Technology 37.30 44.33 45.29 45.96 46.23 44.75 43.67 -0.258 -0.244 -0.207 -0.154 -0.152 -0.124 0.009 0.005 0.003 0.001 0.001 0.001 PAY UN Equity VERIFONE SYSTEMS INC Information Technology 23.27 49.89 46.08 44.38 43.66 43.02 42.18 -0.099 -0.084 -0.071 -0.066 -0.074 -0.056 0.007 0.004 0.002 0.002 0.001 0.000 VRTX UW Equity VERTEX PHARMACEUTICALS INC Health Care 79.36 44.11 42.92 43.11 45.22 47.48 47.93 -0.052 -0.080 -0.090 -0.108 -0.124 -0.089 0.005 0.004 0.002 0.001 0.001 0.001 VVI UN Equity VIAD CORP Industrials 25.81 1.55% 05.06.2013 33.30 32.66 32.35 32.23 0.000 0.011 0.003 -0.070 0.000 0.003 0.004 0.002 VSAT UW Equity VIASAT INC Information Technology 59.64 42.41 38.25 36.09 35.07 -0.288 -0.323 -0.327 -0.218 0.010 0.008 0.007 0.004 VICR UW Equity VICOR CORP Industrials 5.50 2.73% 05.08.2013 38.62 39.59 39.23 0.000 0.000 0.000 0.000 0.000 0.000 VPFG UW Equity VIEWPOINT FINANCIAL GROUP IN Financials 19.50 2.21% 30.07.2013 31.71 26.64 23.87 0.000 0.003 -0.034 0.000 0.000 0.000 VPHM UW Equity VIROPHARMA INC Health Care 26.34 31.29 33.72 34.56 33.97 33.94 35.56 -0.168 -0.141 -0.140 -0.193 -0.117 -0.119 0.006 0.004 0.003 0.001 0.002 0.001 VRTS UW Equity VIRTUS INVESTMENT PARTNERS Financials 236.75 VRTU UW Equity VIRTUSA CORP Information Technology 25.19 37.77 38.28 38.46 38.06 -0.012 -0.072 -0.118 -0.195 0.000 0.001 0.002 0.003 VSH UN Equity VISHAY INTERTECHNOLOGY INC Information Technology 14.99 31.85 30.20 30.57 -0.279 -0.201 -0.184 0.006 0.004 0.003 VSI UN Equity VITAMIN SHOPPE INC Consumer Discretionary 45.19 36.74 37.99 38.63 39.13 -0.155 -0.127 -0.117 -0.131 0.004 0.002 0.001 0.000 VLTR UW Equity VOLTERRA SEMICONDUCTOR CORP Information Technology 13.28 33.82 35.17 36.17 38.03 0.000 -0.105 -0.143 -0.122 0.000 0.003 0.004 0.002 VOXX UW Equity VOXX INTERNATIONAL CORP Consumer Discretionary 10.66 48.01 43.84 41.80 40.91 0.160 -0.145 -0.258 -0.152 0.003 0.009 0.009 0.003 WAB UN Equity WABTEC CORP Industrials 111.29 0.11% 15.11.2013 17.42 17.15 16.98 -0.339 -0.337 -0.243 0.006 0.007 0.005 WDR UN Equity WADDELL & REED FINANCIAL-A Financials 46.21 2.51% 10.07.2013 23.83 24.58 25.01 25.54 -0.342 -0.345 -0.329 -0.242 0.011 0.009 0.007 0.003 WAFD UW Equity WASHINGTON FEDERAL INC Financials 17.45 2.23% 01.07.2013 22.65 23.26 23.59 0.000 0.005 -0.040 0.000 0.000 0.000 WCN UN Equity WASTE CONNECTIONS INC Industrials 38.95 1.39% 02.08.2013 17.40 18.56 19.18 19.74 0.000 -0.094 -0.130 -0.117 0.000 0.001 0.002 0.002 WSO UN Equity WATSCO INC Industrials 86.94 1.15% 18.07.2013 20.65 21.09 21.44 22.09 -0.069 -0.161 -0.180 -0.162 0.002 0.015 0.016 0.003 WTS UN Equity WATTS WATER TECHNOLOGIES-A Industrials 47.70 1.09% 22.08.2013 21.83 22.66 23.50 25.41 -0.365 -0.330 -0.291 -0.191 0.009 0.008 0.006 0.004 WPP UN Equity WAUSAU PAPER CORP Materials 10.49 1.14% 01.08.2013 36.41 35.31 34.08 0.000 0.000 0.000 0.000 0.000 0.000 WDFC UW Equity WD-40 CO Consumer Staples 56.79 2.18% 17.07.2013 24.90 25.62 25.41 23.41 0.000 -0.102 -0.157 -0.217 0.000 0.001 0.002 0.005 WBSN UW Equity WEBSENSE INC Information Technology 18.85 28.07 28.11 28.77 -0.068 -0.074 -0.103 0.000 0.000 0.001 WBS UN Equity WEBSTER FINANCIAL CORP Financials 23.52 2.55% 08.08.2013 23.87 23.48 23.13 0.000 -0.278 -0.318 0.000 0.006 0.007 WRI UN Equity WEINGARTEN REALTY INVESTORS Financials 35.45 3.48% 06.09.2013 14.10 14.26 14.58 0.000 0.003 -0.026 0.000 0.000 0.001 WCG UN Equity WELLCARE HEALTH PLANS INC Health Care 57.23 30.83 32.23 33.30 35.76 35.27 35.51 -0.142 -0.146 -0.145 -0.147 -0.058 -0.061 0.006 0.004 0.003 0.002 0.003 0.002 WEN UW Equity WENDY'S CO/THE Consumer Discretionary 5.97 2.68% 04.09.2013 24.94 24.72 25.22 27.93 0.000 0.056 0.051 -0.042 0.000 0.012 0.013 0.002 WERN UW Equity WERNER ENTERPRISES INC Industrials 24.68 0.81% 05.07.2013 24.51 24.22 24.25 24.94 -0.124 -0.184 -0.199 -0.140 0.002 0.006 0.007 0.004 WST UN Equity WEST PHARMACEUTICAL SERVICES Health Care 66.39 1.19% 15.10.2013 20.18 20.17 20.16 21.02 -0.080 -0.080 -0.080 -0.085 0.001 0.001 0.001 0.001 WABC UW Equity WESTAMERICA BANCORPORATION Financials 44.53 3.39% 08.08.2013 16.61 18.25 18.89 0.000 -0.102 -0.135 0.000 0.002 0.003 WR UN Equity WESTAR ENERGY INC Utilities 33.76 4.06% 05.06.2013 26.66 20.22 15.85 12.72 0.000 -0.066 -0.116 -0.146 0.000 0.001 0.001 0.002 WEX UN Equity WEX INC Information Technology 71.90 24.67 25.99 26.79 27.87 -0.191 -0.147 -0.119 -0.087 0.004 0.002 0.001 0.000 WGL UN Equity WGL HOLDINGS INC Utilities 45.23 3.76% 10.07.2013 13.10 13.89 14.34 0.000 0.002 -0.016 0.000 0.000 0.000 WSM UN Equity WILLIAMS-SONOMA INC Consumer Discretionary 55.99 2.29% 24.07.2013 30.99 27.54 25.94 27.07 28.64 29.82 -0.163 -0.195 -0.203 -0.164 -0.180 -0.148 0.000 0.003 0.004 0.002 0.001 0.001 WIBC UW Equity WILSHIRE BANCORP INC Financials 6.58 3.04% 26.06.2013 32.57 32.57 32.57 42.11 0.000 0.000 0.000 -0.247 0.000 0.000 0.000 0.001 WGO UN Equity WINNEBAGO INDUSTRIES Consumer Discretionary 20.54 42.70 40.69 39.85 -0.202 -0.212 -0.194 0.000 0.005 0.005 WTFC UW Equity WINTRUST FINANCIAL CORP Financials 37.09 0.65% 06.08.2013 20.90 19.35 18.57 18.37 0.000 0.020 -0.001 -0.108 0.000 -0.001 -0.001 0.003 WMS UN Equity WMS INDUSTRIES INC Consumer Discretionary 25.34 8.15 8.59 9.20 0.000 -0.473 -0.440 0.000 0.011 0.010 WWW UN Equity WOLVERINE WORLD WIDE INC Consumer Discretionary 51.83 0.95% 03.10.2013 22.24 23.76 24.56 25.26 -0.273 -0.279 -0.271 -0.221 0.006 0.006 0.005 0.004 WWD UW Equity WOODWARD INC Industrials 36.70 0.90% 21.08.2013 24.23 23.59 23.65 -0.046 -0.149 -0.185 0.000 0.000 0.001 WRLD UW Equity WORLD ACCEPTANCE CORP Financials 87.08 33.66 31.48 30.86 -0.405 -0.266 -0.219 0.008 0.006 0.004 INT UN Equity WORLD FUEL SERVICES CORP Energy 41.36 0.36% 26.06.2013 22.65 26.00 27.50 28.13 0.000 -0.165 -0.223 -0.228 0.000 0.004 0.005 0.002 WOR UN Equity WORTHINGTON INDUSTRIES Materials 34.06 1.23% 13.09.2013 28.05 29.08 29.65 30.18 -0.210 -0.220 -0.216 -0.175 0.004 0.005 0.005 0.004 WRB UN Equity WR BERKLEY CORP Financials 42.63 0.94% 12.06.2013 13.13 13.11 14.21 -0.058 -0.057 -0.100 0.002 0.002 0.004 XOXO UN Equity XO GROUP INC Information Technology 11.04 28.38 28.38 28.74 0.000 0.000 -0.033 0.000 0.000 0.000 ZLC UN Equity ZALE CORP Consumer Discretionary 6.09 61.26 54.97 52.53 55.61 0.000 -0.087 -0.131 -0.100 0.000 0.000 0.000 0.000 ZBRA UW Equity ZEBRA TECHNOLOGIES CORP-CL A Information Technology 46.43 19.29 20.63 21.23 21.23 -0.094 -0.187 -0.213 -0.178 0.000 0.003 0.004 0.004 ZEP UN Equity ZEP INC Materials 15.88 1.01% 17.07.2013 30.61 30.26 29.80 0.000 0.003 -0.020 0.000 0.000 0.000 ZUMZ UW Equity ZUMIEZ INC Consumer Discretionary 32.61 52.56 49.28 47.67 47.04 -0.402 -0.300 -0.242 -0.196 0.005 0.004 0.003 0.002 At The Money Implied Volatilities by Terms Option Implied Volatility Skew Parameters by Terms: IVt = atx + btx2 + ct S&P1000Index Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |