16.10.2012                                                                                                                ...
16.10.2012                                                                                                                ...
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
S&P 1000 Index - Dividends and Implied Volatility Surface Parameters
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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

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

  1. 1. 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 |
  2. 2. 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 |

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