26.03.2013                                                                                                                ...
26.03.2013                                                                                                                ...
SP 500 index   dividends and implied volatility surfaces parametersS&…
SP 500 index   dividends and implied volatility surfaces parametersS&…
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SP 500 index dividends and implied volatility surfaces parametersS&…

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S&P 500 Index - Dividends and Implied Volatility Surfaces Parameters

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SP 500 index dividends and implied volatility surfaces parametersS&…

  1. 1. 26.03.2013 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M MMM UN Equity 3M CO Industrials 105.17 2.46% 22.05.2013 14.45 15.15 14.72 15.19 17.13 18.13 -0.499 -0.335 -0.315 -0.258 -0.220 -0.191 0.016 0.010 0.009 0.006 0.002 0.001 ABT UN Equity ABBOTT LABORATORIES Health Care 33.80 1.78% 10.07.2013 16.56 16.25 16.30 16.62 17.26 18.12 -0.395 -0.362 -0.301 -0.215 -0.165 -0.146 0.012 0.012 0.009 0.005 0.003 0.002 ANF UN Equity ABERCROMBIE & FITCH CO-CL A Consumer Discretionary 46.38 1.72% 30.05.2013 35.79 40.45 40.39 40.59 39.30 39.35 -0.228 -0.209 -0.185 -0.160 -0.129 -0.121 0.010 0.002 0.002 0.001 0.001 0.001 ACN UN Equity ACCENTURE PLC-CL A Information Technology 73.41 2.40% 10.04.2013 23.64 20.62 20.12 20.82 22.35 23.06 -0.232 -0.323 -0.296 -0.235 -0.191 -0.165 0.007 0.009 0.007 0.004 0.002 0.002 ACE UN Equity ACE LTD Financials 88.47 1.73% 26.07.2013 12.57 14.83 15.02 15.91 -0.352 -0.489 -0.406 -0.284 0.009 0.014 0.011 0.006 ADBE UW Equity ADOBE SYSTEMS INC Information Technology 42.49 19.83 20.38 21.91 23.39 25.23 26.08 -0.402 -0.318 -0.262 -0.191 -0.166 -0.141 0.016 0.009 0.006 0.004 0.002 0.001 AMD UN Equity ADVANCED MICRO DEVICES Information Technology 2.51 61.39 60.36 60.85 58.92 61.20 62.65 -0.125 -0.105 -0.110 -0.121 -0.127 -0.138 0.013 0.005 0.004 0.003 0.002 0.002 AES UN Equity AES CORP Utilities 12.30 2.28% 26.04.2013 19.64 21.40 21.67 22.11 -0.076 -0.219 -0.232 -0.222 0.001 0.002 0.003 0.004 AET UN Equity AETNA INC Health Care 50.05 1.64% 09.07.2013 24.39 25.48 24.16 24.68 25.51 26.19 -0.319 -0.124 -0.161 -0.159 -0.114 -0.098 0.012 0.002 0.003 0.003 0.001 0.001 AFL UN Equity AFLAC INC Financials 51.52 2.80% 13.05.2013 17.95 20.06 20.85 21.76 22.45 22.97 -0.529 -0.357 -0.311 -0.265 -0.208 -0.177 0.018 0.012 0.008 0.004 0.003 0.002 A UN Equity AGILENT TECHNOLOGIES INC Health Care 41.13 1.17% 03.07.2013 23.19 25.92 26.34 26.73 27.36 28.65 -0.424 -0.296 -0.262 -0.212 -0.167 -0.139 0.014 0.009 0.006 0.003 0.002 0.001 GAS UN Equity AGL RESOURCES INC Utilities 41.32 4.57% 15.05.2013 12.10 12.10 12.10 12.10 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 APD UN Equity AIR PRODUCTS & CHEMICALS INC Materials 87.47 3.25% 05.07.2013 16.28 16.94 16.55 17.47 -0.244 -0.313 -0.324 -0.253 0.004 0.006 0.007 0.004 ARG UN Equity AIRGAS INC Materials 97.57 1.95% 14.06.2013 19.88 20.05 19.79 19.96 -0.352 -0.305 -0.318 -0.253 0.008 0.006 0.007 0.005 AKAM UW Equity AKAMAI TECHNOLOGIES INC Information Technology 34.40 36.45 45.21 43.09 39.71 36.84 36.08 0.168 -0.066 -0.095 -0.106 -0.099 -0.099 0.019 0.003 0.002 0.001 0.001 0.000 AA UN Equity ALCOA INC Materials 8.42 1.43% 15.05.2013 26.06 24.71 24.78 26.16 28.84 30.43 -0.225 -0.054 -0.127 -0.102 -0.069 -0.046 0.013 0.009 0.004 0.004 0.002 0.001 ALXN UW Equity ALEXION PHARMACEUTICALS INC Health Care 92.35 27.88 31.21 31.34 31.64 31.43 32.05 -0.149 -0.194 -0.186 -0.170 -0.153 -0.138 0.006 0.007 0.004 0.002 0.001 0.001 ATI UN Equity ALLEGHENY TECHNOLOGIES INC Materials 31.35 2.30% 24.05.2013 33.23 36.09 35.48 36.08 38.31 39.14 -0.207 -0.251 -0.224 -0.171 -0.127 -0.112 0.008 0.007 0.004 0.002 0.001 0.001 AGN UN Equity ALLERGAN INC Health Care 110.80 0.18% 15.05.2013 17.82 19.60 19.44 21.25 23.14 23.04 -0.397 -0.326 -0.272 -0.222 -0.175 -0.152 0.012 0.010 0.008 0.004 0.002 0.001 ALL UN Equity ALLSTATE CORP Financials 48.48 2.12% 29.05.2013 16.89 18.34 17.49 17.90 19.37 19.90 -0.553 -0.286 -0.266 -0.234 -0.189 -0.165 0.022 0.011 0.009 0.006 0.003 0.002 ANR UN Equity ALPHA NATURAL RESOURCES INC Energy 8.33 56.82 58.88 57.43 57.07 57.90 58.35 -0.244 -0.217 -0.195 -0.151 -0.128 -0.117 0.011 0.005 0.003 0.002 0.001 0.001 ALTR UW Equity ALTERA CORP Information Technology 34.77 1.41% 10.05.2013 25.10 27.76 27.11 28.09 29.65 30.60 -0.215 -0.251 -0.226 -0.175 -0.137 -0.116 0.006 0.007 0.005 0.002 0.001 0.001 MO UN Equity ALTRIA GROUP INC Consumer Staples 33.88 5.46% 14.06.2013 12.36 13.24 13.03 13.71 16.05 17.20 -0.312 -0.374 -0.271 -0.198 -0.144 -0.112 0.008 0.012 0.009 0.007 0.004 0.003 AMZN UW Equity AMAZON.COM INC Consumer Discretionary 256.02 28.01 32.36 29.99 30.02 31.77 32.77 -0.281 -0.243 -0.217 -0.169 -0.131 -0.114 0.016 0.005 0.005 0.003 0.001 0.001 AEE UN Equity AMEREN CORPORATION Utilities 34.24 4.67% 10.06.2013 11.19 13.01 13.18 12.53 0.033 -0.052 -0.203 -0.211 0.000 0.001 0.004 0.008 AEP UN Equity AMERICAN ELECTRIC POWER Utilities 47.66 4.11% 10.05.2013 11.07 10.96 11.06 11.83 13.50 14.56 -0.113 -0.150 -0.216 -0.213 -0.194 -0.169 0.001 0.003 0.006 0.006 0.004 0.002 AXP UN Equity AMERICAN EXPRESS CO Financials 66.10 1.35% 03.07.2013 17.12 17.28 17.45 18.85 21.14 22.17 -0.408 -0.366 -0.314 -0.247 -0.210 -0.176 0.018 0.015 0.011 0.005 0.002 0.001 AIG UN Equity AMERICAN INTERNATIONAL GROUP Financials 37.70 0.53% 09.09.2013 22.25 24.78 24.73 26.78 29.08 30.99 -0.232 -0.256 -0.225 -0.149 -0.111 -0.087 0.015 0.010 0.006 0.003 0.001 0.001 AMT UN Equity AMERICAN TOWER CORP Financials 76.26 1.42% 05.07.2013 15.50 17.95 17.53 18.61 20.25 21.07 -0.362 -0.303 -0.285 -0.254 -0.190 -0.158 0.009 0.007 0.008 0.005 0.002 0.002 AMP UN Equity AMERIPRISE FINANCIAL INC Financials 73.47 2.59% 01.05.2013 19.49 21.56 20.60 21.72 -0.208 -0.355 -0.314 -0.238 0.004 0.008 0.007 0.003 ABC UN Equity AMERISOURCEBERGEN CORP Health Care 50.59 1.78% 23.05.2013 17.35 18.86 18.52 18.33 -0.181 -0.259 -0.231 -0.191 0.005 0.007 0.006 0.004 AMGN UW Equity AMGEN INC Health Care 96.81 2.10% 16.08.2013 18.41 19.89 19.28 20.05 21.93 22.97 -0.332 -0.195 -0.185 -0.182 -0.155 -0.137 0.018 0.007 0.007 0.004 0.002 0.001 APH UN Equity AMPHENOL CORP-CL A Information Technology 72.60 0.61% 10.06.2013 23.69 21.83 22.02 22.09 -0.253 -0.249 -0.207 -0.156 0.005 0.005 0.004 0.003 APC UN Equity ANADARKO PETROLEUM CORP Energy 87.29 0.53% 10.06.2013 26.42 28.62 28.25 27.84 29.30 29.91 -0.228 -0.197 -0.168 -0.135 -0.130 -0.122 0.008 0.009 0.006 0.002 0.001 0.001 ADI UW Equity ANALOG DEVICES INC Information Technology 44.64 3.09% 29.05.2013 19.26 19.94 20.38 21.19 22.43 22.73 -0.267 -0.252 -0.273 -0.209 -0.162 -0.139 0.005 0.005 0.006 0.003 0.002 0.001 AON UN Equity AON PLC Financials 61.16 1.03% 02.05.2013 14.47 17.19 16.38 16.74 -0.492 -0.257 -0.261 -0.218 0.014 0.005 0.006 0.004 APA UN Equity APACHE CORP Energy 74.63 1.07% 22.07.2013 21.18 23.11 23.43 24.02 25.59 26.63 -0.201 -0.181 -0.187 -0.182 -0.165 -0.139 0.020 0.002 0.003 0.003 0.002 0.001 AIV UN Equity APARTMENT INVT & MGMT CO -A Financials 30.07 3.23% 15.05.2013 18.22 19.55 19.58 19.65 0.000 0.000 0.000 -0.149 0.000 0.000 0.000 0.005 APOL UW Equity APOLLO GROUP INC-CL A Consumer Discretionary 18.25 41.54 41.38 43.15 45.11 46.59 46.17 -0.256 -0.168 -0.143 -0.121 -0.088 -0.084 0.012 0.006 0.004 0.002 0.001 0.001 AAPL UW Equity APPLE INC Information Technology 463.58 2.59% 08.05.2013 28.10 30.32 28.49 28.28 29.91 30.84 -0.141 -0.111 -0.108 -0.095 -0.074 -0.056 0.014 0.004 0.003 0.002 0.001 0.000 AMAT UW Equity APPLIED MATERIALS INC Information Technology 13.32 3.00% 26.08.2013 23.80 25.65 24.89 24.95 26.09 26.76 -0.188 -0.303 -0.243 -0.184 -0.137 -0.114 0.009 0.009 0.006 0.003 0.002 0.001 ADM UN Equity ARCHER-DANIELS-MIDLAND CO Consumer Staples 32.57 2.36% 14.05.2013 20.03 21.81 21.14 21.71 22.97 23.57 -0.297 -0.250 -0.209 -0.166 -0.130 -0.114 0.012 0.011 0.008 0.004 0.002 0.001 AIZ UN Equity ASSURANT INC Financials 44.00 2.18% 30.05.2013 20.19 22.45 22.42 23.28 -0.150 -0.284 -0.293 -0.202 0.003 0.006 0.006 0.003 T UN Equity AT&T INC Telecommunication Services 36.39 5.00% 05.04.2013 14.11 14.38 14.28 14.47 16.69 17.98 -0.363 -0.360 -0.293 -0.216 -0.146 -0.120 0.012 0.012 0.010 0.006 0.004 0.002 ADSK UW Equity AUTODESK INC Information Technology 40.38 26.38 30.47 29.68 30.28 31.99 32.72 -0.263 -0.198 -0.195 -0.172 -0.140 -0.121 0.013 0.004 0.003 0.002 0.001 0.001 ADP UW Equity AUTOMATIC DATA PROCESSING Information Technology 63.93 2.83% 12.06.2013 13.43 14.65 14.47 14.57 15.34 16.07 -0.264 -0.334 -0.321 -0.275 -0.207 -0.177 0.004 0.007 0.007 0.006 0.003 0.002 AN UN Equity AUTONATION INC Consumer Discretionary 43.62 26.85 25.51 25.61 26.14 -0.182 -0.220 -0.177 -0.147 0.003 0.005 0.004 0.001 AZO UN Equity AUTOZONE INC Consumer Discretionary 393.33 16.95 18.18 19.68 19.44 20.02 20.19 -0.314 -0.271 -0.236 -0.201 -0.156 -0.142 0.012 0.009 0.006 0.004 0.002 0.002 AVB UN Equity AVALONBAY COMMUNITIES INC Financials 126.52 2.54% 28.06.2013 15.67 17.92 17.55 17.83 -0.366 -0.335 -0.279 -0.224 0.010 0.009 0.006 0.003 AVY UN Equity AVERY DENNISON CORP Industrials 42.85 2.87% 28.05.2013 20.57 20.09 19.00 19.34 -0.141 -0.171 -0.233 -0.209 0.001 0.003 0.006 0.005 AVP UN Equity AVON PRODUCTS INC Consumer Staples 20.01 1.20% 17.05.2013 29.78 33.98 32.28 32.10 32.70 32.27 -0.257 -0.281 -0.253 -0.199 -0.166 -0.152 0.005 0.006 0.004 0.002 0.001 0.001 BHI UN Equity BAKER HUGHES INC Energy 44.89 1.51% 09.05.2013 29.18 27.79 27.80 28.39 29.38 29.96 -0.437 -0.298 -0.279 -0.236 -0.182 -0.154 0.014 0.009 0.006 0.003 0.002 0.001 BLL UN Equity BALL CORP Materials 46.07 1.17% 30.05.2013 13.89 15.83 16.09 16.38 -0.194 -0.268 -0.263 -0.233 0.002 0.004 0.005 0.005 BAC UN Equity BANK OF AMERICA CORP Financials 12.40 0.32% 29.05.2013 29.77 29.63 29.18 29.37 31.39 32.47 -0.064 -0.149 -0.188 -0.155 -0.108 -0.086 0.005 0.006 0.004 0.003 0.002 0.001 BK UN Equity BANK OF NEW YORK MELLON CORP Financials 28.19 2.13% 01.05.2013 21.98 20.72 20.46 21.98 23.63 25.00 -0.596 -0.361 -0.295 -0.251 -0.192 -0.163 0.022 0.014 0.011 0.005 0.003 0.002S&P 500 Index BAX UN Equity BAXTER INTERNATIONAL INC Health Care 70.80 2.75% 07.06.2013 24.75 28.96 27.26 24.32 22.14 22.13 0.071 -0.031 -0.080 -0.121 -0.128 -0.114 0.017 0.007 0.005 0.003 0.002 0.001 BBT UN Equity BB&T CORP Financials 30.82 3.05% 06.05.2013 19.35 18.08 18.13 19.43 21.08 21.71 -0.518 -0.377 -0.316 -0.217 -0.148 -0.121 0.017 0.011 0.009 0.004 0.002 0.001 BEAM UN Equity BEAM INC Consumer Staples 62.73 1.47% 06.05.2013 17.88 20.38 20.34 20.87 -0.056 -0.136 -0.180 -0.171 0.002 0.006 0.009 0.004 BDX UN Equity BECTON DICKINSON AND CO Health Care 92.43 2.22% 07.06.2013 14.60 15.70 15.66 15.47 -0.107 -0.201 -0.230 -0.193 0.002 0.005 0.006 0.004 BBBY UW Equity BED BATH & BEYOND INC Consumer Discretionary 64.19 31.50 26.72 26.10 26.15 26.13 26.44 -0.210 -0.183 -0.171 -0.157 -0.129 -0.115 0.009 0.007 0.005 0.002 0.001 0.001 BMS UN Equity BEMIS COMPANY Materials 39.50 2.66% 16.05.2013 12.57 14.28 14.84 15.71 0.007 -0.012 -0.075 -0.194 0.000 0.000 0.002 0.004 BRK/B UN Equity BERKSHIRE HATHAWAY INC-CL B Financials 102.40 13.92 14.36 14.01 14.90 16.74 17.71 -0.323 -0.360 -0.328 -0.262 -0.207 -0.169 0.011 0.011 0.011 0.007 0.004 0.002 BBY UN Equity BEST BUY CO INC Consumer Discretionary 23.20 2.28% 26.06.2013 42.74 43.69 45.24 41.93 39.34 36.16 -0.265 -0.325 -0.335 -0.242 -0.234 -0.228 0.017 0.006 0.004 0.003 0.002 0.001 BIG UN Equity BIG LOTS INC Consumer Discretionary 35.74 29.63 31.72 33.24 33.80 33.61 33.17 -0.088 -0.152 -0.166 -0.138 -0.095 -0.067 0.017 0.006 0.004 0.002 0.001 0.001 BIIB UW Equity BIOGEN IDEC INC Health Care 176.22 32.58 27.68 25.30 24.28 25.19 26.27 -0.373 -0.284 -0.254 -0.225 -0.153 -0.126 0.012 0.008 0.006 0.004 0.002 0.001 BLK UN Equity BLACKROCK INC Financials 251.82 2.74% 07.06.2013 20.33 19.27 19.46 19.86 20.40 20.63 -0.402 -0.283 -0.278 -0.232 -0.207 -0.180 0.015 0.008 0.006 0.004 0.001 0.001 BMC UW Equity BMC SOFTWARE INC Information Technology 45.70 30.89 31.53 28.38 26.00 22.92 21.37 -0.072 -0.088 -0.143 -0.201 -0.210 -0.208 0.003 0.004 0.005 0.002 0.002 0.001 BA UN Equity BOEING CO/THE Industrials 84.85 2.33% 08.05.2013 19.01 20.46 20.20 20.66 22.27 23.48 -0.386 -0.338 -0.294 -0.216 -0.182 -0.151 0.014 0.008 0.007 0.004 0.002 0.001 BWA UN Equity BORGWARNER INC Consumer Discretionary 76.02 22.35 25.54 25.73 27.00 -0.493 -0.220 -0.244 -0.223 0.018 0.006 0.004 0.003 BXP UN Equity BOSTON PROPERTIES INC Financials 100.89 1.98% 28.06.2013 14.33 15.33 15.39 16.64 -0.267 -0.325 -0.277 -0.222 0.007 0.010 0.009 0.005 BSX UN Equity BOSTON SCIENTIFIC CORP Health Care 7.32 30.53 28.35 27.66 28.10 30.07 31.51 -0.070 -0.144 -0.148 -0.136 -0.100 -0.086 0.005 0.015 0.013 0.007 0.003 0.002 BMY UN Equity BRISTOL-MYERS SQUIBB CO Health Care 40.26 3.50% 03.07.2013 15.24 16.31 16.11 16.52 18.06 19.41 -0.472 -0.338 -0.283 -0.216 -0.171 -0.147 0.018 0.012 0.008 0.005 0.003 0.002 BRCM UW Equity BROADCOM CORP-CL A Information Technology 34.19 1.32% 22.05.2013 24.59 27.75 27.85 28.10 28.56 29.16 -0.366 -0.277 -0.229 -0.169 -0.140 -0.123 0.009 0.006 0.004 0.002 0.001 0.001 BF/B UN Equity BROWN-FORMAN CORP-CLASS B Consumer Staples 69.23 1.55% 06.06.2013 14.45 15.40 15.63 14.79 0.031 -0.195 -0.339 -0.132 -0.003 0.006 0.013 0.001 CA UW Equity CA INC Information Technology 25.05 3.99% 17.05.2013 19.99 22.61 22.36 22.48 22.47 23.76 -0.055 -0.228 -0.224 -0.179 -0.125 -0.115 0.005 0.008 0.006 0.004 0.002 0.001 CVC UN Equity CABLEVISION SYSTEMS-NY GRP-A Consumer Discretionary 14.84 4.04% 16.05.2013 32.50 34.09 33.69 32.45 32.58 33.99 0.121 0.064 -0.064 -0.033 -0.070 -0.090 0.004 0.007 0.003 0.002 0.002 0.001 COG UN Equity CABOT OIL & GAS CORP Energy 67.42 0.12% 17.05.2013 31.04 34.36 32.91 32.70 32.53 31.84 -0.177 -0.242 -0.186 -0.182 -0.166 -0.142 0.005 0.005 0.003 0.002 0.001 0.001 CAM UN Equity CAMERON INTERNATIONAL CORP Energy 63.79 26.89 28.81 28.93 29.62 30.66 31.70 -0.295 -0.297 -0.262 -0.207 -0.173 -0.151 0.006 0.006 0.004 0.002 0.001 0.001 CPB UN Equity CAMPBELL SOUP CO Consumer Staples 43.60 2.04% 11.07.2013 14.76 14.86 14.92 15.48 15.93 15.62 -0.114 -0.156 -0.179 -0.176 -0.144 -0.161 0.003 0.003 0.004 0.005 0.004 0.005 COF UN Equity CAPITAL ONE FINANCIAL CORP Financials 54.59 2.20% 17.05.2013 23.89 22.51 22.59 24.52 27.06 28.09 -0.400 -0.274 -0.293 -0.216 -0.148 -0.119 0.013 0.007 0.006 0.003 0.002 0.001 CAH UN Equity CARDINAL HEALTH INC Health Care 42.05 2.62% 27.06.2013 18.96 19.70 19.24 19.59 19.57 19.81 -0.225 -0.261 -0.265 -0.230 -0.178 -0.146 0.005 0.008 0.007 0.003 0.002 0.001 CFN UN Equity CAREFUSION CORP Health Care 34.39 18.23 19.85 19.48 19.97 -0.146 -0.215 -0.225 -0.235 0.002 0.005 0.006 0.004 KMX UN Equity CARMAX INC Consumer Discretionary 40.31 31.39 28.32 28.35 28.08 -0.167 -0.215 -0.217 -0.182 0.005 0.004 0.004 0.003 CCL UN Equity CARNIVAL CORP Consumer Discretionary 33.64 3.12% 22.05.2013 22.63 23.57 24.08 24.71 26.08 26.95 -0.240 -0.288 -0.249 -0.195 -0.150 -0.132 0.006 0.008 0.005 0.003 0.002 0.001 CAT UN Equity CATERPILLAR INC Industrials 86.64 2.61% 18.04.2013 20.10 22.08 21.97 23.41 25.79 26.93 -0.248 -0.254 -0.228 -0.194 -0.147 -0.124 0.019 0.010 0.006 0.003 0.002 0.001 CBG UN Equity CBRE GROUP INC - A Financials 24.68 27.72 31.55 29.05 29.69 31.07 31.17 -0.224 -0.306 -0.276 -0.202 -0.161 -0.142 0.004 0.006 0.004 0.002 0.002 0.001 CBS UN Equity CBS CORP-CLASS B NON VOTING Consumer Discretionary 45.42 1.19% 11.06.2013 17.65 22.22 23.06 25.13 26.71 27.68 -0.180 -0.244 -0.210 -0.149 -0.137 -0.119 0.003 0.006 0.007 0.003 0.001 0.001 CELG UW Equity CELGENE CORP Health Care 111.79 24.35 26.81 27.08 27.52 29.71 31.89 -0.273 -0.197 -0.181 -0.166 -0.160 -0.141 0.013 0.008 0.006 0.003 0.002 0.001 CNP UN Equity CENTERPOINT ENERGY INC Utilities 23.41 3.58% 16.05.2013 20.59 21.14 21.53 21.82 20.96 21.31 -0.022 -0.157 -0.089 -0.028 -0.026 -0.042 0.004 0.008 0.004 0.002 0.003 0.002 CTL UN Equity CENTURYLINK INC Telecommunication Services 34.99 6.17% 07.06.2013 16.98 19.17 18.35 18.18 19.48 21.12 -0.234 -0.214 -0.229 -0.197 -0.121 -0.095 0.007 0.007 0.008 0.005 0.003 0.002 CERN UW Equity CERNER CORP Health Care 92.52 22.95 26.04 24.66 26.05 26.41 27.17 -0.157 -0.237 -0.211 -0.165 -0.151 -0.133 0.004 0.006 0.004 0.002 0.001 0.001 CF UN Equity CF INDUSTRIES HOLDINGS INC Materials 191.51 0.84% 15.05.2013 24.57 26.77 27.31 28.16 29.69 30.28 -0.179 -0.226 -0.204 -0.155 -0.130 -0.116 0.015 0.005 0.002 0.001 0.001 0.000 CHRW UW Equity C.H. ROBINSON WORLDWIDE INC Industrials 58.57 2.56% 05.06.2013 22.22 25.62 24.96 24.08 23.97 24.21 -0.207 -0.230 -0.208 -0.175 -0.154 -0.139 0.006 0.008 0.005 0.003 0.002 0.001 SCHW UN Equity SCHWAB (CHARLES) CORP Financials 17.52 1.37% 08.05.2013 25.78 23.83 23.23 23.41 24.62 24.51 -0.115 -0.142 -0.201 -0.206 -0.158 -0.138 0.001 0.001 0.002 0.002 0.001 0.001 CHK UN Equity CHESAPEAKE ENERGY CORP Energy 20.35 1.90% 11.04.2013 37.22 38.76 36.58 35.44 36.87 37.30 -0.258 -0.214 -0.159 -0.134 -0.146 -0.136 0.016 0.008 0.006 0.003 0.002 0.001 CVX UN Equity CHEVRON CORP Energy 120.18 3.20% 17.05.2013 13.96 14.07 14.09 15.20 17.90 18.93 -0.535 -0.381 -0.334 -0.245 -0.211 -0.177 0.017 0.012 0.010 0.006 0.003 0.002 CMG UN Equity CHIPOTLE MEXICAN GRILL INC Consumer Discretionary 316.77 34.65 30.60 29.35 30.05 31.03 31.54 -0.330 -0.267 -0.233 -0.186 -0.155 -0.135 0.011 0.004 0.003 0.002 0.001 0.001 CB UN Equity CHUBB CORP Financials 86.51 2.08% 19.06.2013 13.18 13.20 13.21 14.50 -0.345 -0.403 -0.309 -0.232 0.009 0.013 0.010 0.005 CI UN Equity CIGNA CORP Health Care 61.61 0.10% 07.03.2014 20.91 22.22 21.76 22.48 23.75 24.65 -0.411 -0.276 -0.238 -0.170 -0.125 -0.106 0.014 0.008 0.006 0.002 0.001 0.001 CINF UW Equity CINCINNATI FINANCIAL CORP Financials 46.41 3.54% 17.06.2013 14.89 14.92 14.98 14.47 0.000 -0.080 -0.206 -0.252 0.000 0.003 0.007 0.007 CTAS UW Equity CINTAS CORP Industrials 43.07 1.88% 05.11.2013 18.02 17.53 17.93 18.82 19.73 20.07 -0.218 -0.249 -0.258 -0.211 -0.162 -0.126 0.004 0.006 0.006 0.004 0.002 0.002 CSCO UW Equity CISCO SYSTEMS INC Information Technology 20.85 2.88% 02.04.2013 20.67 23.92 22.60 22.62 24.57 25.36 -0.357 -0.314 -0.279 -0.190 -0.144 -0.118 0.010 0.008 0.005 0.004 0.002 0.002 C UN Equity CITIGROUP INC Financials 44.49 0.09% 09.05.2013 28.02 27.36 27.21 27.60 29.63 30.48 -0.323 -0.289 -0.278 -0.204 -0.168 -0.140 0.009 0.006 0.004 0.003 0.001 0.001 CTXS UW Equity CITRIX SYSTEMS INC Information Technology 70.11 29.79 35.28 33.98 34.28 33.91 34.13 -0.073 -0.143 -0.184 -0.138 -0.131 -0.121 0.002 0.001 0.002 0.001 0.001 0.001 CLF UN Equity CLIFFS NATURAL RESOURCES INC Materials 21.66 2.77% 29.04.2013 52.40 53.73 50.63 48.08 47.00 45.55 -0.216 -0.185 -0.157 -0.133 -0.094 -0.082 0.014 0.006 0.004 0.002 0.001 0.001 CLX UN Equity CLOROX COMPANY Consumer Staples 86.38 3.14% 26.07.2013 11.52 12.23 12.03 12.29 13.23 13.90 -0.355 -0.290 -0.280 -0.227 -0.166 -0.141 0.008 0.006 0.007 0.005 0.003 0.002 CME UW Equity CME GROUP INC Financials 61.29 2.94% 07.06.2013 20.14 21.50 19.97 20.50 20.81 21.16 -0.379 -0.335 -0.312 -0.227 -0.196 -0.160 0.011 0.009 0.008 0.004 0.002 0.001 CMS UN Equity CMS ENERGY CORP Utilities 27.21 3.84% 08.05.2013 15.09 15.10 15.03 12.70 0.013 0.013 0.007 -0.150 0.000 0.000 0.000 0.006 COH UN Equity COACH INC Consumer Discretionary 49.72 2.98% 06.06.2013 27.88 32.07 29.96 31.15 29.77 30.02 -0.153 -0.169 -0.145 -0.137 -0.107 -0.096 0.004 0.004 0.003 0.001 0.001 0.001 KO UN Equity COCA-COLA CO/THE Consumer Staples 40.12 2.84% 14.06.2013 13.81 13.50 13.24 14.17 15.55 16.72 -0.481 -0.360 -0.288 -0.198 -0.155 -0.123 0.018 0.012 0.009 0.006 0.003 0.002 CCE UN Equity COCA-COLA ENTERPRISES Consumer Staples 36.96 2.25% 05.06.2013 15.97 17.69 17.73 18.00 18.69 19.71 -0.175 -0.269 -0.249 -0.194 -0.143 -0.124 0.003 0.006 0.006 0.005 0.002 0.002 CTSH UW Equity COGNIZANT TECH SOLUTIONS-A Information Technology 74.39 25.11 28.08 26.98 26.96 29.38 30.53 -0.245 -0.184 -0.239 -0.229 -0.172 -0.149 0.007 0.000 0.003 0.003 0.002 0.001 CL UN Equity COLGATE-PALMOLIVE CO Consumer Staples 114.40 2.38% 26.07.2013 13.28 14.53 14.12 14.26 15.68 16.27 -0.694 -0.482 -0.386 -0.264 -0.217 -0.177 0.021 0.014 0.011 0.007 0.003 0.002 CMCSA UW EquityCOMCAST CORP-CLASS A Consumer Discretionary 41.72 1.87% 01.07.2013 18.82 20.74 20.07 20.49 22.26 23.10 -0.515 -0.350 -0.282 -0.214 -0.160 -0.132 0.018 0.010 0.007 0.004 0.002 0.001 CMA UN Equity COMERICA INC Financials 36.00 2.03% 12.06.2013 23.07 21.85 21.86 22.61 24.78 25.53 -0.368 -0.316 -0.275 -0.209 -0.169 -0.148 0.011 0.009 0.006 0.003 0.002 0.001 CSC UN Equity COMPUTER SCIENCES CORP Information Technology 48.53 1.75% 11.06.2013 26.70 32.60 30.22 29.40 29.30 29.33 -0.155 -0.182 -0.204 -0.188 -0.152 -0.141 0.003 0.004 0.004 0.003 0.002 0.001 CAG UN Equity CONAGRA FOODS INC Consumer Staples 35.17 2.96% 01.05.2013 17.23 15.40 15.56 15.33 15.57 15.75 -0.248 -0.302 -0.361 -0.220 -0.161 -0.131 0.004 0.008 0.012 0.005 0.003 0.002 COP UN Equity CONOCOPHILLIPS Energy 60.21 4.43% 23.05.2013 16.35 17.29 16.84 17.02 19.00 19.76 -0.422 -0.284 -0.240 -0.187 -0.168 -0.136 0.019 0.015 0.011 0.006 0.003 0.002 CNX UN Equity CONSOL ENERGY INC Energy 33.66 1.49% 10.05.2013 33.93 36.08 35.37 35.35 36.28 36.24 -0.350 -0.268 -0.247 -0.202 -0.155 -0.138 0.016 0.006 0.004 0.002 0.001 0.001 ED UN Equity CONSOLIDATED EDISON INC Utilities 59.10 4.14% 13.05.2013 9.56 10.15 10.30 10.99 12.46 12.96 -0.129 -0.225 -0.221 -0.191 -0.147 -0.128 0.002 0.006 0.006 0.006 0.004 0.003 STZ UN Equity CONSTELLATION BRANDS INC-A Consumer Staples 46.79 44.96 40.93 38.50 36.95 34.78 34.78 -0.955 -0.704 -0.604 -0.351 -0.234 -0.208 0.015 0.003 -0.001 -0.001 0.001 0.000 CBE UN Equity COOPER INDUSTRIES PLC #N/A N/A #N/A N/A GLW UN Equity CORNING INC Information Technology 13.01 3.00% 31.05.2013 21.48 25.11 24.02 25.59 27.24 28.48 -0.341 -0.243 -0.176 -0.141 -0.113 -0.091 0.013 0.010 0.007 0.003 0.002 0.001 COST UW Equity COSTCO WHOLESALE CORP Consumer Staples 105.47 1.19% 15.05.2013 14.07 14.18 14.95 16.11 17.90 19.11 -0.443 -0.219 -0.220 -0.202 -0.159 -0.137 0.021 0.018 0.012 0.005 0.003 0.002 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  2. 2. 26.03.2013 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M CVH UN Equity COVENTRY HEALTH CARE INC Health Care 46.41 1.08% 19.06.2013 12.63 12.63 12.62 12.61 12.59 12.57 -0.024 -0.024 -0.024 -0.024 -0.024 -0.024 0.000 0.000 0.000 0.000 0.000 0.000 COV UN Equity COVIDIEN PLC Health Care 66.71 1.65% 01.08.2013 15.70 18.04 17.45 18.23 20.01 21.34 -0.311 -0.327 -0.286 -0.213 -0.181 -0.154 0.008 0.009 0.008 0.005 0.002 0.001 BCR UN Equity CR BARD INC Health Care 100.30 0.83% 25.04.2013 15.08 17.51 16.77 16.38 -0.217 -0.270 -0.262 -0.210 0.005 0.006 0.005 0.009 CCI UN Equity CROWN CASTLE INTL CORP Telecommunication Services 70.41 20.51 21.19 20.96 21.92 -0.146 -0.231 -0.234 -0.208 0.004 0.005 0.006 0.004 CSX UN Equity CSX CORP Industrials 23.89 2.68% 28.05.2013 21.85 21.42 21.75 22.94 24.64 25.44 -0.357 -0.303 -0.269 -0.213 -0.170 -0.144 0.011 0.010 0.007 0.004 0.002 0.001 CMI UN Equity CUMMINS INC Industrials 112.31 1.91% 15.05.2013 24.02 26.49 26.13 28.01 30.65 31.93 -0.439 -0.280 -0.248 -0.192 -0.152 -0.117 0.014 0.006 0.005 0.002 0.001 0.001 CVS UN Equity CVS CAREMARK CORP Consumer Staples 55.30 1.68% 25.07.2013 14.84 16.85 16.92 17.21 18.74 19.46 -0.478 -0.366 -0.296 -0.215 -0.183 -0.159 0.017 0.013 0.010 0.006 0.003 0.002 DHR UN Equity DANAHER CORP Industrials 61.04 0.14% 26.06.2013 17.96 17.64 17.49 18.62 20.47 21.65 -0.360 -0.353 -0.316 -0.244 -0.197 -0.166 0.008 0.010 0.008 0.004 0.002 0.002 DRI UN Equity DARDEN RESTAURANTS INC Consumer Discretionary 50.38 4.33% 10.07.2013 18.36 19.01 19.88 20.80 21.41 22.00 -0.204 -0.241 -0.240 -0.192 -0.135 -0.126 0.006 0.006 0.004 0.002 0.001 0.000 DVA UN Equity DAVITA HEALTHCARE PARTNERS I Health Care 117.90 19.40 20.33 20.35 20.60 -0.460 -0.364 -0.292 -0.211 0.019 0.010 0.007 0.004 DF UN Equity DEAN FOODS CO Consumer Staples 18.22 28.97 33.60 31.29 31.86 33.16 33.85 -0.325 -0.240 -0.217 -0.174 -0.138 -0.102 0.008 0.003 0.004 0.002 0.001 0.000 DE UN Equity DEERE & CO Industrials 86.88 1.76% 28.06.2013 18.75 20.06 19.81 21.08 23.65 24.92 -0.173 -0.173 -0.270 -0.204 -0.160 -0.134 0.009 0.005 0.010 0.004 0.002 0.001 DELL UW Equity DELL INC Information Technology 14.51 1.10% 27.06.2013 14.74 13.97 14.37 16.62 15.33 14.25 -0.014 -0.190 -0.290 -0.260 -0.162 -0.125 0.019 0.026 0.015 0.010 0.008 0.006 DNR UN Equity DENBURY RESOURCES INC Energy 18.87 24.51 27.55 27.51 28.84 29.76 30.77 -0.138 -0.216 -0.232 -0.187 -0.151 -0.134 0.002 0.004 0.005 0.002 0.002 0.001 XRAY UW Equity DENTSPLY INTERNATIONAL INC Health Care 41.67 0.46% 26.06.2013 20.31 20.81 20.26 20.53 -0.030 -0.121 -0.180 -0.196 0.000 0.000 0.002 0.003 DVN UN Equity DEVON ENERGY CORPORATION Energy 57.02 1.54% 13.09.2013 23.89 25.18 24.85 25.30 26.21 27.37 -0.091 -0.130 -0.126 -0.118 -0.109 -0.098 0.017 0.010 0.007 0.003 0.001 0.001 DV UN Equity DEVRY INC Consumer Discretionary 32.34 1.11% 21.06.2013 32.66 40.53 39.94 38.56 -0.111 -0.154 -0.143 -0.113 0.002 0.004 0.003 0.001 DO UN Equity DIAMOND OFFSHORE DRILLING Energy 68.07 0.73% 25.04.2013 21.72 21.72 21.78 22.06 23.32 23.99 -0.192 -0.206 -0.218 -0.194 -0.171 -0.148 0.002 0.003 0.004 0.002 0.001 0.001 DTV UW Equity DIRECTV Consumer Discretionary 55.74 21.11 22.89 22.69 22.61 24.02 24.96 -0.417 -0.240 -0.196 -0.180 -0.147 -0.134 0.017 0.010 0.008 0.004 0.002 0.001 DFS UN Equity DISCOVER FINANCIAL SERVICES Financials 44.87 1.78% 02.04.2013 22.95 25.34 24.42 24.98 27.17 27.75 -0.337 -0.288 -0.261 -0.220 -0.167 -0.140 0.012 0.007 0.006 0.003 0.001 0.001 DISCA UW Equity DISCOVERY COMMUNICATIONS-A Consumer Discretionary 79.07 21.79 23.81 23.30 23.36 -0.322 -0.301 -0.260 -0.191 0.010 0.010 0.007 0.004 DLTR UW Equity DOLLAR TREE INC Consumer Discretionary 47.02 26.06 26.01 27.07 27.75 27.11 26.78 -0.132 -0.229 -0.203 -0.154 -0.122 -0.109 0.006 0.008 0.005 0.002 0.001 0.001 D UN Equity DOMINION RESOURCES INC/VA Utilities 56.86 4.02% 29.05.2013 12.24 12.69 12.72 12.86 -0.162 -0.289 -0.291 -0.239 0.003 0.007 0.008 0.007 DOV UN Equity DOVER CORP Industrials 72.22 2.08% 29.05.2013 20.57 19.75 19.82 20.96 -0.237 -0.229 -0.281 -0.218 0.004 0.004 0.006 0.003 DOW UN Equity DOW CHEMICAL CO/THE Materials 32.29 3.25% 28.06.2013 21.68 24.37 23.63 25.39 26.91 27.67 -0.461 -0.310 -0.280 -0.219 -0.169 -0.142 0.016 0.010 0.007 0.003 0.002 0.001 DHI UN Equity DR HORTON INC Consumer Discretionary 24.48 0.15% 10.02.2014 31.11 33.80 33.74 33.82 34.40 35.40 -0.359 -0.215 -0.176 -0.142 -0.094 -0.084 0.012 0.005 0.003 0.001 0.001 0.000 DPS UN Equity DR PEPPER SNAPPLE GROUP INC Consumer Staples 46.36 3.34% 20.06.2013 14.09 15.91 15.96 15.92 0.011 0.005 -0.042 -0.106 0.000 0.000 0.001 0.003 DTE UN Equity DTE ENERGY COMPANY Utilities 66.06 3.88% 20.06.2013 12.41 13.29 12.69 12.65 -0.050 -0.157 -0.212 -0.229 0.001 0.004 0.005 0.006 DUK UN Equity DUKE ENERGY CORP Utilities 70.28 4.44% 15.05.2013 10.91 11.14 11.12 11.90 13.53 14.90 -0.124 -0.212 -0.246 -0.207 -0.165 -0.130 0.002 0.005 0.007 0.006 0.004 0.003 DNB UN Equity DUN & BRADSTREET CORP Industrials 81.16 2.01% 29.05.2013 19.12 21.69 22.14 22.58 -0.129 -0.277 -0.216 -0.153 0.006 0.011 0.007 0.003 ETFC UW Equity E*TRADE FINANCIAL CORP Financials 10.56 35.53 34.16 33.50 33.00 34.47 34.90 -0.123 -0.157 -0.151 -0.160 -0.123 -0.127 0.004 0.006 0.006 0.003 0.002 0.001 EMN UN Equity EASTMAN CHEMICAL CO Materials 68.99 1.86% 13.06.2013 24.26 26.10 25.13 26.39 27.80 28.63 -0.207 -0.280 -0.289 -0.233 -0.189 -0.158 0.003 0.004 0.006 0.003 0.002 0.001 ETN UN Equity EATON CORP PLC Industrials 61.98 2.77% 09.05.2013 22.38 23.84 23.31 23.51 25.72 26.80 -0.334 -0.343 -0.295 -0.240 -0.195 -0.167 0.008 0.008 0.006 0.003 0.002 0.001 EBAY UW Equity EBAY INC Information Technology 51.31 35.68 31.80 30.11 30.48 32.08 33.15 -0.281 -0.207 -0.170 -0.173 -0.133 -0.112 0.004 0.002 0.000 0.002 0.001 0.001 ECL UN Equity ECOLAB INC Materials 79.73 1.25% 21.06.2013 16.25 17.33 16.65 16.71 -0.430 -0.211 -0.240 -0.209 0.013 0.003 0.005 0.004 EIX UN Equity EDISON INTERNATIONAL Utilities 50.73 2.05% 28.06.2013 13.21 13.76 13.74 14.34 -0.160 -0.240 -0.256 -0.204 0.003 0.005 0.007 0.006 EW UN Equity EDWARDS LIFESCIENCES CORP Health Care 81.71 25.31 28.92 28.22 27.67 27.12 28.39 -0.127 -0.162 -0.152 -0.128 -0.091 -0.071 0.002 0.004 0.003 0.002 0.002 0.001 DD UN Equity DU PONT (E.I.) DE NEMOURS Materials 49.11 3.73% 15.05.2013 15.21 16.54 16.66 17.79 19.89 20.52 -0.473 -0.373 -0.337 -0.261 -0.206 -0.171 0.017 0.010 0.009 0.005 0.003 0.002 EA UW Equity ELECTRONIC ARTS INC Information Technology 17.56 42.58 43.21 41.14 40.24 39.87 39.77 -0.138 -0.111 -0.124 -0.127 -0.107 -0.097 0.014 0.005 0.003 0.001 0.001 0.001 LLY UN Equity ELI LILLY & CO Health Care 55.62 3.52% 08.05.2013 13.24 15.43 15.41 16.33 17.99 18.74 -0.539 -0.305 -0.178 -0.215 -0.162 -0.134 0.019 0.009 0.002 0.005 0.003 0.002 EMC UN Equity EMC CORP/MA Information Technology 23.74 22.72 24.66 23.76 23.94 25.90 27.00 -0.252 -0.221 -0.167 -0.174 -0.134 -0.120 0.015 0.007 0.003 0.003 0.002 0.001 EMR UN Equity EMERSON ELECTRIC CO Industrials 55.83 3.08% 08.05.2013 18.70 19.35 18.83 19.60 21.46 22.25 -0.304 -0.404 -0.361 -0.277 -0.221 -0.186 0.008 0.010 0.007 0.005 0.003 0.002 ESV UN Equity ENSCO PLC-CL A Energy 58.59 3.46% 13.06.2013 24.28 25.73 25.11 26.46 28.46 29.18 -0.175 -0.212 -0.207 -0.181 -0.149 -0.128 0.002 0.004 0.005 0.003 0.001 0.001 ETR UN Equity ENTERGY CORP Utilities 61.67 5.38% 10.05.2013 14.08 14.07 14.76 15.58 -0.111 -0.140 -0.078 -0.198 0.001 0.004 0.004 0.004 EOG UN Equity EOG RESOURCES INC Energy 123.92 0.61% 17.07.2013 25.70 27.74 27.12 27.39 28.44 28.50 -0.388 -0.292 -0.265 -0.233 -0.213 -0.195 0.013 0.008 0.006 0.003 0.002 0.002 EQT UN Equity EQT CORP Energy 67.11 0.18% 08.05.2013 25.22 26.48 26.28 27.04 -0.273 -0.289 -0.270 -0.194 0.006 0.006 0.004 0.002 EFX UN Equity EQUIFAX INC Industrials 56.24 1.62% 24.05.2013 18.69 19.15 18.71 18.35 -0.064 -0.210 -0.254 -0.218 0.001 0.005 0.008 0.006 EQR UN Equity EQUITY RESIDENTIAL Financials 54.96 3.37% 20.06.2013 16.89 18.95 18.45 18.67 -0.124 -0.221 -0.249 -0.202 0.002 0.003 0.005 0.003 EL UN Equity ESTEE LAUDER COMPANIES-CL A Consumer Staples 63.28 1.19% 24.06.2013 21.69 25.37 24.03 23.88 24.67 24.74 -0.161 -0.167 -0.201 -0.183 -0.147 -0.127 0.004 0.004 0.004 0.003 0.002 0.002 EXC UN Equity EXELON CORP Utilities 33.51 3.70% 15.05.2013 14.98 15.78 15.44 15.69 17.60 18.61 -0.123 -0.180 -0.211 -0.168 -0.168 -0.134 0.002 0.005 0.008 0.006 0.004 0.003 EXPE UW Equity EXPEDIA INC Consumer Discretionary 62.38 0.90% 30.05.2013 33.89 38.97 36.19 35.71 37.45 38.46 -0.233 -0.236 -0.212 -0.179 -0.144 -0.128 0.004 0.004 0.002 0.001 0.001 0.001 EXPD UW Equity EXPEDITORS INTL WASH INC Industrials 35.67 1.79% 30.05.2013 26.15 28.88 28.08 26.80 26.40 27.00 -0.148 -0.163 -0.161 -0.147 -0.120 -0.101 0.007 0.011 0.007 0.003 0.001 0.001 ESRX UW Equity EXPRESS SCRIPTS HOLDING CO Health Care 57.74 20.17 22.31 22.43 24.48 25.29 26.13 -0.310 -0.248 -0.211 -0.172 -0.139 -0.118 0.012 0.008 0.006 0.002 0.001 0.001 XOM UN Equity EXXON MOBIL CORP Energy 89.02 2.92% 14.05.2013 13.35 13.54 13.58 14.19 16.37 17.22 -0.603 -0.411 -0.159 -0.275 -0.214 -0.175 0.018 0.010 0.001 0.006 0.004 0.003 FFIV UW Equity F5 NETWORKS INC Information Technology 87.48 33.90 38.98 36.81 36.83 38.64 39.80 -0.146 -0.150 -0.155 -0.136 -0.114 -0.097 0.013 0.000 0.001 0.001 0.001 0.000 FDO UN Equity FAMILY DOLLAR STORES Consumer Discretionary 60.23 1.78% 12.06.2013 32.99 28.88 28.09 27.20 26.81 26.47 -0.220 -0.177 -0.163 -0.134 -0.105 -0.103 0.005 0.002 0.001 0.000 0.000 0.000S&P 500 Index FAST UW Equity FASTENAL CO Industrials 50.37 1.25% 02.05.2013 24.74 23.87 23.88 24.55 25.69 26.24 -0.284 -0.304 -0.276 -0.195 -0.209 -0.183 0.008 0.009 0.007 0.002 0.002 0.002 FII UN Equity FEDERATED INVESTORS INC-CL B Financials 24.42 3.93% 06.05.2013 24.15 25.87 25.52 25.52 -0.066 -0.094 -0.129 -0.154 0.001 0.002 0.003 0.002 FDX UN Equity FEDEX CORP Industrials 97.02 0.66% 18.06.2013 20.40 20.27 20.71 21.31 22.60 23.10 -0.121 -0.112 -0.206 -0.207 -0.150 -0.121 0.013 0.004 0.003 0.002 0.001 0.001 FIS UN Equity FIDELITY NATIONAL INFORMATIO Information Technology 38.49 2.34% 14.06.2013 18.17 20.58 19.57 18.83 -0.652 -0.382 -0.301 -0.211 0.024 0.011 0.008 0.005 FITB UW Equity FIFTH THIRD BANCORP Financials 16.35 2.20% 28.06.2013 20.24 20.38 20.92 22.17 24.16 25.10 -0.409 -0.318 -0.274 -0.207 -0.151 -0.125 0.012 0.006 0.006 0.004 0.001 0.001 FHN UN Equity FIRST HORIZON NATIONAL CORP Financials 10.87 1.84% 12.06.2013 27.68 27.58 28.38 29.31 -0.084 -0.265 -0.261 -0.186 0.000 0.001 0.003 0.003 FSLR UW Equity FIRST SOLAR INC Information Technology 28.02 56.61 60.42 57.32 56.56 56.69 57.30 -0.102 -0.108 -0.082 -0.082 -0.088 -0.083 0.007 0.003 0.003 0.001 0.001 0.001 FE UN Equity FIRSTENERGY CORP Utilities 40.76 5.40% 05.08.2013 14.23 15.15 14.82 15.18 16.63 16.90 -0.228 -0.213 -0.246 -0.230 -0.123 -0.109 0.003 0.004 0.006 0.004 0.003 0.002 FISV UW Equity FISERV INC Information Technology 85.71 14.80 16.59 16.28 16.08 -0.188 -0.263 -0.316 -0.239 0.004 0.005 0.005 0.005 FLIR UW Equity FLIR SYSTEMS INC Information Technology 25.62 1.25% 23.05.2013 24.23 25.97 24.79 24.29 -0.080 -0.121 -0.146 -0.148 0.002 0.005 0.005 0.004 FLS UN Equity FLOWSERVE CORP Industrials 164.30 0.43% 28.06.2013 21.63 23.23 22.87 23.66 -0.293 -0.277 -0.255 -0.211 0.017 0.010 0.006 0.002 FLR UN Equity FLUOR CORP Industrials 64.30 1.06% 05.06.2013 22.85 25.81 25.48 26.16 27.90 28.76 -0.243 -0.251 -0.246 -0.198 -0.156 -0.130 0.005 0.004 0.004 0.002 0.001 0.001 FMC UN Equity FMC CORP Materials 56.65 0.71% 28.06.2013 22.10 22.76 21.77 22.14 -0.054 -0.197 -0.268 -0.229 0.001 0.004 0.005 0.004 FTI UN Equity FMC TECHNOLOGIES INC Energy 52.57 25.33 27.97 27.12 27.00 -0.201 -0.277 -0.238 -0.187 0.004 0.006 0.004 0.002 F UN Equity FORD MOTOR CO Consumer Discretionary 13.29 3.16% 26.04.2013 21.98 24.19 23.67 25.54 28.05 29.02 -0.322 -0.255 -0.189 -0.158 -0.136 -0.117 0.016 0.008 0.008 0.003 0.002 0.002 FRX UN Equity FOREST LABORATORIES INC Health Care 37.44 21.92 22.08 22.33 22.57 22.84 23.18 -0.100 -0.112 -0.144 -0.163 -0.134 -0.113 0.006 0.007 0.006 0.004 0.002 0.001 FOSL UW Equity FOSSIL INC Consumer Discretionary 95.63 38.73 46.22 41.85 40.51 39.78 39.53 -0.158 -0.194 -0.203 -0.162 -0.089 -0.080 0.001 0.002 0.002 0.003 0.001 0.000 BEN UN Equity FRANKLIN RESOURCES INC Financials 148.47 0.61% 28.06.2013 15.33 17.29 17.61 19.11 -0.301 -0.343 -0.311 -0.263 0.006 0.008 0.007 0.003 FCX UN Equity FREEPORT-MCMORAN COPPER Materials 32.59 4.13% 10.04.2013 26.61 28.18 28.21 29.85 32.08 33.53 -0.133 -0.179 -0.159 -0.124 -0.111 -0.092 0.020 0.008 0.005 0.002 0.002 0.001 FTR UW Equity FRONTIER COMMUNICATIONS CORP Telecommunication Services 3.87 10.34% 07.06.2013 29.37 31.01 31.45 29.95 30.63 28.39 -0.139 -0.334 -0.235 -0.148 -0.094 -0.085 0.003 0.005 0.002 0.002 0.004 0.006 GME UN Equity GAMESTOP CORP-CLASS A Consumer Discretionary 25.38 4.43% 29.05.2013 55.48 50.65 46.52 43.82 43.34 43.44 -0.306 -0.217 -0.168 -0.147 -0.141 -0.128 0.002 0.003 0.002 0.001 0.001 0.001 GCI UN Equity GANNETT CO Consumer Discretionary 21.66 3.78% 05.06.2013 35.57 34.80 35.93 34.73 34.29 34.27 -0.029 -0.153 -0.118 -0.104 -0.119 -0.115 0.010 0.010 0.006 0.004 0.002 0.001 GPS UN Equity GAP INC/THE Consumer Discretionary 35.99 1.67% 05.07.2013 26.10 27.34 28.91 29.23 29.45 29.37 -0.357 -0.261 -0.255 -0.193 -0.160 -0.153 0.012 0.006 0.004 0.002 0.001 0.001 GD UN Equity GENERAL DYNAMICS CORP Industrials 69.53 3.22% 03.07.2013 19.23 21.89 21.54 21.22 22.16 23.34 -0.349 -0.354 -0.307 -0.213 -0.204 -0.177 0.010 0.009 0.007 0.003 0.002 0.002 GE UN Equity GENERAL ELECTRIC CO Industrials 23.24 3.53% 27.06.2013 18.00 17.71 18.00 18.81 21.22 22.21 -0.394 -0.344 -0.320 -0.227 -0.163 -0.131 0.010 0.011 0.008 0.005 0.003 0.002 GIS UN Equity GENERAL MILLS INC Consumer Staples 48.08 3.06% 10.10.2013 12.96 13.35 13.77 13.96 14.58 15.43 -0.447 -0.261 -0.194 -0.156 -0.126 -0.106 0.019 0.010 0.008 0.005 0.003 0.002 GPC UN Equity GENUINE PARTS CO Consumer Discretionary 76.34 2.86% 12.06.2013 18.12 17.44 17.28 17.63 -0.434 -0.251 -0.226 -0.213 0.013 0.006 0.005 0.005 GNW UN Equity GENWORTH FINANCIAL INC-CL A Financials 10.15 39.34 43.95 41.37 41.83 43.28 44.60 -0.184 -0.160 -0.209 -0.153 -0.108 -0.099 0.003 0.004 0.006 0.002 0.001 0.001 GILD UW Equity GILEAD SCIENCES INC Health Care 44.98 27.23 27.96 26.92 27.67 29.14 30.03 -0.423 -0.301 -0.234 -0.162 -0.110 -0.090 0.020 0.009 0.006 0.003 0.001 0.001 GS UN Equity GOLDMAN SACHS GROUP INC Financials 146.11 1.37% 31.05.2013 26.66 25.71 25.14 24.44 25.48 25.70 -0.301 -0.275 -0.261 -0.230 -0.208 -0.164 0.014 0.007 0.006 0.004 0.002 0.001 GT UN Equity GOODYEAR TIRE & RUBBER CO Consumer Discretionary #N/A N/A 33.25 35.82 34.06 34.53 36.99 37.60 -0.107 -0.261 -0.241 -0.204 -0.150 -0.127 0.004 0.006 0.006 0.003 0.001 0.001 GOOG UW Equity GOOGLE INC-CL A Information Technology 809.64 26.24 22.63 20.99 21.88 22.96 23.72 -0.265 -0.169 -0.153 -0.131 -0.117 -0.101 0.008 0.005 0.004 0.002 0.001 0.001 HRB UN Equity H&R BLOCK INC Consumer Discretionary 28.46 2.81% 10.06.2013 28.84 28.58 28.88 28.39 28.08 28.35 -0.483 -0.369 -0.300 -0.200 -0.156 -0.137 0.020 0.013 0.009 0.005 0.003 0.002 HAL UN Equity HALLIBURTON CO Energy 39.65 1.30% 06.06.2013 26.69 27.89 27.41 28.05 29.85 30.63 -0.419 -0.270 -0.255 -0.206 -0.163 -0.142 0.013 0.007 0.005 0.002 0.002 0.001 HOG UN Equity HARLEY-DAVIDSON INC Consumer Discretionary 52.49 1.68% 31.05.2013 23.85 27.05 27.20 27.59 28.73 29.66 -0.269 -0.266 -0.238 -0.195 -0.156 -0.132 0.008 0.007 0.005 0.002 0.001 0.001 HAR UN Equity HARMAN INTERNATIONAL Consumer Discretionary 44.48 1.69% 09.05.2013 26.39 32.23 29.85 29.42 -0.120 -0.248 -0.211 -0.181 0.003 0.006 0.004 0.002 HRS UN Equity HARRIS CORP Information Technology 44.63 3.52% 31.05.2013 19.64 21.05 21.03 21.27 -0.040 -0.142 -0.206 -0.224 0.002 0.005 0.005 0.004 HIG UN Equity HARTFORD FINANCIAL SVCS GRP Financials 26.01 2.08% 31.05.2013 27.94 30.05 29.16 29.54 29.55 30.04 -0.329 -0.289 -0.259 -0.195 -0.153 -0.135 0.015 0.010 0.006 0.002 0.001 0.001 HAS UW Equity HASBRO INC Consumer Discretionary 43.67 3.66% 01.08.2013 19.40 21.14 20.37 20.36 20.86 21.47 -0.080 -0.166 -0.193 -0.155 -0.134 -0.120 0.002 0.005 0.006 0.005 0.002 0.001 HCP UN Equity HCP INC Financials 48.96 4.36% 09.05.2013 14.56 14.33 14.52 16.22 -0.328 -0.197 -0.204 -0.219 0.004 0.003 0.006 0.005 HCN UN Equity HEALTH CARE REIT INC Financials 66.20 4.73% 09.05.2013 10.71 11.22 11.69 13.15 15.11 16.14 -0.133 -0.221 -0.242 -0.253 -0.160 -0.147 0.002 0.005 0.005 0.006 0.003 0.002 HP UN Equity HELMERICH & PAYNE Energy 60.25 1.00% 15.08.2013 29.27 30.70 29.75 30.02 31.53 32.62 -0.142 -0.163 -0.201 -0.171 -0.146 -0.128 0.001 0.000 0.003 0.001 0.001 0.001 HSY UN Equity HERSHEY CO/THE Consumer Staples 85.49 1.99% 24.05.2013 12.27 14.08 14.16 14.33 -0.336 -0.306 -0.230 -0.145 0.011 0.012 0.009 0.005 HES UN Equity HESS CORP Energy 70.44 1.42% 20.06.2013 26.67 28.37 27.73 29.35 29.50 29.34 -0.130 -0.171 -0.159 -0.164 -0.165 -0.148 0.016 0.007 0.004 0.001 0.001 0.001 HPQ UN Equity HEWLETT-PACKARD CO Information Technology 23.10 1.89% 09.09.2013 31.67 33.86 35.97 33.97 35.07 35.28 -0.335 -0.237 -0.186 -0.149 -0.104 -0.091 0.012 0.006 0.003 0.002 0.001 0.001 HNZ UN Equity HJ HEINZ CO Consumer Staples 71.99 3.11% 24.06.2013 9.30 1.65 2.71 2.51 1.92 1.54 0.028 -0.095 -0.243 -0.357 -0.250 -0.190 -0.001 0.003 0.008 0.013 0.009 0.007 HD UN Equity HOME DEPOT INC Consumer Discretionary 69.47 2.32% 28.05.2013 16.38 18.03 19.15 19.57 21.61 22.80 -0.472 -0.333 -0.271 -0.209 -0.176 -0.150 0.018 0.013 0.008 0.004 0.002 0.002 HON UN Equity HONEYWELL INTERNATIONAL INC Industrials 74.86 2.35% 15.05.2013 16.55 16.21 16.36 18.00 20.55 21.69 -0.453 -0.367 -0.331 -0.260 -0.217 -0.182 0.016 0.012 0.010 0.005 0.003 0.002 HRL UN Equity HORMEL FOODS CORP Consumer Staples 39.66 1.78% 24.07.2013 15.03 15.94 17.46 17.16 0.011 -0.020 -0.100 -0.162 0.000 0.000 0.002 0.004 HSP UN Equity HOSPIRA INC Health Care 32.58 32.05 36.06 34.60 31.33 28.90 27.26 -0.063 -0.261 -0.195 -0.124 -0.132 -0.134 0.005 0.009 0.005 0.001 0.002 0.003 HST UN Equity HOST HOTELS & RESORTS INC Financials 16.99 2.12% 28.06.2013 20.73 22.20 22.11 22.95 24.90 25.86 -0.145 -0.218 -0.256 -0.252 -0.188 -0.149 0.002 0.004 0.006 0.003 0.002 0.001 HCBK UW Equity HUDSON CITY BANCORP INC Financials 8.57 0.93% 01.05.2013 19.52 19.42 19.32 18.41 -0.139 -0.139 -0.139 -0.124 0.001 0.001 0.001 0.001 HUM UN Equity HUMANA INC Health Care 66.70 1.26% 26.06.2013 37.96 35.11 33.17 30.86 30.14 30.42 -0.248 -0.261 -0.228 -0.142 -0.147 -0.131 0.008 0.004 0.003 0.001 0.002 0.002 HBAN UW Equity HUNTINGTON BANCSHARES INC Financials 7.35 2.72% 18.06.2013 23.61 21.76 21.92 22.78 25.52 26.85 -0.396 -0.095 -0.164 -0.188 -0.094 -0.087 0.014 -0.001 0.002 0.005 0.003 0.002 ITW UN Equity ILLINOIS TOOL WORKS Industrials 61.44 1.99% 28.06.2013 16.91 18.39 18.26 19.28 20.76 21.43 -0.264 -0.364 -0.330 -0.251 -0.199 -0.167 0.006 0.009 0.008 0.004 0.002 0.002 IR UN Equity INGERSOLL-RAND PLC Industrials 55.08 1.72% 18.06.2013 23.52 23.17 22.81 24.22 25.90 26.47 -0.215 -0.242 -0.271 -0.201 -0.158 -0.136 0.005 0.006 0.005 0.003 0.002 0.001 TEG UN Equity INTEGRYS ENERGY GROUP INC Utilities 56.55 4.85% 31.05.2013 13.98 14.55 14.45 14.46 0.012 -0.023 -0.140 -0.227 0.000 0.001 0.004 0.006 INTC UW Equity INTEL CORP Information Technology 21.15 4.33% 07.08.2013 22.19 20.19 19.93 21.28 23.31 24.57 -0.281 -0.225 -0.203 -0.153 -0.113 -0.088 0.008 0.010 0.008 0.004 0.003 0.002 ICE UN Equity INTERCONTINENTALEXCHANGE INC Financials 162.00 20.67 21.42 21.32 21.58 -0.288 -0.336 -0.284 -0.231 0.010 0.010 0.007 0.004 IBM UN Equity INTL BUSINESS MACHINES CORP Information Technology 210.74 1.80% 10.05.2013 19.33 16.80 16.35 16.88 17.31 18.09 -0.362 -0.295 -0.282 -0.218 -0.181 -0.150 0.014 0.012 0.008 0.005 0.003 0.002 IFF UN Equity INTL FLAVORS & FRAGRANCES Materials 75.27 1.93% 24.06.2013 15.61 18.61 18.26 17.79 -0.108 -0.263 -0.263 -0.228 0.002 0.005 0.006 0.005 IGT UN Equity INTL GAME TECHNOLOGY Consumer Discretionary 16.66 1.92% 18.06.2013 29.43 30.96 30.30 30.94 31.70 32.22 -0.156 -0.197 -0.143 -0.139 -0.099 -0.089 0.004 0.004 0.004 0.003 0.002 0.001 IP UN Equity INTERNATIONAL PAPER CO Materials 45.09 2.88% 24.05.2013 24.19 25.29 24.52 25.07 26.11 26.52 -0.522 -0.359 -0.306 -0.236 -0.174 -0.144 0.015 0.007 0.005 0.003 0.002 0.001 IPG UN Equity INTERPUBLIC GROUP OF COS INC Consumer Discretionary 12.98 1.85% 05.06.2013 25.12 29.82 28.42 28.45 29.70 31.35 0.004 -0.007 -0.041 -0.112 -0.108 -0.093 0.001 0.002 0.003 0.003 0.002 0.001 INTU UW Equity INTUIT INC Information Technology 64.84 1.05% 08.07.2013 20.61 21.90 21.10 20.60 21.94 22.85 -0.243 -0.231 -0.226 -0.199 -0.155 -0.133 0.006 0.006 0.006 0.004 0.002 0.001 ISRG UW Equity INTUITIVE SURGICAL INC Health Care 488.40 41.18 36.21 35.28 33.64 31.92 31.51 -0.347 -0.253 -0.216 -0.177 -0.128 -0.112 0.009 0.005 0.004 0.002 0.001 0.001 IVZ UN Equity INVESCO LTD Financials 28.32 2.82% 20.05.2013 20.13 22.13 21.50 21.70 -0.124 -0.261 -0.281 -0.263 0.001 0.003 0.005 0.005 IRM UN Equity IRON MOUNTAIN INC Industrials 35.66 3.14% 19.06.2013 21.27 23.70 22.51 22.68 23.75 23.87 -0.124 -0.234 -0.238 -0.193 -0.129 -0.102 0.002 0.006 0.005 0.004 0.001 0.001 JBL UN Equity JABIL CIRCUIT INC Information Technology 18.47 1.84% 15.05.2013 27.45 29.05 30.93 30.43 32.86 34.36 -0.093 -0.184 -0.194 -0.175 -0.123 -0.102 -0.001 0.001 0.002 0.002 0.001 0.001 JEC UN Equity JACOBS ENGINEERING GROUP INC Industrials 54.31 21.01 22.66 22.64 23.72 -0.376 -0.288 -0.264 -0.221 0.012 0.009 0.008 0.004 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

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