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S&P 1000 Index - Dividends and Implied Volatility Surface Parameters

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    S&P 1000 Index - Dividends and Implied Volatility Surface Parameters S&P 1000 Index - Dividends and Implied Volatility Surface Parameters Document Transcript

    • 16.10.2012 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 DDD UN Equity 3D SYSTEMS CORP Information Technology 37.79 60.63 57.40 56.97 59.40 60.25 59.85 59.50 -0.366 -0.209 -0.151 -0.120 -0.105 -0.085 -0.064 0.006 0.004 0.002 0.001 0.001 0.001 0.001 SHLM UW Equity SCHULMAN (A.) INC Materials 23.34 3.43% 19.10.2012 34.48 33.13 32.92 33.88 0.000 -0.116 -0.155 -0.193 0.000 0.004 0.004 0.003 AAON UW Equity AAON INC Industrials 18.86 1.33% 30.11.2012 35.24 35.15 35.06 33.21 -0.085 -0.085 -0.085 -0.064 0.000 0.000 0.001 0.000 AIR UN Equity AAR CORP Industrials 16.46 1.91% 31.01.2013 35.59 34.82 35.13 37.11 -0.110 -0.142 -0.154 -0.173 0.001 0.005 0.006 0.003 AAN UN Equity AARONS INC Consumer Discretionary 27.23 0.25% 30.11.2012 31.05 31.05 31.05 31.05 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 ABAX UW Equity ABAXIS INC Health Care 36.29 51.70 46.05 43.38 40.39 -0.532 -0.352 -0.265 -0.152 0.007 0.003 0.002 0.000 ABM UN Equity ABM INDUSTRIES INC Industrials 18.06 3.32% 02.01.2013 82.03 102.61 84.19 36.74 0.000 0.638 0.877 -0.466 0.000 -0.017 -0.003 0.058 AKR UN Equity ACADIA REALTY TRUST Financials 25.36 2.84% 28.12.2012 17.97 16.97 16.77 0.000 0.003 -0.015 0.000 0.000 0.000 ACIW UW Equity ACI WORLDWIDE INC Information Technology 40.78 33.79 32.92 32.68 32.67 -0.245 -0.236 -0.213 -0.126 0.004 0.004 0.003 0.002 ACOR UW Equity ACORDA THERAPEUTICS INC Health Care 23.61 89.53 64.67 57.05 53.35 -1.560 -0.261 0.125 -0.368 0.105 0.046 0.021 0.008 ATU UN Equity ACTUANT CORP-A Industrials 28.05 0.14% 25.09.2013 35.14 36.04 36.21 35.82 -0.152 -0.164 -0.167 -0.167 0.001 0.006 0.007 0.006 AYI UN Equity ACUITY BRANDS INC Industrials 61.64 0.73% 14.01.2013 27.63 31.07 32.19 33.03 -0.225 -0.174 -0.170 -0.216 0.005 0.005 0.004 0.004 ACXM UW Equity ACXIOM CORP Information Technology 17.71 33.69 33.30 33.48 33.55 0.000 0.409 0.397 -0.208 0.000 0.002 0.004 0.012 ADTN UW Equity ADTRAN INC Information Technology 15.72 2.35% 29.01.2013 49.10 48.96 48.93 47.87 52.12 46.48 40.91 -0.108 -0.053 -0.114 -0.204 -0.177 -0.089 0.041 0.005 0.004 0.003 0.002 0.002 0.003 0.000 AAP UN Equity ADVANCE AUTO PARTS INC Consumer Discretionary 67.77 0.35% 19.12.2012 32.71 29.47 28.88 -0.329 -0.264 -0.221 0.008 0.005 0.003 AEIS UW Equity ADVANCED ENERGY INDUSTRIES Information Technology 11.62 37.21 39.97 40.98 42.01 0.000 -0.096 -0.130 -0.158 0.000 0.001 0.002 0.005 ADVS UW Equity ADVENT SOFTWARE INC Information Technology 24.15 35.45 35.33 35.55 36.48 -0.105 -0.137 -0.149 -0.160 0.001 0.003 0.003 0.002 ACM UN Equity AECOM TECHNOLOGY CORP Industrials 21.58 34.67 33.16 32.73 -0.157 -0.232 -0.225 0.001 0.007 0.007 AEGN UW Equity AEGION CORP Industrials 18.79 44.82 37.60 37.81 0.000 -0.113 -0.099 0.000 0.001 0.001 ARO UN Equity AEROPOSTALE INC Consumer Discretionary 12.75 45.18 46.40 46.99 48.01 49.48 49.94 50.04 -0.187 -0.190 -0.187 -0.172 -0.152 -0.132 -0.113 0.005 0.003 0.002 0.001 0.001 0.001 0.001 AVAV UW Equity AEROVIRONMENT INC Industrials 23.61 30.35 30.35 31.62 -0.264 -0.264 -0.220 0.008 0.008 0.006 AMG UN Equity AFFILIATED MANAGERS GROUP Financials 122.92 24.59 23.50 24.08 -0.540 -0.427 -0.376 0.015 0.009 0.006 AFFX UW Equity AFFYMETRIX INC Health Care 3.47 64.95 64.94 64.94 57.70 -0.038 -0.038 -0.038 -0.093 0.000 0.000 0.000 0.000 AGCO UN Equity AGCO CORP Industrials 47.11 1.27% 13.11.2012 33.40 32.95 33.15 34.38 -0.522 -0.394 -0.329 -0.232 0.017 0.009 0.006 0.003 AGYS UW Equity AGILYSYS INC Information Technology 8.65 48.93 48.95 48.97 49.48 -0.234 -0.234 -0.234 -0.150 0.000 0.000 0.000 0.000 AIRM UW Equity AIR METHODS CORP Health Care 110.89 42.93 40.23 39.27 38.49 -0.213 -0.225 -0.216 -0.161 0.006 0.004 0.004 0.005 AKS UN Equity AK STEEL HOLDING CORP Materials 5.32 61.48 61.21 62.68 60.14 60.03 -0.285 -0.299 -0.248 -0.228 -0.178 0.013 0.011 0.007 0.003 0.002 AKRX UW Equity AKORN INC Health Care 12.51 46.93 43.65 43.86 0.000 -0.384 -0.410 0.000 0.016 0.013 ALK UN Equity ALASKA AIR GROUP INC Industrials 37.10 30.60 28.86 28.58 29.53 -0.143 -0.204 -0.217 -0.196 0.000 0.003 0.004 0.003 AIN UN Equity ALBANY INTL CORP-CL A Industrials 21.96 2.64% 03.01.2013 ALB UN Equity ALBEMARLE CORP Materials 52.35 1.67% 15.03.2013 28.48 27.84 28.27 -0.323 -0.365 -0.342 0.006 0.006 0.005 ALEX UN Equity ALEXANDER & BALDWIN INC Financials 27.47 35.19 39.97 38.02 -0.339 -0.208 -0.173 0.022 0.008 0.014 ARE UN Equity ALEXANDRIA REAL ESTATE EQUIT Financials 73.85 2.91% 28.12.2012 19.89 18.30 18.32 20.32 0.000 -0.128 -0.187 -0.266 0.000 0.002 0.003 0.003 ALGN UW Equity ALIGN TECHNOLOGY INC Health Care 36.87 55.20 49.08 47.65 49.83 52.21 52.16 51.40 -0.377 -0.308 -0.270 -0.205 -0.119 -0.088 -0.075 0.006 0.005 0.004 0.002 0.001 0.001 0.001 Y UN Equity ALLEGHANY CORP Financials 350.40 ALGT UW Equity ALLEGIANT TRAVEL CO Industrials 69.81 31.91 31.99 31.98 32.40 -0.315 -0.519 -0.502 -0.237 0.005 0.010 0.009 0.003 ALE UN Equity ALLETE INC Utilities 41.59 4.57% 15.11.2012 ADS UN Equity ALLIANCE DATA SYSTEMS CORP Information Technology 138.71 25.30 22.94 22.64 -0.444 -0.355 -0.338 0.011 0.009 0.007 AOI UN Equity ALLIANCE ONE INTERNATIONAL Consumer Staples 3.25 LNT UN Equity ALLIANT ENERGY CORP Utilities 44.56 4.21% 23.01.2013 18.04 15.06 14.22 14.80 0.000 0.018 0.002 -0.099 0.000 0.000 0.000 0.002 ATK UN Equity ALLIANT TECHSYSTEMS INC Industrials 53.42 1.54% 03.12.2012 38.44 34.12 32.44 30.92 -0.133 -0.192 -0.210 -0.189 0.010 0.005 0.003 0.002 MDRX UW Equity ALLSCRIPTS HEALTHCARE SOLUTI Health Care 13.75 45.37 49.69 47.91 -0.287 -0.361 -0.326 0.025 0.002 -0.002 AFAM UW Equity ALMOST FAMILY INC Health Care 20.97 37.16 36.05 35.02 31.91 -0.065 -0.233 -0.263 -0.135 0.000 0.001 0.001 0.000 ANR UN Equity ALPHA NATURAL RESOURCES INC Energy 8.48 88.47 83.77 81.12 77.61 73.62 -0.168 -0.218 -0.209 -0.134 -0.112 0.007 0.004 0.003 0.002 0.001 CAS UN Equity CASTLE (A.M.) & CO Materials 12.74 06.11.2012 55.72 56.65 56.53 -0.049 -0.131 -0.157 -0.001 0.004 0.004 AMCX UW Equity AMC NETWORKS INC-A Consumer Discretionary 42.35 47.12 42.16 40.88 -0.047 -0.178 -0.201 0.000 -0.002 -0.002 ACO UN Equity AMCOL INTERNATIONAL CORP Materials 33.12 2.42% 07.12.2012 38.72 38.17 38.13 -0.220 -0.109 -0.111 0.002 0.001 0.001 AMED UW Equity AMEDISYS INC Health Care 12.08 53.87 50.16 47.98 -0.154 -0.115 -0.246 0.003 0.003 0.007 ACC UN Equity AMERICAN CAMPUS COMMUNITIES Financials 43.48 3.40% 15.11.2012 20.20 16.77 17.30 0.000 -0.148 -0.218 0.000 0.011 0.012 AEO UN Equity AMERICAN EAGLE OUTFITTERS Consumer Discretionary 21.89 2.19% 21.12.2012 31.04 31.86 32.75 34.65 36.00 36.63 37.02 -0.160 -0.220 -0.219 -0.164 -0.136 -0.120 -0.102 0.008 0.005 0.003 0.002 0.001 0.001 0.001 AFG UN Equity AMERICAN FINANCIAL GROUP INC Financials 38.26 1.53% 09.01.2013 17.61 17.57 18.06 -0.139 -0.139 -0.091 0.001 0.002 0.001 AM UN Equity AMERICAN GREETINGS CORP-CL A Consumer Discretionary 17.06 3.69% 27.12.2012 17.84 21.28 21.80 20.58 0.000 -0.291 -0.324 -0.226 0.000 0.006 0.006 0.004 APEI UW Equity AMERICAN PUBLIC EDUCATION Consumer Discretionary 37.17 44.30 39.13 38.42 -0.370 -0.226 -0.171 0.010 0.011 0.009 ASEI UW Equity AMERICAN SCIENCE & ENGINEERI Industrials 64.12 3.12% 23.11.2012 39.06 32.47 30.27 30.22 -0.113 -0.175 -0.189 -0.146 -0.002 0.002 0.004 0.007 AWR UN Equity AMERICAN STATES WATER CO Utilities 43.90 3.28% 09.11.2012 16.35 16.35 17.16 0.000 0.000 -0.024 0.000 0.000 0.000S&P 1000 Index AVD UN Equity AMERICAN VANGUARD CORP Materials 34.00 0.47% 03.04.2013 43.06 43.71 44.23 45.68 -0.202 -0.165 -0.161 -0.196 0.005 0.012 0.013 0.008 AGP UN Equity AMERIGROUP CORP Health Care 91.65 4.54 4.54 4.54 3.92 3.92 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 AMSF UW Equity AMERISAFE INC Financials 27.01 AME UN Equity AMETEK INC Industrials 34.82 0.69% 07.12.2012 26.78 24.11 24.07 -0.317 -0.344 -0.246 0.008 0.011 0.012 AHS UN Equity AMN HEALTHCARE SERVICES INC Health Care 9.52 81.24 81.24 81.24 81.24 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 AMSG UW Equity AMSURG CORP Health Care 27.25 35.28 32.69 31.59 0.000 -0.131 -0.163 0.000 0.000 0.001 ALOG UW Equity ANALOGIC CORP Health Care 79.64 0.55% 17.12.2012 22.78 26.26 27.40 28.58 -0.295 -0.257 -0.234 -0.193 0.006 0.007 0.006 0.004 ANDE UW Equity ANDERSONS INC/THE Consumer Staples 37.70 1.91% 03.01.2013 32.28 29.46 29.35 -0.197 -0.272 -0.262 0.001 0.008 0.007 AXE UN Equity ANIXTER INTERNATIONAL INC Information Technology 55.29 33.44 33.27 33.06 32.34 -0.153 -0.105 -0.094 -0.110 0.001 0.002 0.002 0.001 ANN UN Equity ANN INC Consumer Discretionary 36.87 39.45 38.12 37.15 39.48 40.46 -0.479 -0.367 -0.301 -0.269 -0.218 0.008 0.003 0.002 0.001 0.001 ANSS UW Equity ANSYS INC Information Technology 70.31 29.69 27.67 27.39 28.90 -0.417 -0.387 -0.346 -0.230 0.006 0.008 0.008 0.003 AOS UN Equity SMITH (A.O.) CORP Industrials 56.13 1.48% 30.01.2013 28.95 27.57 27.36 27.99 -0.187 -0.196 -0.198 -0.195 0.003 0.004 0.004 0.002 AOL UN Equity AOL INC Information Technology 37.22 34.76 30.53 29.17 29.04 29.11 28.85 28.45 -0.334 -0.253 -0.215 -0.171 -0.124 -0.098 -0.079 0.014 0.005 0.002 0.001 0.000 0.000 0.000 APOG UW Equity APOGEE ENTERPRISES INC Industrials 19.70 1.83% 08.02.2013 45.96 48.35 48.36 44.97 0.000 -0.333 -0.442 -0.568 0.000 0.008 0.010 0.012 AINV UW Equity APOLLO INVESTMENT CORP Financials 7.85 10.19% 11.12.2012 23.14 25.34 25.08 0.000 -0.107 -0.118 0.000 0.001 0.004 AIT UN Equity APPLIED INDUSTRIAL TECH INC Industrials 41.03 2.41% 15.11.2012 33.24 33.24 33.24 31.90 -0.255 -0.250 -0.246 -0.020 0.007 0.007 0.008 0.016 AREX UW Equity APPROACH RESOURCES INC Energy 27.89 49.27 47.40 47.62 50.70 -0.371 -0.315 -0.281 -0.210 0.007 0.006 0.005 0.001 ATR UN Equity APTARGROUP INC Materials 51.45 1.75% 05.11.2012 22.07 22.13 22.30 22.86 -0.260 -0.232 -0.216 -0.181 0.004 0.004 0.004 0.003 WTR UN Equity AQUA AMERICA INC Utilities 25.04 2.80% 15.02.2013 18.13 17.07 17.24 0.000 -0.151 -0.168 0.000 0.003 0.004 ARB UN Equity ARBITRON INC Consumer Discretionary 38.35 1.04% 14.12.2012 32.58 32.58 32.58 33.33 0.000 0.000 0.000 -0.032 0.000 0.000 0.000 0.000 ACI UN Equity ARCH COAL INC Energy 7.79 1.54% 28.11.2012 78.65 74.60 72.31 67.87 67.17 67.30 67.38 -0.221 -0.230 -0.224 -0.188 -0.144 -0.120 -0.103 0.006 0.003 0.002 0.001 0.001 0.001 0.001 ACAT UW Equity ARCTIC CAT INC Consumer Discretionary 38.99 55.22 53.49 54.03 -0.251 -0.240 -0.226 0.004 0.002 0.002 ABFS UW Equity ARKANSAS BEST CORP Industrials 8.27 2.18% 09.11.2012 63.99 63.28 61.69 -0.221 -0.077 -0.090 -0.002 -0.001 0.000 ARQL UQ Equity ARQULE INC Health Care 2.65 121.00 124.10 118.73 95.62 0.000 0.173 0.183 0.070 0.000 0.002 0.003 0.001 ARRS UW Equity ARRIS GROUP INC Information Technology 12.68 33.33 31.94 31.53 31.51 0.281 -0.105 -0.226 -0.229 0.007 0.007 0.006 0.003 ARW UN Equity ARROW ELECTRONICS INC Information Technology 32.91 41.66 32.98 30.79 0.000 -0.391 -0.418 0.000 0.005 0.004 AJG UN Equity ARTHUR J GALLAGHER & CO Financials 36.19 3.84% 28.12.2012 26.24 26.24 26.24 18.96 0.009 0.008 0.008 -0.167 0.000 0.000 0.000 0.003 ASNA UW Equity ASCENA RETAIL GROUP INC Consumer Discretionary 20.25 32.34 35.11 35.28 -0.158 -0.273 -0.262 0.004 0.004 0.003 ASH UN Equity ASHLAND INC Materials 70.06 1.43% 30.11.2012 31.93 29.71 29.29 30.52 32.66 -0.477 -0.393 -0.343 -0.250 -0.187 0.013 0.008 0.006 0.003 0.002 AHL UN Equity ASPEN INSURANCE HOLDINGS LTD Financials 31.25 2.18% 09.11.2012 21.66 20.74 20.81 0.000 0.000 0.000 0.000 0.000 0.000 ASBC UW Equity ASSOCIATED BANC-CORP Financials 12.73 2.28% 07.11.2012 31.14 33.20 33.32 0.000 0.008 -0.029 0.000 0.000 0.001 ASTE UW Equity ASTEC INDUSTRIES INC Industrials 31.10 48.41 47.46 45.15 -0.412 0.191 0.125 -0.005 0.003 0.001 AF UN Equity ASTORIA FINANCIAL CORP Financials 10.20 1.57% 13.11.2012 28.85 28.78 28.92 29.54 0.000 0.038 0.007 -0.161 0.000 -0.001 0.000 0.003 ATNI UW Equity ATLANTIC TELE-NETWORK INC Telecommunication Services 43.37 2.35% 28.12.2012 38.67 38.65 38.63 -0.093 -0.093 -0.093 0.001 0.001 0.001 ATML UW Equity ATMEL CORP Information Technology 4.80 65.42 56.43 55.35 57.30 56.65 -0.066 -0.058 -0.098 -0.195 -0.164 0.007 0.005 0.004 0.002 0.001 ATMI UW Equity ATMI INC Information Technology 18.00 39.74 36.99 36.95 -0.017 -0.246 -0.260 0.000 0.005 0.004 ATO UN Equity ATMOS ENERGY CORP Utilities 35.66 3.93% 23.11.2012 ATW UN Equity ATWOOD OCEANICS INC Energy 46.74 29.95 28.72 29.00 -0.416 -0.364 -0.320 0.009 0.007 0.006 AVID UW Equity AVID TECHNOLOGY INC Information Technology 8.89 57.75 56.31 54.58 -0.273 -0.246 -0.226 0.002 0.001 0.002 AVA UN Equity AVISTA CORP Utilities 25.90 4.59% 27.11.2012 20.72 17.83 17.24 0.000 -0.252 -0.158 0.000 0.008 0.005 AVT UN Equity AVNET INC Information Technology 27.07 33.64 33.53 33.60 34.02 -0.264 -0.295 -0.271 -0.153 0.011 0.004 0.002 0.006 AZZ UN Equity AZZ INC Industrials 35.66 1.57% 30.01.2013 28.14 31.29 31.99 31.21 -0.062 -0.136 -0.157 -0.157 0.004 0.002 0.002 0.003 BGS UN Equity B&G FOODS INC Consumer Staples 28.13 4.05% 28.12.2012 31.51 28.27 27.42 28.04 -0.149 -0.179 -0.195 -0.240 0.002 0.008 0.009 0.005 BEAV UW Equity B/E AEROSPACE INC Industrials 43.96 29.92 28.11 28.16 30.67 -0.154 -0.213 -0.224 -0.202 0.005 0.006 0.006 0.003 BMI UN Equity BADGER METER INC Information Technology 37.04 1.86% 28.11.2012 38.26 38.33 38.40 34.10 0.163 0.163 0.163 -0.179 0.000 0.000 0.000 0.008 BCPC UW Equity BALCHEM CORP Materials 34.98 0.57% 14.12.2012 32.82 32.40 32.17 31.80 -0.148 -0.167 -0.171 -0.159 0.004 0.002 0.002 0.002 BYI UN Equity BALLY TECHNOLOGIES INC Consumer Discretionary 46.61 31.07 28.48 27.94 29.61 29.56 29.87 30.45 -0.263 -0.206 -0.202 -0.283 -0.127 -0.086 -0.113 0.005 0.005 0.005 0.001 0.008 0.007 0.003 BXS UN Equity BANCORPSOUTH INC Financials 14.12 0.28% 13.12.2012 31.34 30.12 29.83 30.26 0.000 -0.077 -0.101 -0.109 0.000 0.001 0.001 0.000 BKMU UW Equity BANK MUTUAL CORP Financials 4.40 0.91% 16.11.2012 52.18 52.18 52.18 0.000 0.000 0.000 0.000 0.000 0.000 BOH UN Equity BANK OF HAWAII CORP Financials 44.11 4.08% 28.11.2012 22.14 21.35 20.94 20.56 -0.287 -0.260 -0.252 -0.272 0.005 0.005 0.007 0.012 OZRK UW Equity BANK OF THE OZARKS Financials 32.44 1.29% 09.01.2013 32.79 29.67 27.95 24.48 0.000 -0.052 -0.090 -0.161 0.000 -0.002 -0.001 0.005 BKS UN Equity BARNES & NOBLE INC Consumer Discretionary 15.49 67.87 66.94 66.92 67.97 65.19 66.62 70.89 -0.174 -0.199 -0.195 -0.145 -0.184 -0.193 -0.174 0.009 0.005 0.003 0.002 0.002 0.002 0.001 B UN Equity BARNES GROUP INC Industrials 24.21 2.07% 28.11.2012 30.09 28.45 28.48 -0.186 -0.095 -0.103 0.002 0.001 0.002 BAS UN Equity BASIC ENERGY SERVICES INC Energy 11.30 56.07 50.89 50.28 54.29 -0.258 -0.183 -0.164 -0.178 0.014 0.009 0.007 0.002 BBCN UW Equity BBCN BANCORP INC Financials 12.39 0.97% 26.12.2012 BELFB UW Equity BEL FUSE INC-CL B Information Technology 16.34 1.96% 17.01.2013 BDC UN Equity BELDEN INC Industrials 37.51 0.53% 12.12.2012 41.66 40.80 40.73 -0.148 -0.003 -0.034 0.001 -0.001 0.004 BHE UN Equity BENCHMARK ELECTRONICS INC Information Technology 15.44 43.32 40.03 38.90 38.45 0.000 -0.109 -0.151 -0.182 0.000 0.000 0.001 0.001 BGFV UW Equity BIG 5 SPORTING GOODS CORP Consumer Discretionary 9.11 3.79% 30.11.2012 BH UN Equity BIGLARI HOLDINGS INC Consumer Discretionary 370.00 BBG UN Equity BILL BARRETT CORP Energy 24.59 50.45 48.19 47.68 -0.244 -0.261 -0.235 0.010 0.003 0.001 BIO UN Equity BIO-RAD LABORATORIES-A Health Care 105.04 32.39 29.77 28.84 -0.325 -0.294 -0.276 0.005 0.006 0.005 BRLI UW Equity BIO-REFERENCE LABS INC Health Care 32.11 33.75 35.93 36.91 38.41 -0.183 -0.132 -0.122 -0.131 0.000 0.003 0.004 0.002 BMR UN Equity BIOMED REALTY TRUST INC Financials 19.23 4.63% 28.12.2012 22.12 22.12 21.90 0.000 0.000 0.024 0.000 0.000 0.000 BJRI UW Equity BJS RESTAURANTS INC Consumer Discretionary 40.11 33.54 32.60 31.92 30.56 -0.278 -0.331 -0.320 -0.236 0.005 0.009 0.009 0.003 BBOX UW Equity BLACK BOX CORP Information Technology 25.27 1.35% 28.12.2012 38.89 38.89 38.89 0.000 0.000 0.000 0.000 0.000 0.000 BKH UN Equity BLACK HILLS CORP Utilities 35.48 4.21% 16.11.2012 19.54 18.75 18.74 19.54 0.000 0.018 0.011 -0.028 0.000 0.000 0.000 0.001 BLKB UW Equity BLACKBAUD INC Information Technology 24.14 2.11% 28.11.2012 35.26 35.65 35.54 -0.078 -0.193 -0.236 0.001 0.005 0.005 BCOR UW Equity BLUCORA INC Information Technology 17.84 49.07 44.39 42.78 42.14 -0.186 -0.195 -0.188 -0.131 0.008 0.002 0.001 0.002 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 NILE UW Equity BLUE NILE INC Consumer Discretionary 39.70 73.65 64.22 60.73 58.52 -0.233 -0.168 -0.151 -0.172 0.005 0.004 0.003 0.001 BTH UN Equity BLYTH INC Consumer Discretionary 26.96 0.37% 25.04.2013 66.48 62.43 61.04 0.290 -0.005 -0.099 0.003 0.002 0.001 BOBE UW Equity BOB EVANS FARMS Consumer Discretionary 38.21 2.97% 28.11.2012 31.91 28.98 28.84 -0.162 -0.294 -0.264 0.002 0.011 0.009 SAM UN Equity BOSTON BEER COMPANY INC-A Consumer Staples 106.81 36.28 34.00 33.58 -0.304 -0.245 -0.194 0.012 0.006 0.003 BPFH UW Equity BOSTON PRIVATE FINL HOLDING Financials 9.51 1.05% 16.11.2012 31.99 31.99 31.99 31.99 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 EPAY UW Equity BOTTOMLINE TECHNOLOGIES INC Information Technology 24.68 31.42 31.42 30.96 0.000 0.000 0.000 0.000 0.000 0.000 BYD UN Equity BOYD GAMING CORP Consumer Discretionary 6.46 50.75 46.06 47.61 47.01 49.78 -0.100 -0.178 -0.290 -0.225 -0.164 0.000 0.010 0.006 0.001 0.000 BRC UN Equity BRADY CORPORATION - CL A Industrials 30.34 2.54% 09.01.2013 BRE UN Equity BRE PROPERTIES INC Financials 46.58 3.37% 14.12.2012 25.72 25.72 25.72 21.68 0.000 0.000 0.000 -0.416 0.000 0.000 0.000 0.014 BGG UN Equity BRIGGS & STRATTON Industrials 18.79 2.58% 30.11.2012 28.72 28.32 28.60 29.27 -0.046 -0.195 -0.257 -0.284 0.000 0.007 0.008 0.005 BCO UN Equity BRINKS CO/THE Industrials 27.11 1.48% 13.11.2012 32.29 29.24 29.22 0.049 -0.317 -0.356 -0.001 0.005 0.004 EAT UN Equity BRINKER INTERNATIONAL INC Consumer Discretionary 32.91 2.52% 05.12.2012 34.83 30.63 29.55 30.71 -0.194 -0.251 -0.257 -0.214 0.002 0.005 0.006 0.003 BRS UN Equity BRISTOW GROUP INC Energy 49.65 1.71% 16.11.2012 27.31 26.33 26.72 0.000 -0.065 -0.082 0.000 0.001 0.002 BR UN Equity BROADRIDGE FINANCIAL SOLUTIO Information Technology 22.79 3.20% 12.12.2012 17.59 17.59 25.08 0.000 0.000 0.000 0.000 0.000 0.000 BRKL UW Equity BROOKLINE BANCORP INC Financials 8.40 4.05% 07.11.2012 BRKS UW Equity BROOKS AUTOMATION INC Information Technology 7.14 4.48% 12.12.2012 36.97 36.04 36.26 37.96 0.000 0.039 0.007 -0.166 0.000 -0.001 0.000 0.004 BRO UN Equity BROWN & BROWN INC Financials 26.30 1.37% 29.10.2012 30.14 26.54 23.64 0.000 0.014 -0.060 0.000 -0.001 0.003 BWS UN Equity BROWN SHOE COMPANY INC Consumer Discretionary 16.27 1.72% 19.12.2012 40.95 36.61 37.93 45.92 -0.099 -0.104 -0.134 -0.176 0.000 -0.003 -0.001 0.010 BC UN Equity BRUNSWICK CORP Consumer Discretionary 23.55 0.21% 16.11.2012 46.61 45.23 43.35 -0.328 -0.347 -0.262 0.005 0.001 0.003 BKI UN Equity BUCKEYE TECHNOLOGIES INC Materials 31.24 1.22% 13.11.2012 35.90 33.94 33.63 34.76 -0.161 -0.178 -0.186 -0.209 -0.002 0.004 0.005 0.003 BKE UN Equity BUCKLE INC/THE Consumer Discretionary 45.12 1.77% 14.01.2013 34.10 32.04 31.67 -0.319 -0.246 -0.203 0.005 0.004 0.003 BWLD UW Equity BUFFALO WILD WINGS INC Consumer Discretionary 88.57 49.42 40.83 38.30 -0.523 -0.363 -0.291 0.006 0.005 0.005 CAB UN Equity CABELAS INC Consumer Discretionary 54.92 40.18 35.04 34.14 -0.244 -0.202 -0.189 0.003 0.005 0.004 CBT UN Equity CABOT CORP Materials 36.68 2.29% 21.11.2012 34.17 34.27 34.32 35.08 -0.231 -0.219 -0.211 -0.190 -0.001 0.000 0.001 0.000 CCMP UW Equity CABOT MICROELECTRONICS CORP Information Technology 33.85 35.38 31.77 31.00 32.60 -0.101 -0.174 -0.188 -0.160 0.002 0.006 0.006 0.003 CACI UN Equity CACI INTERNATIONAL INC -CL A Information Technology 49.10 32.38 30.64 30.30 -0.277 -0.299 -0.279 0.003 0.005 0.004 CDNS UW Equity CADENCE DESIGN SYS INC Information Technology 12.56 33.55 33.12 32.82 32.11 -0.068 -0.199 -0.234 -0.224 0.001 0.001 0.001 0.002 CALM UW Equity CAL-MAINE FOODS INC Consumer Staples 42.92 2.25% 22.01.2013 25.78 24.66 24.68 25.87 -0.159 -0.103 -0.093 -0.127 0.001 0.007 0.008 0.004 CLMS UW Equity CALAMOS ASSET MANAGEMENT-A Financials 11.00 4.09% 16.11.2012 46.08 38.92 37.20 38.45 -0.165 -0.221 -0.250 -0.294 -0.001 -0.002 -0.002 0.003 CVGW UW Equity CALAVO GROWERS INC Consumer Staples 25.52 2.55% 27.11.2013 38.42 38.00 38.78 41.35 0.000 -0.181 -0.197 -0.195 0.000 0.010 0.010 0.009 CCC UN Equity CALGON CARBON CORP Materials 13.34 41.21 36.80 35.38 35.01 0.000 -0.122 -0.165 -0.168 0.000 0.003 0.004 0.001 ELY UN Equity CALLAWAY GOLF COMPANY Consumer Discretionary 6.35 0.63% 14.11.2012 41.27 37.18 35.82 35.47 0.000 -0.134 -0.167 -0.152 0.000 0.007 0.008 0.004 CBM UN Equity CAMBREX CORP Health Care 13.29 55.32 55.32 55.32 55.32 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CPT UN Equity CAMDEN PROPERTY TRUST Financials 63.37 3.72% 28.12.2012 22.27 22.22 22.17 22.02 -0.044 -0.044 -0.044 -0.044 0.000 0.000 0.000 0.000 CMN UN Equity CANTEL MEDICAL CORP Health Care 25.56 0.47% 16.01.2013 32.63 31.81 32.34 0.000 0.030 -0.011 0.000 -0.001 0.000 CPLA UW Equity CAPELLA EDUCATION CO Consumer Discretionary 36.86 42.27 47.04 45.37 -0.221 -0.105 -0.037 0.000 -0.010 -0.006 CRR UN Equity CARBO CERAMICS INC Energy 64.08 1.73% 31.01.2013 52.90 46.24 46.47 46.68 46.41 -0.265 -0.208 -0.154 -0.192 -0.136 0.004 0.006 0.003 0.001 0.001 CATM UW Equity CARDTRONICS INC Information Technology 29.15 42.19 37.98 37.58 -0.063 -0.153 -0.152 0.001 0.010 0.009 CECO UW Equity CAREER EDUCATION CORP Consumer Discretionary 3.88 77.25 69.07 67.05 69.33 66.50 -0.002 -0.198 -0.253 -0.194 -0.065 0.000 0.006 0.007 0.002 0.000 CSL UN Equity CARLISLE COS INC Industrials 52.77 1.55% 14.11.2012 29.26 30.62 30.96 -0.304 -0.333 -0.325 0.006 0.004 0.003 CRS UN Equity CARPENTER TECHNOLOGY Materials 51.97 1.50% 01.02.2013 36.90 36.81 37.03 -0.463 -0.336 -0.290 0.011 0.005 0.003 CRI UN Equity CARTERS INC Consumer Discretionary 52.94 35.90 31.17 30.01 -0.478 -0.323 -0.270 0.009 0.008 0.006 CASC UN Equity CASCADE CORP Industrials 54.67 2.84% 24.12.2012 41.61 39.40 38.49 38.46 0.000 -0.051 -0.055 -0.062 0.000 0.006 0.006 0.001 CASY UW Equity CASEYS GENERAL STORES INC Consumer Staples 50.97 1.33% 31.01.2013 27.87 24.33 23.84 24.82 0.000 0.154 0.168 0.031 0.000 -0.002 -0.002 0.001 CSH UN Equity CASH AMERICA INTL INC Financials 38.84 0.36% 29.10.2012 40.04 33.08 31.39 -0.372 -0.161 -0.080 0.007 0.011 0.008 CATY UW Equity CATHAY GENERAL BANCORP Financials 17.12 0.70% 28.11.2012 35.41 36.42 36.42 35.06 0.000 -0.013 -0.055 -0.180 0.000 -0.003 -0.001 0.008 CATO UN Equity CATO CORP-CLASS A Consumer Discretionary 29.32 3.62% 20.12.2012 48.33 46.90 45.33 41.09 0.000 0.042 0.010 -0.205 0.000 -0.002 0.000 0.008 CBEY UW Equity CBEYOND INC Telecommunication Services 9.11 51.65 51.65 53.21 0.000 0.000 0.000 0.000 0.000 0.000 CBOE UW Equity CBOE HOLDINGS INC Financials 29.34 2.08% 28.11.2012 18.17 17.32 17.73 19.01 19.74 -0.166 -0.246 -0.302 -0.208 -0.178 0.001 0.006 0.008 0.005 0.002 CDI UN Equity CDI CORP Industrials 16.56 3.14% 06.11.2012 51.43 51.36 51.30 47.55 -0.137 -0.137 -0.136 -0.037 0.001 0.001 0.001 0.001 CEC UN Equity CEC ENTERTAINMENT INC Consumer Discretionary 29.97 3.20% 27.11.2012 34.52 34.45 34.71 -0.251 -0.250 -0.140 0.007 0.007 0.004 CDR UN Equity CEDAR REALTY TRUST INC Financials 5.60 3.57% 09.11.2012 CNC UN Equity CENTENE CORP Health Care 35.54 51.06 46.67 46.18 -0.180 -0.132 -0.114 0.011 0.005 0.003 CENTA UW Equity CENTRAL GARDEN AND PET CO-A Consumer Staples 12.10 35.80 36.09 35.58 0.000 -0.183 -0.199 0.000 0.004 0.004 CENX UW Equity CENTURY ALUMINUM COMPANY Materials 7.21 54.59 54.74 53.40 54.76 54.69 -0.424 -0.273 -0.216 -0.213 -0.190 0.019 0.008 0.005 0.002 0.002S&P 1000 Index CRDN UW Equity CERADYNE INC Industrials 34.98 1.71% 07.12.2012 1.33 1.33 1.33 0.000 0.000 0.000 0.000 0.000 0.000 CEVA UW Equity CEVA INC Information Technology 14.44 51.56 50.94 50.68 -0.162 -0.084 -0.092 0.003 0.001 0.001 CHG UN Equity CH ENERGY GROUP INC Utilities 64.91 3.42% 04.01.2013 CRL UN Equity CHARLES RIVER LABORATORIES Health Care 39.98 29.69 29.53 29.57 30.05 -0.335 -0.331 -0.316 -0.257 0.008 0.007 0.006 0.003 CKP UN Equity CHECKPOINT SYSTEMS INC Information Technology 8.11 57.90 54.56 53.40 52.85 0.000 0.053 0.040 -0.085 0.000 0.001 0.001 -0.001 CAKE UW Equity CHEESECAKE FACTORY INC/THE Consumer Discretionary 34.58 1.39% 06.11.2012 28.59 26.08 25.61 26.75 28.96 -0.213 -0.269 -0.279 -0.214 -0.155 0.012 0.007 0.005 0.003 0.002 CHE UN Equity CHEMED CORP Health Care 69.79 1.07% 16.11.2012 24.51 24.75 25.12 -0.186 -0.306 -0.332 0.003 0.005 0.005 CHS UN Equity CHICOS FAS INC Consumer Discretionary 18.72 1.40% 06.12.2012 25.42 29.42 30.88 33.43 35.27 36.28 37.17 -0.235 -0.320 -0.349 -0.284 -0.193 -0.164 -0.141 0.005 0.006 0.005 0.002 0.001 0.001 0.001 PLCE UW Equity CHILDRENS PLACE Consumer Discretionary 61.75 36.72 32.71 31.21 -0.360 -0.317 -0.273 0.006 0.003 0.003 CBK UN Equity CHRISTOPHER & BANKS CORP Consumer Discretionary 3.63 CHD UN Equity CHURCH & DWIGHT CO INC Consumer Staples 53.37 1.97% 15.11.2012 19.77 18.50 19.36 24.06 -0.015 -0.005 -0.021 -0.107 0.000 0.001 0.000 -0.004 CBR UN Equity CIBER INC Information Technology 3.25 74.29 74.29 74.29 74.29 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CIEN UW Equity CIENA CORP Information Technology 13.15 49.22 52.19 52.95 52.69 52.39 52.13 51.84 -0.236 -0.243 -0.234 -0.192 -0.184 -0.176 -0.164 0.003 0.002 0.002 0.001 0.001 0.001 0.001 XEC UN Equity CIMAREX ENERGY CO Energy 60.94 0.85% 13.02.2013 40.57 39.46 39.14 -0.225 -0.182 -0.191 0.010 0.005 0.003 CBB UN Equity CINCINNATI BELL INC Telecommunication Services 5.54 45.17 45.22 45.28 48.65 -0.072 -0.071 -0.069 -0.097 -0.001 -0.001 -0.001 -0.001 CNK UN Equity CINEMARK HOLDINGS INC Consumer Discretionary 23.33 3.60% 20.11.2012 29.52 24.37 23.64 0.000 -0.205 -0.222 0.000 0.009 0.009 CIR UN Equity CIRCOR INTERNATIONAL INC Industrials 35.43 0.42% 14.11.2012 35.14 35.82 36.42 38.05 0.000 -0.194 -0.236 -0.194 0.000 0.002 0.003 0.001 CRUS UW Equity CIRRUS LOGIC INC Information Technology 38.75 76.51 66.09 62.02 60.82 58.82 -0.186 -0.152 -0.163 -0.142 -0.123 0.003 0.002 0.002 0.001 0.001 CHCO UW Equity CITY HOLDING CO Financials 34.63 3.03% 09.01.2013 35.67 33.01 31.81 0.000 0.003 -0.011 0.000 0.000 0.001 CYN UN Equity CITY NATIONAL CORP Financials 49.50 2.32% 29.10.2012 26.18 25.37 25.34 26.16 -0.118 -0.187 -0.205 -0.199 0.002 0.004 0.004 0.002 CLC UN Equity CLARCOR INC Industrials 44.88 1.21% 02.01.2013 22.67 22.77 23.70 -0.200 -0.226 -0.234 0.005 0.002 0.001 CLH UN Equity CLEAN HARBORS INC Industrials 47.84 35.34 32.83 32.41 33.69 -0.258 -0.252 -0.240 -0.189 0.007 0.004 0.002 0.001 CLW UN Equity CLEARWATER PAPER CORP Materials 41.31 33.73 31.66 31.60 33.93 -0.253 -0.225 -0.201 -0.138 0.006 0.006 0.006 0.003 CNL UN Equity CLECO CORPORATION Utilities 41.59 3.31% 08.11.2012 32.34 32.34 29.08 0.000 0.000 0.000 0.000 0.000 0.000 CLD UN Equity CLOUD PEAK ENERGY INC Energy 19.31 40.97 40.54 40.56 41.25 -0.435 -0.348 -0.292 -0.175 0.012 0.007 0.005 0.000 CGNX UW Equity COGNEX CORP Information Technology 35.96 1.39% 28.11.2012 34.85 35.02 35.58 37.63 -0.374 -0.311 -0.264 -0.183 0.006 0.001 0.001 0.007 COHU UW Equity COHU INC Information Technology 9.03 2.77% 23.11.2012 104.45 104.45 104.45 92.56 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CSTR UW Equity COINSTAR INC Consumer Discretionary 43.81 59.58 51.57 48.67 47.33 46.09 45.39 44.89 -0.207 -0.195 -0.191 -0.188 -0.157 -0.132 -0.111 0.002 0.003 0.002 0.002 0.001 0.001 0.000 CWTR UW Equity COLDWATER CREEK INC Consumer Discretionary 3.79 166.50 168.77 171.01 177.56 -0.566 -0.604 -0.640 -0.625 0.008 0.005 0.002 0.002 CLP UN Equity COLONIAL PROPERTIES TRUST Financials 20.76 3.76% 01.11.2012 33.04 33.04 33.04 0.000 0.000 0.000 0.000 0.000 0.000 COLB UW Equity COLUMBIA BANKING SYSTEM INC Financials 18.58 2.42% 05.11.2012 48.20 48.21 48.23 43.63 -0.218 -0.218 -0.218 -0.190 0.001 0.001 0.001 0.008 FIX UN Equity COMFORT SYSTEMS USA INC Industrials 10.54 1.90% 28.11.2012 CBSH UW Equity COMMERCE BANCSHARES INC Financials 38.95 2.44% 28.11.2012 24.94 24.94 24.94 24.94 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CMC UN Equity COMMERCIAL METALS CO Materials 13.65 4.62% 22.10.2012 39.25 35.54 35.17 -0.385 -0.466 -0.423 0.001 0.005 0.004 CBU UN Equity COMMUNITY BANK SYSTEM INC Financials 27.66 4.12% 12.12.2012 24.91 24.87 24.84 25.84 -0.205 -0.203 -0.201 -0.123 0.008 0.008 0.008 0.004 CYH UN Equity COMMUNITY HEALTH SYSTEMS INC Health Care 28.56 47.69 43.60 42.47 -0.324 -0.313 -0.293 0.007 0.002 0.000 CVLT UW Equity COMMVAULT SYSTEMS INC Information Technology 57.04 48.50 43.09 41.85 43.81 -0.116 -0.127 -0.120 -0.071 0.007 0.004 0.003 0.001 CMP UN Equity COMPASS MINERALS INTERNATION Materials 77.33 2.77% 30.11.2012 25.17 23.04 22.85 -0.310 -0.311 -0.284 0.008 0.007 0.006 CPSI UW Equity COMPUTER PROGRAMS & SYSTEMS Health Care 53.76 3.76% 06.11.2012 39.32 36.33 35.32 0.154 -0.457 -0.486 0.045 0.043 0.032 CPWR UW Equity COMPUWARE CORP Information Technology 9.59 34.77 35.38 35.02 32.49 0.000 -0.207 -0.238 -0.061 0.000 0.005 0.006 0.001 SCOR UW Equity COMSCORE INC Information Technology 15.82 43.22 41.22 40.82 0.000 -0.066 -0.101 0.000 0.000 0.000 CRK UN Equity COMSTOCK RESOURCES INC Energy 20.08 54.85 53.31 53.31 -0.276 -0.245 -0.210 0.001 0.003 0.002 CMTL UW Equity COMTECH TELECOMMUNICATIONS Information Technology 26.76 4.11% 22.01.2013 26.89 29.68 30.71 31.61 -0.036 -0.149 -0.175 -0.158 0.000 0.003 0.003 0.003 CNW UN Equity CON-WAY INC Industrials 28.50 1.40% 15.02.2013 42.60 38.69 38.28 -0.416 -0.355 -0.310 0.004 0.003 0.002 CNQR UW Equity CONCUR TECHNOLOGIES INC Information Technology 68.50 39.47 37.42 37.20 38.79 -0.317 -0.217 -0.207 -0.283 0.013 0.013 0.011 0.003 CNMD UW Equity CONMED CORP Health Care 28.61 2.10% 14.12.2012 36.98 35.23 34.02 31.25 0.000 -0.308 -0.374 -0.289 0.000 0.008 0.011 0.011 CGX UN Equity CONSOLIDATED GRAPHICS INC Industrials 29.40 42.44 43.96 44.50 44.80 -0.318 -0.187 -0.140 -0.106 0.008 0.001 -0.001 0.000 MCF UA Equity CONTANGO OIL & GAS Energy 51.54 30.68 28.80 28.47 29.57 -0.228 -0.209 -0.202 -0.206 0.004 0.005 0.005 0.002 CVG UN Equity CONVERGYS CORP Information Technology 16.07 1.24% 19.12.2012 39.18 29.95 26.69 28.71 0.000 -0.045 -0.105 -0.156 0.000 0.000 0.000 0.001 COO UN Equity COOPER COS INC/THE Health Care 97.66 0.06% 17.01.2013 23.79 26.41 27.29 28.04 -0.433 -0.317 -0.263 -0.177 0.012 0.006 0.004 0.002 CPRT UW Equity COPART INC Industrials 26.74 22.56 24.61 23.92 22.77 -0.120 -0.161 -0.201 -0.222 0.001 -0.001 0.001 0.005 CLGX UN Equity CORELOGIC INC Information Technology 27.12 34.66 31.31 30.61 31.78 -0.288 -0.298 -0.283 -0.190 0.006 0.008 0.007 0.002 COCO UW Equity CORINTHIAN COLLEGES INC Consumer Discretionary 2.63 71.36 68.22 67.28 66.25 66.14 0.000 -0.390 -0.354 -0.120 -0.105 0.000 0.001 0.001 0.000 -0.001 CEB UN Equity CORPORATE EXECUTIVE BOARD CO Industrials 50.66 1.47% 12.12.2012 34.14 29.35 28.65 -0.177 -0.272 -0.278 0.003 0.007 0.007 OFC UN Equity CORPORATE OFFICE PROPERTIES Financials 25.66 4.29% 28.12.2012 22.85 22.11 22.76 0.000 -0.144 -0.248 0.000 0.005 0.005 CXW UN Equity CORRECTIONS CORP OF AMERICA Industrials 33.32 2.40% 07.12.2012 37.89 35.25 35.31 -0.142 -0.176 -0.204 0.005 0.003 0.004 CRVL UW Equity CORVEL CORP Health Care 44.84 CUZ UN Equity COUSINS PROPERTIES INC Financials 8.19 2.20% 13.11.2012 30.78 30.78 30.78 30.78 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 CVD UN Equity COVANCE INC Health Care 49.36 26.68 30.81 31.26 28.67 -0.468 -0.312 -0.246 -0.133 0.016 0.001 -0.002 -0.001 CBRL UW Equity CRACKER BARREL OLD COUNTRY Consumer Discretionary 66.85 2.99% 16.01.2013 20.09 22.98 23.97 -0.418 -0.331 -0.294 0.015 0.010 0.007 CR UN Equity CRANE CO Industrials 40.65 2.80% 28.11.2012 28.40 25.73 25.61 0.000 -0.146 -0.187 0.000 0.005 0.006 CREE UW Equity CREE INC Information Technology 25.45 54.79 46.24 46.73 47.12 48.38 -0.272 -0.252 -0.271 -0.208 -0.176 -0.003 0.002 0.003 0.001 0.001 CROX UW Equity CROCS INC Consumer Discretionary 15.67 52.34 47.45 46.61 49.89 50.58 -0.405 -0.309 -0.278 -0.197 -0.152 0.007 0.004 0.003 0.002 0.001 CCRN UW Equity CROSS COUNTRY HEALTHCARE INC Health Care 4.49 CRY UN Equity CRYOLIFE INC Health Care 6.07 1.65% 12.12.2012 41.23 41.23 41.23 40.91 -0.065 -0.065 -0.065 -0.108 0.000 0.000 0.000 0.000 CSGS UW Equity CSG SYSTEMS INTL INC Information Technology 21.77 31.89 30.68 30.45 0.000 0.109 0.056 0.000 -0.001 -0.001 CTS UN Equity CTS CORP Information Technology 8.49 1.65% 26.12.2012 38.51 38.51 38.51 37.19 0.000 0.000 0.000 -0.063 0.000 0.000 0.000 0.000 CUB UN Equity CUBIC CORP Industrials 50.64 0.47% 06.03.2013 33.06 32.99 33.99 32.60 -0.165 -0.166 -0.159 -0.251 0.000 0.000 -0.001 0.013 CBST UW Equity CUBIST PHARMACEUTICALS INC Health Care 46.11 30.08 28.60 28.20 29.13 30.62 -0.272 -0.220 -0.181 -0.141 -0.163 0.005 0.002 0.001 0.001 0.001 CFR UN Equity CULLEN/FROST BANKERS INC Financials 55.88 3.47% 28.11.2012 21.83 19.71 19.17 19.87 -0.353 -0.271 -0.245 -0.246 0.004 0.007 0.007 0.005 CW UN Equity CURTISS-WRIGHT CORP Industrials 30.81 1.17% 28.11.2012 38.22 38.22 35.03 0.000 0.000 0.000 0.000 0.000 0.000 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 Ticker Name GICS_SECTOR_NAME ATM2 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M CVBF UW Equity CVB FINANCIAL CORP Financials 11.76 2.89% 24.12.2012 26.81 26.81 27.76 0.000 0.000 -0.091 0.000 0.000 0.002 CYBX UW Equity CYBERONICS INC Health Care 51.00 35.72 35.88 35.93 36.13 -0.163 -0.254 -0.264 -0.206 0.004 0.004 0.004 0.002 CYMI UW Equity CYMER INC Information Technology 46.65 50.65 45.37 43.18 40.88 -0.150 -0.190 -0.200 -0.186 0.010 0.005 0.003 0.001 CY UW Equity CYPRESS SEMICONDUCTOR CORP Information Technology 10.17 4.62% 02.01.2013 47.83 46.26 44.69 45.24 46.26 -0.421 -0.252 -0.288 -0.169 -0.119 0.015 0.003 0.005 0.002 0.001 CYT UN Equity CYTEC INDUSTRIES INC Materials 64.57 0.89% 09.11.2012 37.15 35.08 34.30 33.65 -0.436 -0.319 -0.259 -0.170 0.016 0.007 0.004 0.004 DAKT UW Equity DAKTRONICS INC Information Technology 9.31 2.47% 04.12.2012 37.28 37.11 36.94 39.16 -0.185 -0.183 -0.182 -0.114 0.003 0.003 0.003 0.002 DAR UN Equity DARLING INTERNATIONAL INC Consumer Staples 17.32 34.76 31.77 30.88 31.04 -0.160 -0.172 -0.186 -0.226 0.004 0.002 0.001 0.002 TRAK UW Equity DEALERTRACK HOLDINGS INC Information Technology 27.87 39.17 40.89 41.21 -0.067 -0.127 -0.151 0.000 0.002 0.003 DECK UW Equity DECKERS OUTDOOR CORP Consumer Discretionary 35.30 75.91 66.19 63.14 60.24 58.13 -0.002 -0.090 -0.068 -0.102 -0.129 0.002 0.002 0.002 0.001 0.001 DEL UN Equity DELTIC TIMBER CORP Materials 69.27 0.43% 25.02.2013 DLX UN Equity DELUXE CORP Industrials 29.99 3.33% 23.11.2012 31.06 28.21 27.60 28.59 0.000 -0.161 -0.198 -0.188 0.000 0.011 0.011 0.004 DV UN Equity DEVRY INC Consumer Discretionary 23.42 1.45% 05.12.2012 55.36 48.79 46.73 46.14 -0.181 -0.165 -0.166 -0.140 0.003 0.002 0.001 0.002 DMND UW Equity DIAMOND FOODS INC Consumer Staples 18.50 56.72 65.21 63.94 -0.202 0.058 -0.007 0.014 0.004 0.003 DRH UN Equity DIAMONDROCK HOSPITALITY CO Financials 8.89 4.61% 26.12.2012 37.00 37.00 37.00 0.000 0.000 0.000 0.000 0.000 0.000 DHX UN Equity DICE HOLDINGS INC Information Technology 8.49 50.66 50.79 50.92 51.72 -0.281 -0.281 -0.281 -0.202 -0.001 -0.002 -0.002 -0.002 DKS UN Equity DICKS SPORTING GOODS INC Consumer Discretionary 50.50 0.99% 03.12.2012 33.25 30.57 30.54 -0.350 -0.281 -0.246 0.008 0.006 0.004 DBD UN Equity DIEBOLD INC Information Technology 33.74 3.42% 20.02.2013 32.10 30.54 30.12 30.29 0.000 -0.138 -0.183 -0.179 0.013 0.008 0.006 0.003 DGII UW Equity DIGI INTERNATIONAL INC Information Technology 9.49 70.38 70.38 65.85 0.000 0.000 0.000 0.000 0.000 0.000 DGIT UW Equity DIGITAL GENERATION INC Consumer Discretionary 10.64 90.80 83.10 80.04 -0.189 -0.160 -0.173 -0.002 -0.002 -0.001 DRIV UW Equity DIGITAL RIVER INC Information Technology 15.64 48.65 45.20 43.36 -0.271 -0.242 -0.225 0.007 0.002 0.002 DCOM UW Equity DIME COMMUNITY BANCSHARES Financials 14.02 3.99% 08.11.2012 DIN UN Equity DINEEQUITY INC Consumer Discretionary 58.08 38.12 33.93 33.16 -0.472 -0.395 -0.334 0.010 0.006 0.004 DIOD UW Equity DIODES INC Information Technology 15.91 47.61 43.52 43.03 -0.118 -0.252 -0.260 0.000 0.003 0.003 DM UN Equity DOLAN CO/THE Industrials 5.25 173.63 173.63 173.63 186.94 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 UFS UN Equity DOMTAR CORP Materials 78.88 2.41% 14.12.2012 29.19 27.26 27.15 29.45 -0.543 -0.469 -0.398 -0.227 0.016 0.012 0.009 0.004 DCI UN Equity DONALDSON CO INC Industrials 33.91 1.24% 05.12.2012 28.56 27.18 26.97 27.81 -0.115 -0.234 -0.268 -0.252 0.006 0.005 0.004 0.002 DWA UW Equity DREAMWORKS ANIMATION SKG-A Consumer Discretionary 19.55 44.59 40.73 39.09 -0.113 -0.084 -0.074 0.006 0.004 0.003 DRC UN Equity DRESSER-RAND GROUP INC Energy 52.96 34.36 32.38 32.11 -0.254 -0.268 -0.254 0.008 0.005 0.003 DW UN Equity DREW INDUSTRIES INC Consumer Discretionary 31.76 34.98 30.81 29.47 29.41 0.000 -0.040 -0.078 -0.176 0.000 -0.001 -0.001 0.003 DRQ UN Equity DRIL-QUIP INC Energy 69.21 34.42 33.83 34.10 -0.483 -0.348 -0.294 0.011 0.006 0.004 DSPG UW Equity DSP GROUP INC Information Technology 5.36 44.54 44.54 44.54 45.14 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 DST UN Equity DST SYSTEMS INC Information Technology 56.85 1.41% 13.03.2013 26.63 25.08 24.82 25.46 -0.156 -0.188 -0.196 -0.182 0.003 0.004 0.004 0.002 DTSI UW Equity DTS INC Information Technology 21.82 42.99 40.36 40.36 -0.075 -0.126 -0.126 0.001 0.001 0.002 DRE UN Equity DUKE REALTY CORP Financials 14.74 4.61% 16.11.2012 21.80 19.99 20.75 0.000 0.005 -0.039 0.000 0.000 0.001 DY UN Equity DYCOM INDUSTRIES INC Industrials 13.20 45.88 44.22 44.64 0.026 -0.146 -0.202 0.000 -0.002 -0.001 EXP UN Equity EAGLE MATERIALS INC Materials 48.32 0.83% 21.12.2012 42.53 39.79 38.90 38.63 -0.456 -0.336 -0.284 -0.229 0.006 0.004 0.003 0.002 EWBC UW Equity EAST WEST BANCORP INC Financials 20.45 2.69% 09.11.2012 30.87 30.16 29.62 28.04 0.000 -0.201 -0.252 -0.203 0.000 0.000 0.000 0.002 EGP UN Equity EASTGROUP PROPERTIES INC Financials 53.42 4.00% 12.12.2012 38.44 32.75 25.27 0.000 -0.781 -0.753 0.000 0.002 0.015 EV UN Equity EATON VANCE CORP Financials 28.35 2.82% 29.10.2012 30.51 26.91 25.63 25.15 0.000 -0.033 -0.070 -0.155 0.000 -0.001 0.000 0.004 EBIX UW Equity EBIX INC Information Technology 22.78 0.97% 14.11.2012 43.39 40.05 39.56 -0.372 -0.359 -0.311 0.008 0.007 0.005 EHTH UW Equity EHEALTH INC Financials 20.93 33.21 31.30 30.94 31.65 -0.559 -0.418 -0.339 -0.213 0.014 0.009 0.006 0.003 EE UN Equity EL PASO ELECTRIC CO Utilities 34.35 3.09% 11.12.2012 17.59 17.59 17.99 0.000 0.000 -0.048 0.000 0.000 0.001 ESIO UW Equity ELECTRO SCIENTIFIC INDS INC Information Technology 12.39 2.82% 24.10.2012 42.81 40.78 40.96 0.000 -0.177 -0.156 0.000 0.009 0.008 EME UN Equity EMCOR GROUP INC Industrials 28.49 0.70% 10.01.2013 42.21 31.95 28.69 34.29 0.313 0.310 0.179 -0.342 0.004 0.015 0.017 0.002 EBS UN Equity EMERGENT BIOSOLUTIONS INC Health Care 13.96 49.70 45.62 44.52 -0.174 -0.143 -0.153 0.002 0.001 0.001 EIG UN Equity EMPLOYERS HOLDINGS INC Financials 18.46 1.30% 13.11.2012 ECPG UW Equity ENCORE CAPITAL GROUP INC Industrials 28.99 31.55 33.74 34.56 0.000 0.027 -0.036 0.000 0.000 0.000 WIRE UW Equity ENCORE WIRE CORP Industrials 29.89 0.27% 02.01.2013 27.84 27.19 27.40 28.86 0.000 -0.183 -0.232 -0.224 0.000 0.004 0.004 0.003 ENDP UW Equity ENDO HEALTH SOLUTIONS INC Health Care 30.73 32.46 30.48 29.95 30.09 0.014 -0.089 -0.130 -0.171 0.000 0.004 0.004 0.002 EGN UN Equity ENERGEN CORP Energy 51.03 1.13% 14.11.2012 32.69 30.65 30.79 33.12 -0.247 -0.305 -0.297 -0.174 0.003 0.004 0.003 0.001 ENR UN Equity ENERGIZER HOLDINGS INC Consumer Staples 72.75 2.20% 15.01.2013 35.54 31.22 29.55 28.25 -0.259 -0.162 -0.138 -0.171 0.005 0.005 0.006 0.005 ENS UN Equity ENERSYS Industrials 32.97 41.37 37.28 36.37 -0.370 -0.327 -0.288 0.003 0.005 0.005 EGL UN Equity ENGILITY HOLDINGS INC Industrials 18.38 82.37 82.37 82.37 0.000 0.000 0.000 0.000 0.000 0.000 NPO UN Equity ENPRO INDUSTRIES INC Industrials 36.72 34.69 28.74 27.21 0.462 -0.065 -0.228 0.001 -0.001 0.000 ENSG UW Equity ENSIGN GROUP INC/THE Health Care 30.67 0.85% 28.12.2012 31.95 32.81 33.00 0.000 -0.060 -0.099 0.000 -0.001 -0.001S&P 1000 Index EPR UN Equity ENTERTAINMENT PROPERTIES TR Financials 44.90 7.02% 28.12.2012 21.58 19.74 19.12 19.66 0.000 -0.068 -0.081 -0.059 0.000 0.001 0.002 0.001 ENTR UW Equity ENTROPIC COMMUNICATIONS INC Information Technology 5.50 59.75 59.65 58.84 55.39 0.051 -0.119 -0.170 -0.162 0.000 -0.001 -0.002 -0.001 ENZ UN Equity ENZO BIOCHEM INC Health Care 1.98 120.65 120.65 120.65 120.65 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 EPIQ UW Equity EPIQ SYSTEMS INC Information Technology 12.82 2.81% 08.01.2013 53.90 53.90 53.90 53.90 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 EQIX UW Equity EQUINIX INC Information Technology 191.60 42.54 36.41 34.06 33.52 33.97 -0.282 -0.278 -0.226 -0.153 -0.125 0.005 0.003 0.002 0.001 0.001 EQY UN Equity EQUITY ONE INC Financials 21.62 4.07% 14.12.2012 17.34 17.34 18.97 0.000 0.000 -0.086 0.000 0.000 0.001 ESE UN Equity ESCO TECHNOLOGIES INC Industrials 35.47 1.01% 04.01.2013 29.53 29.49 30.36 0.000 0.007 -0.032 0.000 0.000 0.000 ESS UN Equity ESSEX PROPERTY TRUST INC Financials 145.60 3.13% 28.12.2012 20.09 19.09 19.11 20.37 -0.262 -0.282 -0.270 -0.238 0.007 0.011 0.010 0.004 ESL UN Equity ESTERLINE TECHNOLOGIES CORP Industrials 56.68 34.60 35.57 35.81 35.69 -0.082 -0.197 -0.231 -0.237 0.001 0.002 0.002 0.001 ETH UN Equity ETHAN ALLEN INTERIORS INC Consumer Discretionary 22.93 1.66% 09.01.2013 48.51 47.73 47.43 47.20 -0.197 -0.209 -0.208 -0.180 0.010 0.005 0.003 0.001 RE UN Equity EVEREST RE GROUP LTD Financials 110.67 1.79% 26.11.2012 18.61 17.52 17.47 18.89 -0.684 -0.482 -0.377 -0.244 0.021 0.013 0.009 0.004 SSP UN Equity EW SCRIPPS CO/THE-A Consumer Discretionary 11.01 EXAR UW Equity EXAR CORP Information Technology 8.13 31.28 31.28 31.28 31.71 0.000 0.000 0.000 0.004 0.000 0.000 0.000 0.000 XLS UN Equity EXELIS INC Industrials 10.72 3.85% 27.02.2013 41.06 35.62 33.58 32.24 0.000 0.018 0.004 -0.090 0.000 -0.001 0.000 0.003 EXLS UW Equity EXLSERVICE HOLDINGS INC Information Technology 29.68 EXPO UW Equity EXPONENT INC Industrials 56.27 EXH UN Equity EXTERRAN HOLDINGS INC Energy 20.63 44.72 44.21 44.23 44.86 -0.481 -0.312 -0.260 -0.253 0.012 0.006 0.004 0.003 EXR UN Equity EXTRA SPACE STORAGE INC Financials 34.31 2.51% 07.12.2012 27.48 27.48 26.08 0.000 0.000 0.000 0.000 0.000 0.000 EZPW UW Equity EZCORP INC-CL A Financials 18.70 43.24 40.35 39.34 -0.109 -0.242 -0.234 0.005 0.006 0.005 FDS UN Equity FACTSET RESEARCH SYSTEMS INC Information Technology 92.99 1.42% 28.11.2012 23.67 29.50 29.67 -0.213 -0.332 -0.309 0.009 0.006 0.004 FICO UN Equity FAIR ISAAC CORP Information Technology 44.71 0.18% 03.12.2012 32.50 29.38 28.67 29.86 -0.255 -0.240 -0.229 -0.207 0.002 0.004 0.004 0.002 FCS UN Equity FAIRCHILD SEMICONDUCTOR INTE Information Technology 12.06 44.87 44.07 43.77 43.57 -0.200 -0.224 -0.222 -0.182 0.007 0.003 0.001 0.000 FARO UW Equity FARO TECHNOLOGIES INC Information Technology 41.66 41.66 42.07 42.43 -0.224 -0.124 -0.110 0.005 0.001 0.000 FRT UN Equity FEDERAL REALTY INVS TRUST Financials 108.47 2.71% 03.01.2013 16.55 17.49 17.74 17.77 -0.244 -0.203 -0.205 -0.248 0.004 0.002 0.003 0.005 FSS UN Equity FEDERAL SIGNAL CORP Industrials 6.38 0.78% 05.12.2012 65.58 65.58 65.58 58.69 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 FEIC UW Equity FEI COMPANY Information Technology 51.21 35.89 33.29 32.58 -0.123 -0.145 -0.137 0.000 -0.001 0.000 FNF UN Equity FIDELITY NATIONAL FINL-A Financials 22.58 2.75% 14.12.2012 24.31 23.92 23.43 -0.179 -0.197 -0.201 0.010 0.004 0.003 FNP UN Equity FIFTH & PACIFIC COS INC Consumer Discretionary 10.42 62.11 56.39 54.50 53.83 52.66 52.54 52.58 -0.206 -0.176 -0.170 -0.188 -0.218 -0.167 -0.084 -0.002 0.002 0.002 0.001 0.001 0.001 0.000 FNGN UW Equity FINANCIAL ENGINES INC Financials 23.96 34.15 35.97 36.23 -0.067 -0.241 -0.233 0.000 0.006 0.006 FINL UW Equity FINISH LINE/THE - CL A Consumer Discretionary 21.21 1.27% 21.11.2012 32.85 34.12 35.19 37.86 -0.044 -0.105 -0.118 -0.101 0.010 0.008 0.007 0.003 FAF UN Equity FIRST AMERICAN FINANCIAL Financials 23.42 1.62% 26.12.2012 29.68 24.94 25.46 35.75 0.000 -0.123 -0.137 0.187 0.000 0.003 0.003 0.000 FBP UN Equity FIRST BANCORP PUERTO RICO Financials 4.32 94.70 94.70 94.70 0.000 0.000 0.000 0.000 0.000 0.000 FCFS UW Equity FIRST CASH FINL SVCS INC Financials 44.83 34.08 32.41 31.04 -0.308 -0.193 -0.188 0.002 0.005 0.008 FCF UN Equity FIRST COMMONWEALTH FINL CORP Financials 6.97 3.44% 31.10.2012 FFBC UW Equity FIRST FINANCIAL BANCORP Financials 16.40 7.74% 28.11.2012 FFIN UW Equity FIRST FINL BANKSHARES INC Financials 35.51 2.87% 13.12.2012 24.61 24.87 24.90 24.88 0.000 -0.033 -0.057 -0.108 0.000 -0.001 -0.001 0.001 FMBI UW Equity FIRST MIDWEST BANCORP INC/IL Financials 13.08 0.92% 28.12.2012 165.68 129.72 111.00 74.90 0.000 0.616 0.876 0.361 0.000 0.000 0.001 0.025 FNFG UW Equity FIRST NIAGARA FINANCIAL GRP Financials 8.05 3.98% 09.11.2012 28.94 28.94 28.94 29.09 0.000 0.000 0.000 0.013 0.000 0.000 0.000 0.000 FMER UW Equity FIRSTMERIT CORP Financials 14.24 4.49% 29.11.2012 24.03 26.55 26.54 0.000 -0.272 -0.256 0.000 0.004 0.004 FLO UN Equity FLOWERS FOODS INC Consumer Staples 18.89 3.53% 05.12.2012 26.11 24.19 23.59 23.84 -0.150 -0.087 -0.066 -0.056 0.001 0.000 0.000 0.004 FNB UN Equity FNB CORP Financials 10.70 4.67% 30.11.2012 32.68 32.68 32.68 32.21 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 FL UN Equity FOOT LOCKER INC Consumer Discretionary 35.20 1.65% 16.01.2013 30.78 28.63 28.35 29.88 31.74 32.55 33.14 -0.347 -0.314 -0.290 -0.241 -0.160 -0.124 -0.107 0.007 0.006 0.005 0.003 0.002 0.001 0.001 FST UN Equity FOREST OIL CORP Energy 8.47 73.89 71.06 68.78 64.73 60.68 58.88 58.36 0.017 -0.004 -0.038 -0.116 -0.198 -0.193 -0.145 0.005 0.000 0.000 0.001 0.002 0.002 0.001 FOR UN Equity FORESTAR GROUP INC Financials 16.60 40.44 39.82 39.81 40.47 0.000 -0.189 -0.222 -0.133 0.000 0.011 0.012 0.004 FORR UW Equity FORRESTER RESEARCH INC Information Technology 30.32 1.85% 27.11.2012 37.10 33.60 33.43 0.000 0.006 -0.029 0.000 0.000 -0.001 FBHS UN Equity FORTUNE BRANDS HOME & SECURI Industrials 27.24 34.90 35.47 37.60 -0.378 -0.298 -0.208 0.015 0.009 0.003 FWRD UW Equity FORWARD AIR CORPORATION Industrials 30.63 1.34% 26.11.2012 32.39 32.39 32.39 0.000 0.000 0.000 0.000 0.000 0.000 FELE UW Equity FRANKLIN ELECTRIC CO INC Industrials 59.23 1.03% 06.11.2012 29.69 29.66 30.68 -0.329 -0.326 -0.226 0.009 0.009 0.004 FSP UA Equity FRANKLIN STREET PROPERTIES C Financials 11.14 6.82% 23.01.2013 FRED UW Equity FREDS INC-CLASS A Consumer Discretionary 13.70 1.97% 30.11.2012 FCN UN Equity FTI CONSULTING INC Industrials 26.29 43.16 39.01 38.14 -0.538 -0.415 -0.365 0.018 0.010 0.007 FULT UW Equity FULTON FINANCIAL CORP Financials 10.24 3.33% 03.01.2013 30.17 30.44 29.60 0.000 0.276 0.292 0.000 0.006 0.006 GKSR UW Equity G & K SERVICES INC -CL A Industrials 32.36 2.58% 27.11.2012 50.69 42.87 39.90 0.000 -0.039 -0.089 0.000 0.000 0.002 GDI UN Equity GARDNER DENVER INC Industrials 57.74 0.35% 09.11.2012 39.94 38.09 37.23 35.44 0.243 -0.180 -0.350 -0.272 0.018 0.010 0.004 0.005 IT UN Equity GARTNER INC Information Technology 46.77 26.15 25.13 24.98 -0.110 -0.169 -0.200 0.000 0.003 0.004 GMT UN Equity GATX CORP Industrials 43.23 2.85% 14.12.2012 27.98 25.76 25.89 -0.207 -0.249 -0.252 0.002 0.007 0.006 GY UN Equity GENCORP INC Industrials 9.24 56.90 46.99 48.78 74.94 0.000 -0.160 -0.401 -1.030 0.000 0.001 0.003 0.036 BGC UN Equity GENERAL CABLE CORP Industrials 30.08 46.98 43.76 42.79 42.85 -0.355 -0.298 -0.272 -0.239 0.007 0.004 0.003 0.002 GNCMA UW EquityGENERAL COMMUNICATION INC-A Telecommunication Services 9.43 42.16 41.97 41.57 39.86 0.000 -0.122 -0.155 -0.144 0.000 0.003 0.003 0.003 GCO UN Equity GENESCO INC Consumer Discretionary 59.86 48.52 45.85 43.03 -0.335 -0.392 -0.410 0.006 0.011 0.013 GWR UN Equity GENESEE & WYOMING INC-CL A Industrials 70.66 29.97 28.75 28.73 30.22 -0.408 -0.274 -0.227 -0.220 0.010 0.007 0.005 0.003 GNTX UW Equity GENTEX CORP Consumer Discretionary 17.09 3.22% 04.01.2013 46.06 41.62 40.45 -0.113 -0.196 -0.177 0.003 0.006 0.005 GTIV UW Equity GENTIVA HEALTH SERVICES Health Care 10.27 60.18 53.90 52.54 54.88 0.121 0.081 0.034 -0.061 0.003 0.009 0.010 0.004 GEO UN Equity GEO GROUP INC/THE Industrials 27.98 2.86% 19.11.2012 39.25 37.11 35.22 -0.088 -0.147 -0.120 0.001 0.003 0.004 GEOS UW Equity GEOSPACE TECHNOLOGIES CORP Energy 140.48 GTY UN Equity GETTY REALTY CORP Financials 18.55 2.70% 26.12.2012 32.93 28.71 27.29 0.000 -0.170 -0.216 0.000 0.000 0.001 ROCK UW Equity GIBRALTAR INDUSTRIES INC Industrials 12.61 44.82 46.07 46.44 46.54 0.000 -0.079 -0.102 -0.104 0.000 0.000 0.000 0.000 GBCI UW Equity GLACIER BANCORP INC Financials 14.78 3.52% 11.01.2013 GPN UN Equity GLOBAL PAYMENTS INC Information Technology 43.18 0.19% 16.11.2012 22.57 24.43 25.37 27.12 -0.194 -0.251 -0.258 -0.235 0.002 0.005 0.005 0.003 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 Ticker Name GICS_SECTOR_NAME ATM2 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M GSM UW Equity GLOBE SPECIALTY METALS INC Materials 15.52 1.69% 30.11.2012 42.13 40.75 40.23 -0.139 -0.227 -0.218 -0.002 0.003 0.004 GOV UN Equity GOVERNMENT PROPERTIES INCOME Financials 24.35 7.06% 24.01.2013 14.46 13.95 14.39 -0.174 -0.172 -0.183 0.002 0.003 0.004 GGG UN Equity GRACO INC Industrials 47.59 1.99% 17.01.2013 30.70 30.35 30.39 30.92 -0.062 -0.142 -0.171 -0.198 0.000 0.002 0.002 0.002 GVA UN Equity GRANITE CONSTRUCTION INC Industrials 28.67 1.81% 28.12.2012 44.14 39.60 38.55 -0.139 -0.183 -0.187 0.002 0.003 0.003 GXP UN Equity GREAT PLAINS ENERGY INC Utilities 22.50 3.94% 28.11.2012 15.33 15.41 14.81 0.000 -0.214 -0.277 0.000 0.004 0.008 GB UN Equity GREATBATCH INC Health Care 23.50 28.19 28.66 28.98 29.78 -0.132 -0.216 -0.216 -0.121 0.000 0.004 0.005 0.002 GMCR UW Equity GREEN MOUNTAIN COFFEE ROASTE Consumer Staples 22.03 95.06 81.85 76.18 72.29 66.22 -0.296 -0.233 -0.227 -0.192 -0.149 0.004 0.004 0.003 0.002 0.001 GHL UN Equity GREENHILL & CO INC Financials 49.58 3.63% 03.12.2012 34.36 33.24 33.03 -0.269 -0.262 -0.256 0.004 0.004 0.003 GEF UN Equity GREIF INC-CL A Materials 43.17 3.89% 20.12.2012 29.13 28.03 27.63 27.07 -0.110 -0.230 -0.238 -0.188 0.001 0.009 0.010 0.007 GFF UN Equity GRIFFON CORP Industrials 10.13 0.79% 30.11.2012 37.57 37.57 37.57 39.64 0.000 0.000 0.000 -0.096 0.000 0.000 0.000 0.003 GPI UN Equity GROUP 1 AUTOMOTIVE INC Consumer Discretionary 61.85 1.07% 30.11.2012 37.82 35.20 34.42 34.87 -0.241 -0.245 -0.244 -0.234 0.000 0.001 0.001 0.003 GTAT UW Equity GT ADVANCED TECHNOLOGIES INC Information Technology 4.72 68.52 75.32 76.45 0.000 0.041 -0.041 0.000 0.001 0.002 GES UN Equity GUESS? INC Consumer Discretionary 25.80 3.57% 03.12.2012 34.95 40.31 39.92 40.92 42.54 -0.259 -0.220 -0.214 -0.198 -0.167 0.004 0.003 0.002 0.001 0.001 GIFI UW Equity GULF ISLAND FABRICATION INC Energy 27.30 1.68% 14.11.2012 44.95 43.84 43.56 43.60 -0.175 -0.179 -0.181 -0.184 0.005 0.002 0.002 0.002 GPOR UW Equity GULFPORT ENERGY CORP Energy 31.84 56.15 54.04 53.42 53.36 -0.457 -0.338 -0.280 -0.193 0.012 0.005 0.003 0.002 HAE UN Equity HAEMONETICS CORP/MASS Health Care 78.72 23.85 23.86 23.88 -0.086 -0.086 -0.086 0.001 0.001 0.001 HAIN UW Equity HAIN CELESTIAL GROUP INC Consumer Staples 59.54 46.13 41.02 39.04 37.34 -0.311 -0.268 -0.244 -0.194 0.007 0.005 0.004 0.002 HBHC UW Equity HANCOCK HOLDING CO Financials 30.49 3.15% 06.12.2012 32.13 32.13 32.13 32.13 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HBI UN Equity HANESBRANDS INC Consumer Discretionary 32.81 28.47 27.40 27.96 28.82 -0.234 -0.473 -0.488 -0.229 0.001 0.009 0.010 0.009 HGR UN Equity HANGER INC Health Care 26.90 33.33 31.42 31.81 0.000 -0.234 -0.237 0.000 0.008 0.007 HAFC UW Equity HANMI FINANCIAL CORPORATION Financials 12.65 THG UN Equity HANOVER INSURANCE GROUP INC/ Financials 38.96 3.23% 29.11.2012 HLIT UW Equity HARMONIC INC Information Technology 4.42 57.55 46.42 42.07 39.62 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HTSI UN Equity HARRIS TEETER SUPERMARKETS I Consumer Staples 36.85 1.52% 05.12.2012 31.75 34.39 33.65 0.000 0.017 -0.054 0.000 0.000 0.001 HSC UN Equity HARSCO CORP Industrials 20.29 4.04% 11.01.2013 33.38 34.49 34.35 33.99 0.000 -0.299 -0.351 -0.238 0.000 0.003 0.004 0.004 HHS UN Equity HARTE-HANKS INC Consumer Discretionary 6.69 5.08% 28.11.2012 44.98 44.98 44.93 0.000 0.000 -0.018 0.000 0.000 0.000 HVT UN Equity HAVERTY FURNITURE Consumer Discretionary 14.90 1.07% 23.11.2012 48.07 40.73 38.07 36.78 0.000 0.053 0.034 -0.100 0.000 -0.002 -0.001 0.003 HE UN Equity HAWAIIAN ELECTRIC INDS Utilities 26.10 4.75% 23.11.2012 HWKN UW Equity HAWKINS INC Materials 39.32 1.78% 20.03.2013 HAYN UW Equity HAYNES INTERNATIONAL INC Materials 49.83 1.93% 30.11.2012 46.09 47.56 45.48 -0.465 -0.336 -0.269 0.052 0.056 0.041 FUL UN Equity H.B. FULLER CO. Materials 30.25 1.22% 05.02.2013 28.33 28.88 29.27 30.11 -0.677 -0.327 -0.188 -0.092 0.021 0.011 0.007 0.003 HCC UN Equity HCC INSURANCE HOLDINGS INC Financials 34.78 1.94% 03.01.2013 HW UN Equity HEADWATERS INC Materials 6.75 61.62 56.17 54.38 53.71 -0.317 -0.318 -0.309 -0.268 -0.001 0.003 0.004 0.002 HMA UN Equity HEALTH MGMT ASSOCIATES INC-A Health Care 7.84 44.88 38.42 36.24 35.78 -0.238 -0.146 -0.127 -0.175 0.004 0.005 0.005 0.004 HNT UN Equity HEALTH NET INC Health Care 23.13 63.52 56.96 54.23 51.34 -0.038 -0.110 -0.130 -0.112 0.008 0.004 0.002 0.002 HR UN Equity HEALTHCARE REALTY TRUST INC Financials 23.37 5.13% 13.11.2012 22.91 19.80 18.97 19.78 0.000 -0.178 -0.225 -0.194 0.000 0.003 0.004 0.003 HCSG UW Equity HEALTHCARE SERVICES GROUP Industrials 23.86 2.80% 20.02.2013 HSTM UW Equity HEALTHSTREAM INC Health Care 28.88 43.68 41.87 41.93 -0.100 -0.162 -0.172 0.002 0.003 0.003 HWAY UW Equity HEALTHWAYS INC Health Care 11.18 74.00 74.00 74.00 74.00 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HTLD UW Equity HEARTLAND EXPRESS INC Industrials 13.59 0.59% 05.12.2012 HPY UN Equity HEARTLAND PAYMENT SYSTEMS IN Information Technology 27.00 0.89% 23.11.2012 38.85 34.34 33.78 37.58 -0.165 -0.070 -0.041 -0.176 0.017 0.008 0.005 0.015 HSII UW Equity HEIDRICK & STRUGGLES INTL Industrials 12.39 4.20% 31.10.2012 43.80 43.23 43.13 43.09 0.000 -0.162 -0.227 -0.300 0.000 -0.002 -0.002 0.000 HELE UW Equity HELEN OF TROY LTD Consumer Discretionary 28.70 35.23 36.10 36.86 39.24 -0.388 -0.149 -0.107 -0.208 0.006 0.003 0.003 0.005 HLX UN Equity HELIX ENERGY SOLUTIONS GROUP Energy 18.40 41.66 38.76 39.25 -0.420 -0.320 -0.276 0.008 0.008 0.004 HSIC UW Equity HENRY SCHEIN INC Health Care 77.15 21.92 20.66 20.49 21.23 -0.151 -0.242 -0.282 -0.324 0.004 0.006 0.007 0.007 MLHR UW Equity HERMAN MILLER INC Industrials 19.58 1.84% 28.11.2012 42.27 41.81 41.68 41.71 -0.200 -0.149 -0.141 -0.172 0.003 0.002 0.001 0.001 HF UN Equity HFF INC-CLASS A Financials 14.10 47.81 47.81 47.81 43.61 0.000 0.000 0.000 -0.184 0.000 0.000 0.000 0.002 HITK UW Equity HI-TECH PHARMACAL CO INC Health Care 32.94 37.37 38.48 39.04 40.26 -0.091 -0.103 -0.110 -0.128 0.001 0.000 0.001 0.001 HIBB UW Equity HIBBETT SPORTS INC Consumer Discretionary 57.74 34.50 31.73 30.30 29.58 -1.007 -0.308 -0.098 -0.318 0.021 0.015 0.011 0.011 ONE UN Equity HIGHER ONE HOLDINGS INC Information Technology 11.94 87.88 69.63 64.21 66.15 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HIW UN Equity HIGHWOODS PROPERTIES INC Financials 32.98 5.16% 07.11.2012 27.09 32.89 32.88 24.15 0.000 -0.382 -0.447 -0.196 0.000 0.000 0.001 0.004 HRC UN Equity HILL-ROM HOLDINGS INC Health Care 29.55 1.90% 14.12.2012 29.70 30.55 30.49 0.000 -0.096 -0.136 0.000 0.001 0.002 HI UN Equity HILLENBRAND INC Consumer Discretionary 18.64 4.18% 13.12.2012 27.31 24.08 23.54 26.48 0.000 -0.164 -0.243 -0.127 0.000 0.000 0.000 0.006 HSH UN Equity HILLSHIRE BRANDS CO Consumer Staples 26.45 1.89% 30.11.2012 26.94 26.52 26.55 27.31 27.64 28.15 28.80 -0.277 -0.244 -0.223 -0.202 -0.144 -0.117 -0.103 0.009 0.010 0.009 0.005 0.002 0.001 0.001 HITT UW Equity HITTITE MICROWAVE CORP Information Technology 54.03 32.24 31.49 31.56 -0.326 -0.338 -0.302 0.005 0.003 0.002S&P 1000 Index HMSY UW Equity HMS HOLDINGS CORP Health Care 27.86 45.03 40.00 38.18 -0.068 -0.122 -0.126 0.001 0.002 0.003 HNI UN Equity HNI CORP Industrials 26.51 3.96% 21.11.2012 85.59 63.16 52.83 41.95 0.000 -0.461 -0.598 -0.113 0.000 0.019 0.023 0.031 HFC UN Equity HOLLYFRONTIER CORP Energy 37.34 2.01% 12.12.2012 41.77 40.36 39.65 40.34 41.39 -0.356 -0.270 -0.267 -0.218 -0.169 0.002 0.003 0.002 0.001 0.001 HOLX UW Equity HOLOGIC INC Health Care 21.63 40.05 35.28 33.59 -0.319 -0.260 -0.243 0.006 0.005 0.003 HOMB UW Equity HOME BANCSHARES INC Financials 33.44 1.44% 13.11.2012 24.25 24.25 24.25 0.000 0.000 0.000 0.000 0.000 0.000 HME UN Equity HOME PROPERTIES INC Financials 59.48 4.59% 16.11.2012 24.37 22.81 22.04 22.03 0.000 -0.279 -0.371 -0.483 0.000 0.009 0.012 0.013 HMN UN Equity HORACE MANN EDUCATORS Financials 18.63 3.22% 20.12.2012 HOS UN Equity HORNBECK OFFSHORE SERVICES Energy 34.73 44.05 42.71 41.78 -0.281 -0.343 -0.291 0.007 0.009 0.008 HPT UN Equity HOSPITALITY PROPERTIES TRUST Financials 23.96 7.85% 25.01.2013 24.65 19.92 18.80 0.000 -0.267 -0.282 0.000 0.010 0.011 HOTT UW Equity HOT TOPIC INC Consumer Discretionary 9.22 2.60% 17.01.2013 80.46 80.46 80.46 80.46 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 HSNI UW Equity HSN INC Consumer Discretionary 48.48 0.77% 30.01.2013 25.41 33.12 33.01 -0.391 -0.314 -0.302 0.013 0.002 0.001 HUBG UW Equity HUB GROUP INC-CL A Industrials 30.59 42.71 38.93 37.42 36.04 0.000 0.045 0.009 -0.208 0.000 -0.001 0.000 0.004 HUB/B UN Equity HUBBELL INC -CL B Industrials 84.91 2.08% 13.12.2012 27.04 23.99 23.35 -0.446 -0.358 -0.305 0.013 0.010 0.008 HII UN Equity HUNTINGTON INGALLS INDUSTRIE Industrials 40.71 28.33 25.92 25.64 -0.267 -0.195 -0.177 0.008 0.004 0.003 ICON UW Equity ICONIX BRAND GROUP INC Consumer Discretionary 18.59 36.50 29.30 29.23 36.98 -0.247 -0.457 -0.449 -0.168 0.000 0.012 0.013 0.003 ICUI UW Equity ICU MEDICAL INC Health Care 59.96 47.70 39.60 36.80 36.04 -0.154 -0.170 -0.177 -0.179 0.002 0.002 0.002 0.002 IDA UN Equity IDACORP INC Utilities 44.07 3.45% 31.01.2013 IEX UN Equity IDEX CORP Industrials 40.41 1.58% 09.01.2013 31.32 31.32 31.32 31.82 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 IDXX UW Equity IDEXX LABORATORIES INC Health Care 97.04 33.93 26.96 24.34 23.66 0.108 -0.116 -0.182 -0.124 -0.001 0.004 0.004 0.002 IGTE UW Equity IGATE CORP Information Technology 18.12 1.10% 22.02.2013 34.70 36.44 37.75 -0.224 -0.343 -0.323 -0.002 0.005 0.004 IIVI UW Equity II-VI INC Industrials 18.07 41.01 40.50 40.27 40.22 -0.156 -0.164 -0.172 -0.190 -0.002 0.001 0.003 0.004 INDB UW Equity INDEPENDENT BANK CORP/MA Financials 30.08 2.89% 27.12.2012 20.07 21.91 22.25 21.40 0.000 0.000 -0.007 -0.036 0.000 -0.001 -0.001 0.000 IPCC UW Equity INFINITY PROPERTY & CASUALTY Financials 58.04 1.68% 28.11.2012 17.94 17.94 17.94 0.000 0.000 0.000 0.000 0.000 0.000 INFA UW Equity INFORMATICA CORP Information Technology 27.72 50.13 49.12 48.40 51.46 51.74 -0.016 -0.124 -0.146 -0.142 -0.139 0.002 0.002 0.002 0.000 0.000 IM UN Equity INGRAM MICRO INC-CL A Information Technology 14.96 30.29 27.14 26.43 0.000 0.011 -0.055 0.000 0.000 0.001 INGR UN Equity INGREDION INC Consumer Staples 55.10 1.96% 28.12.2012 26.33 25.23 25.06 25.78 -0.249 -0.272 -0.262 -0.190 0.004 0.004 0.004 0.003 IRC UN Equity INLAND REAL ESTATE CORP Financials 8.62 6.61% 29.10.2012 33.04 33.04 29.17 0.000 0.000 0.000 0.000 0.000 0.000 IPHS UW Equity INNOPHOS HOLDINGS INC Materials 48.30 2.98% 26.10.2012 30.55 29.57 27.28 -0.800 -0.793 -0.463 0.015 0.016 0.013 NSIT UW Equity INSIGHT ENTERPRISES INC Information Technology 16.20 43.41 40.44 39.49 39.27 -0.226 -0.169 -0.158 -0.186 0.001 0.003 0.003 0.001 NSP UN Equity INSPERITY INC Industrials 25.61 2.66% 23.11.2012 31.80 31.09 30.80 30.39 0.000 -0.057 -0.095 -0.176 0.000 0.002 0.003 0.004 IART UW Equity INTEGRA LIFESCIENCES HOLDING Health Care 39.10 35.46 35.08 35.12 -0.040 -0.060 -0.078 0.002 0.001 0.001 IDTI UW Equity INTEGRATED DEVICE TECH INC Information Technology 5.84 45.02 44.08 42.56 41.09 -0.246 -0.067 -0.122 -0.271 0.005 0.001 0.002 0.003 IPAR UW Equity INTER PARFUMS INC Consumer Staples 18.67 2.04% 28.12.2012 38.04 38.02 38.00 37.69 0.033 0.033 0.033 -0.049 0.000 0.000 0.000 0.000 IBKR UW Equity INTERACTIVE BROKERS GRO-CL A Financials 14.23 2.81% 27.11.2012 23.02 20.68 22.64 19.43 19.47 -0.122 -0.167 -0.008 -0.210 -0.128 0.000 0.002 0.000 0.010 0.007 ININ UW Equity INTERACTIVE INTELLIGENCE GRO Information Technology 30.88 43.47 43.65 43.58 0.000 -0.300 -0.339 0.000 0.003 0.003 IDCC UW Equity INTERDIGITAL INC Information Technology 35.70 1.23% 07.01.2013 49.97 49.60 48.56 50.21 50.54 -0.303 -0.260 -0.193 -0.152 -0.131 0.009 0.004 0.003 0.001 0.000 IFSIA UW Equity INTERFACE INC Industrials 13.99 0.75% 07.11.2012 79.22 80.92 82.57 64.94 -2.764 -2.767 -2.771 -0.230 0.016 0.013 0.010 0.003 IN UN Equity INTERMEC INC Information Technology 6.76 56.22 49.65 46.64 0.000 0.017 -0.069 0.000 0.000 0.001 IBOC UW Equity INTERNATIONAL BANCSHARES CRP Financials 18.22 2.41% 02.04.2013 31.62 35.24 35.89 34.39 0.000 -0.231 -0.297 -0.312 0.000 0.000 0.000 0.003 IRF UN Equity INTL RECTIFIER CORP Information Technology 15.39 45.89 41.68 40.75 -0.008 -0.200 -0.222 0.000 0.003 0.003 ISCA UW Equity INTL SPEEDWAY CORP-CL A Consumer Discretionary 25.66 0.86% 22.05.2013 35.12 32.24 30.61 -0.196 -0.181 -0.178 0.006 0.009 0.006 ISIL UW Equity INTERSIL CORP-A Information Technology 7.06 6.80% 09.11.2012 46.28 45.32 44.67 42.59 -0.294 -0.107 -0.075 -0.167 0.006 0.002 0.001 0.002 IILG UW Equity INTERVAL LEISURE GROUP Consumer Discretionary 19.29 2.07% 31.12.2012 48.39 48.39 48.39 0.000 0.000 0.000 0.000 0.000 0.000 IVAC UW Equity INTEVAC INC Information Technology 5.17 64.97 58.29 57.37 62.27 0.000 -0.009 -0.001 0.045 0.000 0.000 0.000 0.001 IPI UN Equity INTREPID POTASH INC Materials 20.73 35.48 34.06 34.32 36.54 38.32 -0.201 -0.249 -0.230 -0.217 -0.160 0.003 0.005 0.002 0.002 0.001 IVC UN Equity INVACARE CORP Health Care 14.09 0.36% 02.01.2013 35.47 35.47 35.48 0.000 0.000 0.020 0.000 0.000 0.001 ITG UN Equity INVESTMENT TECHNOLOGY GROUP Financials 8.50 36.72 36.72 36.72 33.59 0.000 0.000 0.000 -0.215 0.000 0.000 0.000 -0.001 IO UN Equity ION GEOPHYSICAL CORP Energy 6.58 50.86 53.27 54.36 56.13 0.143 -0.032 -0.097 -0.144 0.025 0.010 0.005 0.001 IPCM UW Equity IPC THE HOSPITALIST CO Health Care 44.66 36.37 33.99 34.21 -0.107 -0.357 -0.247 -0.001 0.018 0.012 IRBT UW Equity IROBOT CORP Consumer Discretionary 23.29 48.12 45.89 45.55 -0.220 -0.150 -0.130 0.006 0.002 0.001 ITRI UW Equity ITRON INC Information Technology 41.79 42.84 40.99 40.44 39.84 -0.315 -0.145 -0.110 -0.162 0.007 0.001 0.002 0.003 ITT UN Equity ITT CORP Industrials 20.87 1.87% 27.02.2013 25.86 24.15 23.91 24.95 -0.079 -0.131 -0.168 -0.251 0.000 0.002 0.003 0.003 ESI UN Equity ITT EDUCATIONAL SERVICES INC Consumer Discretionary 29.70 64.98 65.07 63.08 56.87 53.57 52.89 52.95 -0.138 -0.135 -0.187 -0.119 -0.068 -0.058 -0.058 -0.004 -0.004 -0.002 0.000 0.001 0.001 0.001 JJSF UW Equity J & J SNACK FOODS CORP Consumer Staples 57.48 0.96% 13.12.2012 JCOM UW Equity J2 GLOBAL INC Information Technology 30.67 2.90% 14.11.2012 31.56 29.17 28.52 0.000 -0.147 -0.176 0.000 0.002 0.003 JKHY UW Equity JACK HENRY & ASSOCIATES INC Information Technology 38.29 1.28% 30.11.2012 16.30 16.30 18.76 0.000 0.000 -0.014 0.000 0.000 0.000 JACK UW Equity JACK IN THE BOX INC Consumer Discretionary 26.91 27.29 27.29 27.20 0.000 -0.293 -0.337 0.000 0.005 0.006 JAKK UW Equity JAKKS PACIFIC INC Consumer Discretionary 13.57 2.95% 11.12.2012 41.48 36.33 35.03 0.038 -0.003 -0.059 0.000 0.000 0.001 JNS UN Equity JANUS CAPITAL GROUP INC Financials 8.92 2.69% 31.10.2012 32.81 31.95 32.77 -0.158 -0.244 -0.259 0.003 0.003 0.003 JAH UN Equity JARDEN CORP Consumer Discretionary 54.05 03.01.2013 29.29 25.89 25.25 26.82 -0.372 -0.362 -0.347 -0.277 0.008 0.008 0.006 0.003 JBHT UW Equity HUNT (JB) TRANSPRT SVCS INC Industrials 58.44 1.06% 14.11.2012 26.32 25.96 25.97 26.44 26.58 26.94 27.46 -0.223 -0.253 -0.250 -0.188 -0.149 -0.132 -0.114 0.010 0.007 0.006 0.003 0.003 0.002 0.001 JDAS UW Equity JDA SOFTWARE GROUP INC Information Technology 33.91 32.63 32.47 32.43 32.50 0.000 -0.053 -0.081 -0.138 0.000 0.004 0.005 0.004 JEF UN Equity JEFFERIES GROUP INC Financials 14.85 1.52% 09.01.2013 32.39 33.56 34.11 34.89 37.95 39.59 40.51 -0.150 -0.280 -0.306 -0.279 -0.227 -0.199 -0.182 0.004 0.007 0.007 0.004 0.003 0.002 0.001 JBLU UW Equity JETBLUE AIRWAYS CORP Industrials 5.19 34.85 37.40 37.35 39.94 41.83 0.000 -0.040 -0.240 -0.220 -0.194 0.000 -0.002 0.009 0.002 0.000 JBT UN Equity JOHN BEAN TECHNOLOGIES CORP Industrials 15.79 1.77% 14.11.2012 JW/A UN Equity WILEY (JOHN) & SONS-CLASS A Consumer Discretionary 45.03 2.26% 28.12.2012 23.22 23.22 23.22 0.000 0.000 0.000 0.000 0.000 0.000 JLL UN Equity JONES LANG LASALLE INC Financials 75.67 0.59% 09.11.2012 36.69 32.91 32.48 -0.279 -0.318 -0.311 0.006 0.006 0.005 JOSB UW Equity JOS A BANK CLOTHIERS INC Consumer Discretionary 49.23 26.33 29.07 30.28 32.17 -0.180 -0.283 -0.293 -0.234 0.003 0.005 0.005 0.003 KSWS UW Equity K-SWISS INC-A Consumer Discretionary 2.81 82.78 82.78 82.78 82.84 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 KALU UW Equity KAISER ALUMINUM CORP Materials 57.58 1.79% 24.01.2013 32.33 32.35 31.80 0.006 0.006 -0.069 0.000 0.000 0.002 KAMN UN Equity KAMAN CORP Industrials 36.19 1.93% 27.12.2012 59.90 52.34 43.43 0.000 0.955 0.734 0.000 0.005 0.009 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M KSU UN Equity KANSAS CITY SOUTHERN Industrials 74.70 1.18% 06.12.2012 31.30 29.85 29.82 -0.336 -0.352 -0.325 0.006 0.004 0.002 KS UN Equity KAPSTONE PAPER AND PACKAGING Materials 22.74 42.90 36.85 34.35 31.86 -0.249 -0.200 -0.174 -0.128 0.000 0.004 0.005 0.004 KDN UN Equity KAYDON CORP Industrials 21.83 3.71% 13.12.2012 28.21 28.30 28.02 26.88 -0.122 -0.139 -0.144 -0.141 0.002 -0.001 -0.001 0.002 KBH UN Equity KB HOME Consumer Discretionary 15.32 0.65% 29.01.2013 48.47 48.85 48.94 48.85 48.84 49.41 50.25 -0.166 -0.118 -0.104 -0.103 -0.102 -0.106 -0.111 0.006 0.003 0.003 0.002 0.001 0.001 0.001 KBR UN Equity KBR INC Industrials 30.48 0.66% 12.12.2012 36.24 35.39 35.41 -0.284 -0.256 -0.234 0.008 0.004 0.003 KELYA UW Equity KELLY SERVICES INC -A Industrials 12.99 1.54% 28.11.2012 39.14 37.10 37.54 42.09 0.000 -0.102 -0.056 0.179 0.000 -0.003 -0.001 0.004 KMPR UN Equity KEMPER CORP Financials 31.17 3.27% 14.11.2012 KMT UN Equity KENNAMETAL INC Industrials 36.08 1.77% 09.11.2012 42.46 35.28 33.72 37.28 -0.078 -0.124 -0.140 -0.131 -0.001 0.004 0.004 -0.001 KRC UN Equity KILROY REALTY CORP Financials 46.49 3.33% 28.12.2012 21.11 20.79 21.87 25.69 -0.186 -0.302 -0.326 -0.305 0.004 0.006 0.006 0.003 KND UN Equity KINDRED HEALTHCARE INC Health Care 11.15 53.69 50.03 48.41 46.30 -0.156 -0.152 -0.155 -0.180 0.000 0.001 0.002 0.002 KEX UN Equity KIRBY CORP Industrials 57.21 31.84 29.25 29.29 -0.286 -0.315 -0.297 0.006 0.006 0.005 KIRK UW Equity KIRKLANDS INC Consumer Discretionary 10.28 46.84 48.78 48.71 46.89 0.000 -0.178 -0.219 -0.187 0.000 0.000 0.000 0.001 KRG UN Equity KITE REALTY GROUP TRUST Financials 5.34 4.49% 04.01.2013 32.41 32.41 32.41 32.93 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 KNX UN Equity KNIGHT TRANSPORTATION INC Industrials 14.67 1.77% 28.11.2012 20.90 25.18 26.57 0.000 -0.272 -0.292 0.000 0.006 0.006 KOPN UW Equity KOPIN CORP Information Technology 3.78 KOP UN Equity KOPPERS HOLDINGS INC Materials 34.76 2.76% 15.11.2012 35.14 33.89 34.34 -0.292 -0.389 -0.371 0.006 0.008 0.007 KFY UN Equity KORN/FERRY INTERNATIONAL Industrials 13.77 48.21 44.65 42.32 0.000 -0.037 -0.101 0.000 0.000 0.002 KRA UN Equity KRATON PERFORMANCE POLYMERS Materials 21.47 56.81 52.70 51.14 50.10 -0.404 -0.263 -0.214 -0.212 0.007 0.005 0.003 0.001 KLIC UW Equity KULICKE & SOFFA INDUSTRIES Information Technology 9.60 51.23 44.06 42.02 43.05 -0.045 -0.152 -0.172 -0.087 -0.001 0.005 0.006 0.002 LZB UN Equity LA-Z-BOY INC Consumer Discretionary 15.00 38.11 38.56 40.69 48.47 0.000 -0.179 -0.221 -0.182 0.000 0.005 0.005 0.002 LG UN Equity LACLEDE GROUP INC/THE Utilities 42.98 3.96% 07.12.2012 14.56 14.56 14.56 0.000 0.000 0.000 0.000 0.000 0.000 LAMR UW Equity LAMAR ADVERTISING CO-A Consumer Discretionary 38.37 39.48 35.34 34.39 35.87 36.67 37.25 37.82 -0.357 -0.362 -0.334 -0.202 -0.161 -0.155 -0.151 0.005 0.005 0.005 0.000 0.001 0.001 0.001 LANC UW Equity LANCASTER COLONY CORP Consumer Staples 72.78 2.09% 07.12.2012 20.09 20.10 20.10 0.007 0.007 0.007 0.000 0.000 0.000 LDR UN Equity LANDAUER INC Health Care 57.53 4.17% 05.12.2012 LSTR UW Equity LANDSTAR SYSTEM INC Industrials 48.36 0.52% 01.11.2012 28.24 31.72 30.48 24.65 -0.407 -0.900 -0.891 -0.445 0.011 0.018 0.019 0.015 LHO UN Equity LASALLE HOTEL PROPERTIES Financials 25.59 3.60% 28.12.2012 31.77 31.41 31.61 0.000 -0.129 -0.213 0.000 0.004 0.006 LAWS UW Equity LAWSON PRODUCTS INC Industrials 7.26 8.54% 22.10.2012 LPS UN Equity LENDER PROCESSING SERVICES Information Technology 30.14 1.33% 27.11.2012 42.66 42.10 40.37 -0.708 -0.457 -0.374 0.010 0.005 0.006 LII UN Equity LENNOX INTERNATIONAL INC Industrials 46.85 1.71% 26.12.2012 33.97 31.95 31.80 -0.156 -0.178 -0.190 0.003 0.002 0.002 LXP UN Equity LEXINGTON REALTY TRUST Financials 9.64 6.33% 28.12.2012 28.32 28.32 28.32 26.03 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LXK UN Equity LEXMARK INTERNATIONAL INC-A Information Technology 21.08 5.69% 28.11.2012 58.11 51.43 49.09 48.35 48.79 49.35 49.80 -0.196 -0.180 -0.168 -0.154 -0.136 -0.139 -0.155 0.007 0.005 0.004 0.002 0.001 0.000 0.000 LHCG UW Equity LHC GROUP INC Health Care 18.11 32.85 33.32 32.92 0.000 -0.092 -0.123 0.000 -0.001 0.000 LRY UN Equity LIBERTY PROPERTY TRUST Financials 37.12 5.12% 02.01.2013 24.91 24.91 24.91 24.91 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LTM UN Equity LIFE TIME FITNESS INC Consumer Discretionary 45.15 34.96 32.15 31.52 32.40 -0.451 -0.364 -0.318 -0.246 0.011 0.006 0.004 0.002 LPNT UW Equity LIFEPOINT HOSPITALS INC Health Care 41.67 34.23 31.03 29.82 29.20 -0.142 -0.252 -0.274 -0.216 0.012 0.006 0.004 0.003 LINC UW Equity LINCOLN EDUCATIONAL SERVICES Consumer Discretionary 4.24 6.60% 14.12.2012 58.60 58.60 62.66 0.000 0.000 0.000 0.000 0.000 0.000 LECO UW Equity LINCOLN ELECTRIC HOLDINGS Industrials 39.31 1.93% 28.12.2012 34.79 30.74 30.57 -0.294 -0.347 -0.318 0.006 0.014 0.012 LNN UN Equity LINDSAY CORP Industrials 72.79 0.65% 15.02.2013 37.16 37.35 37.10 -0.186 -0.190 -0.171 0.003 0.003 0.003 LQDT UW Equity LIQUIDITY SERVICES INC Information Technology 40.62 61.44 61.79 60.94 -0.138 -0.146 -0.152 0.004 0.002 0.002 LAD UN Equity LITHIA MOTORS INC-CL A Consumer Discretionary 35.49 1.30% 09.11.2012 47.44 44.17 43.44 -0.094 -0.174 -0.211 0.004 0.005 0.005 LFUS UW Equity LITTELFUSE INC Information Technology 55.46 1.48% 15.11.2012 39.43 31.32 29.74 0.000 0.002 -0.025 0.000 0.000 0.000 LYV UN Equity LIVE NATION ENTERTAINMENT IN Consumer Discretionary 8.53 64.61 56.40 52.70 47.05 88.89 84.51 66.03 -1.044 -0.627 -0.448 -0.279 -0.249 -0.228 -0.196 0.019 0.011 0.007 0.003 0.001 0.001 0.001 LPSN UW Equity LIVEPERSON INC Information Technology 16.95 54.66 48.01 45.59 44.34 -0.207 -0.255 -0.250 -0.153 0.004 0.003 0.003 0.002 LKQ UW Equity LKQ CORP Consumer Discretionary 20.13 28.56 27.81 28.06 29.91 -0.345 -0.353 -0.330 -0.236 0.009 0.013 0.013 0.006 LOGM UW Equity LOGMEIN INC Information Technology 21.00 60.57 56.75 55.17 -0.331 -0.338 -0.300 0.005 0.004 0.003 LPX UN Equity LOUISIANA-PACIFIC CORP Materials 14.35 53.24 49.68 49.34 49.85 50.07 50.60 51.11 -0.308 -0.297 -0.258 -0.208 -0.179 -0.152 -0.137 0.012 0.006 0.003 0.002 0.001 0.001 0.001 LXU UN Equity LSB INDUSTRIES INC Materials 40.73 46.59 44.67 44.04 -0.382 -0.298 -0.256 0.005 -0.001 -0.002 LTC UN Equity LTC PROPERTIES INC Financials 32.83 5.80% 18.01.2013 27.95 23.55 21.51 19.04 -0.163 -0.167 -0.185 -0.214 0.001 0.000 0.000 0.004 LUFK UW Equity LUFKIN INDUSTRIES INC Energy 53.70 1.07% 30.11.2012 48.64 44.20 43.02 -0.022 -0.114 -0.132 0.003 0.003 0.002 LL UN Equity LUMBER LIQUIDATORS HOLDINGS Consumer Discretionary 50.10 46.71 43.22 41.92 40.90 -0.305 -0.255 -0.227 -0.170 0.008 0.005 0.004 0.002 LMNX UW Equity LUMINEX CORP Health Care 17.90 40.62 45.30 44.39 36.08 0.000 -0.305 -0.296 -0.011 0.000 0.004 0.004 -0.001 LMOS UW Equity LUMOS NETWORKS CORP Telecommunication Services 7.84 7.14% 12.12.2012 75.32 75.32 75.32 75.32 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LDL UN Equity LYDALL INC Industrials 13.89 48.06 48.01 47.96 51.24 -0.276 -0.276 -0.276 -0.065 0.002 0.002 0.002 0.001 MHO UN Equity M/I HOMES INC Consumer Discretionary 22.31 51.59 53.16 53.99 55.20 -0.088 -0.216 -0.209 -0.042 -0.001 0.004 0.004 0.001 MAC UN Equity MACERICH CO/THE Financials 59.42 4.04% 09.11.2012 20.94 19.44 19.28 -0.307 -0.265 -0.268 0.005 0.007 0.007S&P 1000 Index CLI UN Equity MACK-CALI REALTY CORP Financials 27.56 6.53% 04.01.2013 28.89 28.89 28.89 28.89 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 MGLN UW Equity MAGELLAN HEALTH SERVICES INC Health Care 50.77 37.97 37.97 37.14 0.000 0.000 -0.016 0.000 0.000 0.000 MFB UN Equity MAIDENFORM BRANDS INC Consumer Discretionary 19.11 42.56 40.73 40.30 40.63 -0.111 -0.195 -0.200 -0.121 0.001 0.006 0.006 0.000 MANH UW Equity MANHATTAN ASSOCIATES INC Information Technology 58.06 31.80 28.72 27.75 27.61 -0.305 -0.266 -0.254 -0.235 0.013 0.006 0.004 0.002 MAN UN Equity MANPOWER INC Industrials 35.20 2.53% 05.12.2012 35.24 33.36 33.46 -0.298 -0.269 -0.247 0.007 0.007 0.006 MANT UW Equity MANTECH INTERNATIONAL CORP-A Information Technology 22.24 3.78% 05.12.2012 34.13 34.50 34.31 32.95 -0.184 -0.157 -0.146 -0.114 0.004 0.001 0.001 0.002 MCS UN Equity MARCUS CORPORATION Consumer Discretionary 11.14 3.05% 25.10.2012 HZO UN Equity MARINEMAX INC Consumer Discretionary 7.60 95.77 94.94 94.42 93.90 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 MKTX UW Equity MARKETAXESS HOLDINGS INC Financials 31.64 1.58% 09.11.2012 45.87 40.37 38.13 35.63 -0.589 -0.210 -0.086 -0.049 -0.005 -0.003 -0.002 0.000 VAC UN Equity MARRIOTT VACATIONS WORLD Consumer Discretionary 39.95 25.93 25.28 26.01 29.67 -0.214 -0.275 -0.294 -0.286 0.005 0.008 0.008 0.003 MLM UN Equity MARTIN MARIETTA MATERIALS Materials 82.77 1.93% 30.11.2012 37.95 35.47 34.34 33.10 -0.561 -0.464 -0.403 -0.278 0.013 0.007 0.004 0.002 MASI UW Equity MASIMO CORPORATION Health Care 23.10 34.16 29.78 29.26 -0.142 -0.023 0.041 0.013 0.002 -0.003 MTRN UN Equity MATERION CORP Materials 23.23 1.29% 14.11.2012 71.98 50.62 43.01 0.000 -0.274 -0.300 0.000 -0.001 0.000 MTRX UW Equity MATRIX SERVICE CO Energy 10.70 47.38 43.81 42.86 43.40 0.000 0.040 0.031 -0.055 0.000 0.003 0.005 0.005 MATX UN Equity MATSON INC Industrials 21.16 2.84% 06.11.2012 36.33 33.89 32.99 -0.345 -0.410 -0.350 0.001 0.003 0.003 MATW UW Equity MATTHEWS INTL CORP-CLASS A Consumer Discretionary 29.49 1.36% 01.11.2012 71.86 71.86 71.86 0.000 0.000 0.000 0.000 0.000 0.000 MMS UN Equity MAXIMUS INC Information Technology 57.54 0.63% 13.02.2013 19.85 19.37 19.99 22.92 -0.044 -0.032 -0.035 -0.061 0.000 0.000 0.000 0.000 MDC UN Equity MDC HOLDINGS INC Consumer Discretionary 39.51 2.53% 05.11.2012 41.52 39.34 39.19 -0.371 -0.302 -0.269 0.005 0.004 0.003 MDU UN Equity MDU RESOURCES GROUP INC Utilities 21.55 3.20% 04.12.2012 20.69 20.67 20.64 18.47 0.010 0.011 0.012 -0.003 0.006 0.006 0.006 0.000 MIG UN Equity MEADOWBROOK INSURANCE GROUP Financials 7.67 3.13% 07.11.2012 MEAS UW Equity MEASUREMENT SPECIALTIES INC Information Technology 33.41 39.52 39.52 39.52 39.52 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 MPW UN Equity MEDICAL PROPERTIES TRUST INC Financials 11.29 7.09% 04.12.2012 23.83 23.83 23.83 19.25 0.000 0.000 0.000 -0.112 0.000 0.000 0.000 0.001 MDCO UW Equity MEDICINES COMPANY Health Care 23.98 49.87 48.23 47.30 45.54 -0.312 -0.182 -0.149 -0.186 0.011 0.003 0.001 0.002 MRX UN Equity MEDICIS PHARMACEUTICAL-CL A Health Care 43.36 1.06% 03.01.2013 6.22 6.22 6.22 6.22 -0.185 -0.185 -0.185 -0.184 0.004 0.004 0.004 0.004 MDSO UW Equity MEDIDATA SOLUTIONS INC Health Care 40.00 52.33 43.72 40.91 40.51 -0.123 -0.149 -0.173 -0.226 0.006 0.002 0.000 -0.001 MED UN Equity MEDIFAST INC Consumer Staples 26.24 44.60 40.49 40.42 -0.685 -0.169 -0.033 0.021 0.011 0.004 MD UN Equity MEDNAX INC Health Care 70.89 27.37 25.56 25.00 24.92 -0.135 -0.110 -0.122 -0.193 0.000 -0.003 -0.003 -0.001 WFR UN Equity MEMC ELECTRONIC MATERIALS Information Technology 2.36 93.06 86.34 83.55 80.59 80.79 84.24 89.08 -0.394 -0.271 -0.227 -0.208 -0.176 -0.123 -0.045 0.005 0.004 0.003 0.003 0.002 0.001 0.000 MW UN Equity MENS WEARHOUSE INC/THE Consumer Discretionary 33.21 2.44% 15.03.2013 32.51 35.83 36.95 37.99 -0.237 -0.300 -0.300 -0.231 0.005 0.003 0.002 0.001 MENT UW Equity MENTOR GRAPHICS CORP Information Technology 15.77 37.56 36.22 35.88 36.08 -0.109 -0.078 -0.083 -0.137 -0.001 0.003 0.003 0.001 MRCY UW Equity MERCURY COMPUTER SYSTEMS INC Information Technology 8.62 122.48 125.14 127.75 135.27 0.638 0.717 0.785 0.900 0.015 0.013 0.011 0.001 MCY UN Equity MERCURY GENERAL CORP Financials 40.46 6.13% 14.12.2012 18.08 18.08 19.08 0.000 0.000 0.000 0.000 0.000 0.000 MDP UN Equity MEREDITH CORP Consumer Discretionary 34.25 4.73% 28.11.2012 24.47 26.75 27.00 0.000 -0.345 -0.337 0.000 0.014 0.013 VIVO UW Equity MERIDIAN BIOSCIENCE INC Health Care 19.57 4.04% 23.11.2012 31.94 30.17 29.79 30.14 -0.122 -0.146 -0.163 -0.165 0.002 0.005 0.007 0.009 MMSI UW Equity MERIT MEDICAL SYSTEMS INC Health Care 14.45 34.72 29.01 28.59 35.03 0.000 -0.001 0.000 0.005 0.000 0.000 0.000 0.000 MTH UN Equity MERITAGE HOMES CORP Consumer Discretionary 40.50 46.91 44.89 44.48 -0.313 -0.197 -0.169 0.007 0.002 0.001 MEI UN Equity METHODE ELECTRONICS INC Information Technology 9.47 2.22% 09.01.2013 51.28 51.28 51.28 51.28 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 MTD UN Equity METTLER-TOLEDO INTERNATIONAL Health Care 169.88 27.99 26.12 25.56 25.89 -0.310 -0.199 -0.163 -0.178 0.005 0.003 0.002 0.004 MCRL UW Equity MICREL INC Information Technology 9.77 1.69% 05.11.2012 36.73 36.50 36.41 36.32 0.000 -0.126 -0.162 -0.166 0.000 0.004 0.005 0.005 MCRS UW Equity MICROS SYSTEMS INC Information Technology 48.98 38.43 34.05 32.77 -0.410 -0.238 -0.215 0.004 0.004 0.005 MSCC UW Equity MICROSEMI CORP Information Technology 18.21 46.17 42.10 41.17 0.000 -0.203 -0.232 0.000 0.003 0.003 MSTR UW Equity MICROSTRATEGY INC-CL A Information Technology 119.68 46.43 41.65 40.10 39.88 -0.268 -0.199 -0.177 -0.182 0.004 0.002 0.002 0.003 MAA UN Equity MID-AMERICA APARTMENT COMM Financials 63.10 3.28% 09.01.2013 19.96 17.92 18.33 0.000 -0.203 -0.164 0.000 0.005 0.005 MSA UN Equity MINE SAFETY APPLIANCES CO Industrials 36.99 3.14% 16.11.2012 29.46 30.51 30.96 -0.109 -0.185 -0.205 0.000 0.005 0.005 MTX UN Equity MINERALS TECHNOLOGIES INC Materials 70.94 0.28% 30.11.2012 26.96 26.95 26.94 27.15 -0.138 -0.138 -0.138 -0.067 0.003 0.003 0.003 0.001 MKSI UW Equity MKS INSTRUMENTS INC Information Technology 22.93 2.79% 30.11.2012 35.77 36.97 40.81 51.06 -0.129 -0.400 -0.408 0.278 0.009 0.004 -0.002 -0.001 MINI UW Equity MOBILE MINI INC Industrials 17.73 36.91 37.69 37.90 37.87 0.000 -0.043 -0.060 -0.085 0.000 0.001 0.001 0.001 MHK UN Equity MOHAWK INDUSTRIES INC Consumer Discretionary 80.58 30.82 29.55 29.41 30.16 -0.467 -0.407 -0.352 -0.215 0.008 0.005 0.004 0.003 MOH UN Equity MOLINA HEALTHCARE INC Health Care 23.07 65.54 58.02 55.88 -0.105 -0.150 -0.155 0.004 0.004 0.004 MNTA UW Equity MOMENTA PHARMACEUTICALS INC Health Care 14.49 44.73 43.09 45.01 49.42 51.63 -0.103 -0.064 -0.082 -0.125 -0.128 0.000 0.008 0.005 0.003 0.001 MCRI UW Equity MONARCH CASINO & RESORT INC Consumer Discretionary 9.26 44.93 45.49 45.95 0.146 0.145 0.085 0.001 -0.001 -0.001 MPWR UW Equity MONOLITHIC POWER SYSTEMS INC Information Technology 18.51 46.33 42.51 42.45 -0.263 -0.136 -0.094 0.011 0.008 0.005 TYPE UW Equity MONOTYPE IMAGING HOLDINGS IN Information Technology 14.71 38.52 38.26 37.99 38.27 -0.270 -0.268 -0.264 -0.219 0.004 0.004 0.005 0.004 MNRO UW Equity MONRO MUFFLER BRAKE INC Consumer Discretionary 33.83 1.30% 03.12.2012 73.05 53.80 45.33 39.31 0.000 0.308 0.388 -0.097 0.000 -0.007 -0.007 0.016 MWW UN Equity MONSTER WORLDWIDE INC Information Technology 7.55 96.79 82.70 73.55 58.17 46.77 -0.038 -0.213 -0.322 -0.240 -0.189 0.002 0.001 0.002 0.002 0.004 MOG/A UN Equity MOOG INC-CLASS A Industrials 37.69 MOV UN Equity MOVADO GROUP INC Consumer Discretionary 32.35 0.80% 13.12.2012 45.70 48.47 48.87 -0.153 -0.218 -0.226 0.000 0.005 0.005 MSM UN Equity MSC INDUSTRIAL DIRECT CO-A Industrials 72.55 1.54% 02.11.2012 36.32 32.21 31.17 -0.371 -0.078 -0.027 0.013 0.000 -0.002 MSCI UN Equity MSCI INC Financials 25.59 74.84 53.71 44.90 0.000 0.415 0.430 0.000 0.005 0.010 MTSC UW Equity MTS SYSTEMS CORP Information Technology 52.30 2.29% 12.12.2012 42.15 38.10 36.06 32.89 0.074 -0.012 -0.064 -0.179 0.000 0.004 0.006 0.008 MLI UN Equity MUELLER INDUSTRIES INC Industrials 48.00 0.96% 30.11.2012 54.39 43.88 36.46 -1.340 -0.845 -0.587 0.011 0.006 0.011 MGAM UW Equity MULTIMEDIA GAMES HOLDING CO Consumer Discretionary 15.98 53.81 54.64 53.89 49.88 -0.213 -0.146 -0.127 -0.132 0.000 -0.002 -0.001 0.003 MWIV UW Equity MWI VETERINARY SUPPLY INC Health Care 106.37 33.50 30.82 30.25 31.25 -0.171 -0.170 -0.160 -0.121 0.002 0.002 0.002 0.003 MYE UN Equity MYERS INDUSTRIES INC Materials 15.04 2.22% 28.11.2012 37.41 36.18 35.69 0.000 -0.208 -0.215 0.000 0.006 0.005 NANO UW Equity NANOMETRICS INC Information Technology 12.92 43.20 43.09 42.30 0.024 -0.314 -0.313 0.000 0.005 0.005 NAFC UW Equity NASH FINCH CO Consumer Staples 20.00 3.60% 14.11.2012 34.32 34.32 34.32 34.32 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 NFP UN Equity NATIONAL FINANCIAL PARTNERS Financials 17.50 25.98 24.08 23.84 25.25 0.000 -0.160 -0.195 -0.158 0.000 0.005 0.006 0.002 NFG UN Equity NATIONAL FUEL GAS CO Utilities 52.05 2.84% 31.12.2012 29.42 28.81 28.79 29.96 -0.227 -0.255 -0.245 -0.205 0.007 0.008 0.007 0.004 NATI UW Equity NATIONAL INSTRUMENTS CORP Information Technology 23.96 2.59% 08.11.2012 32.53 33.79 33.62 -0.071 -0.092 -0.103 0.000 0.000 0.001 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M NPBC UW Equity NATL PENN BCSHS INC Financials 8.85 4.07% 07.11.2012 NPK UN Equity NATIONAL PRESTO INDS INC Industrials 80.53 1.30% 01.03.2013 NNN UN Equity NATIONAL RETAIL PROPERTIES Financials 31.43 5.06% 23.01.2013 17.12 17.12 16.95 0.000 0.000 0.000 0.000 0.000 0.000 BABY UW Equity NATUS MEDICAL INC Health Care 11.96 37.21 37.21 37.21 36.96 0.000 0.000 0.000 0.003 0.000 0.000 0.000 0.000 NCI UN Equity NAVIGANT CONSULTING INC Industrials 10.60 38.95 34.58 33.64 35.26 -0.161 -0.148 -0.147 -0.162 0.001 0.004 0.005 0.003 NAVG UW Equity NAVIGATORS GROUP INC Financials 52.07 NBTB UW Equity N B T BANCORP INC Financials 21.19 3.78% 28.11.2012 47.41 41.10 37.89 32.15 0.000 -0.006 -0.072 -0.532 0.000 -0.005 -0.003 0.023 NCS UN Equity NCI BUILDING SYSTEMS INC Industrials 10.25 44.07 47.66 47.94 0.000 0.016 -0.050 0.000 0.000 -0.001 NCIT UW Equity NCI INC-A Information Technology 5.72 NCR UN Equity NCR CORPORATION Information Technology 22.27 42.64 39.30 38.33 38.62 -0.309 -0.181 -0.147 -0.186 0.005 0.002 0.001 0.002 NP UN Equity NEENAH PAPER INC Materials 26.39 1.93% 07.11.2012 39.46 36.34 35.45 35.44 -0.091 -0.178 -0.211 -0.224 0.003 0.004 0.004 0.002 NEOG UW Equity NEOGEN CORP Health Care 42.67 33.60 32.57 32.33 32.47 -0.111 -0.155 -0.170 -0.180 0.001 0.001 0.001 0.000 NTGR UW Equity NETGEAR INC Information Technology 37.75 48.20 42.18 40.92 -0.337 -0.290 -0.254 0.006 0.004 0.003 NTCT UW Equity NETSCOUT SYSTEMS INC Information Technology 24.14 46.44 44.55 44.04 -0.101 -0.085 -0.074 0.001 0.008 0.007 NSR UN Equity NEUSTAR INC-CLASS A Information Technology 40.27 26.66 25.12 24.58 24.54 -0.275 -0.283 -0.272 -0.225 0.007 0.007 0.006 0.004 IQNT UW Equity NEUTRAL TANDEM INC Telecommunication Services 7.88 57.84 48.33 44.41 0.000 0.018 0.030 0.000 0.000 0.001 NJR UN Equity NEW JERSEY RESOURCES CORP Utilities 45.13 3.54% 13.12.2012 NYB UN Equity NEW YORK COMMUNITY BANCORP Financials 14.42 6.93% 01.11.2012 21.61 20.42 20.06 20.09 20.60 0.106 -0.035 -0.126 -0.167 -0.132 0.013 0.007 0.005 0.005 0.003 NYT UN Equity NEW YORK TIMES CO-A Consumer Discretionary 10.88 0.92% 27.11.2012 42.35 37.75 36.66 37.43 -0.384 -0.290 -0.244 -0.174 0.006 0.004 0.003 0.002 NEU UN Equity NEWMARKET CORP Materials 235.77 1.44% 14.12.2012 32.31 29.26 29.11 -0.174 -0.177 -0.185 0.004 0.005 0.004 NEWP UW Equity NEWPORT CORP Information Technology 10.75 50.76 46.56 45.44 46.02 0.000 -0.093 -0.134 -0.176 0.000 0.003 0.003 0.003 NDSN UW Equity NORDSON CORP Industrials 57.25 1.10% 21.12.2012 28.62 32.37 33.16 -0.055 -0.239 -0.233 0.000 0.009 0.007 NOG UA Equity NORTHERN OIL AND GAS INC Energy 17.15 48.54 47.86 47.64 48.21 48.93 -0.308 -0.319 -0.263 -0.306 -0.235 0.006 0.004 0.003 0.001 0.000 NWBI UW Equity NORTHWEST BANCSHARES INC Financials 12.22 3.93% 30.10.2012 24.73 24.73 24.73 21.11 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 NWN UN Equity NORTHWEST NATURAL GAS CO Utilities 49.29 3.69% 30.01.2013 18.03 18.03 18.03 0.000 0.000 0.000 0.000 0.000 0.000 NWE UN Equity NORTHWESTERN CORP Utilities 35.99 4.28% 14.12.2012 21.71 20.09 19.81 0.000 0.000 0.000 0.000 0.000 0.000 NVTL UW Equity NOVATEL WIRELESS INC Information Technology 1.80 56.77 56.77 56.77 0.088 0.090 0.091 0.006 0.006 0.006 NTLS UW Equity NTELOS HOLDINGS CORP Telecommunication Services 16.75 10.03% 14.12.2012 NTRI UW Equity NUTRISYSTEM INC Consumer Discretionary 10.12 6.92% 14.11.2012 35.90 32.10 32.27 -0.172 -0.339 -0.265 0.004 0.009 0.003 NUVA UW Equity NUVASIVE INC Health Care 14.21 66.34 58.17 55.14 -0.056 -0.131 -0.127 0.002 0.002 0.002 NVE UN Equity NV ENERGY INC Utilities 18.44 3.69% 07.12.2012 31.76 26.48 24.43 23.45 -0.165 0.004 0.074 0.133 0.000 0.025 0.033 0.038 NVR UN Equity NVR INC Consumer Discretionary 879.32 OII UN Equity OCEANEERING INTL INC Energy 51.39 1.52% 27.11.2012 31.64 29.85 29.59 30.93 -0.226 -0.235 -0.231 -0.205 0.004 0.003 0.003 0.002 ODP UN Equity OFFICE DEPOT INC Consumer Discretionary 2.36 79.63 70.47 66.62 62.23 63.64 0.000 -0.148 -0.201 -0.220 -0.165 0.000 0.005 0.006 0.003 0.001 OMX UN Equity OFFICEMAX INC Consumer Discretionary 7.28 1.10% 13.11.2012 58.14 54.67 54.05 54.69 56.63 -0.192 -0.169 -0.152 -0.162 -0.146 0.004 0.002 0.001 0.002 0.001 OGE UN Equity OGE ENERGY CORP Utilities 57.28 2.86% 04.01.2013 OIS UN Equity OIL STATES INTERNATIONAL INC Energy 74.70 34.50 32.38 32.64 -0.430 -0.297 -0.246 0.012 0.008 0.005 ODFL UW Equity OLD DOMINION FREIGHT LINE Industrials 29.93 35.47 39.97 40.16 36.11 -0.255 -0.334 -0.323 -0.192 0.007 0.013 0.012 0.002 ONB UN Equity OLD NATIONAL BANCORP Financials 13.26 2.94% 30.11.2012 46.38 46.38 46.38 0.000 0.000 0.000 0.000 0.000 0.000 ORI UN Equity OLD REPUBLIC INTL CORP Financials 9.95 7.21% 05.12.2012 30.56 29.30 29.02 28.83 0.000 0.027 0.005 -0.100 0.000 -0.001 0.000 0.003 OLN UN Equity OLIN CORP Materials 21.66 3.69% 09.11.2012 26.59 23.56 24.26 26.90 -0.060 -0.083 -0.138 -0.224 0.001 0.008 0.007 0.002 ZEUS UW Equity OLYMPIC STEEL INC Materials 17.70 0.45% 28.11.2012 42.79 40.92 41.04 43.47 0.000 -0.102 -0.137 -0.145 0.000 -0.001 0.001 0.009 OMG UN Equity OM GROUP INC Materials 17.71 46.61 43.77 42.99 -0.113 -0.230 -0.243 0.005 0.004 0.004 OHI UN Equity OMEGA HEALTHCARE INVESTORS Financials 23.39 7.35% 29.10.2012 19.27 17.27 17.44 0.000 -0.070 -0.144 0.000 0.000 0.001 OCR UN Equity OMNICARE INC Health Care 33.48 1.67% 27.12.2012 37.27 33.56 32.61 -0.375 -0.282 -0.239 0.012 0.008 0.005 OMCL UW Equity OMNICELL INC Health Care 13.52 54.47 54.73 55.00 55.78 0.264 0.267 0.269 0.273 0.001 0.001 0.000 -0.001 ASGN UN Equity ON ASSIGNMENT INC Industrials 19.55 41.96 42.71 42.91 -0.190 -0.087 -0.081 0.004 0.002 0.001 OPEN UW Equity OPENTABLE INC Information Technology 45.09 63.59 55.54 52.86 52.57 54.42 55.05 55.06 -0.219 -0.186 -0.174 -0.178 -0.155 -0.132 -0.110 0.004 0.003 0.002 0.002 0.001 0.001 0.001 OPLK UW Equity OPLINK COMMUNICATIONS INC Information Technology 15.68 47.94 43.20 41.92 42.58 0.108 -0.082 -0.144 -0.129 0.001 0.008 0.009 0.003 OPNT UW Equity OPNET TECHNOLOGIES INC Information Technology 32.50 1.97% 14.12.2012 54.54 48.27 46.44 47.11 -0.220 -0.169 -0.142 -0.101 0.009 0.005 0.003 0.001 ORB UN Equity ORBITAL SCIENCES CORP Industrials 14.16 28.10 27.61 27.05 0.000 -0.201 -0.169 0.000 0.002 0.004 ORN UN Equity ORION MARINE GROUP INC Industrials 6.34 61.47 61.47 55.96 0.000 0.000 -0.090 0.000 0.000 0.000 ORIT UW Equity ORITANI FINANCIAL CORP Financials 14.86 4.04% 07.11.2012 20.72 20.60 20.56 20.59 0.000 0.006 0.003 -0.025 0.000 0.000 0.000 0.001 OSK UN Equity OSHKOSH CORP Industrials 29.90 40.02 34.03 31.93 31.07 27.82 -0.186 -0.314 -0.352 -0.282 -0.300 0.007 0.007 0.005 0.001 0.005 OSIS UW Equity OSI SYSTEMS INC Information Technology 76.06 39.06 32.89 30.81 30.62 -0.269 -0.226 -0.198 -0.136 0.014 0.012 0.009 0.000S&P 1000 Index OSG UN Equity OVERSEAS SHIPHOLDING GROUP Energy 5.17 19.02.2013 125.01 112.79 109.90 112.93 105.96 94.68 86.50 -0.738 -0.587 -0.514 -0.398 -0.228 -0.236 -0.277 0.008 0.005 0.004 0.002 0.001 0.001 0.002 OMI UN Equity OWENS & MINOR INC Health Care 28.98 3.24% 14.12.2012 OXM UN Equity OXFORD INDUSTRIES INC Consumer Discretionary 54.86 1.26% 15.01.2013 35.54 39.90 40.70 39.88 -0.388 -0.289 -0.270 -0.308 0.011 0.004 0.003 0.005 PKG UN Equity PACKAGING CORP OF AMERICA Materials 35.60 2.81% 19.12.2012 29.02 25.29 24.38 25.81 -0.297 -0.298 -0.283 -0.228 0.009 0.008 0.007 0.003 PACW UW Equity PACWEST BANCORP Financials 21.94 3.65% 16.11.2012 43.97 32.23 29.86 -0.155 -0.103 -0.084 0.002 0.011 0.014 PMTI UW Equity PALOMAR MEDICAL TECHNOLOGIES Health Care 8.35 56.27 51.44 49.39 47.13 0.177 -0.006 -0.078 -0.125 0.001 0.000 -0.001 -0.001 PNRA UW Equity PANERA BREAD COMPANY-CLASS A Consumer Discretionary 169.10 37.44 30.63 30.03 32.39 31.93 32.05 32.44 -0.377 -0.291 -0.262 -0.211 -0.147 -0.119 -0.099 0.010 0.006 0.004 0.002 0.001 0.001 0.001 PZZA UW Equity PAPA JOHNS INTL INC Consumer Discretionary 52.50 31.56 27.73 26.67 27.50 -0.332 -0.247 -0.209 -0.183 0.007 0.006 0.006 0.002 PMTC UW Equity PARAMETRIC TECHNOLOGY CORP Information Technology 21.67 41.82 41.50 41.06 39.64 -0.117 -0.214 -0.247 -0.268 0.001 0.001 0.002 0.007 PRXL UW Equity PAREXEL INTERNATIONAL CORP Health Care 30.90 39.03 38.47 38.29 -0.322 -0.285 -0.238 0.010 0.006 0.004 PKE UN Equity PARK ELECTROCHEMICAL CORP Information Technology 24.06 1.66% 04.01.2013 29.00 28.99 28.98 30.71 -0.285 -0.285 -0.284 -0.211 0.009 0.010 0.010 0.007 PKY UN Equity PARKWAY PROPERTIES INC Financials 14.12 3.19% 10.12.2012 39.00 38.90 38.26 -0.118 -0.117 -0.086 0.001 0.001 0.001 PTEN UW Equity PATTERSON-UTI ENERGY INC Energy 16.92 1.54% 14.12.2012 44.89 40.18 39.96 41.73 43.15 43.68 43.65 -0.352 -0.269 -0.224 -0.180 -0.145 -0.123 -0.110 0.019 0.009 0.004 0.001 0.001 0.001 0.001 PCTI UQ Equity PC-TEL INC Information Technology 6.98 1.72% 08.11.2012 PDCE UW Equity PDC ENERGY INC Energy 32.36 50.76 47.85 46.94 46.69 -0.205 -0.232 -0.243 -0.252 0.000 0.001 0.002 0.002 PEET UW Equity PEETS COFFEE & TEA INC Consumer Discretionary 73.44 7.65 7.65 7.65 0.000 0.000 0.000 0.000 0.000 0.000 PVA UN Equity PENN VIRGINIA CORP Energy 4.93 08.11.2012 70.21 61.23 59.45 0.000 0.012 -0.070 0.000 0.000 0.001 PEI UN Equity PENN REAL ESTATE INVEST TST Financials 16.80 4.05% 29.11.2012 30.22 29.25 29.36 30.99 -0.100 -0.379 -0.410 -0.314 0.001 0.013 0.014 0.004 PBY UN Equity PEP BOYS-MANNY MOE & JACK Consumer Discretionary 10.33 34.31 34.31 34.31 32.61 -0.065 -0.065 -0.065 -0.128 0.005 0.005 0.005 0.003 PRFT UW Equity PERFICIENT INC Information Technology 12.08 38.33 40.30 40.81 40.72 0.000 -0.099 -0.136 -0.182 0.000 0.003 0.003 0.001 PSEM UW Equity PERICOM SEMICONDUCTOR CORP Information Technology 8.28 50.47 49.29 48.47 46.61 0.000 -0.167 -0.197 -0.112 0.000 -0.002 -0.002 -0.001 PERY UW Equity PERRY ELLIS INTERNATIONAL Consumer Discretionary 20.74 41.38 38.80 38.14 0.000 -0.194 -0.147 0.000 0.015 0.010 PETS UW Equity PETMED EXPRESS INC Consumer Discretionary 10.20 6.76% 07.11.2012 40.25 38.17 36.73 0.000 0.003 -0.010 0.000 0.000 0.000 PQ UN Equity PETROQUEST ENERGY INC Energy 6.55 55.36 57.81 57.57 51.25 -0.289 -0.422 -0.423 -0.325 0.002 -0.001 -0.001 0.002 PMC UN Equity PHARMERICA CORP Health Care 13.31 34.38 34.45 35.50 0.000 -0.415 -0.371 0.000 0.018 0.016 PNY UN Equity PIEDMONT NATURAL GAS CO Utilities 31.25 3.94% 21.12.2012 32.46 32.02 31.57 -0.581 -0.583 -0.586 0.000 0.001 0.002 PNK UN Equity PINNACLE ENTERTAINMENT INC Consumer Discretionary 11.54 40.95 37.75 37.41 -0.093 -0.344 -0.365 0.008 0.009 0.007 PNFP UW Equity PINNACLE FINANCIAL PARTNERS Financials 18.91 50.58 37.65 32.29 29.35 0.000 0.016 -0.001 -0.107 0.000 0.002 0.003 0.003 PES UN Equity PIONEER ENERGY SERVICES CORP Energy 6.96 59.93 59.82 57.84 -0.267 -0.268 -0.255 0.000 0.000 0.001 PJC UN Equity PIPER JAFFRAY COS Financials 26.05 38.52 35.36 35.18 -0.125 -0.271 -0.287 0.004 0.005 0.004 PXP UN Equity PLAINS EXPLORATION & PRODUCT Energy 36.41 43.39 40.74 40.61 43.24 44.53 44.91 45.28 -0.288 -0.224 -0.191 -0.152 -0.137 -0.126 -0.113 0.008 0.004 0.002 0.001 0.001 0.001 0.001 PLT UN Equity PLANTRONICS INC Information Technology 34.08 1.17% 14.11.2012 42.54 39.86 38.68 37.15 -0.082 -0.213 -0.244 -0.200 0.001 0.002 0.003 0.002 PLXS UW Equity PLEXUS CORP Information Technology 28.90 40.93 38.74 38.67 -0.352 -0.355 -0.327 0.015 0.008 0.004 PNM UN Equity PNM RESOURCES INC Utilities 21.68 2.86% 25.01.2013 19.63 19.51 19.38 18.80 -0.123 -0.123 -0.122 -0.178 0.001 0.001 0.001 0.005 PII UN Equity POLARIS INDUSTRIES INC Consumer Discretionary 84.67 1.93% 01.11.2012 37.58 34.10 33.61 -0.514 -0.394 -0.340 0.009 0.005 0.003 PLCM UW Equity POLYCOM INC Information Technology 10.05 70.57 60.68 57.15 55.93 -0.093 -0.102 -0.109 -0.117 -0.003 -0.001 0.000 0.001 POL UN Equity POLYONE CORPORATION Materials 16.08 1.43% 05.03.2013 35.06 31.85 31.88 0.000 -0.092 -0.144 0.000 0.000 0.001 POOL UW Equity POOL CORP Consumer Discretionary 41.09 1.65% 23.11.2012 32.04 29.68 28.85 28.62 -0.130 -0.081 -0.089 -0.181 -0.001 0.000 0.001 0.002 PRAA UW Equity PORTFOLIO RECOVERY ASSOCIATE Industrials 105.56 32.91 30.52 30.16 -0.151 -0.330 -0.325 0.007 0.008 0.008 POST UN Equity POST HOLDINGS INC Consumer Staples 30.95 31.36 31.99 31.91 0.000 -0.258 -0.274 0.000 0.004 0.004 PPS UN Equity POST PROPERTIES INC Financials 47.76 2.41% 28.12.2012 26.47 26.47 26.47 0.000 0.000 0.000 0.000 0.000 0.000 PCH UW Equity POTLATCH CORP Financials 38.15 3.25% 14.12.2012 19.00 18.91 18.81 19.10 -0.233 -0.231 -0.228 -0.168 0.005 0.005 0.005 0.007 POWL UW Equity POWELL INDUSTRIES INC Industrials 39.01 36.03 34.51 34.13 34.37 0.000 -0.144 -0.150 -0.011 0.000 0.003 0.003 0.000 POWI UW Equity POWER INTEGRATIONS INC Information Technology 28.01 0.82% 28.11.2012 43.39 43.39 43.39 43.39 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 PLFE UW Equity PRESIDENTIAL LIFE CORP Financials 14.00 1.79% 14.12.2012 PBH UN Equity PRESTIGE BRANDS HOLDINGS INC Consumer Staples 17.08 29.97 31.12 31.55 -0.057 -0.123 -0.152 0.016 0.008 0.005 PVTB UW Equity PRIVATEBANCORP INC Financials 16.86 0.24% 17.12.2012 32.81 32.20 34.49 0.000 0.000 0.000 0.000 0.000 0.000 PRA UN Equity PROASSURANCE CORP Financials 90.25 1.27% 27.12.2012 18.00 18.00 18.00 18.68 0.000 0.000 0.000 -0.044 0.000 0.000 0.000 0.001 PRGS UW Equity PROGRESS SOFTWARE CORP Information Technology 18.61 36.10 37.67 38.34 -0.030 -0.084 -0.108 0.010 0.001 -0.001 PSEC UW Equity PROSPECT CAPITAL CORP Financials 11.66 10.48% 28.11.2012 24.43 24.21 23.99 22.25 -0.116 -0.116 -0.115 -0.111 0.000 0.001 0.001 0.001 PB UN Equity PROSPERITY BANCSHARES INC Financials 40.35 2.03% 12.12.2012 PL UN Equity PROTECTIVE LIFE CORP Financials 26.35 2.88% 07.11.2012 38.79 32.28 30.09 31.03 -0.095 -0.219 -0.248 -0.216 0.004 0.006 0.006 0.003 PFS UN Equity PROVIDENT FINANCIAL SERVICES Financials 15.79 3.55% 15.11.2012 PSB UN Equity PS BUSINESS PARKS INC/CA Financials 66.38 2.83% 14.12.2012 31.18 29.61 27.86 23.50 0.000 -0.068 -0.078 -0.048 0.000 0.004 0.007 0.017 PSSI UW Equity PSS WORLD MEDICAL INC Health Care 22.31 63.00 58.71 56.54 52.73 -0.129 -0.129 -0.129 -0.126 0.007 0.003 0.002 0.001 PVH UN Equity PVH CORP Consumer Discretionary 94.96 0.16% 13.11.2012 28.68 31.05 32.20 -0.364 -0.305 -0.264 0.012 0.007 0.004 QLGC UW Equity QLOGIC CORP Information Technology 9.82 48.69 44.39 42.46 39.92 0.000 -0.045 -0.076 -0.149 0.000 0.001 0.002 0.004 KWR UN Equity QUAKER CHEMICAL CORP Materials 46.52 1.59% 16.01.2013 56.66 52.50 50.68 48.30 0.000 -0.171 -0.202 -0.128 0.000 0.009 0.011 0.007 QSII UW Equity QUALITY SYSTEMS INC Health Care 18.05 4.29% 20.12.2012 52.07 49.62 48.47 -0.015 -0.079 -0.114 0.008 0.003 0.001 NX UN Equity QUANEX BUILDING PRODUCTS Industrials 19.30 0.93% 21.12.2012 39.68 38.17 38.47 -0.204 -0.136 -0.141 0.003 0.007 0.006 STR UN Equity QUESTAR CORP Utilities 20.47 3.36% 14.11.2012 13.89 15.15 16.12 18.04 -0.264 -0.307 -0.315 -0.300 0.005 0.010 0.010 0.007 QCOR UW Equity QUESTCOR PHARMACEUTICALS Health Care 23.18 3.45% 29.01.2013 97.73 89.39 85.81 81.43 72.01 66.94 63.78 -0.303 -0.248 -0.222 -0.174 -0.166 -0.150 -0.148 0.006 0.004 0.003 0.001 0.003 0.003 0.002 KWK UN Equity QUICKSILVER RESOURCES INC Energy 4.73 74.36 81.25 79.72 80.96 80.71 -0.124 -0.176 -0.058 -0.149 -0.152 0.002 0.001 0.002 0.001 0.001 ZQK UN Equity QUIKSILVER INC Consumer Discretionary 3.28 45.06 45.06 45.06 45.47 -0.014 -0.014 -0.014 -0.046 0.000 0.000 0.000 0.000 QNST UW Equity QUINSTREET INC Information Technology 8.15 52.18 50.84 50.16 0.000 -0.335 -0.260 0.000 0.015 0.009 RAX UN Equity RACKSPACE HOSTING INC Information Technology 68.34 47.35 41.79 39.12 40.81 41.97 -0.410 -0.364 -0.303 -0.228 -0.171 0.009 0.005 0.004 0.002 0.001 RSYS UW Equity RADISYS CORP Information Technology 3.02 63.06 63.06 63.06 79.49 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 RAH UN Equity RALCORP HOLDINGS INC Consumer Staples 73.61 25.24 27.92 27.39 -0.120 -0.404 -0.362 0.006 0.005 0.005 RJF UN Equity RAYMOND JAMES FINANCIAL INC Financials 37.24 1.61% 03.01.2013 26.46 24.32 23.88 24.64 -0.024 -0.175 -0.220 -0.223 0.000 0.005 0.006 0.005 RYN UN Equity RAYONIER INC Financials 48.24 3.71% 10.12.2012 17.26 16.62 16.58 17.13 -0.269 -0.341 -0.341 -0.268 0.002 0.010 0.011 0.007 O UN Equity REALTY INCOME CORP Financials 41.44 4.53% 31.10.2012 17.78 15.75 15.45 0.000 -0.301 -0.340 0.000 0.010 0.010 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 Ticker Name GICS_SECTOR_NAME ATM4 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M RRGB UW Equity RED ROBIN GOURMET BURGERS Consumer Discretionary 29.96 41.99 38.77 38.31 -0.291 -0.279 -0.259 0.009 0.008 0.006 RBC UN Equity REGAL-BELOIT CORP Industrials 67.06 1.16% 28.12.2012 25.80 27.15 27.54 27.63 -0.054 -0.165 -0.186 -0.142 0.000 0.001 0.001 -0.001 REG UN Equity REGENCY CENTERS CORP Financials 48.86 3.79% 13.11.2012 23.15 27.92 27.23 22.81 -0.200 0.157 0.200 -0.150 0.003 -0.005 -0.004 0.014 REGN UW Equity REGENERON PHARMACEUTICALS Health Care 154.49 42.99 37.88 37.60 40.18 40.95 -0.518 -0.377 -0.315 -0.231 -0.178 0.005 0.003 0.001 0.000 0.000 RGS UN Equity REGIS CORP Consumer Discretionary 18.51 1.30% 06.11.2012 27.66 29.34 29.57 0.000 -0.281 -0.302 0.000 0.006 0.006 RGA UN Equity REINSURANCE GROUP OF AMERICA Financials 57.66 1.77% 02.11.2012 23.24 22.97 22.68 22.82 -0.227 -0.229 -0.230 -0.211 0.001 0.001 0.001 0.006 RS UN Equity RELIANCE STEEL & ALUMINUM Materials 51.36 2.04% 28.11.2012 33.92 32.36 32.33 -0.164 -0.249 -0.248 0.005 0.005 0.004 RCII UW Equity RENT-A-CENTER INC Consumer Discretionary 34.49 2.03% 02.01.2013 37.00 32.92 32.12 -0.182 -0.208 -0.206 0.003 0.004 0.003 RMD UN Equity RESMED INC Health Care 40.42 1.71% 23.11.2012 39.94 33.85 31.40 29.60 -0.236 -0.245 -0.222 -0.105 0.003 0.003 0.003 0.002 RECN UW Equity RESOURCES CONNECTION INC Industrials 12.94 1.93% 23.11.2012 49.42 37.00 32.56 43.04 0.000 0.002 0.000 -0.070 0.000 0.000 0.000 0.022 RFMD UW Equity RF MICRO DEVICES INC Information Technology 3.68 68.68 57.88 55.28 53.89 55.50 0.198 0.182 0.054 -0.128 -0.085 0.012 0.005 0.002 0.004 0.002 RVBD UW Equity RIVERBED TECHNOLOGY INC Information Technology 22.03 77.64 61.68 57.77 59.15 58.39 -0.241 -0.226 -0.199 -0.160 -0.134 0.003 0.004 0.004 0.002 0.001 RLI UN Equity RLI CORP Financials 68.02 1.94% 30.11.2012 36.37 36.37 36.37 0.000 0.000 0.000 0.000 0.000 0.000 RBN UN Equity ROBBINS & MYERS INC Industrials 59.71 0.36% 22.10.2012 2.62 2.70 2.77 2.99 -0.321 -0.321 -0.321 -0.322 0.005 0.005 0.005 0.005 RKT UN Equity ROCK-TENN COMPANY -CL A Materials 73.25 1.09% 09.11.2012 41.79 34.64 32.38 32.68 -0.364 -0.204 -0.169 -0.255 0.000 0.002 0.003 0.004 RSTI UW Equity ROFIN-SINAR TECHNOLOGIES INC Information Technology 19.25 41.91 37.89 37.61 -0.249 -0.188 -0.180 0.003 0.002 0.002 ROG UN Equity ROGERS CORP Information Technology 41.80 43.45 43.45 39.31 0.000 0.000 0.000 0.000 0.000 0.000 ROL UN Equity ROLLINS INC Industrials 22.99 1.59% 09.11.2012 23.88 23.51 23.41 23.55 0.000 -0.099 -0.117 -0.076 0.000 0.001 0.002 0.002 ROSE UW Equity ROSETTA RESOURCES INC Energy 45.51 44.38 41.37 40.79 42.29 45.22 46.58 47.10 -0.319 -0.255 -0.226 -0.199 -0.210 -0.184 -0.139 0.009 0.006 0.004 0.002 0.003 0.002 0.001 ROVI UW Equity ROVI CORP Information Technology 14.22 72.49 59.40 54.47 52.10 -0.061 -0.172 -0.204 -0.142 0.001 0.002 0.003 0.001 RGLD UW Equity ROYAL GOLD INC Materials 88.22 0.82% 09.01.2013 35.56 33.34 33.15 35.18 37.38 38.42 39.08 -0.153 -0.127 -0.111 -0.081 -0.057 -0.047 -0.042 0.007 0.005 0.003 0.002 0.001 0.001 0.000 RPM UN Equity RPM INTERNATIONAL INC Materials 26.65 2.53% 09.01.2013 24.10 23.78 23.65 23.65 0.000 -0.174 -0.212 -0.180 0.000 0.004 0.005 0.004 RTI UN Equity RTI INTERNATIONAL METALS INC Materials 22.90 44.62 44.57 44.28 -0.379 -0.332 -0.310 0.012 0.006 0.003 RBCN UW Equity RUBICON TECHNOLOGY INC Information Technology 9.05 67.70 63.85 63.61 -0.469 -0.294 -0.260 0.009 0.005 0.004 RT UN Equity RUBY TUESDAY INC Consumer Discretionary 7.35 42.70 43.52 43.74 43.76 0.000 0.029 0.006 -0.117 0.000 0.000 0.000 0.000 RTEC UW Equity RUDOLPH TECHNOLOGIES INC Information Technology 9.29 42.97 42.30 41.94 41.21 0.000 -0.047 -0.065 -0.081 0.000 0.006 0.006 0.002 RUE UW Equity RUE21 INC Consumer Discretionary 31.43 36.33 37.89 38.58 39.61 0.000 -0.053 -0.074 -0.096 0.000 0.001 0.001 0.001 RUTH UW Equity RUTHS HOSPITALITY GROUP INC Consumer Discretionary 6.36 46.85 46.85 46.85 46.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 RYL UN Equity RYLAND GROUP INC/THE Consumer Discretionary 30.92 0.39% 15.01.2013 47.08 44.57 44.03 44.71 45.58 45.74 45.76 -0.345 -0.291 -0.256 -0.176 -0.127 -0.121 -0.128 0.008 0.004 0.003 0.001 0.001 0.001 0.001 STBA UW Equity S & T BANCORP INC Financials 16.98 3.53% 08.11.2012 37.21 37.20 37.30 37.49 0.000 -0.068 -0.113 -0.212 0.000 0.002 0.002 0.002 SBRA UW Equity SABRA HEALTH CARE REIT INC Financials 21.06 6.41% 15.11.2012 SAFT UW Equity SAFETY INSURANCE GROUP INC Financials 46.83 5.12% 30.11.2012 20.79 19.98 19.84 20.26 -0.038 -0.030 -0.046 -0.101 0.000 -0.001 0.000 0.002 SKS UN Equity SAKS INC Consumer Discretionary 10.51 41.25 38.92 38.80 40.76 41.59 -0.443 -0.328 -0.294 -0.281 -0.220 0.009 0.005 0.003 0.001 0.001 SLXP UW Equity SALIX PHARMACEUTICALS LTD Health Care 40.06 38.90 42.88 43.51 41.85 -0.454 -0.167 -0.079 -0.025 0.006 -0.001 -0.002 0.001 SAFM UW Equity SANDERSON FARMS INC Consumer Staples 43.89 1.75% 08.02.2013 29.18 28.69 29.03 30.85 -0.119 -0.171 -0.168 -0.105 0.002 0.005 0.005 0.003 BFS UN Equity SAUL CENTERS INC Financials 45.34 2.56% 16.01.2013 SCSC UW Equity SCANSOURCE INC Information Technology 29.03 31.25 38.61 38.56 0.000 0.051 -0.015 0.000 -0.001 -0.001 SCHL UW Equity SCHOLASTIC CORP Consumer Discretionary 33.44 1.72% 31.01.2013 37.09 37.39 37.68 -0.213 -0.041 -0.033 0.003 0.003 0.003 SWM UN Equity SCHWEITZER-MAUDUIT INTL INC Materials 33.61 1.79% 29.11.2012 36.22 29.22 27.42 -0.139 -0.208 -0.233 0.002 0.003 0.003 SGMS UW Equity SCIENTIFIC GAMES CORP-A Consumer Discretionary 7.86 59.73 53.00 50.70 50.07 0.000 -0.059 -0.090 -0.132 0.000 -0.002 -0.002 0.001 SMG UN Equity SCOTTS MIRACLE-GRO CO-CL A Materials 43.20 3.07% 20.11.2012 32.46 29.95 29.75 -0.353 -0.307 -0.258 0.011 0.008 0.005 CKH UN Equity SEACOR HOLDINGS INC Energy 87.10 35.63 30.83 28.86 27.77 0.263 0.112 0.009 -0.213 -0.001 0.001 0.004 0.008 SEIC UW Equity SEI INVESTMENTS COMPANY Financials 21.22 1.46% 21.12.2012 39.48 39.48 39.48 0.000 0.000 0.000 0.000 0.000 0.000 SCSS UW Equity SELECT COMFORT CORPORATION Consumer Discretionary 32.12 69.24 56.84 53.30 -0.361 -0.225 -0.178 0.002 0.005 0.005 SIGI UW Equity SELECTIVE INSURANCE GROUP Financials 19.46 2.67% 14.11.2012 17.06 17.06 18.65 0.000 0.000 -0.044 0.000 0.000 0.001 SMTC UW Equity SEMTECH CORP Information Technology 23.77 30.45 32.92 33.76 -0.277 -0.179 -0.180 0.003 0.011 0.008 SENEA UW Equity SENECA FOODS CORP - CL A Consumer Staples 29.58 SNH UN Equity SENIOR HOUSING PROP TRUST Financials 22.35 6.98% 17.01.2013 12.94 12.94 13.90 -0.113 -0.137 -0.094 0.004 0.004 0.002 SXT UN Equity SENSIENT TECHNOLOGIES CORP Materials 36.37 2.47% 09.11.2012 64.52 64.52 64.52 64.52 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SCI UN Equity SERVICE CORP INTERNATIONAL Consumer Discretionary 13.84 1.73% 11.01.2013 75.32 72.49 69.54 -1.406 -1.456 -1.508 -0.025 -0.018 -0.011 SHAW UN Equity SHAW GROUP INC Industrials 43.97 42.89 25.96 17.92 15.27 12.30 11.28 11.47 -0.354 -0.631 -0.636 -0.520 -0.368 -0.330 -0.326 -0.042 0.006 0.016 0.008 0.009 0.007 0.005 SHFL UW Equity SHUFFLE MASTER INC Consumer Discretionary 15.09 34.71 37.92 39.11 40.44 -0.375 -0.211 -0.169 -0.179 0.008 0.004 0.003 0.002 SIGM UW Equity SIGMA DESIGNS INC Information Technology 6.15 42.95 42.97 42.99 45.16 -0.255 -0.254 -0.254 -0.158 0.000 0.000 0.000 0.000 SBNY UW Equity SIGNATURE BANK Financials 66.53 39.05 29.00 25.23 0.000 0.000 -0.006 0.000 0.000 0.000 SIG UN Equity SIGNET JEWELERS LTD Consumer Discretionary 49.43 0.97% 23.01.2013 34.43 31.84 30.90 29.02 0.279 -0.064 -0.184 -0.245 -0.005 0.001 0.004 0.014S&P 1000 Index SLGN UW Equity SILGAN HOLDINGS INC Materials 42.65 1.20% 30.11.2012 20.05 20.06 20.05 20.12 -0.120 0.162 0.244 0.323 0.001 0.014 0.018 0.021 SLAB UW Equity SILICON LABORATORIES INC Information Technology 36.69 35.61 34.05 33.60 34.06 -0.262 -0.247 -0.228 -0.176 0.008 0.004 0.002 0.001 SFNC UW Equity SIMMONS FIRST NATL CORP-CL A Financials 24.77 3.23% 14.12.2012 SSD UN Equity SIMPSON MANUFACTURING CO INC Industrials 28.82 1.73% 02.01.2013 33.33 35.23 36.11 0.000 -0.261 -0.348 0.000 0.006 0.008 SKX UN Equity SKECHERS USA INC-CL A Consumer Discretionary 17.63 56.12 50.18 48.16 47.45 48.48 48.38 47.82 -0.309 -0.266 -0.245 -0.215 -0.150 -0.129 -0.125 0.007 0.004 0.003 0.002 0.001 0.001 0.001 SKYW UW Equity SKYWEST INC Industrials 10.96 1.46% 28.12.2012 57.68 50.79 48.57 47.79 -0.255 -0.201 -0.201 -0.284 -0.002 -0.002 -0.001 0.003 SWKS UW Equity SKYWORKS SOLUTIONS INC Information Technology 22.51 60.55 55.47 54.32 53.79 53.82 53.92 53.80 -0.244 -0.206 -0.199 -0.183 -0.136 -0.114 -0.102 0.003 0.002 0.002 0.001 0.001 0.000 0.000 SLG UN Equity SL GREEN REALTY CORP Financials 78.92 1.52% 28.12.2012 23.29 22.07 22.14 23.70 -0.469 -0.380 -0.337 -0.278 0.011 0.009 0.007 0.003 SM UN Equity SM ENERGY CO Energy 55.01 0.18% 24.04.2013 56.72 53.06 51.44 49.13 47.88 47.85 48.09 -0.183 -0.151 -0.140 -0.142 -0.119 -0.095 -0.078 0.006 0.004 0.003 0.002 0.000 0.000 0.000 SFD UN Equity SMITHFIELD FOODS INC Consumer Staples 20.51 30.73 32.46 33.42 35.41 37.04 38.29 39.56 -0.336 -0.301 -0.284 -0.257 -0.193 -0.169 -0.163 0.008 0.007 0.006 0.003 0.002 0.001 0.001 LNCE UW Equity SNYDERS-LANCE INC Consumer Staples 25.59 2.50% 15.11.2012 29.38 26.44 26.77 0.043 0.276 0.263 0.027 0.008 0.001 SWI UN Equity SOLARWINDS INC Information Technology 53.83 50.40 44.33 42.54 44.12 44.82 -0.382 -0.285 -0.232 -0.181 -0.134 0.007 0.004 0.002 0.002 0.001 SLH UN Equity SOLERA HOLDINGS INC Information Technology 45.74 1.13% 16.11.2012 46.06 33.89 28.48 0.000 0.000 -0.023 0.000 0.000 0.004 SAH UN Equity SONIC AUTOMOTIVE INC-CLASS A Consumer Discretionary 17.91 0.56% 11.12.2012 43.62 40.71 39.68 39.07 -0.132 -0.142 -0.145 -0.150 -0.001 0.001 0.002 0.002 SONC UW Equity SONIC CORP Consumer Discretionary 9.63 36.46 37.02 37.35 0.000 0.015 -0.058 0.000 0.000 0.000 SON UN Equity SONOCO PRODUCTS CO Materials 31.03 3.93% 13.02.2013 22.92 21.40 21.32 22.61 0.000 -0.180 -0.228 -0.242 0.000 0.015 0.016 0.008 BID UN Equity SOTHEBYS Consumer Discretionary 31.47 1.02% 30.11.2012 43.57 41.64 41.49 43.38 44.26 -0.427 -0.301 -0.268 -0.302 -0.194 0.007 0.003 0.002 0.004 0.002 FIRE UW Equity SOURCEFIRE INC Information Technology 47.60 75.57 63.59 59.46 -0.180 -0.166 -0.154 0.005 0.003 0.002 SJI UN Equity SOUTH JERSEY INDUSTRIES Utilities 51.20 3.44% 07.12.2012 SWX UN Equity SOUTHWEST GAS CORP Utilities 43.71 2.84% 14.02.2013 18.30 18.29 18.27 19.54 -0.079 -0.079 -0.079 -0.085 0.001 0.001 0.001 0.001 SSS UN Equity SOVRAN SELF STORAGE INC Financials 56.99 3.16% 11.01.2013 SPAR UW Equity SPARTAN MOTORS INC Consumer Discretionary 5.08 1.97% 06.11.2012 49.28 47.87 48.03 0.000 0.000 0.000 0.000 0.000 0.000 SPTN UW Equity SPARTAN STORES INC Consumer Staples 15.12 2.38% 30.11.2012 31.93 31.93 31.93 33.17 0.000 0.000 0.000 -0.194 0.000 0.000 0.000 0.004 SPPI UW Equity SPECTRUM PHARMACEUTICALS INC Health Care 11.82 97.97 89.49 85.62 79.97 75.93 74.52 74.03 -0.238 -0.169 -0.152 -0.152 -0.134 -0.116 -0.102 0.010 0.005 0.003 0.002 0.001 0.001 0.001 SPW UN Equity SPX CORP Industrials 68.90 1.45% 14.12.2012 35.57 33.38 32.99 -0.341 -0.265 -0.226 0.009 0.006 0.004 SSI UN Equity STAGE STORES INC Consumer Discretionary 23.24 1.81% 07.12.2012 41.09 40.45 40.24 40.22 -0.097 -0.066 -0.079 -0.121 0.000 -0.007 0.000 0.042 STMP UW Equity STAMPS.COM INC Information Technology 21.61 53.53 53.03 53.02 53.84 -0.355 -0.318 -0.287 -0.204 0.002 0.004 0.004 0.002 SFG UN Equity STANCORP FINANCIAL GROUP Financials 32.42 2.84% 21.11.2012 36.93 36.93 36.93 30.89 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SMP UN Equity STANDARD MOTOR PRODS Consumer Discretionary 17.80 2.28% 15.11.2012 41.68 42.74 43.30 44.40 -0.442 -0.252 -0.171 -0.091 0.020 0.003 -0.002 -0.002 SPF UN Equity STANDARD PACIFIC CORP Consumer Discretionary 7.34 52.68 51.28 51.18 -0.474 -0.398 -0.332 0.008 0.006 0.004 SXI UN Equity STANDEX INTERNATIONAL CORP Industrials 44.58 0.81% 08.11.2012 47.86 43.60 41.62 38.63 0.000 -0.235 -0.301 -0.258 0.000 0.006 0.007 0.007 STLD UW Equity STEEL DYNAMICS INC Materials 12.36 3.24% 31.12.2012 39.24 37.48 38.10 40.19 41.02 41.26 41.21 -0.355 -0.232 -0.199 -0.175 -0.152 -0.142 -0.128 0.012 0.006 0.003 0.002 0.001 0.001 0.001 SMRT UW Equity STEIN MART INC Consumer Discretionary 7.81 73.20 73.20 73.20 73.20 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SCL UN Equity STEPAN CO Materials 97.41 1.27% 28.11.2012 STE UN Equity STERIS CORP Health Care 35.14 2.25% 23.11.2012 39.56 40.49 34.65 0.000 0.015 -0.046 0.000 0.000 0.000 STL UN Equity STERLING BANCORP-N Y Financials 10.12 3.56% 14.12.2012 SHOO UW Equity STEVEN MADDEN LTD Consumer Discretionary 43.04 39.90 39.90 38.97 0.000 0.000 -0.154 0.000 0.000 0.005 STC UN Equity STEWART INFORMATION SERVICES Financials 21.23 0.47% 14.12.2012 55.99 56.52 57.60 50.28 -0.219 -0.143 -0.094 0.050 0.036 0.034 0.033 0.034 SF UN Equity STIFEL FINANCIAL CORP Financials 32.40 31.29 29.08 28.96 30.50 -0.074 -0.176 -0.202 -0.151 0.000 0.004 0.005 0.004 SGY UN Equity STONE ENERGY CORP Energy 23.71 51.93 49.69 49.31 -0.402 -0.293 -0.253 0.007 0.003 0.002 STRI UN Equity STR HOLDINGS INC Information Technology 2.83 88.67 72.73 68.91 0.000 0.000 0.000 0.000 0.000 0.000 STRA UW Equity STRAYER EDUCATION INC Consumer Discretionary 66.25 6.04% 23.11.2012 52.97 50.47 48.97 45.71 -0.396 -0.298 -0.264 -0.218 0.009 0.003 0.002 0.004 RGR UN Equity STURM RUGER & CO INC Consumer Discretionary 45.60 2.70% 14.11.2012 49.00 44.33 43.06 43.58 42.62 42.97 43.77 -0.403 -0.299 -0.252 -0.189 -0.114 -0.077 -0.092 0.010 0.006 0.004 0.001 0.003 0.003 0.001 SXC UN Equity SUNCOKE ENERGY INC Materials 16.81 46.95 49.10 49.80 -0.443 -0.118 -0.158 0.006 0.001 0.004 SMCI UW Equity SUPER MICRO COMPUTER INC Information Technology 9.25 SPN UN Equity SUPERIOR ENERGY SERVICES INC Energy 20.08 44.90 43.89 43.28 -0.129 -0.236 -0.236 0.005 0.004 0.003 SUP UN Equity SUPERIOR INDUSTRIES INTL Consumer Discretionary 17.06 3.75% 28.12.2012 33.13 34.06 34.23 34.07 0.000 -0.125 -0.162 -0.166 0.000 -0.001 -0.001 0.001 SUPX UW Equity SUPERTEX INC Information Technology 18.69 SVU UN Equity SUPERVALU INC Consumer Staples 1.84 30.11.2012 115.43 106.96 102.09 92.41 86.78 85.17 84.88 -0.470 -0.397 -0.327 -0.138 -0.206 -0.216 -0.176 0.013 0.008 0.006 0.001 0.001 0.002 0.002 SRDX UW Equity SURMODICS INC Health Care 20.87 34.30 34.52 34.79 35.68 -0.442 -0.229 -0.156 -0.143 0.015 0.004 0.001 0.001 SUSQ UW Equity SUSQUEHANNA BANCSHARES INC Financials 10.21 2.55% 29.10.2012 29.70 29.92 30.20 31.04 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SIVB UW Equity SVB FINANCIAL GROUP Financials 58.79 25.03 26.34 26.85 27.43 -0.313 -0.279 -0.259 -0.211 0.008 0.007 0.006 0.004 SFY UN Equity SWIFT ENERGY CO Energy 18.02 60.22 57.64 56.51 55.10 -0.073 -0.104 -0.122 -0.159 0.004 0.003 0.002 0.002 SWS UN Equity SWS GROUP INC Financials 6.11 SYKE UW Equity SYKES ENTERPRISES INC Industrials 13.99 46.63 46.64 46.66 46.83 -0.092 -0.092 -0.092 -0.101 0.001 0.001 0.001 -0.001 SYMM UW Equity SYMMETRICOM INC Information Technology 6.94 SMA UN Equity SYMMETRY MEDICAL INC Health Care 9.82 SYNA UW Equity SYNAPTICS INC Information Technology 23.35 48.20 43.23 41.99 43.37 43.92 -0.290 -0.228 -0.195 -0.154 -0.139 0.002 0.003 0.002 0.001 0.001 SNCR UW Equity SYNCHRONOSS TECHNOLOGIES INC Information Technology 21.65 61.93 57.91 56.94 -0.109 -0.160 -0.174 0.009 0.006 0.003 SNX UN Equity SYNNEX CORP Information Technology 32.25 29.77 25.46 25.13 0.000 -0.346 -0.380 0.000 0.011 0.010 SNPS UW Equity SYNOPSYS INC Information Technology 32.18 23.93 24.11 24.40 0.000 -0.183 -0.232 0.000 0.000 0.001 SNV UN Equity SYNOVUS FINANCIAL CORP Financials 2.39 1.67% 11.12.2012 40.89 46.91 48.36 47.93 41.49 39.58 40.33 0.000 -0.033 -0.039 0.005 -0.229 -0.317 -0.316 0.000 0.000 0.000 0.003 0.003 0.003 0.002 TTWO UW Equity TAKE-TWO INTERACTIVE SOFTWRE Information Technology 11.50 58.27 53.11 50.28 50.20 49.40 -0.147 -0.139 -0.159 -0.153 -0.134 0.005 0.005 0.004 0.002 0.001 SKT UN Equity TANGER FACTORY OUTLET CENTER Financials 31.99 2.69% 30.01.2013 21.74 21.74 21.15 0.000 0.000 -0.143 0.000 0.000 0.003 TCO UN Equity TAUBMAN CENTERS INC Financials 79.30 2.52% 19.12.2012 21.73 19.41 19.36 -0.183 -0.229 -0.237 0.006 0.006 0.006 TCB UN Equity TCF FINANCIAL CORP Financials 11.15 1.79% 24.10.2012 34.92 32.90 32.52 33.83 -0.123 -0.187 -0.198 -0.179 -0.001 0.004 0.005 0.002 TECD UW Equity TECH DATA CORP Information Technology 42.85 27.19 29.92 30.29 -0.417 -0.218 -0.184 0.016 0.011 0.008 TECH UW Equity TECHNE CORP Health Care 69.13 1.74% 06.11.2012 22.32 22.32 22.32 22.27 0.000 0.000 0.000 0.089 0.000 0.000 0.000 -0.001 TDY UN Equity TELEDYNE TECHNOLOGIES INC Industrials 63.63 28.47 26.40 25.55 -0.181 -0.073 -0.076 0.002 0.001 0.001 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
    • 16.10.2012 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 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 ATM4 Ticker Name GICS_SECTOR_NAME ATM4 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M TFX UN Equity TELEFLEX INC Health Care 68.46 2.04% 15.11.2012 38.86 30.10 24.14 19.90 -0.832 -0.795 -0.702 -0.354 0.009 0.011 0.015 0.022 TDS UN Equity TELEPHONE AND DATA SYSTEMS Telecommunication Services 24.87 2.03% 17.12.2012 29.15 29.36 29.73 30.91 0.000 -0.053 -0.069 -0.074 0.000 0.001 0.001 0.001 TTEC UW Equity TELETECH HOLDINGS INC Information Technology 17.23 36.68 32.31 31.52 34.20 -0.288 -0.169 -0.131 -0.158 0.006 0.002 0.001 0.001 TLAB UW Equity TELLABS INC Information Technology 3.37 2.37% 14.11.2012 51.55 39.98 38.71 40.50 40.63 0.000 -0.172 -0.090 0.057 -0.014 0.000 0.003 0.002 0.000 0.000 TPX UN Equity TEMPUR-PEDIC INTERNATIONAL Consumer Discretionary 32.82 66.87 59.34 57.29 -0.271 -0.254 -0.227 0.002 0.002 0.001 TNC UN Equity TENNANT CO Industrials 41.85 1.82% 28.11.2012 37.46 33.51 33.02 36.09 -0.238 -0.244 -0.245 -0.230 0.000 0.001 0.002 0.002 TEX UN Equity TEREX CORP Industrials 22.67 60.37 56.39 55.39 56.24 57.48 57.94 58.15 -0.318 -0.297 -0.277 -0.221 -0.172 -0.152 -0.142 0.003 0.002 0.002 0.001 0.001 0.001 0.001 TSRA UW Equity TESSERA TECHNOLOGIES INC Information Technology 13.54 2.95% 19.11.2012 44.63 42.97 42.67 -0.153 -0.130 -0.118 -0.001 -0.002 -0.002 TTEK UW Equity TETRA TECH INC Industrials 25.58 31.72 29.13 28.60 0.000 -0.022 -0.074 0.000 -0.001 0.000 TTI UN Equity TETRA TECHNOLOGIES INC Energy 5.97 54.56 54.56 51.77 -0.013 -0.014 -0.102 0.000 0.000 0.000 TCBI UW Equity TEXAS CAPITAL BANCSHARES INC Financials 47.63 31.52 30.33 30.62 -0.431 -0.159 -0.079 0.013 0.005 0.002 TXI UN Equity TEXAS INDUSTRIES INC Materials 41.19 07.11.2012 40.15 40.71 40.78 40.18 -0.269 -0.288 -0.279 -0.216 0.004 0.001 0.001 0.002 TXRH UW Equity TEXAS ROADHOUSE INC Consumer Discretionary 17.15 2.27% 10.12.2012 32.86 30.97 30.73 -0.261 -0.173 -0.173 0.006 0.004 0.003 THO UN Equity THOR INDUSTRIES INC Consumer Discretionary 36.88 2.06% 21.12.2012 36.55 38.16 38.43 -0.174 -0.248 -0.230 0.007 0.003 0.002 THOR UW Equity THORATEC CORP Health Care 34.50 41.53 36.75 35.34 35.79 -0.027 -0.085 -0.108 -0.109 0.008 0.004 0.002 0.000 TIBX UW Equity TIBCO SOFTWARE INC Information Technology 27.09 40.29 41.41 42.26 43.01 41.35 41.56 43.18 -0.453 -0.310 -0.246 -0.204 -0.158 -0.125 -0.117 0.011 0.006 0.003 0.002 0.003 0.003 0.001 TDW UN Equity TIDEWATER INC Energy 46.70 2.36% 05.12.2012 29.39 28.10 27.83 28.26 -0.273 -0.236 -0.221 -0.206 0.006 0.003 0.002 0.002 TKR UN Equity TIMKEN CO Industrials 37.41 2.75% 21.11.2012 43.30 40.46 40.19 -0.356 -0.281 -0.248 0.007 0.005 0.004 TOL UN Equity TOLL BROTHERS INC Consumer Discretionary 33.83 34.14 36.37 36.23 37.82 38.88 -0.358 -0.318 -0.303 -0.219 -0.163 0.011 0.004 0.003 0.001 0.001 TMP UA Equity TOMPKINS FINANCIAL CORP Financials 41.05 3.56% 31.10.2012 TR UN Equity TOOTSIE ROLL INDS Consumer Staples 26.96 1.20% 19.12.2012 TTC UN Equity TORO CO Industrials 39.81 1.31% 14.12.2012 21.94 25.03 26.87 0.000 -0.324 -0.309 0.000 0.006 0.005 TWGP UW Equity TOWER GROUP INC Financials 19.30 4.25% 13.12.2012 34.85 28.65 28.50 36.26 -0.049 0.049 0.079 -0.236 0.001 0.000 -0.001 0.004 TW UN Equity TOWERS WATSON & CO-CL A Industrials 53.86 0.87% 28.12.2012 25.58 24.31 24.10 24.74 -0.125 -0.121 -0.105 -0.061 0.002 0.005 0.005 0.000 TSCO UW Equity TRACTOR SUPPLY COMPANY Consumer Discretionary 96.90 1.03% 15.11.2012 37.77 34.40 33.47 33.66 34.82 35.32 35.49 -0.294 -0.237 -0.216 -0.194 -0.155 -0.130 -0.112 0.008 0.006 0.004 0.002 0.001 0.000 0.001 TG UN Equity TREDEGAR CORP Materials 16.83 1.43% 12.12.2012 44.14 41.48 41.15 -0.121 -0.033 -0.045 0.002 0.001 0.001 THS UN Equity TREEHOUSE FOODS INC Consumer Staples 56.60 37.05 35.00 34.02 32.43 -0.267 -0.312 -0.294 -0.142 0.011 0.006 0.004 0.003 TRMB UW Equity TRIMBLE NAVIGATION LTD Information Technology 47.14 35.26 33.84 33.57 34.00 -0.397 -0.339 -0.301 -0.222 0.009 0.005 0.004 0.003 TRN UN Equity TRINITY INDUSTRIES INC Industrials 31.57 1.08% 09.01.2013 46.21 41.89 40.63 41.11 -0.204 -0.203 -0.197 -0.180 0.005 0.004 0.003 0.001 TQNT UW Equity TRIQUINT SEMICONDUCTOR INC Information Technology 4.96 61.52 52.34 50.93 54.70 56.87 57.18 56.86 -0.023 -0.025 -0.077 -0.117 -0.089 -0.088 -0.086 -0.001 0.004 0.004 0.002 0.001 0.001 0.000 TGI UN Equity TRIUMPH GROUP INC Industrials 62.67 0.26% 30.11.2012 27.26 25.86 25.88 -0.150 -0.199 -0.219 0.003 0.005 0.005 TRLG UW Equity TRUE RELIGION APPAREL INC Consumer Discretionary 25.84 3.10% 13.11.2012 50.67 43.34 40.23 36.32 -0.389 -0.290 -0.262 -0.266 0.008 0.005 0.003 0.002 TBI UN Equity TRUEBLUE INC Industrials 15.68 42.71 41.83 41.75 42.38 -0.055 -0.179 -0.207 -0.171 0.000 0.003 0.004 0.002 TRST UW Equity TRUSTCO BANK CORP NY Financials 5.75 4.57% 28.11.2012 TRMK UW Equity TRUSTMARK CORP Financials 23.96 3.84% 30.11.2012 86.68 62.44 53.34 44.69 -1.698 -1.563 -1.437 -0.842 0.014 0.029 0.033 0.034 TTMI UW Equity TTM TECHNOLOGIES Information Technology 8.90 37.44 37.44 38.22 0.000 0.000 -0.098 0.000 0.000 0.001 TUES UW Equity TUESDAY MORNING CORP Consumer Discretionary 6.17 52.28 52.29 52.30 -0.051 -0.051 -0.051 0.000 0.000 0.000 TUP UN Equity TUPPERWARE BRANDS CORP Consumer Discretionary 55.10 2.94% 17.12.2012 30.11 26.77 26.01 27.32 -0.318 -0.340 -0.323 -0.208 0.010 0.007 0.005 0.002 TWTC UW Equity TW TELECOM INC Telecommunication Services 26.65 35.90 31.94 30.69 31.15 0.165 -0.183 -0.232 -0.101 0.001 0.012 0.013 0.005 TYL UN Equity TYLER TECHNOLOGIES INC Information Technology 44.05 32.05 31.57 30.95 -0.063 -0.174 -0.196 0.001 0.000 0.000 UDR UN Equity UDR INC Financials 24.29 4.03% 11.01.2013 24.83 23.46 23.23 24.87 0.000 -0.099 -0.124 -0.099 0.000 0.001 0.001 0.001 UGI UN Equity UGI CORP Utilities 31.67 3.49% 11.12.2012 21.70 20.01 19.32 19.25 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 UIL UN Equity UIL HOLDINGS CORP Utilities 36.24 4.77% 19.12.2012 UTEK UW Equity ULTRATECH INC Information Technology 29.05 45.58 41.33 40.56 42.72 -0.151 -0.178 -0.174 -0.141 0.009 0.007 0.005 0.001 UMBF UW Equity UMB FINANCIAL CORP Financials 46.16 1.86% 06.12.2012 28.78 28.78 28.63 -1.166 -1.154 -0.681 0.029 0.031 0.036 UMPQ UW Equity UMPQUA HOLDINGS CORP Financials 12.21 3.03% 31.12.2012 31.94 31.66 31.63 0.000 0.000 0.000 0.000 0.000 0.000 UA UN Equity UNDER ARMOUR INC-CLASS A Consumer Discretionary 55.98 46.25 39.78 37.82 38.34 41.00 42.26 42.86 -0.394 -0.332 -0.292 -0.200 -0.163 -0.141 -0.119 0.006 0.004 0.003 0.001 0.001 0.001 0.001 UNF UN Equity UNIFIRST CORP/MA Industrials 66.60 0.23% 05.12.2012 26.59 26.62 25.62 -0.231 -0.231 -0.155 0.001 0.001 0.000 UNT UN Equity UNIT CORP Energy 41.80 38.13 35.64 35.59 -0.300 -0.286 -0.252 0.004 0.003 0.003 UBSI UW Equity UNITED BANKSHARES INC Financials 24.28 5.11% 05.12.2012 UCBI UW Equity UNITED COMMUNITY BANKS/GA Financials 8.47 1.77% 11.12.2012 UFCS UW Equity UNITED FIRE GROUP INC Financials 24.99 2.40% 14.12.2012 43.23 39.34 39.63 44.72 0.000 -0.212 -0.249 -0.196 0.000 0.018 0.020 0.007 UNFI UW Equity UNITED NATURAL FOODS INC Consumer Staples 56.26 24.77 25.29 25.89 27.62 -0.291 -0.310 -0.296 -0.225 0.005 0.005 0.004 0.003 UNTD UW Equity UNITED ONLINE INC Information Technology 5.61 7.13% 14.11.2012 40.38 38.38 37.73 0.000 0.000 0.000 0.000 0.000 0.000 URI UN Equity UNITED RENTALS INC Industrials 33.44 60.44 54.58 54.47 56.09 56.52 -0.355 -0.335 -0.306 -0.268 -0.232 0.003 0.002 0.002 0.001 0.001S&P 1000 Index USTR UW Equity UNITED STATIONERS INC Industrials 26.46 1.97% 11.12.2012 UTHR UW Equity UNITED THERAPEUTICS CORP Health Care 55.38 67.37 52.45 45.80 39.06 -0.273 -0.218 -0.192 -0.161 0.005 0.004 0.003 0.001 UVV UN Equity UNIVERSAL CORP/VA Consumer Staples 51.14 3.91% 10.01.2013 18.49 18.15 18.48 20.09 0.000 -0.181 -0.223 -0.204 0.000 0.005 0.006 0.004 UEIC UW Equity UNIVERSAL ELECTRONICS INC Consumer Discretionary 17.41 UFPI UW Equity UNIVERSAL FOREST PRODUCTS Industrials 41.60 0.96% 30.11.2012 41.82 41.58 41.30 41.09 -0.256 -0.324 -0.323 -0.236 0.006 0.002 0.001 0.002 UHT UN Equity UNIVERSAL HEALTH RLTY INCOME Financials 48.14 5.21% 19.12.2012 UHS UN Equity UNIVERSAL HEALTH SERVICES-B Health Care 45.45 0.44% 28.11.2012 33.28 29.03 27.95 29.22 -0.223 -0.231 -0.226 -0.194 0.002 0.004 0.004 0.002 UTI UN Equity UNIVERSAL TECHNICAL INSTITUT Consumer Discretionary 13.77 2.90% 12.12.2012 39.53 38.90 38.68 38.54 0.000 -0.018 -0.046 -0.138 0.000 0.000 0.000 0.000 UNS UN Equity UNS ENERGY CORP Utilities 41.91 4.25% 14.12.2012 URS UN Equity URS CORP Industrials 35.05 2.28% 29.11.2012 29.34 28.09 28.21 30.18 -0.157 -0.301 -0.325 -0.227 0.010 0.009 0.007 0.002 UBA UN Equity URSTADT BIDDLE - CLASS A Financials 19.25 5.19% 02.01.2013 37.72 34.41 33.15 32.06 0.000 -0.018 -0.028 -0.044 0.000 0.000 0.000 0.001 USMO UW Equity USA MOBILITY INC Telecommunication Services 11.30 4.42% 14.11.2012 47.88 47.71 47.53 43.87 -0.418 -0.419 -0.419 0.294 0.001 0.001 0.002 -0.002 UTIW UW Equity UTI WORLDWIDE INC Industrials 13.86 0.51% 25.06.2013 64.65 66.04 67.41 71.36 -0.807 -0.823 -0.838 -0.867 0.017 0.015 0.013 0.007 VCI UN Equity VALASSIS COMMUNICATIONS INC Consumer Discretionary 26.14 43.02 37.98 37.23 -0.315 -0.356 -0.337 0.003 0.004 0.004 VLY UN Equity VALLEY NATIONAL BANCORP Financials 9.92 6.40% 12.12.2012 28.55 24.57 23.74 0.000 0.043 -0.072 0.000 0.017 0.012 VMI UN Equity VALMONT INDUSTRIES Industrials 128.92 0.74% 28.12.2012 31.93 30.60 30.52 -0.330 -0.352 -0.314 0.012 0.008 0.006 VAL UN Equity VALSPAR CORP Materials 57.50 1.60% 28.12.2012 24.87 25.65 26.02 26.81 -0.354 -0.329 -0.303 -0.237 0.007 0.006 0.005 0.003 VCLK UW Equity VALUECLICK INC Information Technology 17.52 40.54 37.62 36.97 -0.256 -0.207 -0.161 0.002 0.003 0.003 VDSI UR Equity VASCO DATA SECURITY INTL Information Technology 7.18 63.47 57.40 57.27 0.000 0.059 0.033 0.000 0.003 0.002 WOOF UW Equity VCA ANTECH INC Health Care 20.59 31.92 28.39 27.88 -0.022 -0.094 -0.123 0.000 0.011 0.011 VVC UN Equity VECTREN CORPORATION Utilities 28.85 4.92% 14.11.2012 20.05 20.05 20.05 0.000 0.000 0.000 0.000 0.000 0.000 VECO UW Equity VEECO INSTRUMENTS INC Information Technology 29.06 51.71 49.01 48.64 50.47 49.09 48.93 49.51 -0.294 -0.230 -0.204 -0.183 -0.114 -0.086 -0.076 0.005 0.003 0.002 0.000 0.000 -0.001 0.000 PAY UN Equity VERIFONE SYSTEMS INC Information Technology 31.49 46.37 47.11 47.16 46.52 46.85 47.49 48.13 -0.268 -0.216 -0.196 -0.177 -0.117 -0.117 -0.146 0.003 0.003 0.002 0.001 0.000 0.001 0.001 VRTX UW Equity VERTEX PHARMACEUTICALS INC Health Care 53.24 46.49 41.92 41.64 46.66 45.53 45.36 46.01 -0.134 -0.141 -0.139 -0.112 -0.106 -0.091 -0.069 0.004 0.003 0.003 0.000 0.001 0.000 0.000 VVI UN Equity VIAD CORP Industrials 20.90 1.91% 19.12.2012 34.47 33.29 33.01 0.000 -0.044 -0.079 0.000 0.000 0.000 VSAT UW Equity VIASAT INC Information Technology 39.31 35.17 34.81 35.06 -0.049 -0.262 -0.280 0.001 0.008 0.007 VICR UW Equity VICOR CORP Industrials 6.35 2.36% 05.08.2013 55.23 55.29 55.35 55.19 -0.271 -0.271 -0.272 -0.246 0.001 0.001 0.001 0.001 VPFG UW Equity VIEWPOINT FINANCIAL GROUP IN Financials 19.86 1.66% 06.11.2012 VPHM UW Equity VIROPHARMA INC Health Care 28.74 49.06 44.71 43.36 43.57 43.02 41.55 40.12 -0.172 -0.221 -0.228 -0.178 -0.122 -0.123 -0.138 0.017 0.006 0.002 0.000 0.001 0.001 0.001 VRTS UQ Equity VIRTUS INVESTMENT PARTNERS Financials 90.09 VRTU UW Equity VIRTUSA CORP Information Technology 17.57 71.62 66.60 63.90 58.61 0.000 -0.042 -0.072 -0.152 0.000 0.001 0.002 0.003 VSH UN Equity VISHAY INTERTECHNOLOGY INC Information Technology 8.72 46.01 41.88 40.91 42.21 -0.197 -0.065 -0.040 -0.125 0.000 0.000 0.000 0.002 VSI UN Equity VITAMIN SHOPPE INC Consumer Discretionary 57.82 42.35 41.89 40.83 39.67 -1.130 -0.387 -0.142 -0.143 0.031 0.033 0.031 0.008 VLTR UW Equity VOLTERRA SEMICONDUCTOR CORP Information Technology 19.32 51.34 43.66 43.33 -0.046 -0.036 -0.094 0.001 0.008 0.008 VOXX UW Equity VOXX INTERNATIONAL CORP Consumer Discretionary 7.03 42.47 46.40 48.20 50.91 0.000 0.076 0.050 -0.111 0.000 -0.001 -0.001 0.002 WAB UN Equity WABTEC CORP Industrials 83.29 0.24% 16.11.2012 21.63 21.65 21.67 25.77 -0.453 -0.454 -0.455 -0.257 0.013 0.013 0.013 0.005 WDR UN Equity WADDELL & REED FINANCIAL-A Financials 32.13 3.36% 02.01.2013 37.77 32.11 30.61 0.000 -0.342 -0.421 0.000 0.005 0.005 WRC UN Equity WARNACO GROUP INC/THE Consumer Discretionary 51.83 35.28 33.40 33.25 34.92 -0.294 -0.231 -0.209 -0.203 0.008 0.004 0.003 0.002 WAFD UW Equity WASHINGTON FEDERAL INC Financials 16.63 2.53% 26.12.2012 WCN UN Equity WASTE CONNECTIONS INC Industrials 30.61 1.57% 02.11.2012 21.70 20.73 20.93 0.000 0.008 -0.045 0.000 0.000 0.001 WSO UN Equity WATSCO INC Industrials 68.71 3.84% 11.01.2013 30.78 27.95 27.31 27.95 0.014 -0.237 -0.298 -0.232 0.000 0.005 0.006 0.003 WTS UN Equity WATTS WATER TECHNOLOGIES-A Industrials 38.07 1.23% 16.11.2012 30.15 28.13 27.99 -0.146 -0.264 -0.283 0.002 0.008 0.008 WPP UN Equity WAUSAU PAPER CORP Materials 8.62 1.39% 01.11.2012 38.24 38.24 38.24 38.24 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 WDFC UW Equity WD-40 CO Consumer Staples 51.34 1.75% 09.01.2013 34.04 34.28 34.57 35.43 0.110 0.111 0.112 0.109 0.000 0.000 -0.001 -0.002 WBSN UW Equity WEBSENSE INC Information Technology 15.66 42.74 38.18 36.94 37.61 -0.159 -0.137 -0.134 -0.149 -0.002 0.001 0.001 0.001 WBS UN Equity WEBSTER FINANCIAL CORP Financials 22.10 2.08% 01.11.2012 28.39 28.68 28.97 29.92 -0.408 -0.422 -0.435 -0.464 0.010 0.010 0.010 0.009 WRI UN Equity WEINGARTEN REALTY INVESTORS Financials 27.81 4.28% 30.11.2012 16.61 16.61 16.61 20.74 -0.329 -0.313 -0.297 -0.235 0.018 0.018 0.017 0.006 WCG UN Equity WELLCARE HEALTH PLANS INC Health Care 54.00 52.56 46.30 44.62 -0.139 -0.247 -0.249 0.007 0.006 0.005 WEN UW Equity WENDYS CO/THE Consumer Discretionary 4.26 1.88% 30.11.2012 30.87 30.91 30.95 31.72 0.155 0.156 0.156 -0.061 0.002 0.002 0.002 -0.002 WERN UW Equity WERNER ENTERPRISES INC Industrials 22.76 0.88% 10.01.2013 30.73 30.00 29.96 0.000 -0.154 -0.212 0.000 0.000 0.001 WST UN Equity WEST PHARMACEUTICAL SERVICES Health Care 53.16 1.81% 14.01.2013 23.45 23.45 23.45 0.000 0.000 0.000 0.000 0.000 0.000 WABC UW Equity WESTAMERICA BANCORPORATION Financials 45.38 3.35% 08.11.2012 21.59 21.28 21.39 21.92 0.000 -0.102 -0.135 -0.150 0.000 0.002 0.002 0.002 WR UN Equity WESTAR ENERGY INC Utilities 29.71 4.65% 07.12.2012 14.00 14.00 14.26 0.000 0.000 0.000 0.000 0.000 0.000 WGL UN Equity WGL HOLDINGS INC Utilities 39.44 4.15% 09.01.2013 18.02 17.27 17.20 17.55 0.000 0.013 0.002 -0.055 0.000 0.000 0.000 0.001 WSM UN Equity WILLIAMS-SONOMA INC Consumer Discretionary 46.24 2.03% 25.01.2013 30.12 29.43 30.03 32.11 34.26 35.40 36.11 -0.364 -0.309 -0.277 -0.206 -0.160 -0.150 -0.151 0.010 0.005 0.004 0.002 0.001 0.001 0.000 WIBC UW Equity WILSHIRE BANCORP INC Financials 6.28 3.18% 28.12.2012 41.21 41.22 41.22 -0.044 -0.044 -0.044 0.000 0.000 0.000 WGO UN Equity WINNEBAGO INDUSTRIES Consumer Discretionary 11.31 41.78 42.50 42.35 40.88 -0.255 -0.263 -0.250 -0.191 0.001 0.000 0.001 0.004 WTFC UW Equity WINTRUST FINANCIAL CORP Financials 37.95 0.63% 05.02.2013 26.95 25.06 24.15 -0.228 -0.098 -0.076 0.003 0.001 0.001 WMS UN Equity WMS INDUSTRIES INC Consumer Discretionary 16.01 55.66 46.96 43.96 43.06 -0.064 -0.119 -0.140 -0.132 0.000 0.002 0.003 0.001 WWW UN Equity WOLVERINE WORLD WIDE INC Consumer Discretionary 43.41 1.24% 03.01.2013 32.12 30.89 30.84 -0.128 -0.252 -0.262 0.002 0.004 0.003 WWD UW Equity WOODWARD INC Industrials 33.32 1.05% 15.02.2013 40.12 37.00 36.20 37.23 -0.339 -0.305 -0.272 -0.253 0.004 0.010 0.010 0.004 WRLD UW Equity WORLD ACCEPTANCE CORP Financials 66.60 41.91 37.22 35.62 34.91 -0.613 -0.555 -0.505 -0.358 0.008 0.008 0.007 0.002 INT UN Equity WORLD FUEL SERVICES CORP Energy 34.00 0.44% 19.12.2012 38.16 33.99 33.03 34.31 -0.254 -0.219 -0.209 -0.216 0.004 0.004 0.004 0.002 WOR UN Equity WORTHINGTON INDUSTRIES Materials 21.80 2.43% 15.03.2013 33.72 32.03 32.26 -0.221 -0.185 -0.180 0.003 0.008 0.007 WRB UN Equity WR BERKLEY CORP Financials 37.32 1.02% 04.12.2012 22.61 18.89 17.62 17.00 0.000 -0.119 -0.143 -0.011 0.000 0.001 0.000 0.000 WXS UN Equity WRIGHT EXPRESS CORP Information Technology 70.55 30.44 29.71 29.53 29.61 -0.111 -0.184 -0.200 -0.176 0.001 0.003 0.003 0.002 XOXO UN Equity XO GROUP INC Information Technology 8.05 46.89 42.33 40.54 38.92 0.000 0.033 0.007 -0.153 0.000 -0.001 0.000 0.004 ZLC UN Equity ZALE CORP Consumer Discretionary 7.17 61.85 64.11 64.67 64.28 0.000 -0.148 -0.178 -0.125 0.000 0.000 0.000 0.001 ZBRA UW Equity ZEBRA TECHNOLOGIES CORP-CL A Information Technology 36.33 29.09 26.83 26.15 26.12 0.000 -0.116 -0.158 -0.180 0.000 0.001 0.001 0.001 ZEP UN Equity ZEP INC Materials 14.82 0.81% 23.01.2013 46.35 42.68 41.64 42.18 0.000 -0.117 -0.179 -0.293 0.000 0.004 0.005 0.002 ZUMZ UW Equity ZUMIEZ INC Consumer Discretionary 27.00 47.76 50.53 51.13 50.30 -0.203 -0.217 -0.223 -0.221 0.012 0.003 0.001 0.002 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |