Stoxx 600 Index - Dividends and Implied Volatility Surface Parameters
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Stoxx 600 Index - Dividends and Implied Volatility Surface Parameters

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Stoxx 600 Index - Dividends and Implied Volatility Surface Parameters

Stoxx 600 Index - Dividends and Implied Volatility Surface Parameters

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  • 1. 22.05.2012 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 ISIN 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 III LN Equity GB00B1YW4409 3I GROUP PLC Financials 171.90 5.06% 05.12.2012 30.99 29.07 27.15 25.75 0.083 0.055 0.026 -0.025 0.006 0.005 0.003 0.000 A2A IM Equity IT0001233417 A2A SPA Utilities 0.55 2.37% 24.06.2013 58.23 49.86 45.65 45.15 -0.175 -0.155 -0.112 -0.171 0.009 0.001 0.000 0.001 AALB NA Equity NL0000852564 AALBERTS INDUSTRIES NV Industrials 13.00 2.69% 29.04.2013 34.35 32.60 31.84 31.94 -0.188 -0.262 -0.241 -0.189 0.013 0.005 0.003 0.003 ABBN VX Equity CH0012221716 ABB LTD-REG Industrials 15.71 5.09% 29.04.2013 29.08 28.07 29.12 29.17 29.60 29.27 27.54 -0.257 -0.203 -0.210 -0.232 -0.113 -0.020 0.007 0.017 0.006 0.004 0.003 0.001 -0.001 -0.001 ADN LN Equity GB0000031285 ABERDEEN ASSET MGMT PLC Financials 239.00 4.48% 12.12.2012 ABE SQ Equity ES0111845014 ABERTIS INFRAESTRUCTURAS SA Industrials 11.06 3.26% 31.10.2012 27.69 26.64 26.23 25.88 25.21 24.94 24.75 -0.152 -0.094 -0.111 -0.124 -0.177 -0.049 -0.101 0.003 -0.001 0.000 -0.002 -0.001 -0.001 0.001 ANA SQ Equity ES0125220311 ACCIONA SA Utilities 46.68 6.43% 21.01.2013 40.31 39.26 39.38 38.17 31.71 35.31 31.52 -0.158 -0.100 -0.087 -0.202 -0.002 -0.123 -0.045 0.001 0.003 0.001 0.000 0.005 0.004 0.005 AC FP Equity FR0000120404 ACCOR SA Consumer Discretionary 25.89 2.51% 11.06.2013 44.31 43.85 43.04 42.83 40.26 40.09 -0.230 -0.213 -0.213 -0.196 -0.163 -0.144 0.005 0.001 0.001 0.002 0.002 0.003 ACX SQ Equity ES0132105018 ACERINOX SA Materials 8.61 5.46% 07.01.2013 34.65 31.78 31.18 30.18 31.31 32.12 31.40 -0.190 -0.182 -0.185 -0.258 -0.071 0.077 0.078 0.002 0.002 0.002 0.002 0.002 0.000 0.000 ACKB BB Equity BE0003764785 ACKERMANS & VAN HAAREN Financials 62.82 2.61% 31.05.2013 ACS SQ Equity ES0167050915 ACS ACTIVIDADES CONS Y SERV Industrials 14.23 14.43% 05.07.2012 60.25 56.68 56.56 52.41 49.62 49.33 49.99 -0.175 -0.005 -0.008 -0.006 -0.046 0.046 0.227 -0.001 0.002 0.000 0.002 0.002 0.002 0.002 ATLN VX Equity CH0010532478 ACTELION LTD-REG Health Care 37.27 2.15% 06.05.2013 41.73 40.13 42.33 40.98 40.87 41.11 -0.185 -0.071 -0.054 -0.054 -0.047 -0.024 0.006 0.001 0.001 0.001 0.000 0.000 ADEN VX Equity CH0012138605 ADECCO SA-REG Industrials 38.58 4.92% 03.05.2013 37.26 37.17 37.31 36.81 36.04 35.24 35.82 -0.345 -0.230 -0.204 -0.252 -0.162 -0.109 -0.135 0.016 0.001 0.002 0.003 0.002 0.001 0.002 ADS GY Equity DE000A1EWWW0 ADIDAS AG Consumer Discretionary 60.88 2.05% 10.05.2013 30.52 30.52 31.52 31.16 30.24 29.84 28.45 -0.398 -0.383 -0.336 -0.263 -0.175 -0.030 -0.048 0.022 0.008 0.006 0.003 0.002 0.001 0.002 ADM LN Equity GB00B02J6398 ADMIRAL GROUP PLC Financials 1098.00 7.60% 26.09.2012 AGS LN Equity GB00B4JV1B90 AEGIS GROUP PLC Consumer Discretionary 161.10 2.01% 05.09.2012 AGN NA Equity NL0000303709 AEGON NV Financials 3.41 5.87% 17.08.2012 55.44 52.94 52.92 50.18 47.16 44.04 42.70 -0.346 -0.289 -0.116 -0.101 -0.016 0.094 0.182 0.010 0.004 0.001 0.002 0.001 0.004 0.005 ADP FP Equity FR0010340141 ADP Industrials 59.40 2.98% 13.05.2013 24.21 24.38 24.43 24.66 25.40 25.41 0.043 -0.002 0.002 0.009 0.024 0.036 0.004 0.000 0.000 0.000 0.000 0.000 AFR LN Equity GB00B0672758 AFREN PLC Energy 114.60 AGS BB Equity BE0003801181 AGEAS Financials 1.34 6.71% 29.04.2013 51.44 47.87 51.35 50.75 47.09 43.22 42.40 -0.495 -0.270 -0.291 -0.215 0.028 0.167 0.187 0.019 0.005 0.009 0.005 0.002 0.003 0.004 AGK LN Equity GB00B4WQ2Z29 AGGREKO PLC Industrials 2110.00 1.09% 19.09.2012 AF FP Equity FR0000031122 AIR FRANCE-KLM Industrials 3.53 16.07.2013 55.35 55.67 54.02 51.36 51.03 55.72 48.46 -0.182 -0.202 -0.232 -0.163 -0.261 -0.381 -0.248 0.004 0.005 0.003 0.001 0.000 0.004 -0.002 AI FP Equity FR0000120073 AIR LIQUIDE SA Materials 94.33 2.86% 13.05.2013 24.68 24.35 24.80 24.83 24.75 23.73 22.76 -0.261 -0.246 -0.235 -0.243 -0.163 -0.144 -0.099 0.015 0.007 0.005 0.004 0.002 0.002 0.001 AIXA GY Equity DE000A0WMPJ6 AIXTRON SE Information Technology 12.70 0.55% 16.05.2013 48.72 49.91 49.42 47.50 49.20 50.22 50.11 -0.233 -0.233 -0.228 -0.260 -0.353 -0.419 -0.485 0.007 0.004 0.004 0.005 0.002 0.001 0.001 AKSO NO Equity NO0010215684 AKER SOLUTIONS ASA Energy 84.30 3.68% 19.04.2013 52.13 50.28 48.38 -0.674 -0.582 -0.488 0.019 0.015 0.011 AKZA NA Equity NL0000009132 AKZO NOBEL Materials 38.02 4.03% 25.10.2012 33.60 33.66 32.89 32.39 30.64 29.25 28.96 -0.331 -0.262 -0.217 -0.215 -0.134 -0.090 -0.050 0.014 0.004 0.003 0.002 0.001 0.001 0.001 ALU FP Equity FR0000130007 ALCATEL-LUCENT Information Technology 1.21 07.06.2013 75.84 69.83 69.90 68.26 64.03 60.78 60.78 -0.360 -0.320 -0.185 -0.204 -0.136 -0.074 -0.076 0.003 0.001 0.005 0.003 -0.001 0.000 -0.001 ALFA SS Equity SE0000695876 ALFA LAVAL AB Industrials 126.20 3.17% 29.04.2013 34.34 35.40 34.18 34.48 34.26 34.26 -0.312 -0.244 -0.222 -0.170 -0.071 -0.071 0.033 0.009 0.007 0.003 0.000 0.000 ALV GY Equity DE0008404005 ALLIANZ SE-REG Financials 76.99 5.97% 10.05.2013 33.67 34.06 34.33 34.31 34.16 33.09 31.32 -0.500 -0.442 -0.395 -0.318 -0.163 -0.092 -0.067 0.008 0.005 0.004 0.002 0.000 0.000 0.000 ALO FP Equity FR0010220475 ALSTOM Industrials 24.13 3.32% 27.06.2013 49.01 47.86 46.95 45.87 44.13 43.13 43.07 -0.350 -0.265 -0.235 -0.235 -0.160 -0.150 -0.112 0.013 0.004 0.001 0.003 0.001 0.000 -0.001 AMS SQ Equity EU0009658145 AMADEUS IT HOLDING SA-A SHS Information Technology 15.45 2.56% 30.01.2013 29.34 28.23 28.39 28.00 28.00 27.98 28.31 -0.063 -0.076 -0.055 -0.087 -0.038 -0.037 -0.002 0.001 0.000 0.001 0.000 -0.002 -0.001 -0.002 AMEC LN Equity GB0000282623 AMEC PLC Energy 988.00 3.23% 28.11.2012 AMEAS FH Equity FI0009000285 AMER SPORTS OYJ Consumer Discretionary 9.64 4.15% 11.03.2013 AML LN Equity GB00B2988H17 AMLIN PLC Financials 317.40 7.56% 05.09.2012 ANDR AV Equity AT0000730007 ANDRITZ AG Industrials 40.01 3.12% 25.03.2013 39.72 37.73 38.41 36.60 40.32 40.66 -0.062 -0.169 -0.139 -0.084 0.477 0.640 -0.002 0.001 0.001 -0.001 -0.004 -0.005 AAL LN Equity GB00B1XZS820 ANGLO AMERICAN PLC Materials 2070.50 2.51% 15.08.2012 40.12 40.19 40.09 39.97 39.35 35.98 35.28 -0.177 -0.211 -0.183 -0.140 -0.080 -0.036 -0.042 0.006 0.000 0.000 0.000 0.001 0.002 0.002 ABI BB Equity BE0003793107 ANHEUSER-BUSCH INBEV NV Consumer Staples 53.69 2.42% 24.04.2013 24.36 24.24 24.45 24.63 24.78 24.78 -0.292 -0.226 -0.202 -0.212 -0.157 -0.157 0.017 0.004 0.003 0.002 0.001 0.001 ANTO LN Equity GB0000456144 ANTOFAGASTA PLC Materials 1067.00 1.54% 12.09.2012 40.15 40.90 41.65 42.95 -0.174 -0.163 -0.152 -0.115 0.011 0.008 0.005 0.001 MAERSKB DC Equity DK0010244508 AP MOELLER-MAERSK A/S-B Industrials 37940.00 2.64% 15.04.2013 34.56 33.81 34.30 33.68 -0.149 -0.142 -0.071 -0.050 0.004 0.002 0.000 0.000 MT NA Equity LU0323134006 ARCELORMITTAL Materials 11.84 4.97% 22.02.2013 50.41 49.35 49.63 48.34 46.78 47.64 48.26 -0.274 -0.288 -0.250 -0.183 -0.124 -0.125 -0.124 0.007 0.002 0.002 0.002 0.001 -0.001 -0.001 AKE FP Equity FR0010313833 ARKEMA Materials 57.74 2.25% 31.05.2013 50.53 48.98 47.43 44.92 43.67 43.67 -0.309 -0.283 -0.258 -0.191 -0.155 -0.155 0.001 0.001 0.001 0.001 0.002 0.002 ARM LN Equity DE0005557508 ARM HOLDINGS PLC Information Technology 492.90 0.85% 05.09.2012 41.41 41.03 40.65 40.33 -0.112 -0.076 -0.041 0.010 0.008 0.005 0.002 -0.002 ARYN SE Equity CH0043238366 ARYZTA AG Consumer Staples 44.10 1.39% 28.01.2013 18.21 18.81 18.90 20.47 20.65 20.94 -0.197 -0.033 -0.032 -0.081 -0.090 -0.074 0.016 -0.001 0.000 0.000 0.001 0.000 ASHM LN Equity GB00B132NW22 ASHMORE GROUP PLC Financials 328.60 4.72% 31.10.2012 AHT LN Equity GB0000536739 ASHTEAD GROUP PLC Industrials 220.20 1.53% 15.08.2012 ASML NA Equity NL0006034001 ASML HOLDING NV Information Technology 36.57 1.37% 26.04.2013 32.71 35.05 33.40 32.93 32.42 32.20 32.42 -0.273 -0.174 -0.157 -0.183 -0.104 -0.080 -0.052 0.014 0.001 0.001 0.002 0.000 0.000 -0.001 ASSAB SS Equity SE0000255648 ASSA ABLOY AB-B Industrials 188.30 2.87% 02.05.2013 33.56 33.07 33.91 34.23 34.35 34.35 -0.264 -0.280 -0.264 -0.186 -0.116 -0.116 0.022 0.007 0.004 0.002 0.001 0.001 G IM Equity IT0000062072 ASSICURAZIONI GENERALI Financials 8.79 5.12% 20.05.2013 46.84 45.68 44.78 43.29 35.83 34.67 31.10 -0.380 -0.363 -0.299 -0.349 -0.102 -0.028 -0.009 0.009 0.004 0.002 0.005 0.000 -0.001 0.000 ABF LN Equity GB0006731235 ASSOCIATED BRITISH FOODS PLC Consumer Staples 1180.00 2.37% 05.12.2012 15.70 16.47 17.24 17.76 -0.119 -0.124 -0.129 -0.124 0.002 0.001 0.001 0.001 AZN LN Equity GB0009895292 ASTRAZENECA PLC Health Care 2629.00 6.99% 01.08.2012 19.44 19.75 20.60 20.89 20.84 20.17 20.02 -0.351 -0.261 -0.183 -0.181 -0.126 -0.069 -0.049 0.007 0.006 0.004 0.003 0.001 0.000 0.000 ATL IM Equity IT0003506190 ATLANTIA SPA Industrials 10.41 7.51% 19.11.2012 36.34 35.01 34.28 33.06 29.80 -0.399 -0.320 -0.310 -0.233 -0.158 0.010 0.004 0.003 0.002 0.001 ATCOA SS Equity SE0000101032 ATLAS COPCO AB-A SHS Industrials 151.80 3.46% 22.04.2013 41.62 41.14 40.70 63.28 36.71 36.71 -0.549 -0.208 -0.307 -0.080 -0.194 -0.194 0.014 -0.001 0.003 -0.001 0.003 0.003 ATO FP Equity FR0000051732 ATOS Information Technology 44.30 1.13% 13.06.2012 32.59 33.20 33.82 34.54 33.83 33.83 -0.191 -0.196 -0.201 -0.190 -0.181 -0.181 0.007 0.005 0.004 0.002 0.001 0.001 NDA GY Equity DE0006766504 AURUBIS AG Materials 40.09 3.12% 01.03.2013 26.89 27.17 27.29 28.59 28.53 28.77 28.80 -0.173 -0.160 -0.148 -0.177 -0.166 -0.153 -0.133 0.009 0.002 0.002 0.002 0.002 0.001 0.002 AVV LN Equity GB00B15CMQ74 AVEVA GROUP PLC Information Technology 1532.00 1.36% 20.06.2012Stoxx 600 Index AV/ LN Equity GB0002162385 AVIVA PLC Financials 272.00 10.29% 19.09.2012 42.23 41.63 42.11 39.95 38.85 36.37 36.20 -0.376 -0.207 -0.271 -0.207 -0.155 -0.149 -0.182 0.000 0.004 0.000 0.001 0.000 0.000 0.001 CS FP Equity FR0000120628 AXA SA Financials 9.58 7.62% 06.05.2013 48.91 48.87 49.71 49.33 50.00 49.08 46.06 -0.600 -0.505 -0.426 -0.399 -0.242 -0.092 -0.163 0.013 0.000 0.000 0.002 0.001 -0.002 0.001 SPR GY Equity DE0005501357 AXEL SPRINGER AG Consumer Discretionary 33.55 5.22% 18.04.2013 30.68 30.33 30.29 30.17 31.81 31.46 32.94 0.055 0.024 0.029 0.025 0.033 0.036 -0.026 -0.001 0.000 0.000 -0.001 0.000 0.000 0.000 BAB LN Equity GB0009697037 BABCOCK INTL GROUP PLC Industrials 850.00 2.77% 12.12.2012 BA/ LN Equity GB0002634946 BAE SYSTEMS PLC Industrials 273.60 7.05% 17.10.2012 25.17 25.29 25.79 27.13 26.84 26.84 -0.246 -0.239 -0.213 -0.116 -0.095 -0.095 0.009 0.006 0.000 -0.001 -0.001 -0.001 BBY LN Equity GB0000961622 BALFOUR BEATTY PLC Industrials 268.00 5.37% 10.10.2012 BALN VX Equity CH0012410517 BALOISE HOLDING AG - REG Financials 63.15 7.13% 03.05.2013 25.59 25.50 25.52 26.06 26.35 24.16 22.80 -0.218 -0.292 -0.271 -0.236 -0.150 -0.057 -0.034 0.014 0.006 0.005 0.004 0.003 0.002 0.003 CRG IM Equity IT0003211601 BANCA CARIGE SPA Financials 0.73 9.58% 20.05.2013 55.07 54.62 54.60 55.00 54.50 60.57 0.042 0.003 0.010 0.032 0.036 0.049 -0.001 0.000 0.000 0.000 0.000 0.001 BMPS IM Equity IT0001334587 BANCA MONTE DEI PASCHI SIENA Financials 0.23 3.51% 20.05.2013 77.46 75.29 73.24 69.83 59.25 53.76 41.14 -0.326 -0.237 -0.177 -0.124 -0.620 -0.931 -1.477 0.007 0.006 0.003 0.000 0.012 0.019 0.031 BPE IM Equity IT0000066123 BANCA POPOL EMILIA ROMAGNA Financials 3.73 3.96% 22.04.2013 57.69 57.57 57.51 57.22 59.37 59.00 0.056 0.014 0.008 0.023 0.034 0.053 -0.003 -0.001 0.000 0.000 0.001 0.001 PMI IM Equity IT0000064482 BANCA POPOLARE DI MILANO Financials 0.37 4.06% 20.05.2013 72.36 70.78 69.04 69.38 70.11 70.11 -0.312 -0.311 -0.393 -0.133 -0.096 -0.096 0.007 0.001 0.002 0.003 0.001 0.001 BPSO IM Equity IT0000784196 BANCA POPOLARE DI SONDRIO Financials 4.43 3.39% 22.04.2013 38.40 38.15 38.18 38.34 39.95 39.92 0.007 0.009 0.010 0.023 -0.028 -0.042 -0.001 -0.001 0.000 -0.001 0.000 -0.001 BBVA SQ Equity US78378X1072 BANCO BILBAO VIZCAYA ARGENTA Financials 4.94 8.49% 09.07.2012 64.07 59.21 57.23 52.73 46.13 42.25 38.30 -0.406 -0.236 -0.229 -0.162 0.031 0.190 0.191 0.003 0.005 0.004 0.001 -0.002 -0.002 -0.001 SAB SQ Equity ES0113860A34 BANCO DE SABADELL SA Financials 1.51 6.88% 04.09.2012 48.16 48.80 46.79 41.47 38.59 32.76 33.02 -0.438 -0.608 -0.610 -0.213 0.070 0.223 0.382 0.001 0.000 0.004 0.000 0.001 0.003 0.003 BES PL Equity PTBES0AM0007 BANCO ESPIRITO SANTO-REG Financials 0.51 08.04.2013 BP IM Equity IT0004231566 BANCO POPOLARE SCARL Financials 1.01 2.96% 20.05.2013 76.10 73.41 69.59 68.16 66.58 66.58 -0.277 -0.316 -0.239 -0.301 -0.337 -0.337 0.006 0.001 0.001 0.001 0.003 0.003 POP SQ Equity ES0113790531 BANCO POPULAR ESPANOL Financials 1.93 6.48% 27.06.2012 63.88 60.45 58.07 54.99 51.35 50.37 49.09 -0.297 -0.111 -0.085 -0.206 -0.354 -0.394 -0.394 0.003 0.001 0.002 0.002 0.002 0.003 0.003 SAN SQ Equity ES0113900J37 BANCO SANTANDER SA Financials 4.55 13.20% 30.07.2012 64.14 58.68 53.14 49.68 42.13 34.92 27.05 -0.399 -0.400 -0.212 -0.192 0.094 0.252 0.512 0.000 0.003 0.001 0.001 -0.001 0.000 0.003 BKIA SQ Equity ES0113307039 BANKIA SA Financials 1.72 BKT SQ Equity ES0113679I37 BANKINTER SA Financials 3.02 6.04% 02.07.2012 57.98 54.38 53.17 47.62 44.27 42.78 43.33 -0.187 -0.185 -0.119 -0.048 0.021 0.068 0.078 -0.002 -0.002 -0.001 -0.002 -0.002 -0.002 -0.002 BCVN SE Equity CH0015251710 BANQUE CANTONALE VAUDOIS-REG Financials 480.25 4.79% 07.05.2013 24.93 25.16 25.11 25.05 26.32 26.32 -0.033 0.001 0.004 -0.005 -0.043 -0.020 0.001 0.000 0.000 0.000 0.001 0.000 BARC LN Equity GB0031348658 BARCLAYS PLC Financials 182.45 3.86% 08.08.2012 59.82 58.68 59.28 56.81 51.81 50.10 49.15 -0.449 -0.316 -0.280 -0.297 -0.227 -0.211 -0.219 0.007 -0.002 0.001 0.001 0.002 0.003 0.003 BDEV LN Equity GB0000811801 BARRATT DEVELOPMENTS PLC Consumer Discretionary 121.50 1.23% 24.10.2012 BARN SE Equity CH0009002962 BARRY CALLEBAUT AG-REG Consumer Staples 845.00 1.95% 27.02.2013 19.11 18.90 18.91 19.00 19.72 19.38 -0.101 -0.001 -0.003 -0.008 -0.033 -0.018 0.008 0.000 0.000 0.001 0.001 0.001 BAS GY Equity DE000BASF111 BASF SE Materials 58.07 4.48% 29.04.2013 27.08 27.79 28.35 29.18 29.70 29.09 27.91 -0.512 -0.417 -0.396 -0.318 -0.188 -0.119 -0.030 0.018 0.008 0.007 0.004 0.002 0.001 -0.001 BAYN GY Equity DE000BAY0017 BAYER AG-REG Health Care 51.70 3.39% 29.04.2013 29.54 29.75 30.43 30.57 30.61 30.24 29.38 -0.311 -0.350 -0.317 -0.259 -0.159 -0.089 -0.053 0.021 0.009 0.006 0.003 0.001 -0.001 -0.001 BMW GY Equity DE0005190003 BAYERISCHE MOTOREN WERKE AG Consumer Discretionary 63.05 4.12% 15.05.2013 39.75 39.84 40.16 39.61 38.19 36.87 33.48 -0.502 -0.412 -0.381 -0.292 -0.183 -0.115 -0.104 0.012 0.005 0.004 0.002 0.001 0.001 0.002 BEI GY Equity DE0005200000 BEIERSDORF AG Consumer Staples 52.01 1.54% 29.04.2013 30.25 28.30 27.90 26.70 24.06 23.35 22.93 -0.223 -0.121 -0.077 -0.116 -0.091 -0.082 -0.067 0.014 0.003 0.001 0.003 0.003 0.003 0.004 BELG BB Equity BE0003810273 BELGACOM SA Telecommunication Services 21.75 10.02% 04.12.2012 22.62 21.84 21.31 19.95 19.67 19.67 -0.067 -0.137 -0.175 -0.093 -0.127 -0.127 0.019 0.003 0.001 0.000 0.001 0.001 BKG LN Equity GB00B02L3W35 BERKELEY GROUP HOLDINGS Consumer Discretionary 1188.00 BG/ LN Equity GB0008762899 BG GROUP PLC Energy 1264.00 1.31% 01.08.2012 32.65 32.13 32.49 33.75 33.90 33.90 -0.468 -0.300 -0.243 -0.208 -0.190 -0.190 0.012 0.008 0.004 0.002 0.002 0.002 BLT LN Equity GB0000566504 BHP BILLITON PLC Materials 1753.50 4.23% 05.09.2012 38.03 37.60 37.45 37.14 36.88 33.36 32.78 -0.337 -0.217 -0.191 -0.184 -0.096 -0.074 -0.045 0.011 0.001 0.002 0.001 0.000 0.000 -0.001 GBF GY Equity DE0005909006 BILFINGER BERGER SE Industrials 66.00 3.94% 10.05.2013 31.85 31.04 31.35 31.22 32.16 32.31 32.18 -0.325 -0.200 -0.196 -0.207 -0.123 -0.076 -0.089 0.019 0.004 0.003 0.003 0.002 0.001 0.001 BIM FP Equity FR0010096479 BIOMERIEUX Health Care 64.99 1.51% 03.06.2013 24.44 24.27 24.14 23.95 23.80 23.96 -0.073 -0.005 0.014 0.018 0.020 0.029 0.010 0.000 0.000 0.000 0.001 0.001 BNP FP Equity FR0000131104 BNP PARIBAS Financials 26.87 4.47% 30.05.2013 57.01 56.24 56.53 54.91 48.86 48.87 45.75 -0.432 -0.458 -0.418 -0.399 -0.289 -0.201 -0.212 0.010 0.002 0.001 0.002 0.002 0.001 0.001 BOL SS Equity SE0000869646 BOLIDEN AB Materials 96.65 4.91% 06.05.2013 46.57 46.40 44.91 44.74 44.11 44.11 -0.253 -0.405 -0.298 -0.212 -0.163 -0.163 0.024 0.009 0.006 0.002 0.001 0.001 BME SQ Equity ES0115056139 BOLSAS Y MERCADOS ESPANOLES Financials 15.30 10.46% 14.09.2012 24.06 24.68 24.68 23.73 28.05 26.88 29.57 -0.034 -0.043 -0.064 -0.085 -0.005 0.105 0.070 0.001 0.000 -0.001 0.001 -0.001 -0.001 -0.001 BOK LN Equity GB00B01TND91 BOOKER GROUP PLC Consumer Staples 73.25 2.98% 06.06.2012 GBB FP Equity FR0004548873 BOURBON SA Energy 19.54 4.20% 04.06.2012 EN FP Equity FR0000120503 BOUYGUES SA Industrials 20.88 7.66% 30.04.2013 36.02 35.26 34.88 35.12 33.65 28.90 27.71 -0.280 -0.270 -0.254 -0.232 -0.065 0.044 0.066 0.011 0.004 0.005 0.002 0.001 0.001 0.001 BP/ LN Equity GB0007980591 BP PLC Energy 399.05 5.40% 01.08.2012 26.58 27.04 27.98 28.32 28.46 28.51 27.51 -0.365 -0.248 -0.185 -0.165 -0.088 -0.072 -0.053 0.010 0.005 0.003 0.003 0.000 0.000 -0.001 BNR GY Equity DE000A1DAHH0 BRENNTAG AG Industrials 90.24 2.22% 20.06.2013 22.96 23.57 23.96 25.18 25.15 26.42 25.35 -0.149 -0.154 -0.115 -0.137 -0.051 -0.068 -0.008 0.013 0.001 0.001 0.002 0.001 0.001 0.001 BATS LN Equity GB0002875804 BRITISH AMERICAN TOBACCO PLC Consumer Staples 3015.50 4.61% 15.08.2012 20.23 20.35 20.29 20.88 -0.443 -0.213 -0.213 -0.214 0.014 0.011 0.004 0.004 BLND LN Equity GB0001367019 BRITISH LAND CO PLC Financials 495.70 5.33% 03.10.2012 20.31 21.13 21.68 22.82 -0.157 -0.145 -0.131 -0.066 0.009 0.007 0.005 0.001 BSY LN Equity GB0001411924 BRITISH SKY BROADCASTING GRO Consumer Discretionary 691.50 3.70% 14.11.2012 23.51 23.65 24.31 24.19 23.78 22.45 22.41 -0.395 -0.257 -0.156 -0.167 -0.061 -0.039 -0.046 0.010 0.006 0.003 0.002 0.001 -0.001 -0.002 BVIC LN Equity GB00B0N8QD54 BRITVIC PLC Consumer Staples 344.10 5.35% 06.06.2012 BT/A LN Equity GB0030913577 BT GROUP PLC Telecommunication Services 205.90 4.23% 26.12.2012 25.03 25.32 26.66 26.42 25.32 24.38 23.47 -0.365 -0.228 -0.156 -0.194 -0.082 -0.087 -0.100 0.009 0.002 0.001 0.002 0.001 0.002 0.002 BGC LN Equity GB0001001592 BTG PLC Health Care 361.10 BNZL LN Equity GB00B0744B38 BUNZL PLC Industrials 1005.00 2.66% 07.11.2012 BRBY LN Equity GB0031743007 BURBERRY GROUP PLC Consumer Discretionary 1400.00 1.84% 04.07.2012 36.09 35.60 36.05 35.00 34.92 35.49 -0.142 -0.072 -0.044 -0.102 -0.068 -0.048 0.000 0.000 0.001 0.000 -0.001 -0.003 BVI FP Equity FR0006174348 BUREAU VERITAS SA Industrials 66.70 1.90% 06.06.2013 23.48 23.46 23.30 23.49 23.10 23.24 0.097 0.006 0.004 0.017 0.019 0.032 0.007 0.000 0.000 0.000 0.000 0.001 BPTY LN Equity GI000A0MV757 BWIN.PARTY DIGITAL ENTERTAIN Consumer Discretionary 127.40 GCC ID Equity IE00B010DT83 C&C GROUP PLC Consumer Staples 3.47 2.42% 24.10.2012 29.31 29.02 28.45 27.95 28.50 29.12 0.163 -0.122 -0.132 -0.187 -0.184 -0.185 0.019 0.004 0.001 0.002 0.001 0.001 CWC LN Equity GB00B5KKT968 CABLE & WIRELESS COMMUNICATI Telecommunication Services 28.36 17.88% 30.05.2012 47.51 43.99 40.47 37.99 -0.097 -0.190 -0.283 -0.242 -0.001 0.001 0.004 0.002 CNE LN Equity GB00B74CDH82 CAIRN ENERGY PLC Energy 295.20 40.35 38.64 36.93 35.58 -0.297 -0.227 -0.157 -0.153 0.005 0.004 0.003 0.000 CABK SQ Equity ES0140609019 CAIXABANK Financials 2.26 10.19% 26.06.2012 45.71 39.85 39.53 36.80 33.45 31.06 29.16 -0.237 -0.146 -0.214 -0.361 -0.073 0.120 0.086 -0.002 0.002 0.001 0.002 0.001 0.000 0.001 CAP FP Equity FR0000125338 CAP GEMINI Information Technology 28.57 3.50% 04.06.2013 44.14 43.22 43.63 42.18 38.38 37.83 36.96 -0.217 -0.215 -0.224 -0.189 -0.156 -0.129 -0.121 0.009 0.005 0.003 0.002 0.002 0.003 0.004 CPI LN Equity GB00B23K0M20 CAPITA PLC Industrials 623.50 3.85% 29.08.2012 CAPC LN Equity GB00B62G9D36 CAPITAL & COUNTIES PROPERTIE Financials 190.10 0.79% 22.08.2012 CSCG LN Equity GB0006834344 CAPITAL SHOPPING CENTRES GRO Financials 313.90 4.82% 10.10.2012 CLLN LN Equity GB0007365546 CARILLION PLC Industrials 261.80 6.53% 05.09.2012 CARLB DC Equity DK0010181759 CARLSBERG AS-B Consumer Staples 455.10 1.32% 25.03.2013 29.33 29.01 30.62 31.47 -0.199 -0.124 -0.072 -0.038 0.004 0.001 0.001 0.000 CCL LN Equity GB0031215220 CARNIVAL PLC Consumer Discretionary 2061.00 4.15% 22.08.2012 31.17 31.41 31.64 32.28 -0.101 -0.120 -0.140 -0.134 0.003 0.002 0.002 0.001 CA FP Equity FR0000120172 CARREFOUR SA Consumer Staples 13.74 3.78% 20.06.2012 39.82 41.03 39.70 39.24 36.24 36.06 34.56 -0.179 -0.166 -0.212 -0.186 -0.047 -0.068 0.024 0.020 0.005 0.005 0.002 -0.002 -0.002 -0.005 CO FP Equity FR0000125585 CASINO GUICHARD PERRACHON Consumer Staples 67.37 4.90% 18.04.2013 30.83 28.92 29.11 28.43 26.09 24.20 25.07 -0.337 -0.224 -0.228 -0.204 -0.127 -0.122 -0.105 0.008 0.006 0.003 0.003 0.002 0.002 0.000 CAST SS Equity SE0000379190 CASTELLUM AB Financials 84.90 4.59% 29.03.2013 CGL LN Equity BMG196F11004 CATLIN GROUP LTD Financials 412.90 6.90% 22.08.2012 CLS1 GY Equity DE000CLS1001 CELESIO AG Health Care 11.90 3.36% 17.05.2013 34.16 33.98 34.93 35.54 35.19 37.12 35.89 -0.223 -0.196 -0.176 -0.153 -0.076 -0.041 -0.017 0.012 0.003 0.004 0.002 0.000 -0.002 -0.002 CNA LN Equity GB00B033F229 CENTRICA PLC Utilities 312.10 5.22% 26.09.2012 19.54 19.80 20.07 20.49 20.39 20.39 -0.183 -0.195 -0.207 -0.188 -0.167 -0.167 0.005 0.005 0.005 0.004 0.004 0.004 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 2. 22.05.2012 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 ISIN 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 CHG LN Equity GB00B45C9X44 CHEMRING GROUP PLC Industrials 318.50 5.68% 11.07.2012 CHR DC Equity DK0060227585 CHR HANSEN HOLDING A/S Materials 163.20 CDI FP Equity FR0000130403 CHRISTIAN DIOR Consumer Discretionary 110.30 2.28% 29.11.2012 29.50 29.09 28.67 27.62 28.72 28.72 -0.338 -0.331 -0.324 -0.286 -0.270 -0.270 0.008 0.007 0.006 0.004 0.004 0.004 SGO FP Equity FR0000125007 COMPAGNIE DE SAINT-GOBAIN Industrials 30.42 4.08% 10.06.2013 42.27 42.95 43.49 43.24 39.53 38.19 36.55 -0.304 -0.283 -0.270 -0.217 -0.136 -0.110 -0.098 0.013 0.005 0.003 0.002 0.001 0.000 0.000 CFR VX Equity CH0045039655 CIE FINANCIERE RICHEMON-BR A Consumer Discretionary 58.10 0.95% 09.09.2013 31.41 31.40 31.00 31.67 31.70 31.24 -0.417 -0.266 -0.206 -0.243 -0.200 -0.153 0.012 0.004 0.003 0.003 0.002 0.001 GA FP Equity FR0000120164 CIE GENERALE DE GEOPHYSIQUE Energy 18.67 43.24 40.71 41.28 42.28 42.95 42.78 -0.319 -0.275 -0.188 -0.220 -0.177 -0.165 0.001 0.000 0.003 0.002 0.002 0.002 ML FP Equity FR0000121261 MICHELIN (CGDE) Consumer Discretionary 50.36 4.57% 14.05.2013 39.23 39.33 40.36 39.42 37.17 34.83 -0.474 -0.288 -0.277 -0.250 -0.163 -0.130 0.006 0.003 0.001 0.002 0.002 0.002 CLN VX Equity CH0012142631 CLARIANT AG-REG Materials 10.47 2.87% 28.06.2013 37.69 36.70 37.91 38.65 39.04 36.58 36.69 -0.089 -0.240 -0.238 -0.218 -0.209 -0.129 -0.159 0.023 0.009 0.004 0.003 0.000 0.002 0.002 CBG LN Equity GB0007668071 CLOSE BROTHERS GROUP PLC Financials 695.50 6.18% 10.10.2012 CNP FP Equity FR0000120222 CNP ASSURANCES Financials 9.47 16.26% 11.06.2012 38.67 38.07 37.48 36.13 35.31 35.31 -0.177 -0.205 -0.233 -0.274 -0.256 -0.256 0.014 0.010 0.007 0.003 0.002 0.002 COB LN Equity GB00B07KD360 COBHAM PLC Industrials 223.10 3.59% 10.10.2012 EEEK GA Equity GRS104003009 COCA-COLA HELLENIC BOTTLING Consumer Staples 12.78 2.66% 25.06.2013 COFB BB Equity BE0003593044 COFINIMMO Financials 85.20 7.63% 29.04.2013 22.14 21.86 21.77 21.55 23.61 23.69 0.042 0.006 0.009 0.014 0.032 0.045 0.006 0.000 0.000 0.000 0.000 0.000 COLOB DC Equity DK0010309657 COLOPLAST-B Health Care 1016.00 1.57% 12.12.2012 COLR BB Equity BE0974256852 COLRUYT SA Consumer Staples 31.36 2.97% 01.10.2012 23.90 23.68 23.77 23.77 24.12 24.12 -0.128 -0.096 -0.073 -0.065 -0.037 -0.037 0.017 0.002 0.001 0.002 0.001 0.001 CBK GY Equity DE0008032004 COMMERZBANK AG Financials 1.44 24.05.2013 58.08 55.40 55.73 55.44 54.26 52.57 50.14 -0.412 -0.411 -0.343 -0.230 -0.192 -0.176 -0.116 0.008 0.004 0.004 0.002 0.001 0.001 0.001 CPG LN Equity GB0005331532 COMPASS GROUP PLC Consumer Discretionary 631.50 3.37% 23.01.2013 18.84 19.64 20.20 21.31 21.61 21.61 -0.251 -0.243 -0.232 -0.192 -0.176 -0.176 0.007 0.006 0.006 0.004 0.003 0.003 CON GY Equity DE0005439004 CONTINENTAL AG Consumer Discretionary 69.74 2.87% 16.05.2013 41.41 40.96 41.17 41.13 40.52 40.94 41.27 -0.439 -0.294 -0.248 -0.248 -0.131 -0.077 -0.050 0.012 0.004 0.004 0.003 0.001 0.000 -0.001 CKSN LN Equity GB00B3WK5475 COOKSON GROUP PLC Industrials 659.00 3.58% 12.09.2012 CORA NA Equity NL0000288967 CORIO NV Financials 33.13 8.51% 29.04.2013 28.28 27.67 27.89 28.10 27.55 27.55 27.55 -0.398 -0.284 -0.229 -0.201 -0.157 -0.157 -0.157 0.018 0.004 0.004 0.001 0.000 0.000 0.000 ACA FP Equity FR0000045072 CREDIT AGRICOLE SA Financials 3.09 27.05.2013 76.60 72.11 72.92 67.43 59.36 59.46 54.46 -0.484 -0.486 -0.397 -0.332 -0.273 -0.211 -0.251 0.000 0.003 0.003 0.003 0.002 0.002 0.002 CSGN VX Equity CH0012138530 CREDIT SUISSE GROUP AG-REG Financials 18.94 3.96% 09.05.2013 42.49 41.98 42.01 41.42 40.49 38.23 36.19 -0.240 -0.316 -0.311 -0.269 -0.189 -0.111 -0.051 0.015 0.006 0.004 0.003 0.001 0.001 0.002 CRH ID Equity IE0001827041 CRH PLC Materials 14.13 4.58% 29.08.2012 38.52 36.43 36.48 37.09 36.34 37.59 -0.406 -0.179 -0.184 -0.159 -0.031 -0.022 0.006 0.002 0.002 0.001 -0.002 -0.004 CRDA LN Equity GB0002335270 CRODA INTERNATIONAL PLC Materials 2196.00 2.74% 29.08.2012 CSM NA Equity NL0000852549 CSM Consumer Staples 13.23 6.05% 03.05.2013 37.78 35.95 36.29 34.71 34.77 34.77 34.77 -0.080 -0.089 -0.095 -0.076 -0.066 -0.066 -0.066 0.014 0.002 0.005 0.002 0.002 0.002 0.002 DMGT LN Equity GB0009457366 DAILY MAIL&GENERAL TST-A NV Consumer Discretionary 401.80 4.48% 06.06.2012 DAI GY Equity DE0007100000 DAIMLER AG-REGISTERED SHARES Consumer Discretionary 38.11 5.77% 11.04.2013 39.54 39.88 40.11 39.69 38.54 36.80 35.77 -0.569 -0.486 -0.428 -0.342 -0.212 -0.131 -0.102 0.016 0.007 0.005 0.003 0.002 0.002 0.002 BN FP Equity FR0000120644 DANONE Consumer Staples 51.51 2.91% 07.05.2013 24.98 25.04 25.95 25.82 25.41 23.57 21.93 -0.453 -0.289 -0.255 -0.243 -0.166 -0.132 -0.108 0.021 0.005 0.003 0.003 0.002 0.001 0.001 DANSKE DC EquityDK0010274414 DANSKE BANK A/S Financials 82.25 3.65% 19.03.2013 42.03 42.58 41.53 39.66 -0.220 -0.181 -0.171 -0.127 0.019 0.000 0.005 0.001 DSY FP Equity FR0000130650 DASSAULT SYSTEMES SA Information Technology 70.89 0.99% 14.06.2012 23.41 24.16 24.91 25.81 25.83 25.83 -0.188 -0.213 -0.239 -0.239 -0.181 -0.181 0.013 0.011 0.008 0.003 0.002 0.002 CPR IM Equity IT0003849244 DAVIDE CAMPARI-MILANO SPA Consumer Staples 5.21 1.44% 20.05.2013 24.47 24.49 24.58 24.81 24.50 24.61 0.049 0.013 0.012 0.016 0.031 0.040 0.002 0.000 0.000 -0.001 0.000 0.000 DCC ID Equity IE0002424939 DCC PLC Industrials 19.70 6.91% 14.11.2012 19.70 19.27 19.56 20.16 20.62 20.21 0.000 0.029 -0.084 -0.233 -0.182 -0.100 0.032 0.015 0.006 0.002 0.002 0.002 DEB LN Equity GB00B126KH97 DEBENHAMS PLC Consumer Discretionary 74.10 4.18% 05.12.2012 DELB BB Equity BE0003562700 DELHAIZE GROUP Consumer Staples 30.94 5.69% 29.05.2013 25.08 26.22 26.94 29.39 28.21 28.21 0.096 0.031 0.007 -0.034 -0.053 -0.053 0.014 0.006 0.002 0.003 0.002 0.002 DL NA Equity NL0009294552 DELTA LLOYD NV Financials 11.18 9.31% 13.08.2012 39.20 38.11 37.29 38.01 37.91 37.91 -0.133 -0.135 -0.008 -0.020 -0.024 -0.024 0.013 0.002 0.002 -0.001 -0.001 -0.001 DLN LN Equity GB0002652740 DERWENT LONDON PLC Financials 1726.00 1.89% 26.09.2012 DBK GY Equity DE0005140008 DEUTSCHE BANK AG-REGISTERED Financials 29.07 2.58% 03.06.2013 44.11 43.83 44.35 44.47 41.90 43.00 38.27 -0.374 -0.416 -0.376 -0.315 -0.196 -0.163 -0.067 0.012 0.006 0.004 0.002 0.000 0.000 0.002 DB1 GY Equity DE0005810055 DEUTSCHE BOERSE AG Financials 40.49 5.93% 16.05.2013 35.21 34.60 34.46 33.96 33.40 31.23 29.28 -0.329 -0.223 -0.171 -0.187 -0.122 -0.067 -0.075 0.007 0.004 0.002 0.003 0.001 0.001 0.001 DEQ GY Equity DE0007480204 DEUTSCHE EUROSHOP AG Financials 28.91 3.81% 21.06.2013 16.79 17.11 17.20 16.54 16.28 16.45 12.62 -0.216 -0.063 -0.063 -0.075 -0.059 -0.056 0.043 0.025 0.008 0.003 0.003 0.003 0.004 0.008 LHA GY Equity DE0008232125 DEUTSCHE LUFTHANSA-REG Industrials 8.73 3.44% 10.05.2013 37.99 37.59 37.63 36.36 35.64 34.09 32.16 -0.417 -0.388 -0.324 -0.270 -0.161 -0.101 -0.045 0.016 0.007 0.004 0.003 0.002 0.002 0.003 DPW GY Equity DE0005552004 DEUTSCHE POST AG-REG Industrials 13.23 5.44% 10.05.2013 28.93 28.67 29.18 29.07 28.56 27.63 25.11 -0.385 -0.387 -0.387 -0.314 -0.174 -0.110 -0.047 0.023 0.010 0.006 0.004 0.001 0.001 0.001 DTE GY Equity DE0005557508 DEUTSCHE TELEKOM AG-REG Telecommunication Services 8.90 7.87% 24.05.2013 21.21 21.18 21.94 20.42 19.74 22.14 15.85 0.470 0.156 0.009 -0.074 -0.008 0.000 0.164 0.030 0.015 0.007 0.005 0.001 0.002 0.005 DGE LN Equity GB0002374006 DIAGEO PLC Consumer Staples 1507.50 2.99% 05.09.2012 20.76 20.90 20.88 21.26 21.46 20.23 19.49 -0.465 -0.300 -0.267 -0.233 -0.153 -0.075 -0.048 0.013 0.006 0.004 0.004 0.002 0.003 0.003 DIA SQ Equity ES0126775032 DISTRIBUIDORA INTERNACIONAL Consumer Staples 3.68 37.09 34.61 35.83 32.98 32.24 31.78 31.65 -0.206 -0.541 -0.436 -0.365 -0.392 -0.542 -0.520 0.001 0.005 0.004 0.002 0.003 0.004 0.004 DNB NO Equity NO0010031479 DNB ASA Financials 57.40 3.48% 26.04.2013 38.80 39.50 42.24 38.75 -0.392 -0.338 -0.358 -0.340 0.043 0.021 0.002 0.003 DRX LN Equity GB00B1VNSX38 DRAX GROUP PLC Utilities 557.00 4.63% 26.09.2012 SMDS LN Equity GB0008220112 DS SMITH PLC Materials 149.00 4.04% 08.08.2012 DSV DC Equity DK0060079531 DSV A/S Industrials 119.60 1.05% 18.03.2013 31.72 34.46 34.83 33.94 -0.219 -0.281 -0.182 -0.118 0.020 0.004 0.000 0.001 DUFN SE Equity CH0023405456 DUFRY AG-REG Consumer Discretionary 113.40 16.05.2013 33.17 33.00 32.95 32.99 33.17 33.24 -0.053 -0.007 0.005 -0.002 -0.049 -0.057 0.001 0.000 0.000 0.000 0.000 0.000 EOAN GY Equity DE000ENAG999 E.ON AG Utilities 15.39 7.15% 03.05.2013 29.54 29.88 30.50 30.34 30.16 29.18 27.32 -0.388 -0.464 -0.385 -0.305 -0.158 -0.077 0.092 0.020 0.007 0.005 0.004 0.002 0.001 -0.002 EAD FP Equity NL0000235190 EADS NV Industrials 28.29 1.59% 04.06.2013 33.24 33.78 34.49 34.74 32.30 30.71 31.08 -0.165 -0.180 -0.179 -0.180 -0.131 -0.081 -0.042 0.012 0.005 0.003 0.002 0.002 0.000 -0.001 EZJ LN Equity GB00B7KR2P84 EASYJET PLC Industrials 495.00 1.98% 28.02.2013 EBRO SQ Equity ES0112501012 EBRO FOODS SA Consumer Staples 12.65 3.71% 11.01.2013 29.20 28.78 28.69 28.39 27.42 27.17 26.79 -0.099 -0.100 -0.103 -0.102 -0.018 -0.053 -0.018 0.001 0.001 0.000 0.000 0.002 0.001 0.002 EDEN FP Equity FR0010908533 EDENRED Industrials 21.78 3.21% 27.05.2013 23.51 25.24 25.35 27.51 27.46 28.35 0.108 -0.084 -0.069 -0.199 -0.152 -0.133 0.017 -0.001 0.000 0.001 0.000 0.000 EDP PL Equity PTEDP0AM0009 EDP-ENERGIAS DE PORTUGAL SA Utilities 1.85 11.06% 10.05.2013Stoxx 600 Index FGR FP Equity FR0000130452 EIFFAGE Industrials 25.13 4.78% 26.04.2013 60.55 60.11 59.93 59.91 62.42 62.01 0.001 -0.002 0.023 0.019 0.011 0.026 0.000 0.000 0.000 0.000 0.001 0.002 ELN ID Equity IE0003072950 ELAN CORP PLC Health Care 10.42 35.70 35.60 36.30 35.83 35.70 35.41 -0.140 -0.063 -0.074 -0.087 -0.056 -0.054 0.008 0.001 0.001 0.001 0.001 0.002 EDF FP Equity FR0010242511 EDF Utilities 15.65 7.35% 13.12.2012 33.77 32.75 33.21 30.94 29.54 28.80 30.59 -0.186 -0.241 -0.258 -0.210 -0.115 -0.144 -0.073 0.016 0.007 0.005 0.003 0.001 0.001 -0.001 ECM LN Equity GB0003096442 ELECTROCOMPONENTS PLC Information Technology 210.60 5.70% 20.06.2012 ELUXB SS Equity SE0000103814 ELECTROLUX AB-SER B Consumer Discretionary 137.60 4.72% 03.04.2013 42.83 43.39 43.09 41.52 40.56 40.56 -0.369 -0.349 -0.298 -0.215 -0.162 -0.162 0.012 0.001 0.002 0.003 0.001 0.001 EKTAB SS Equity SE0000163628 ELEKTA AB-B SHS Health Care 343.80 1.25% 05.09.2012 ELI1V FH Equity FI0009007884 ELISA OYJ Telecommunication Services 16.30 7.98% 05.04.2013 22.48 23.26 23.06 23.12 -0.075 -0.180 -0.176 -0.165 0.019 0.004 0.003 0.002 ENG SQ Equity ES0130960018 ENAGAS SA Utilities 13.17 7.80% 21.12.2012 27.79 27.67 27.13 25.46 26.78 25.92 26.53 -0.042 0.005 -0.016 -0.073 0.091 0.062 0.114 0.000 0.000 0.000 0.002 0.001 0.001 0.001 ELE SQ Equity ES0130670112 ENDESA SA Utilities 13.01 8.50% 02.07.2012 37.37 37.04 36.75 34.55 33.07 32.08 32.48 -0.007 0.104 0.107 0.036 0.089 0.064 0.086 -0.001 -0.001 0.000 0.000 0.000 0.000 0.000 EGPW IM Equity IT0004618465 ENEL GREEN POWER SPA Utilities 1.21 2.35% 20.05.2013 33.21 34.09 34.16 35.08 35.98 35.98 -0.698 -0.387 -0.311 -0.143 -0.071 -0.071 0.041 0.019 0.004 0.000 0.000 0.000 ENEL IM Equity IT0003128367 ENEL SPA Utilities 2.38 6.72% 24.06.2013 36.63 33.56 33.12 31.81 30.58 29.54 29.12 -0.371 -0.148 -0.250 -0.213 -0.036 0.024 0.023 0.026 0.005 0.004 0.003 0.000 0.000 0.000 ENI IM Equity IT0003132476 ENI SPA Energy 15.78 6.72% 24.09.2012 32.26 31.17 30.94 30.72 26.92 26.30 24.87 -0.388 -0.396 -0.340 -0.281 -0.140 -0.113 -0.095 0.012 0.006 0.003 0.003 0.002 0.002 0.002 ERA FP Equity FR0000131757 ERAMET Materials 85.86 3.49% 13.05.2013 55.17 55.01 55.00 54.81 57.12 56.98 0.010 0.011 0.015 0.027 0.014 0.015 0.000 0.000 0.000 0.000 0.000 0.000 EBS AV Equity AT0000652011 ERSTE GROUP BANK AG Financials 14.85 3.37% 17.05.2013 50.83 50.53 50.63 49.48 47.96 49.18 -0.367 -0.363 -0.284 -0.205 0.468 0.667 0.033 0.001 0.004 0.003 -0.003 -0.004 EI FP Equity FR0000121667 ESSILOR INTERNATIONAL Health Care 68.44 1.24% 24.05.2013 18.94 18.27 18.46 19.13 18.65 17.00 16.59 -0.121 -0.156 -0.191 -0.159 -0.100 -0.079 -0.075 0.023 0.007 0.005 0.004 0.002 0.001 0.001 MAU FP Equity FR0000051070 MAUREL ET PROM Energy 11.08 7.22% 04.07.2012 33.83 28.26 31.25 30.94 36.79 38.36 0.049 0.403 0.415 0.340 0.167 0.187 0.001 0.006 0.001 0.003 0.000 -0.001 ENRC LN Equity GB00B29BCK10 EURASIAN NATURAL RESOURCES Materials 475.00 3.07% 22.08.2012 49.21 47.10 45.00 39.91 0.244 0.205 0.166 0.143 -0.011 -0.013 -0.016 -0.009 RF FP Equity FR0000121121 EURAZEO Financials 32.19 3.73% 23.05.2013 49.37 48.22 48.33 49.08 48.88 50.91 -0.008 0.014 0.028 0.017 0.016 0.018 -0.001 0.000 0.000 0.000 0.000 -0.001 ECMPA NA Equity NL0000288876 EUROCOMMERCIAL PROPERTIE-CV Financials 26.72 7.11% 01.11.2012 ETL FP Equity FR0010221234 EUTELSAT COMMUNICATIONS Consumer Discretionary 23.44 4.18% 08.11.2012 19.85 20.12 20.05 20.98 20.92 20.31 0.195 0.010 0.006 0.006 0.023 -0.001 0.012 0.000 0.000 0.000 0.000 0.000 EVR LN Equity GB00B71N6K86 EVRAZ PLC Materials 321.10 8.94% 26.10.2012 EXO IM Equity IT0001353140 EXOR SPA Financials 16.59 2.02% 24.06.2013 41.96 39.34 38.87 38.93 -0.211 -0.088 -0.090 -0.016 0.007 0.006 0.000 0.000 EXPN LN Equity GB00B19NLV48 EXPERIAN PLC Industrials 896.50 2.39% 26.12.2012 20.57 20.72 20.87 21.63 -0.408 -0.353 -0.298 -0.180 0.010 0.008 0.007 0.001 EO FP Equity FR0000121147 FAURECIA Consumer Discretionary 15.41 6.16% 02.05.2013 50.64 49.92 49.20 47.69 47.31 47.31 -0.099 -0.092 -0.086 -0.075 -0.064 -0.064 0.001 0.001 0.001 0.000 0.000 0.000 FER SQ Equity ES0118900010 FERROVIAL SA Industrials 8.47 8.38% 15.11.2012 35.32 35.42 35.01 35.12 36.33 34.63 35.74 0.014 -0.008 -0.009 -0.023 0.058 0.055 0.112 -0.002 -0.001 0.000 -0.003 -0.003 -0.002 -0.003 FI IM Equity IT0004644743 FIAT INDUSTRIAL Industrials 7.84 2.81% 22.04.2013 45.21 43.94 43.92 42.47 40.98 40.98 -0.402 -0.345 -0.289 -0.215 -0.170 -0.170 0.006 0.004 0.003 0.002 0.001 0.001 F IM Equity IT0001976403 FIAT SPA Consumer Discretionary 3.79 3.95% 22.04.2013 53.30 52.29 51.82 50.61 45.22 42.47 40.51 -0.371 -0.292 -0.262 -0.185 -0.241 -0.225 -0.125 0.010 0.004 0.003 0.002 0.002 0.002 0.002 FNC IM Equity IT0003856405 FINMECCANICA SPA Industrials 2.88 9.74% 20.05.2013 64.75 61.21 60.04 55.20 50.51 50.51 -0.195 -0.166 -0.178 -0.155 -0.170 -0.170 0.003 0.000 0.000 0.001 0.002 0.002 FGP LN Equity GB0003452173 FIRSTGROUP PLC Industrials 201.40 12.02% 18.07.2012 FLS DC Equity DK0010234467 FLSMIDTH & CO A/S Industrials 330.00 3.03% 02.04.2013 39.74 39.30 41.32 40.34 -0.179 -0.194 -0.123 -0.080 0.007 0.000 0.000 -0.001 FDR FP Equity FR0000064578 FONCIERE DES REGIONS Financials 52.98 8.12% 13.05.2013 39.83 40.13 40.09 39.81 42.93 42.64 -0.006 0.004 0.022 0.020 0.031 0.048 0.000 0.000 0.000 0.000 0.000 0.000 FUM1V FH Equity FI0009007132 FORTUM OYJ Utilities 15.62 6.40% 01.04.2013 23.19 25.98 25.67 25.80 -0.184 -0.264 -0.229 -0.237 0.021 0.002 0.002 0.003 FTE FP Equity FR0000133308 FRANCE TELECOM SA Telecommunication Services 10.39 13.48% 05.09.2012 26.04 25.73 25.40 20.65 19.05 15.79 21.05 0.141 0.038 -0.011 -0.033 -0.050 0.018 0.035 0.023 0.007 0.004 0.010 0.009 0.016 0.001 FRA GY Equity DE0005773303 FRAPORT AG Industrials 43.21 2.89% 16.05.2013 29.19 28.92 28.86 29.73 29.71 29.33 28.38 -0.345 -0.169 -0.173 -0.226 -0.150 -0.120 -0.122 0.013 0.001 0.002 0.003 0.002 0.002 0.002 FME GY Equity DE0005785802 FRESENIUS MEDICAL CARE AG & Health Care 52.62 1.43% 13.05.2013 20.88 20.96 21.61 21.94 22.23 22.32 22.36 -0.138 -0.212 -0.181 -0.154 -0.107 -0.078 -0.055 0.023 0.011 0.006 0.003 0.002 0.001 0.002 FRE GY Equity DE0005785604 FRESENIUS SE & CO KGAA Health Care 75.12 1.42% 14.05.2013 23.09 23.04 23.32 23.29 23.78 23.92 23.54 -0.254 -0.198 -0.129 -0.153 -0.132 -0.119 -0.114 0.023 0.004 0.002 0.002 0.001 0.001 0.001 FRES LN Equity GB00B2QPKJ12 FRESNILLO PLC Materials 1378.00 3.12% 15.08.2012 FPE3 GY Equity DE0005790430 FUCHS PETROLUB AG -PFD Materials 41.31 2.59% 10.05.2013 26.19 24.77 24.71 24.84 26.96 27.09 26.67 -0.326 -0.220 -0.230 -0.221 -0.179 -0.161 -0.171 0.017 0.004 0.003 0.003 0.002 0.002 0.002 FUR NA Equity NL0000352565 FUGRO NV-CVA Energy 49.43 6.27% 13.05.2013 35.06 33.80 33.28 32.54 31.94 31.94 31.94 -0.214 -0.169 -0.164 -0.169 -0.088 -0.088 -0.088 0.013 0.002 0.002 0.003 -0.001 -0.001 -0.001 GFS LN Equity GB00B01FLG62 G4S PLC Industrials 272.90 3.48% 05.09.2012 GALN SE Equity CH0015536466 GALENICA AG-REG Health Care 590.50 1.52% 09.05.2013 32.91 32.28 32.17 28.42 27.89 27.63 -0.114 -0.055 -0.098 -0.061 -0.066 -0.051 0.010 0.007 0.004 0.003 0.000 0.001 GALP PL Equity PTGAL0AM0009 GALP ENERGIA SGPS SA Energy 9.95 2.41% 17.09.2012 GAM SE Equity CH0102659627 GAM HOLDING AG Financials 10.40 5.00% 22.04.2013 36.49 35.10 34.93 34.72 34.59 33.55 -0.423 -0.202 -0.258 -0.216 -0.151 -0.114 0.015 0.006 0.004 0.001 0.001 0.002 GAS SQ Equity ES0116870314 GAS NATURAL SDG SA Utilities 9.92 3.80% 09.01.2013 60.90 48.78 44.31 38.42 26.86 30.52 25.53 -0.955 -0.804 -0.709 -0.529 -0.164 -0.229 -0.148 0.004 0.004 0.005 0.003 0.003 0.002 0.003 GSZ FP Equity FR0010208488 GDF SUEZ Utilities 16.37 9.16% 07.11.2012 34.00 32.25 32.11 31.20 29.67 28.77 28.15 -0.393 -0.361 -0.318 -0.233 -0.157 -0.122 -0.075 0.011 0.006 0.003 0.003 0.002 0.002 0.001 G1A GY Equity DE0006602006 GEA GROUP AG Industrials 21.09 3.18% 25.04.2013 37.72 36.29 36.65 37.06 36.07 34.85 35.67 -0.463 -0.242 -0.240 -0.240 -0.167 -0.135 -0.153 0.010 0.001 0.002 0.003 0.002 0.002 0.001 GEBN VX Equity CH0030170408 GEBERIT AG-REG Industrials 190.20 3.31% 22.04.2013 20.37 20.43 21.11 21.60 22.18 21.93 -0.358 -0.282 -0.250 -0.275 -0.206 -0.156 0.019 0.005 0.004 0.006 0.003 0.003 GFC FP Equity FR0010040865 GECINA SA Financials 69.19 7.23% 17.05.2013 34.12 33.95 33.97 34.20 34.14 36.53 0.009 0.012 0.016 0.022 0.030 0.040 -0.001 0.000 0.000 0.000 0.000 0.000 GTO FP Equity NL0000400653 GEMALTO Information Technology 52.96 0.59% 24.05.2013 30.35 29.94 30.05 29.90 29.51 29.53 -0.004 0.003 0.010 0.009 0.028 0.032 0.000 0.000 0.000 0.000 0.000 0.000 FI/N SE Equity CH0001752309 FISCHER (GEORG)-REG Industrials 350.00 24.06.2013 33.13 31.01 30.98 31.49 34.09 34.16 -0.070 -0.108 -0.103 -0.057 -0.184 -0.099 0.000 0.002 0.002 0.001 0.001 0.001 GXI GY Equity DE000A0LD6E6 GERRESHEIMER AG Health Care 34.25 28.39 28.98 28.90 29.39 29.15 28.49 28.57 -0.120 -0.115 -0.120 -0.132 -0.107 -0.103 -0.102 0.006 0.002 0.001 0.002 0.001 0.002 0.002 GETIB SS Equity SE0000202624 GETINGE AB-B SHS Health Care 177.80 2.25% 29.04.2013 21.62 23.20 23.93 24.28 -0.165 -0.307 -0.227 -0.174 0.041 0.021 0.010 0.004 GIVN VX Equity CH0010645932 GIVAUDAN-REG Materials 865.50 2.66% 28.03.2013 16.71 17.75 19.20 20.33 21.14 21.03 -0.259 -0.229 -0.196 -0.252 -0.193 -0.162 0.017 0.002 0.002 0.005 0.003 0.002 GJF NO Equity NO0010582521 GJENSIDIGE FORSIKRING ASA Financials 67.50 7.41% 19.04.2013 24.76 24.68 24.59 -0.333 -0.285 -0.235 0.038 0.027 0.016 GKN LN Equity GB0030646508 GKN PLC Consumer Discretionary 189.70 4.48% 08.08.2012 GSK LN Equity GB0009252882 GLAXOSMITHKLINE PLC Health Care 1412.00 5.38% 01.08.2012 17.56 18.11 18.31 19.20 19.04 17.93 17.21 -0.513 -0.276 -0.228 -0.219 -0.135 -0.100 -0.073 0.017 0.007 0.004 0.004 0.003 0.004 0.004 GLEN LN Equity JE00B4T3BW64 GLENCORE INTERNATIONAL PLC Materials 358.10 2.92% 29.08.2012 40.51 39.20 38.85 37.76 36.94 36.96 -0.196 -0.230 -0.236 -0.240 -0.188 -0.199 0.004 0.000 0.002 0.000 0.002 0.002 GN DC Equity DK0010272632 GN STORE NORD A/S Health Care 68.20 0.67% 25.03.2013 34.59 31.68 31.87 32.81 0.024 -0.078 -0.128 -0.083 0.021 0.004 -0.003 -0.003 BKIR ID Equity IE0030606259 BANK OF IRELAND Financials 0.09 14.11.2012 69.15 67.70 65.10 65.23 65.91 65.07 -0.006 -0.032 0.198 0.080 0.010 0.006 0.012 -0.008 -0.005 0.000 -0.001 0.000 GPOR LN Equity GB00B01FLL16 GREAT PORTLAND ESTATES PLC Financials 377.10 2.25% 30.05.2012 GNK LN Equity GB00B0HZP136 GREENE KING PLC Consumer Discretionary 477.00 5.26% 08.08.2012 GRF SQ Equity ES0171996012 GRIFOLS SA Health Care 18.58 02.07.2012 39.17 37.50 37.26 34.65 33.75 32.39 32.71 -0.059 -0.060 -0.063 -0.081 -0.082 -0.010 -0.029 0.000 0.001 0.001 0.001 0.001 0.001 0.001 GBLB BB Equity BE0003797140 GROUPE BRUXELLES LAMBERT SA Financials 51.19 5.33% 26.04.2013 25.69 24.27 23.71 22.87 21.92 21.92 -0.350 -0.230 -0.218 -0.234 -0.179 -0.179 0.017 0.001 0.000 -0.001 -0.001 -0.001 GET FP Equity FR0010533075 GROUPE EUROTUNNEL SA - REGR Industrials 6.15 1.30% 21.05.2013 32.73 31.84 31.87 31.68 28.93 28.46 0.246 0.212 0.169 0.018 -0.003 0.036 0.010 0.001 0.003 -0.001 0.000 0.001 HLMA LN Equity GB0004052071 HALMA PLC Information Technology 377.00 2.69% 18.07.2012 HMSO LN Equity GB0004065016 HAMMERSON PLC Financials 416.30 4.06% 15.08.2012 HNR1 GY Equity DE0008402215 HANNOVER RUECKVERSICHERU-REG Financials 43.61 5.05% 06.05.2013 25.81 25.25 25.52 25.60 25.76 25.71 25.27 -0.246 -0.207 -0.217 -0.249 -0.137 -0.092 -0.066 0.022 0.001 0.002 0.003 0.001 0.000 0.001 HL/ LN Equity GB00B1VZ0M25 HARGREAVES LANSDOWN PLC Financials 473.80 4.62% 05.09.2012 HAS LN Equity GB0004161021 HAYS PLC Industrials 72.85 3.56% 10.10.2012 HEI GY Equity DE0006047004 HEIDELBERGCEMENT AG Materials 36.16 1.38% 03.05.2013 45.74 44.33 44.30 44.10 43.12 43.09 43.41 -0.414 -0.270 -0.225 -0.237 -0.150 -0.115 -0.093 0.006 0.000 0.003 0.002 0.001 0.000 -0.001 HEIO NA Equity NL0000008977 HEINEKEN HOLDING NV Consumer Staples 33.15 2.75% 27.08.2012 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 3. 22.05.2012 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 ISIN 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 HEIA NA Equity NL0000009165 HEINEKEN NV Consumer Staples 39.34 2.31% 27.08.2012 22.87 22.40 22.36 22.76 22.46 22.32 22.40 -0.309 -0.155 -0.174 -0.214 -0.127 -0.102 -0.066 0.022 0.005 0.001 0.004 0.001 0.001 0.000 HELN SE Equity CH0012271687 HELVETIA HOLDING AG-REG Financials 284.00 5.99% 09.05.2013 25.94 25.00 24.93 23.79 25.34 24.87 -0.062 -0.044 -0.030 -0.050 -0.051 -0.022 -0.001 -0.001 0.000 0.001 0.000 0.001 HGG LN Equity JE00B3CM9527 HENDERSON GROUP PLC Financials 96.70 7.45% 29.08.2012 HEN3 GY Equity DE0006048432 HENKEL AG & CO KGAA VORZUG Consumer Staples 53.58 1.70% 16.04.2013 24.83 24.24 25.14 25.07 24.41 23.77 23.51 -0.495 -0.405 -0.340 -0.262 -0.160 -0.126 -0.114 0.024 0.009 0.004 0.003 0.002 0.002 0.002 HMB SS Equity SE0000106270 HENNES & MAURITZ AB-B SHS Consumer Discretionary 219.70 4.46% 03.05.2013 25.35 27.37 26.71 26.70 33.37 33.37 -0.299 -0.327 -0.280 -0.213 0.000 0.000 0.022 0.006 0.004 0.002 0.000 0.000 RMS FP Equity FR0000052292 HERMES INTERNATIONAL Consumer Discretionary 259.25 0.19% 04.06.2013 HEXAB SS Equity SE0000103699 HEXAGON AB-B SHS Information Technology 131.00 1.66% 10.05.2013 41.46 42.96 37.70 36.37 -0.410 -0.203 -0.115 -0.120 0.025 0.000 0.001 0.004 HIK LN Equity GB00B0LCW083 HIKMA PHARMACEUTICALS PLC Health Care 632.50 1.50% 05.09.2012 HOT GY Equity DE0006070006 HOCHTIEF AG Industrials 38.09 5.25% 13.05.2013 50.35 46.65 46.49 43.47 40.73 39.26 36.33 -0.437 -0.164 -0.123 -0.237 -0.108 -0.071 -0.076 -0.001 -0.004 -0.001 0.002 0.000 0.001 0.001 HOLN VX Equity CH0012214059 HOLCIM LTD-REG Materials 54.80 2.28% 09.05.2013 31.80 31.58 31.88 31.98 31.55 31.11 31.37 -0.345 -0.194 -0.184 -0.238 -0.171 -0.135 -0.148 0.015 0.001 0.001 0.003 0.001 0.001 0.002 HOLMB SS Equity SE0000109290 HOLMEN AB-B SHARES Materials 184.80 3.79% 28.03.2013 21.14 21.88 22.90 24.48 -0.127 -0.158 -0.140 -0.126 0.039 0.014 0.007 0.003 HOME LN Equity GB00B19NKB76 HOME RETAIL GROUP Consumer Discretionary 77.95 4.36% 07.11.2012 HSV LN Equity GB00B587FC42 HOMESERVE PLC Industrials 166.80 7.00% 28.11.2012 HSBA LN Equity GB0005405286 HSBC HOLDINGS PLC Financials 518.80 5.38% 15.08.2012 29.44 29.76 30.10 29.97 29.22 25.79 24.61 -0.450 -0.258 -0.230 -0.241 -0.129 -0.108 -0.078 0.014 0.002 0.002 0.003 0.000 0.002 0.002 HTG LN Equity GB0004478896 HUNTING PLC Energy 750.00 2.11% 24.10.2012 HUSQB SS Equity SE0001662230 HUSQVARNA AB-B SHS Consumer Discretionary 33.99 4.41% 06.05.2013 41.13 39.66 39.41 38.70 40.26 40.26 -0.863 -0.169 -0.127 -0.191 -0.083 -0.083 0.066 0.006 0.006 0.005 -0.003 -0.003 IBE SQ Equity ES0144580Y14 IBERDROLA SA Utilities 3.42 5.15% 02.01.2013 45.36 45.41 40.24 35.51 31.35 31.04 29.71 -0.345 -1.595 -1.405 -1.122 -0.819 -0.617 -0.488 0.009 0.013 0.011 0.009 0.008 0.005 0.006 ICAD FP Equity FR0000035081 ICADE Financials 62.50 11.04% 18.04.2013 30.77 32.67 32.74 32.50 34.39 34.30 -0.062 0.013 0.010 0.018 -0.018 -0.009 0.001 0.000 0.000 0.000 0.001 0.001 IAP LN Equity GB0033872168 ICAP PLC Financials 346.20 6.42% 02.01.2013 31.06 32.26 31.78 32.02 -0.132 -0.119 -0.100 -0.059 0.009 0.007 0.005 0.001 IGG LN Equity GB00B06QFB75 IG GROUP HOLDINGS PLC Financials 422.60 5.46% 05.09.2012 ILD FP Equity FR0004035913 ILIAD SA Telecommunication Services 103.90 0.36% 02.07.2013 22.00 22.26 22.19 21.92 21.83 21.75 -0.074 0.005 0.009 0.013 0.023 0.027 0.012 0.000 0.000 0.000 0.000 0.000 IMG LN Equity GB0009303123 IMAGINATION TECH GROUP PLC Information Technology 530.00 NK FP Equity FR0000120859 IMERYS SA Materials 40.60 3.45% 06.05.2013 34.58 33.94 33.94 34.12 35.50 35.54 0.026 0.008 0.015 0.019 0.017 0.014 -0.003 0.000 0.000 0.000 0.000 0.000 IMI LN Equity GB0004579636 IMI PLC Industrials 910.50 3.62% 05.09.2012 IIA AV Equity AT0000809058 IMMOFINANZ AG Financials 2.51 5.98% 09.10.2012 37.34 29.44 31.30 33.15 44.44 45.37 -0.341 -0.071 -0.020 0.213 0.773 1.079 0.033 0.008 0.004 0.007 -0.011 -0.010 IMT LN Equity GB0004544929 IMPERIAL TOBACCO GROUP PLC Consumer Staples 2388.00 4.36% 16.01.2013 22.43 22.71 22.65 22.70 0.191 0.118 0.043 -0.020 0.012 0.009 0.006 0.002 IM NA Equity NL0006055329 IMTECH NV Industrials 20.75 3.76% 11.04.2013 34.50 32.51 32.07 31.38 -0.282 -0.242 -0.211 -0.216 0.015 0.002 0.003 0.001 INCH LN Equity GB00B61TVQ02 INCHCAPE PLC Consumer Discretionary 326.20 3.68% 08.08.2012 ITX SQ Equity ES0148396015 INDITEX Consumer Discretionary 67.80 2.65% 02.05.2013 27.23 26.82 26.73 26.61 25.72 25.51 25.20 -0.191 -0.117 -0.108 -0.171 -0.109 -0.107 0.001 0.002 -0.001 0.000 0.000 0.000 0.000 -0.001 IDR SQ Equity ES0118594417 INDRA SISTEMAS SA Information Technology 8.06 8.44% 02.07.2012 38.30 37.45 37.57 35.86 34.21 31.62 32.18 0.007 0.063 0.062 -0.055 -0.020 -0.219 -0.148 0.002 0.001 -0.002 0.000 0.002 0.003 0.003 INDUA SS Equity EU0009658145 INDUSTRIVARDEN AB-A SHS Financials 94.45 4.76% 07.05.2013 IFX GY Equity DE0006231004 INFINEON TECHNOLOGIES AG Information Technology 6.47 1.86% 08.03.2013 44.75 43.57 43.94 42.43 40.84 39.72 38.16 -0.414 -0.346 -0.299 -0.305 -0.189 -0.162 -0.146 0.009 0.004 0.003 0.003 0.001 0.000 0.001 INF LN Equity JE00B3WJHK45 INFORMA PLC Consumer Discretionary 364.40 4.94% 15.08.2012 INGA NA Equity NL0000303600 ING GROEP NV-CVA Financials 4.83 09.08.2012 62.97 62.88 62.14 59.33 56.05 54.24 53.23 -0.396 -0.310 -0.273 -0.276 -0.201 -0.255 -0.177 0.004 -0.001 0.001 0.001 0.000 0.002 0.001 ING FP Equity FR0000125346 INGENICO Information Technology 35.24 1.42% 06.05.2013 ISAT LN Equity GB00B09LSH68 INMARSAT PLC Telecommunication Services 402.00 7.00% 03.10.2012 IHG LN Equity GB00B1WQCS47 INTERCONTINENTAL HOTELS GROU Consumer Discretionary 1433.00 2.61% 22.08.2012 26.75 27.45 28.15 30.16 -0.427 -0.364 -0.302 -0.174 0.009 0.007 0.006 0.002 ICP LN Equity GB0004564430 INTERMEDIATE CAPITAL GROUP Financials 260.80 7.36% 28.11.2012 IAG LN Equity ES0177542018 INTL CONSOLIDATED AIRLINE-DI Industrials 146.50 01.08.2012 46.78 46.23 45.23 44.34 -0.182 -0.144 -0.120 -0.103 0.004 0.003 0.002 0.001 IPR LN Equity GB0006320161 INTERNATIONAL POWER PLC Utilities 418.90 2.09% 26.09.2012 9.72 12.22 14.73 19.03 -0.013 -0.026 -0.039 -0.033 0.000 0.002 0.003 0.004 ITRK LN Equity GB0031638363 INTERTEK GROUP PLC Industrials 2533.00 1.40% 31.10.2012 ISP IM Equity DE0005557508 INTESA SANPAOLO Financials 1.05 4.77% 24.06.2013 68.36 64.26 63.64 61.04 56.13 56.10 57.92 -0.472 -0.391 -0.393 -0.292 -0.417 -0.266 -0.434 0.011 0.002 0.001 0.002 0.003 0.002 0.001 ISYS LN Equity GB00B19DVX61 INVENSYS PLC Industrials 215.80 2.11% 07.11.2012 67.26 64.43 61.61 54.31 -0.049 -0.050 -0.051 -0.063 0.003 0.001 0.000 0.002 INVP LN Equity GB00B17BBQ50 INVESTEC PLC Financials 320.50 5.46% 05.12.2012 27.61 28.28 29.90 28.70 -0.140 -0.117 -0.098 -0.117 0.003 0.001 0.000 0.000 KINVB SS Equity SE0000164626 INVESTMENT AB KINNEVIK-B SHS Financials 125.40 4.39% 17.05.2013 26.41 26.76 26.88 26.52 -0.228 -0.244 -0.226 -0.221 0.019 0.006 0.003 0.001 INVEB SS Equity SE0000107419 INVESTOR AB-B SHS Financials 128.80 4.66% 15.04.2013 24.12 24.90 24.72 25.59 26.06 26.06 -0.283 -0.264 -0.274 -0.232 -0.140 -0.140 0.049 0.020 0.012 0.007 0.003 0.003 ITV LN Equity GB0033986497 ITV PLC Consumer Discretionary 79.55 3.14% 31.10.2012 36.47 36.45 36.43 34.38 0.041 0.010 -0.020 -0.029 -0.001 0.000 0.002 0.002 SBRY LN Equity GB00B019KW72 SAINSBURY (J) PLC Consumer Staples 293.60 5.82% 14.11.2012 24.77 23.11 23.32 24.51 24.71 24.71 0.008 -0.109 -0.080 -0.084 -0.074 -0.074 0.013 0.005 0.003 0.002 0.002 0.002 JLT LN Equity GB0005203376 JARDINE LLOYD THOMPSON GROUP Financials 662.00 4.08% 05.09.2012 DEC FP Equity FR0000077919 JC DECAUX SA Consumer Discretionary 18.07 2.43% 06.06.2012 26.47 29.71 31.59 37.93 38.19 39.71 0.380 0.350 0.319 0.247 0.196 0.200 -0.001 -0.002 -0.001 -0.003 -0.004 -0.005 JMT PL Equity PTJMT0AE0001 JERONIMO MARTINS Consumer Staples 13.46 2.38% 30.04.2013 JM SS Equity SE0000806994 JM AB Consumer Discretionary 122.25 5.56% 29.04.2013 WG/ LN Equity GB00B5N0P849 WOOD GROUP (JOHN) PLC Energy 718.50 1.50% 29.08.2012 JMAT LN Equity GB0004764071 JOHNSON MATTHEY PLC Materials 2162.00 2.60% 13.06.2012 BAER VX Equity CH0102484968 JULIUS BAER GROUP LTD Financials 31.07 2.41% 15.04.2013 37.12 35.19 34.87 34.94 34.38 34.53 34.59 -0.445 -0.223 -0.195 -0.212 -0.171 -0.142 -0.135 0.008 0.001 0.002 0.002 0.001 0.000 0.001Stoxx 600 Index JYSK DC Equity DK0010307958 JYSKE BANK-REG Financials 155.50 SDF GY Equity DE000KSAG888 K+S AG-REG Materials 34.45 4.06% 10.05.2013 28.67 30.59 31.84 32.69 31.96 31.57 31.64 -0.283 -0.186 -0.186 -0.179 -0.101 -0.055 -0.077 0.023 0.004 0.003 0.003 0.001 0.000 0.001 KD8 GY Equity DE000KD88880 KABEL DEUTSCHLAND HOLDING AG Consumer Discretionary 47.79 3.35% 12.10.2012 30.13 30.69 30.61 31.03 30.81 31.21 31.33 -0.134 -0.089 -0.069 -0.126 -0.063 -0.040 -0.024 0.004 0.002 0.001 0.002 0.002 0.002 0.002 KAZ LN Equity GB00B0HZPV38 KAZAKHMYS PLC Materials 728.00 2.61% 05.09.2012 42.03 42.41 42.79 43.53 -0.200 -0.198 -0.197 -0.168 0.006 0.005 0.004 0.002 KBC BB Equity BE0003565737 KBC GROEP NV Financials 12.69 2.76% 10.05.2013 76.33 72.35 70.63 66.54 64.65 64.65 -0.362 -0.328 -0.276 -0.201 -0.082 -0.082 0.008 0.005 0.003 0.002 -0.002 -0.002 KRA1V FH Equity FI0009004824 KEMIRA OYJ Materials 8.86 5.64% 25.03.2013 KYG ID Equity IE0004906560 KERRY GROUP PLC-A Consumer Staples 33.10 1.04% 10.10.2012 19.18 20.66 20.70 21.46 21.83 21.57 0.039 -0.129 -0.110 -0.135 -0.138 -0.123 0.015 0.002 0.002 0.002 0.002 0.002 KESBV FH Equity FI0009000202 KESKO OYJ-B SHS Consumer Staples 20.27 6.66% 02.04.2013 KGF LN Equity GB0033195214 KINGFISHER PLC Consumer Discretionary 281.70 3.41% 03.10.2012 29.32 29.47 28.39 28.66 -0.228 -0.270 -0.246 -0.168 0.002 0.005 0.003 0.001 LI FP Equity FR0000121964 KLEPIERRE Financials 24.67 5.68% 11.04.2013 38.27 38.28 38.22 38.05 40.26 40.03 0.001 0.009 0.007 0.021 0.018 0.021 0.001 0.001 0.000 0.000 0.000 0.001 KCO GY Equity DE000KC01000 KLOECKNER & CO SE Industrials 8.12 27.05.2013 45.96 45.23 45.40 43.87 43.38 46.71 45.72 -0.179 -0.104 -0.111 -0.141 -0.139 -0.128 -0.108 0.005 0.001 0.001 0.002 0.002 0.001 0.001 KNEBV FH Equity FI0009013403 KONE OYJ-B Industrials 46.56 3.11% 05.03.2013 KCR1V FH Equity US78378X1072 KONECRANES OYJ Industrials 20.37 4.91% 05.04.2013 AH NA Equity NL0006033250 KONINKLIJKE AHOLD NV Consumer Staples 9.33 4.72% 26.04.2013 25.99 24.25 23.29 22.57 22.66 22.68 23.50 -0.291 -0.086 -0.098 -0.128 -0.047 -0.020 0.004 0.029 0.008 0.004 0.007 0.002 0.001 0.000 BOKA NA Equity NL0000852580 BOSKALIS WESTMINSTER Industrials 24.64 5.03% 14.05.2013 37.39 35.90 35.57 34.66 -0.273 -0.180 -0.160 -0.171 0.014 0.000 0.001 0.001 DSM NA Equity NL0000009827 KONINKLIJKE DSM NV Materials 39.94 3.88% 08.08.2012 27.91 27.31 27.31 27.13 27.15 27.19 26.74 -0.417 -0.241 -0.210 -0.208 -0.122 -0.092 -0.044 0.016 0.004 0.003 0.003 0.000 0.001 0.000 KPN NA Equity NL0000009082 KONINKLIJKE KPN NV Telecommunication Services 7.73 11.64% 26.07.2012 32.77 32.35 34.39 32.64 30.51 29.00 28.20 0.055 -0.037 -0.014 -0.083 -0.053 0.082 0.266 0.025 0.013 0.002 0.003 0.002 0.000 0.000 PHIA NA Equity NL0000009538 KONINKLIJKE PHILIPS ELECTRON Industrials 15.19 4.94% 02.05.2013 31.93 31.76 32.36 32.59 32.15 31.21 31.65 -0.346 -0.361 -0.307 -0.239 -0.128 -0.066 -0.024 0.016 0.007 0.005 0.002 0.001 0.001 0.002 VPK NA Equity NL0009432491 VOPAK Industrials 47.01 1.79% 29.04.2013 24.64 24.20 23.95 24.25 24.13 24.13 -0.189 -0.115 -0.107 -0.139 -0.128 -0.128 0.014 0.002 0.001 0.003 0.002 0.002 KNIN VX Equity CH0025238863 KUEHNE & NAGEL INTL AG-REG Industrials 102.70 4.19% 10.05.2013 29.16 29.96 29.98 29.87 28.17 26.41 -0.276 -0.185 -0.189 -0.254 -0.163 -0.122 0.008 0.001 0.001 0.004 0.003 0.005 OR FP Equity FR0000120321 LOREAL Consumer Staples 90.87 2.42% 29.04.2013 23.50 23.31 23.81 24.29 23.64 20.25 18.21 -0.314 -0.280 -0.232 -0.249 -0.161 -0.073 -0.028 0.016 0.009 0.004 0.004 0.002 0.002 0.002 LAD LN Equity GB00B0ZSH635 LADBROKES PLC Consumer Discretionary 163.20 5.02% 08.08.2012 22.56 23.54 25.11 26.84 -0.072 -0.110 -0.151 -0.166 0.014 0.010 0.006 0.002 LG FP Equity FR0000120537 LAFARGE SA Materials 29.37 1.70% 03.07.2013 48.43 46.56 46.65 45.11 41.92 39.97 39.18 -0.395 -0.348 -0.318 -0.255 -0.173 -0.095 -0.079 0.012 0.004 0.003 0.002 0.002 0.003 0.004 MMB FP Equity FR0000130213 LAGARDERE S.C.A. Consumer Discretionary 20.58 6.32% 20.05.2013 37.87 37.74 37.62 37.40 35.27 34.22 -0.416 -0.355 -0.295 -0.200 -0.132 -0.080 0.003 0.003 0.003 0.002 0.001 0.001 LAND LN Equity GB0031809436 LAND SECURITIES GROUP PLC Financials 716.50 4.13% 12.09.2012 19.92 20.98 21.62 21.15 -0.310 -0.212 -0.187 -0.164 0.009 0.004 0.002 0.003 LXS GY Equity DE0005470405 LANXESS AG Materials 56.16 1.69% 16.05.2013 44.64 42.76 42.60 41.27 40.12 39.82 38.85 -0.289 -0.206 -0.181 -0.219 -0.147 -0.121 -0.098 0.008 0.002 0.001 0.002 0.002 0.002 0.002 LGEN LN Equity GB0005603997 LEGAL & GENERAL GROUP PLC Financials 112.00 6.43% 05.09.2012 26.94 28.26 30.50 30.99 31.23 31.23 -0.525 -0.171 -0.209 -0.196 -0.163 -0.163 0.031 0.010 0.002 0.000 -0.002 -0.002 LR FP Equity FR0010307819 LEGRAND SA Industrials 26.04 3.57% 31.05.2013 34.83 34.48 34.13 31.91 26.74 26.74 -0.193 -0.177 -0.162 -0.124 -0.076 -0.076 0.010 0.007 0.004 0.001 0.000 0.000 LIN GY Equity DE0006483001 LINDE AG Materials 123.05 30.05.2013 24.68 25.01 25.94 26.17 25.07 25.32 24.78 -0.315 -0.347 -0.322 -0.260 -0.184 -0.128 -0.109 0.022 0.009 0.007 0.004 0.002 0.002 0.003 LISN SE Equity CH0010570759 LINDT & SPRUENGLI AG-REG Consumer Staples 34025.00 1.59% 02.05.2013 18.27 17.86 17.85 17.92 18.21 18.35 0.044 -0.003 0.002 0.014 -0.016 0.005 -0.003 0.000 0.000 -0.001 0.000 0.000 LLOY LN Equity GB0008706128 LLOYDS BANKING GROUP PLC Financials 26.84 7.45% 08.08.2012 61.11 57.54 54.05 57.32 51.41 47.05 44.72 -0.439 -0.436 -0.071 -0.001 0.198 0.282 0.406 0.014 -0.001 0.007 -0.006 0.000 0.004 0.005 LOG LN Equity GB0005227086 LOGICA PLC Information Technology 66.55 9.02% 12.09.2012 51.45 49.36 47.27 45.64 -0.349 -0.265 -0.182 -0.109 0.007 0.005 0.004 0.001 LOGN VX Equity CH0025751329 LOGITECH INTERNATIONAL-REG Information Technology 10.67 38.93 40.67 42.27 40.38 39.29 38.61 -0.198 -0.273 -0.227 -0.226 -0.239 -0.233 0.011 0.003 0.004 0.002 0.001 -0.001 LSE LN Equity GB00B0SWJX34 LONDON STOCK EXCHANGE GROUP Financials 1017.00 2.84% 05.12.2012 23.46 23.87 24.79 26.21 -0.055 -0.047 -0.039 -0.048 0.000 0.000 0.000 -0.001 LMI LN Equity GB0031192486 LONMIN PLC Materials 780.00 1.22% 09.01.2013 51.75 50.61 49.48 47.73 -0.023 -0.068 -0.113 -0.140 -0.003 -0.002 0.000 0.002 LONN VX Equity CH0013841017 LONZA GROUP AG-REG Health Care 36.24 5.93% 15.04.2013 32.12 31.14 32.05 31.80 31.52 30.63 -0.186 -0.161 -0.122 -0.167 -0.107 -0.053 0.004 0.002 0.001 0.003 0.002 0.002 LUNDB SS Equity SE0000108847 LUNDBERGS AB-B SHS Financials 206.30 1.94% 15.04.2013 LUPE SS Equity SE0000825820 LUNDIN PETROLEUM AB Energy 131.40 42.51 43.04 45.58 44.92 76.66 76.66 0.013 -0.038 -0.047 -0.053 0.000 0.000 0.009 -0.001 0.001 0.001 0.000 0.000 LUX IM Equity IT0001479374 LUXOTTICA GROUP SPA Consumer Discretionary 26.30 2.05% 20.05.2013 28.29 27.48 27.77 26.60 26.48 26.48 -0.360 -0.308 -0.267 -0.265 -0.270 -0.270 0.014 0.005 0.004 0.004 0.004 0.004 MC FP Equity FR0000121014 LVMH MOET HENNESSY LOUIS VUI Consumer Discretionary 122.50 2.45% 29.11.2012 31.76 31.19 31.56 30.97 30.23 27.50 26.60 -0.367 -0.338 -0.311 -0.245 -0.166 -0.131 -0.073 0.012 0.007 0.005 0.003 0.002 0.004 0.004 EMG LN Equity GB00B28KQ186 MAN GROUP PLC Financials 77.35 18.03% 26.09.2012 62.05 60.82 66.75 57.12 -0.057 -0.052 -0.579 -0.244 0.002 -0.001 0.001 0.001 MAN GY Equity DE0005937007 MAN SE Industrials 81.40 2.95% 22.04.2013 26.51 25.26 25.17 25.76 26.17 26.05 25.95 -0.042 -0.036 -0.035 -0.060 -0.027 -0.016 -0.014 0.003 0.000 0.000 0.001 0.000 0.000 0.001 MAP SQ Equity ES0124244E34 MAPFRE SA Financials 1.85 8.40% 14.12.2012 47.71 44.02 42.69 37.05 35.35 30.61 33.44 -0.422 -0.145 -0.068 -0.149 -0.202 -0.006 -0.099 -0.001 -0.003 -0.001 -0.003 -0.001 -0.001 -0.001 MHG NO Equity NO0003054108 MARINE HARVEST Consumer Staples 3.13 65.46 59.69 53.72 -0.778 -0.400 -0.009 0.106 0.075 0.043 MKS LN Equity GB0031274896 MARKS & SPENCER GROUP PLC Consumer Discretionary 340.50 5.02% 14.11.2012 26.45 26.63 26.66 26.78 25.37 24.61 23.89 -0.059 -0.198 -0.142 -0.185 -0.116 -0.083 -0.064 0.020 0.001 0.002 0.003 0.002 0.000 0.000 MEDAA SS Equity SE0000221723 MEDA AB-A SHS Health Care 67.80 3.24% 06.05.2013 28.47 26.98 29.01 29.58 0.052 -0.070 -0.095 -0.085 0.031 0.010 0.003 0.001 MS IM Equity IT0001063210 MEDIASET SPA Consumer Discretionary 1.34 8.20% 20.05.2013 55.18 51.72 51.06 48.92 47.98 47.98 -0.342 -0.324 -0.313 -0.222 -0.143 -0.143 0.012 0.009 0.001 0.001 0.001 0.001 MB IM Equity IT0000062957 MEDIOBANCA SPA Financials 3.07 7.48% 19.11.2012 58.90 57.14 56.60 51.57 52.72 52.72 -0.424 -0.298 -0.318 -0.141 -0.020 -0.020 0.007 0.003 0.001 0.002 0.000 0.000 MGGT LN Equity GB0005758098 MEGGITT PLC Industrials 385.30 2.91% 15.08.2012 MRO LN Equity GB00B464F978 MELROSE PLC Industrials 405.50 3.45% 05.09.2012 MRK GY Equity DE0006599905 MERCK KGAA Health Care 75.99 2.30% 22.04.2013 28.40 28.00 29.32 28.56 27.51 27.09 27.06 -0.283 -0.242 -0.236 -0.195 -0.141 -0.122 -0.122 0.014 0.006 0.004 0.002 0.002 0.003 0.003 MEO GY Equity DE0007257503 METRO AG Consumer Staples 23.47 5.75% 24.05.2013 41.58 38.07 36.71 36.34 32.70 31.77 28.82 0.142 -0.123 -0.125 -0.136 -0.134 -0.088 -0.042 0.018 0.007 0.005 0.003 0.002 0.002 0.003 MEO1V FH Equity FI0009007835 METSO OYJ Industrials 28.70 5.75% 27.03.2013 47.33 45.53 45.09 -0.207 -0.200 -0.089 0.003 0.002 0.004 MPI LN Equity GB0030232317 MICHAEL PAGE INTERNATIONAL Industrials 358.00 3.08% 05.09.2012 MAB LN Equity GB00B1FP6H53 MITCHELLS & BUTLERS PLC Consumer Discretionary 227.30 28.11.2012 MOBB BB Equity BE0003735496 MOBISTAR SA Telecommunication Services 27.80 10.43% 17.05.2013 33.95 35.85 34.50 30.33 29.34 29.34 0.316 0.137 0.120 0.073 0.079 0.079 0.018 0.001 0.001 0.002 0.001 0.001 MTGB SS Equity SE0000412371 MODERN TIMES GROUP-B SHS Consumer Discretionary 302.20 3.18% 20.05.2013 35.94 35.94 35.94 35.94 -0.190 -0.190 -0.190 -0.190 0.002 0.002 0.002 0.002 MNDI LN Equity GB00B1CRLC47 MONDI PLC Materials 514.00 4.56% 15.08.2012 MTX GY Equity DE000A0D9PT0 MTU AERO ENGINES HOLDING AG Industrials 59.74 2.26% 03.05.2013 28.27 27.52 28.18 28.57 29.33 29.64 29.80 -0.247 -0.144 -0.132 -0.161 -0.113 -0.090 -0.072 0.014 0.003 0.003 0.002 0.001 0.000 0.000 MUV2 GY Equity DE0008430026 MUENCHENER RUECKVER AG-REG Financials 103.85 6.26% 26.04.2013 30.47 30.17 29.57 28.54 27.22 25.57 22.62 -0.358 -0.384 -0.343 -0.269 -0.154 -0.099 -0.077 0.017 0.006 0.004 0.003 0.002 0.002 0.004 ETE GA Equity GRS003013000 NATIONAL BANK OF GREECE Financials 1.27 21.05.2013 100.56 100.56 100.56 100.56 0.013 0.013 0.013 0.013 -0.001 -0.001 -0.001 -0.001 NEX LN Equity GB0006215205 NATIONAL EXPRESS GROUP PLC Industrials 193.00 5.23% 05.09.2012 NG/ LN Equity GB00B08SNH34 NATIONAL GRID PLC Utilities 671.00 5.94% 28.11.2012 15.15 16.32 17.50 19.04 19.61 19.61 0.043 0.021 0.000 -0.021 -0.021 -0.021 0.002 0.003 0.004 0.002 0.000 0.000 KN FP Equity FR0000120685 NATIXIS Financials 1.94 5.15% 28.05.2013 60.36 56.53 55.50 55.17 46.42 50.07 -0.364 -0.460 -0.289 -0.217 0.008 0.219 0.014 0.000 0.001 0.004 -0.002 -0.010 NCCB SS Equity SE0000117970 NCC AB-B SHS Industrials 126.00 8.73% 05.04.2013 NEO FP Equity FR0000120560 NEOPOST SA Information Technology 42.60 9.16% 11.07.2012 19.84 20.58 20.81 20.48 21.27 22.15 -0.117 -0.014 -0.002 -0.004 0.015 -0.021 0.024 0.000 0.000 0.000 0.000 0.001 NES1V FH Equity FI0009013296 NESTE OIL OYJ Energy 7.85 5.10% 15.04.2013 44.62 42.19 42.29 41.81 -0.118 -0.084 -0.065 -0.122 -0.003 -0.002 0.000 0.000 NESN VX Equity CH0038863350 NESTLE SA-REG Consumer Staples 54.70 3.84% 24.04.2013 13.74 14.00 14.87 15.61 16.16 16.28 15.33 -0.215 -0.206 -0.259 -0.250 -0.168 -0.119 -0.078 0.033 0.022 0.012 0.006 0.003 0.002 0.003 NEX FP Equity FR0000044448 NEXANS SA Industrials 30.10 03.06.2013 49.32 47.58 47.19 41.27 39.84 41.02 -0.199 -0.144 -0.102 -0.112 -0.093 -0.111 -0.001 -0.004 -0.001 -0.001 0.001 0.001 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 4. 22.05.2012 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 ISIN 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 NXT LN Equity GB0032089863 NEXT PLC Consumer Discretionary 2962.00 3.12% 21.11.2012 22.87 23.55 23.66 24.10 -0.257 -0.220 -0.178 -0.099 0.007 0.006 0.004 0.002 NOBN VX Equity CH0037851646 NOBEL BIOCARE HOLDING AG-REG Health Care 10.16 2.46% 02.04.2013 38.21 40.15 40.02 40.92 39.62 38.79 40.43 -0.189 -0.133 -0.188 -0.145 -0.104 -0.086 -0.144 0.009 0.004 0.002 0.001 0.000 0.001 0.000 NOK1V FH Equity FI0009000681 NOKIA OYJ Information Technology 2.26 6.65% 03.05.2013 69.45 69.37 66.18 61.33 60.45 58.17 58.50 -0.160 -0.133 -0.104 -0.092 0.063 0.157 0.106 0.002 -0.002 0.005 0.005 -0.002 -0.003 -0.001 NRE1V FH Equity FI0009005318 NOKIAN RENKAAT OYJ Consumer Discretionary 32.59 3.68% 15.04.2013 43.38 41.95 41.47 -0.167 -0.149 -0.144 0.002 0.000 0.001 NDA SS Equity SE0000427361 NORDEA BANK AB Financials 54.00 4.88% 25.03.2013 39.08 40.00 38.24 37.18 37.92 37.92 -0.510 -0.493 -0.416 -0.332 -0.244 -0.244 0.041 0.016 0.012 0.008 -0.004 -0.004 NHY NO Equity NO0005052605 NORSK HYDRO ASA Materials 26.89 2.79% 06.05.2013 46.04 42.08 40.88 43.93 -0.053 -0.165 -0.273 -0.184 0.037 0.018 0.021 0.001 NOVN VX Equity CH0012005267 NOVARTIS AG-REG Health Care 49.12 5.09% 22.02.2013 16.27 16.87 16.73 17.11 16.09 16.49 15.71 -0.332 -0.262 -0.236 -0.187 -0.078 -0.052 -0.006 0.034 0.013 0.008 0.005 0.003 0.002 0.003 NOVOB DC Equity DK0060102614 NOVO NORDISK A/S-B Health Care 838.00 1.67% 21.03.2013 22.35 22.89 24.25 24.27 -0.046 -0.013 0.027 0.046 0.002 0.000 -0.001 -0.001 NZYMB DC Equity DK0060336014 NOVOZYMES A/S-B SHARES Materials 152.20 1.38% 28.02.2013 28.97 28.88 30.37 29.08 -0.135 -0.121 0.022 -0.007 0.004 0.002 0.000 0.000 NUO NA Equity NL0000375400 NUTRECO NV Consumer Staples 52.60 3.99% 01.08.2012 20.45 20.81 19.59 19.87 -0.262 -0.175 -0.143 -0.125 0.020 0.006 0.003 0.003 BEKB BB Equity BE0974258874 BEKAERT NV Industrials 23.13 2.16% 12.10.2012 50.29 48.86 49.28 50.41 51.81 51.81 -0.159 -0.117 -0.073 -0.072 -0.032 -0.032 0.000 0.001 0.000 -0.001 -0.002 -0.002 NYR BB Equity BE0003876936 NYRSTAR Materials 5.25 3.05% 09.08.2012 50.76 47.51 46.00 47.11 46.37 46.37 -0.290 -0.190 -0.024 -0.028 -0.065 -0.065 0.007 -0.001 0.001 -0.003 -0.004 -0.004 OML LN Equity GB00B77J0862 OLD MUTUAL PLC Financials 142.70 4.56% 10.10.2012 30.89 31.28 31.67 32.86 -0.534 -0.466 -0.397 -0.221 0.014 0.010 0.006 0.000 OMV AV Equity AT0000743059 OMV AG Energy 22.91 5.02% 13.05.2013 31.47 31.04 30.94 30.32 31.60 30.50 -0.382 -0.086 -0.173 -0.165 0.497 0.697 0.061 0.014 0.004 0.003 -0.001 -0.002 OPAP GA Equity GRS419003009 OPAP SA Consumer Discretionary 4.06 36.45% 14.12.2012 87.48 87.48 87.48 87.48 1.106 1.106 1.106 1.106 -0.004 -0.004 -0.004 -0.004 ORI SS Equity SE0001174889 ORIFLAME COSMETICS SA-SDR Consumer Staples 218.70 22.05.2013 ORNBV FH Equity FI0009014377 ORION OYJ-CLASS B Health Care 14.65 8.19% 01.04.2013 ORK NO Equity NO0003733800 ORKLA ASA Industrials 41.37 6.65% 19.04.2013 28.03 26.69 26.11 28.75 -0.115 -0.134 -0.238 -0.226 0.074 0.041 0.021 0.008 OTE1V FH Equity FI0009014575 OUTOTEC OYJ Industrials 34.13 3.52% 26.03.2013 PWL ID Equity IE0002588105 PADDY POWER PLC Consumer Discretionary 50.45 2.04% 05.09.2012 PARG SE Equity CH0021783391 PARGESA HOLDING SA-BR Financials 54.55 5.50% 09.05.2013 4.57 2.68 3.92 26.70 28.79 28.56 -0.428 -0.213 -0.223 -0.265 -0.302 -0.295 0.036 0.016 0.015 0.005 0.004 0.004 PGHN SE Equity CH0024608827 PARTNERS GROUP HOLDING AG Financials 160.10 3.59% 06.05.2013 22.97 22.85 22.89 22.78 23.50 23.86 0.041 0.005 0.006 -0.002 -0.001 0.019 0.002 0.000 0.000 0.000 0.000 -0.001 PSON LN Equity GB0006776081 PEARSON PLC Consumer Discretionary 1145.00 3.89% 15.08.2012 21.00 21.44 22.18 22.63 -0.421 -0.352 -0.287 -0.179 0.011 0.008 0.006 0.002 PNN LN Equity GB00B18V8630 PENNON GROUP PLC Utilities 715.50 3.80% 08.08.2012 RI FP Equity FR0000120693 PERNOD-RICARD SA Consumer Staples 75.98 2.03% 02.07.2012 29.52 28.67 28.84 28.70 28.09 24.70 24.10 -0.525 -0.361 -0.300 -0.267 -0.158 -0.075 0.003 0.015 0.004 0.004 0.003 0.002 0.003 0.003 PSN LN Equity GB0006825383 PERSIMMON PLC Consumer Discretionary 568.50 2.20% 31.10.2012 28.21 28.21 28.21 -0.156 -0.156 -0.156 0.000 0.000 0.000 PFC LN Equity GB00B0H2K534 PETROFAC LTD Energy 1553.00 2.69% 19.09.2012 32.27 31.27 30.28 29.66 -0.263 -0.197 -0.130 -0.016 0.003 0.002 0.002 0.000 PGS NO Equity NO0010199151 PETROLEUM GEO-SERVICES Energy 76.55 56.21 55.11 53.98 -0.319 -0.277 -0.233 0.016 0.013 0.009 POG LN Equity GB0031544546 PETROPAVLOVSK PLC Materials 417.00 3.12% 03.10.2012 UG FP Equity FR0000121501 PEUGEOT SA Consumer Discretionary 8.80 05.06.2013 57.23 55.55 55.84 53.67 50.07 47.96 49.30 -0.296 -0.229 -0.206 -0.174 -0.210 -0.292 -0.295 0.009 0.003 0.002 0.001 0.002 0.002 0.004 PC IM Equity IT0004623051 PIRELLI & C. Consumer Discretionary 8.62 3.94% 20.05.2013 42.02 40.65 39.78 39.08 38.83 38.83 -0.517 -0.314 -0.275 -0.224 -0.147 -0.147 0.016 0.001 0.001 0.001 0.001 0.001 POH1S FH Equity FI0009003222 POHJOLA BANK PLC-A SHS Financials 8.61 5.81% 28.03.2013 PAH3 GY Equity DE000PAH0038 PORSCHE AUTOMOBIL HLDG-PRF Consumer Discretionary 41.00 1.85% 24.06.2013 41.13 42.58 42.60 42.69 43.78 43.18 43.81 -0.297 -0.216 -0.202 -0.150 -0.173 -0.128 -0.150 0.014 0.010 0.007 0.003 0.000 0.000 0.000 PTC PL Equity PTPTC0AM0009 PORTUGAL TELECOM SGPS SA-REG Telecommunication Services 3.56 18.81% 28.12.2012 PNL NA Equity NL0009739416 POSTNL NV Industrials 2.81 12.79% 07.08.2012 90.60 78.82 78.14 74.41 69.15 69.15 69.15 -0.235 -0.148 0.306 0.244 0.747 0.747 0.747 0.004 0.001 -0.008 -0.007 -0.018 -0.018 -0.018 PP FP Equity FR0000121485 PPR Consumer Discretionary 120.45 3.32% 02.05.2013 33.16 30.86 31.82 31.37 30.06 29.89 31.59 -0.186 -0.207 -0.198 -0.190 -0.155 -0.143 -0.144 0.011 0.007 0.005 0.003 0.001 0.000 0.000 PMO LN Equity GB00B43G0577 PREMIER OIL PLC Energy 330.00 PSM GY Equity DE0007771172 PROSIEBEN SAT.1 MEDIA AG-PRF Consumer Discretionary 17.09 7.96% 16.05.2013 40.31 39.98 39.91 40.35 37.41 42.33 36.16 -0.053 0.001 -0.004 0.012 0.298 0.084 0.151 -0.001 0.000 0.000 0.000 0.003 0.000 0.002 PFG LN Equity GB00B1Z4ST84 PROVIDENT FINANCIAL PLC Financials 1081.00 6.89% 31.10.2012 PRU LN Equity GB0007099541 PRUDENTIAL PLC Financials 682.50 3.90% 22.08.2012 33.12 33.75 35.23 34.28 33.87 33.04 33.12 -0.409 -0.267 -0.329 -0.252 -0.164 -0.154 -0.143 0.008 0.001 0.002 0.002 0.002 0.002 0.001 PRY IM Equity IT0004176001 PRYSMIAN SPA Industrials 11.42 2.33% 22.04.2013 41.25 39.25 39.62 38.49 39.07 39.07 -0.268 -0.277 -0.194 -0.170 -0.176 -0.176 0.017 0.008 0.001 0.004 0.001 0.001 PSPN SE Equity CH0018294154 PSP SWISS PROPERTY AG-REG Financials 81.80 20.06.2013 8.63 9.48 9.63 12.15 12.07 12.69 -0.274 -0.050 -0.013 -0.051 -0.079 -0.063 0.026 0.004 0.003 0.004 0.005 0.005 PUB FP Equity FR0000130577 PUBLICIS GROUPE Consumer Discretionary 37.25 1.88% 27.06.2013 27.37 25.94 26.81 26.13 24.91 23.69 23.38 -0.200 -0.266 -0.231 -0.197 -0.151 -0.140 -0.137 0.011 0.009 0.003 0.003 0.002 0.002 0.002 PUM GY Equity DE0006969603 PUMA SE Consumer Discretionary 253.65 0.95% 25.04.2013 27.16 26.68 26.57 26.52 26.96 26.70 26.66 -0.024 -0.008 -0.010 0.001 0.006 0.016 0.018 -0.001 0.000 0.000 0.000 0.000 0.000 0.001 PZC LN Equity GB00B19Z1432 PZ CUSSONS PLC Consumer Staples 328.20 2.30% 15.08.2012 QIA GY Equity NL0000240000 QIAGEN N.V. Health Care 12.98 30.44 28.46 28.59 28.31 27.21 26.55 26.41 -0.276 -0.286 -0.228 -0.191 -0.140 -0.113 -0.097 0.019 0.005 0.003 0.001 0.001 0.001 0.001 RBI AV Equity AT0000606306 RAIFFEISEN BANK INTERNATIONA Financials 22.92 4.58% 26.06.2013 54.97 49.42 49.02 54.33 43.55 39.23 -0.155 -0.086 -0.080 -0.042 0.496 0.929 0.011 0.000 0.002 0.001 0.000 0.004 RRS LN Equity GB00B01C3S32 RANDGOLD RESOURCES LTD Materials 4977.00 0.83% 08.05.2013 40.38 39.74 39.10 37.48 -0.292 -0.214 -0.136 -0.038 0.001 0.001 0.002 0.003 RAND NA Equity NL0000379121 RANDSTAD HOLDING NV Industrials 22.83 5.48% 04.04.2013 44.40 43.45 43.46 41.86 40.45 40.45 40.45 -0.294 -0.169 -0.164 -0.188 -0.105 -0.105 -0.105 0.010 0.001 0.000 0.002 -0.001 -0.001 -0.001 RATOB SS Equity SE0000111940 RATOS AB-B SHS Financials 68.55 8.02% 08.04.2013 RB/ LN Equity GB00B24CGK77 RECKITT BENCKISER GROUP PLC Consumer Staples 3421.00 3.86% 01.08.2012 19.22 19.27 19.65 20.30 20.66 20.66 -0.153 -0.142 -0.133 -0.100 -0.088 -0.088 0.002 0.003 0.004 0.004 0.003 0.003 REE SQ Equity ES0173093115 RED ELECTRICA CORPORACION SA Utilities 29.90 7.64% 02.01.2013 33.90 30.96 29.49 27.66 23.86 22.45 22.28 -0.268 -0.167 -0.155 -0.191 -0.056 -0.062 -0.032 0.000 -0.001 0.001 0.000 0.002 0.002 0.002 REN NA Equity NL0006144495 REED ELSEVIER NV Consumer Discretionary 8.65 5.49% 03.08.2012 20.78 20.61 20.79 20.75 21.21 21.23 21.75 -0.185 -0.105 -0.124 -0.166 -0.090 -0.051 0.026 0.033 0.008 0.003 0.004 0.001 0.001 -0.001 REL LN Equity GB00B2B0DG97 REED ELSEVIER PLC Consumer Discretionary 496.10 4.65% 01.08.2012 19.68 20.03 20.62 21.27 -0.122 -0.137 -0.153 -0.149 0.004 0.003 0.003 0.001 RCO FP Equity FR0000130395 REMY COINTREAU Consumer Staples 80.20 1.87% 02.08.2012 25.95 26.11 25.95 26.17 26.04 26.47 -0.017 0.007 0.009 0.016 0.029 0.033 -0.001 0.000 0.000 0.000 0.000 0.000Stoxx 600 Index RNO FP Equity FR0000131906 RENAULT SA Consumer Discretionary 33.68 5.20% 10.05.2013 49.77 48.38 48.77 47.72 45.18 39.13 37.01 -0.368 -0.349 -0.332 -0.259 -0.129 0.002 -0.054 0.011 0.005 0.004 0.002 0.004 0.007 0.006 RTO LN Equity GB00B082RF11 RENTOKIL INITIAL PLC Industrials 78.55 3.08% 05.09.2012 30.73 29.50 28.27 26.04 -0.040 -0.056 -0.072 -0.107 0.003 0.003 0.002 0.002 REP SQ Equity ES0173516115 REPSOL YPF SA Energy 13.63 7.91% 05.07.2012 51.54 54.24 49.80 45.42 41.98 40.70 40.43 -0.176 -0.054 -0.117 -0.176 -0.104 -0.050 0.020 -0.001 -0.005 -0.002 -0.002 0.000 0.001 0.000 REX LN Equity GB0004250451 REXAM PLC Materials 404.40 4.01% 05.09.2012 RXL FP Equity FR0010451203 REXEL SA Industrials 14.46 4.50% 31.05.2013 RHM GY Equity DE0007030009 RHEINMETALL AG Industrials 35.11 5.27% 15.05.2013 39.06 38.38 38.24 36.66 38.19 38.09 36.36 -0.009 0.013 -0.030 -0.086 -0.051 -0.024 -0.060 0.007 0.003 0.001 0.002 0.002 0.001 0.003 RHK GY Equity DE0007042301 RHOEN-KLINIKUM AG Health Care 21.76 2.07% 13.06.2013 37.51 41.06 35.88 28.76 28.43 28.43 28.43 -0.076 0.000 -0.022 0.006 -0.033 -0.033 -0.033 0.005 0.000 0.001 0.004 0.002 0.002 0.002 RMV LN Equity GB00B2987V85 RIGHTMOVE PLC Consumer Discretionary 1461.00 1.51% 10.10.2012 RIO LN Equity GB0007188757 RIO TINTO PLC Materials 2910.50 3.27% 15.08.2012 42.58 42.62 42.97 42.04 41.06 40.37 38.37 -0.330 -0.246 -0.188 -0.163 -0.102 -0.044 -0.041 0.011 0.001 0.002 0.001 0.001 0.002 0.002 ROG VX Equity CH0012032048 ROCHE HOLDING AG-GENUSSCHEIN Health Care 153.30 4.89% 08.03.2013 20.29 19.85 20.34 20.87 20.83 21.68 21.36 -0.240 -0.233 -0.215 -0.165 -0.073 -0.041 0.012 0.019 0.010 0.007 0.003 0.002 0.001 0.001 RR/ LN Equity GB00B63H8491 ROLLS-ROYCE HOLDINGS PLC Industrials 813.50 2.37% 24.10.2012 25.24 25.52 25.81 26.29 -0.383 -0.324 -0.265 -0.133 0.011 0.009 0.007 0.002 ROR LN Equity GB0007506958 ROTORK PLC Industrials 1992.00 2.14% 22.08.2012 RBS LN Equity GB0007547838 ROYAL BANK OF SCOTLAND GROUP Financials 21.27 08.08.2012 53.50 54.29 57.91 55.04 48.54 45.52 44.51 -0.067 -0.219 -0.412 -0.138 -0.098 -0.129 -0.149 0.000 -0.003 0.001 0.002 0.001 0.001 0.001 RDSA NA Equity GB00B03MLX29 ROYAL DUTCH SHELL PLC-A SHS Energy 24.90 5.48% 01.08.2012 20.27 19.97 19.97 19.94 19.70 19.69 19.14 -0.266 -0.201 -0.189 -0.228 -0.121 -0.093 -0.047 0.028 0.007 0.003 0.007 0.003 0.003 0.003 RSA LN Equity GB0006616899 RSA INSURANCE GROUP PLC Financials 99.85 9.81% 08.08.2012 24.97 24.05 18.05 26.03 26.21 26.21 -0.210 -0.218 0.196 -0.084 -0.175 -0.175 0.004 0.003 -0.002 -0.001 -0.001 -0.001 RWE GY Equity DE0007037129 RWE AG Utilities 30.18 6.79% 19.04.2013 28.87 29.63 30.08 30.00 30.07 29.53 25.96 -0.593 -0.528 -0.449 -0.354 -0.182 -0.111 -0.080 0.022 0.008 0.005 0.004 0.001 0.000 0.002 RYA ID Equity IE00B1GKF381 RYANAIR HOLDINGS PLC Industrials 3.98 25.47 24.42 25.32 24.79 24.14 23.89 0.283 -0.032 -0.121 -0.117 -0.096 -0.092 0.029 0.016 0.005 0.001 0.001 0.002 SAB LN Equity GB0004835483 SABMILLER PLC Consumer Staples 2456.00 2.37% 01.08.2012 28.29 27.56 27.31 25.81 0.012 -0.009 -0.031 -0.079 0.009 0.009 0.008 0.005 SAF FP Equity FR0000073272 SAFRAN SA Industrials 26.79 2.53% 19.12.2012 34.53 34.51 34.50 33.66 33.71 33.71 -0.150 -0.145 -0.140 -0.107 -0.063 -0.063 0.001 0.002 0.003 0.003 0.004 0.004 SGE LN Equity GB0008021650 SAGE GROUP PLC/THE Information Technology 253.30 4.21% 06.02.2013 22.86 23.27 23.69 24.71 -0.246 -0.238 -0.230 -0.180 0.005 0.004 0.002 0.000 SPM IM Equity IT0000068525 SAIPEM SPA Energy 32.80 2.35% 20.05.2013 36.67 35.56 35.61 35.04 34.81 34.81 -0.382 -0.296 -0.239 -0.178 -0.107 -0.107 0.007 0.003 0.001 0.001 0.001 0.001 SZG GY Equity DE0006202005 SALZGITTER AG Materials 36.74 1.22% 23.05.2013 41.26 40.56 40.49 39.96 38.61 38.71 37.73 -0.264 -0.200 -0.159 -0.198 -0.148 -0.130 -0.107 0.008 0.001 0.002 0.002 0.002 0.002 0.003 SAMAS FH Equity FI0009003305 SAMPO OYJ-A SHS Financials 19.42 6.44% 15.04.2013 25.47 25.53 26.73 27.13 -0.376 -0.281 -0.254 -0.288 0.025 0.002 0.002 0.005 SAND SS Equity SE0000667891 SANDVIK AB Industrials 96.10 3.64% 06.05.2013 40.98 42.02 41.53 41.64 40.96 40.96 -0.204 -0.268 -0.246 -0.150 -0.093 -0.093 0.028 0.003 0.003 0.001 0.000 0.000 SAN FP Equity FR0000120578 SANOFI Health Care 54.61 5.09% 10.05.2013 23.88 24.57 24.69 25.47 25.65 21.91 20.32 -0.378 -0.364 -0.324 -0.280 -0.189 -0.069 -0.043 0.024 0.010 0.006 0.003 0.001 0.001 0.002 SAA1V FH Equity FI0009007694 SANOMA OYJ Consumer Discretionary 6.99 9.30% 03.04.2013 SAP GY Equity DE0007164600 SAP AG Information Technology 47.56 1.58% 24.05.2013 27.81 26.99 26.94 26.74 25.62 25.85 25.20 -0.412 -0.451 -0.424 -0.341 -0.227 -0.180 -0.136 0.023 0.010 0.006 0.004 0.002 0.002 0.001 SBMO NA Equity NL0000360618 SBM OFFSHORE NV Energy 11.76 4.51% 07.05.2013 52.61 49.62 48.29 45.36 45.68 46.26 46.43 -0.292 -0.261 -0.222 -0.169 -0.096 -0.059 -0.052 0.010 0.003 0.002 0.001 -0.002 -0.003 -0.004 SCVB SS Equity SE0000308280 SCANIA AB-B SHS Industrials 119.10 4.20% 06.05.2013 41.17 36.76 32.64 32.64 32.64 32.64 -0.135 -0.065 0.000 0.000 0.000 0.000 0.002 0.001 0.000 0.000 0.000 0.000 SCH NO Equity NO0003028904 SCHIBSTED ASA Consumer Discretionary 187.80 2.13% 17.05.2013 SCHP VX Equity CH0024638196 SCHINDLER HOLDING-PART CERT Industrials 109.20 2.29% 18.03.2013 22.40 22.20 22.15 21.99 22.99 23.30 -0.129 -0.083 -0.082 -0.081 -0.054 -0.035 0.011 0.002 0.003 0.002 0.001 0.001 SU FP Equity FR0000121972 SCHNEIDER ELECTRIC SA Industrials 43.69 4.12% 13.05.2013 42.51 42.22 43.52 42.88 42.73 39.21 37.02 -0.312 -0.262 -0.272 -0.240 -0.164 -0.120 -0.087 0.012 0.002 0.001 0.002 0.000 -0.001 -0.002 SDR LN Equity GB0002405495 SCHRODERS PLC Financials 1189.00 3.28% 08.08.2012 SCR FP Equity FR0010411983 SCOR SE Financials 18.22 22.05.2013 32.93 32.63 32.33 31.79 29.37 29.37 -0.238 -0.237 -0.236 -0.213 -0.197 -0.197 0.006 0.005 0.004 0.002 0.001 0.001 SDRL NO Equity BMG7945E1057 SEADRILL LTD Energy 212.50 7.15% 06.09.2012 26.85 27.32 27.81 0.478 0.446 0.413 0.005 0.002 -0.001 SK FP Equity FR0000121709 SEB SA Consumer Discretionary 56.30 2.40% 20.05.2013 35.46 35.94 35.93 35.99 36.05 37.01 0.010 0.007 0.020 0.019 0.031 0.048 -0.002 0.000 0.000 0.000 0.000 0.000 SECUB SS Equity SE0000163594 SECURITAS AB-B SHS Industrials 52.35 6.21% 06.05.2013 32.49 29.32 30.80 29.25 27.26 27.26 -0.147 -0.108 -0.114 -0.112 -0.053 -0.053 0.022 0.007 0.002 0.003 0.004 0.004 SGRO LN Equity GB00B5ZN1N88 SEGRO PLC Financials 220.30 6.81% 19.09.2012 SRP LN Equity GB0007973794 SERCO GROUP PLC Industrials 522.00 1.86% 05.09.2012 SESG FP Equity LU0088087324 SES Consumer Discretionary 18.69 5.16% 19.04.2013 SVT LN Equity GB00B1FH8J72 SEVERN TRENT PLC Utilities 1655.00 4.37% 20.06.2012 26.93 25.71 24.49 22.83 0.098 0.050 0.001 -0.054 0.022 0.016 0.010 0.002 SGL GY Equity DE0007235301 SGL CARBON SE Industrials 31.84 26.41 27.16 29.11 27.39 26.15 25.09 24.42 -0.238 -0.187 -0.207 -0.252 -0.302 -0.334 -0.381 0.015 0.003 0.003 0.005 0.007 0.009 0.011 SGSN VX Equity CH0002497458 SGS SA-REG Industrials 1711.00 1.75% 18.03.2013 20.59 21.74 21.25 21.52 21.90 21.73 -0.454 -0.177 -0.130 -0.250 -0.167 -0.146 0.011 0.001 0.002 0.005 0.002 0.003 SHB LN Equity GB0007990962 SHAFTESBURY PLC Financials 514.00 2.39% 06.06.2012 SHP LN Equity JE00B2QKY057 SHIRE PLC Health Care 1913.00 0.59% 05.09.2012 30.08 31.61 29.89 27.55 -0.047 -0.051 -0.049 -0.052 0.011 0.003 0.002 0.001 SIE GY Equity DE0007236101 SIEMENS AG-REG Industrials 67.58 4.59% 24.01.2013 25.64 25.57 25.87 26.24 25.43 25.81 25.80 -0.504 -0.439 -0.407 -0.320 -0.179 -0.127 -0.084 0.022 0.010 0.007 0.004 0.002 0.001 0.000 SIK SE Equity CH0000587979 SIKA AG-BR Materials 1860.00 2.42% 15.04.2013 23.01 23.26 23.96 24.57 25.64 25.60 -0.207 -0.081 -0.032 -0.047 -0.036 -0.027 0.003 0.000 0.000 0.001 0.000 0.000 SEBA SS Equity SE0000148884 SKANDINAVISKA ENSKILDA BAN-A Financials 41.00 4.51% 01.04.2013 40.49 39.84 38.78 37.89 38.87 38.87 -0.254 -0.332 -0.303 -0.240 -0.178 -0.178 0.028 0.008 0.001 0.001 -0.002 -0.002 SKAB SS Equity SE0000113250 SKANSKA AB-B SHS Industrials 98.20 6.36% 08.04.2013 28.40 29.85 29.75 30.98 29.62 29.62 -0.232 -0.305 -0.339 -0.230 -0.202 -0.202 0.032 0.010 0.008 0.002 0.000 0.000 SKFB SS Equity SE0000108227 SKF AB-B SHARES Industrials 147.90 3.72% 24.04.2013 41.53 42.24 40.04 38.53 36.90 36.90 -0.361 -0.241 -0.247 -0.204 -0.086 -0.086 0.021 0.001 0.002 0.002 -0.002 -0.002 SN/ LN Equity GB0009223206 SMITH & NEPHEW PLC Health Care 587.50 2.07% 10.10.2012 22.65 22.96 23.26 24.03 -0.072 -0.109 -0.146 -0.152 0.010 0.008 0.005 0.002 SMIN LN Equity GB00B1WY2338 SMITHS GROUP PLC Industrials 1018.00 3.80% 24.10.2012 SRG IM Equity IT0003153415 SNAM SPA Utilities 3.16 7.92% 22.10.2012 24.20 23.82 23.37 22.36 20.77 20.77 -0.362 -0.321 -0.246 -0.176 -0.155 -0.155 0.014 0.008 0.005 0.004 0.002 0.002 BB FP Equity FR0000120966 SOCIETE BIC SA Industrials 78.55 2.93% 20.05.2013 26.98 23.70 23.73 23.46 23.54 24.43 0.050 -0.001 0.011 0.019 0.039 0.055 0.002 0.000 0.000 0.000 0.000 -0.001 GLE FP Equity FR0000130809 SOCIETE GENERALE Financials 16.35 31.05.2013 68.22 68.15 68.23 65.72 58.09 64.98 59.87 -0.408 -0.431 -0.354 -0.335 -0.214 -0.279 -0.236 0.005 0.002 0.002 0.002 0.002 0.000 0.000 TFI FP Equity FR0000054900 TELEVISION FRANCAISE (T.F.1) Consumer Discretionary 6.12 10.13% 19.04.2013 48.13 47.17 46.39 45.24 44.41 40.65 39.45 -0.403 -0.181 -0.173 -0.169 -0.187 -0.179 -0.116 0.002 0.000 -0.001 0.001 0.000 0.001 0.000 SW FP Equity FR0000121220 SODEXO Consumer Discretionary 58.47 2.80% 04.02.2013 20.75 20.84 20.92 21.14 18.60 17.91 18.02 -0.188 -0.204 -0.219 -0.210 -0.104 -0.042 -0.023 0.022 0.016 0.011 0.004 0.001 0.001 0.001 SOF BB Equity BE0003717312 SOFINA Financials 58.13 3.60% 29.04.2013 20.93 21.12 21.16 20.61 21.40 21.20 0.051 0.000 0.015 0.026 0.032 0.048 0.012 -0.001 -0.001 0.000 0.000 0.000 SOW GY Equity DE0003304002 SOFTWARE AG Information Technology 23.95 1.96% 06.05.2013 40.03 40.24 40.49 39.81 41.07 40.79 41.51 -0.284 -0.240 -0.194 -0.116 -0.097 -0.088 -0.108 0.011 0.008 0.004 0.002 0.001 0.002 0.001 SOLB BB Equity BE0003470755 SOLVAY SA Materials 88.27 3.47% 17.01.2013 38.34 36.63 37.28 35.19 34.50 34.50 -0.306 -0.239 -0.144 -0.170 -0.115 -0.115 0.010 0.004 0.002 0.003 0.000 0.000 SOON VX Equity CH0012549785 SONOVA HOLDING AG-REG Health Care 83.55 1.44% 24.06.2013 29.51 27.12 26.77 27.70 27.45 26.28 -0.239 -0.063 -0.080 -0.148 -0.180 -0.133 0.012 0.001 0.001 0.002 0.000 0.001 SXS LN Equity GB0003308607 SPECTRIS PLC Information Technology 1629.00 2.13% 17.10.2012 SPX LN Equity GB0008347048 SPIRAX-SARCO ENGINEERING PLC Industrials 2014.00 2.55% 10.10.2012 SSABA SS Equity SE0000171100 SSAB AB-A SHARES Materials 61.40 4.89% 15.04.2013 48.66 48.63 48.46 48.39 46.91 46.91 -0.184 -0.151 -0.134 -0.091 -0.142 -0.142 0.013 0.002 -0.001 -0.003 0.000 0.000 SSE LN Equity GB0007908733 SSE PLC Utilities 1336.00 6.09% 23.01.2013 16.86 16.66 17.28 17.05 -0.141 -0.138 -0.141 -0.138 0.003 0.004 0.006 0.006 SAZ GY Equity DE0007251803 STADA ARZNEIMITTEL AG Health Care 25.03 1.48% 06.06.2013 33.09 33.31 34.13 34.21 32.90 33.34 31.78 -0.261 -0.138 -0.106 -0.101 -0.082 -0.052 -0.002 0.009 0.004 0.004 0.002 0.003 0.003 0.004 SGC LN Equity GB00B6YTLS95 STAGECOACH GROUP PLC Industrials 232.30 3.44% 29.08.2012 STAN LN Equity GB0004082847 STANDARD CHARTERED PLC Financials 1338.00 3.94% 08.08.2012 34.32 35.34 35.51 35.30 35.48 35.48 -0.581 -0.387 -0.325 -0.283 -0.251 -0.251 0.013 0.006 0.005 0.002 0.001 0.001 SL/ LN Equity GB00B16KPT44 STANDARD LIFE PLC Financials 207.80 6.98% 22.08.2012 28.42 27.96 27.50 28.15 -0.431 -0.340 -0.249 -0.143 0.009 0.006 0.003 -0.001 STL NO Equity NO0010096985 STATOIL ASA Energy 139.60 5.01% 16.05.2013 29.15 26.81 27.07 26.67 28.69 28.87 -0.267 -0.002 -0.098 -0.196 -0.075 -0.071 0.048 0.011 0.001 0.003 -0.001 0.000 STM IM Equity NL0000226223 STMICROELECTRONICS NV Information Technology 3.97 10.47% 20.05.2013 55.50 51.74 51.19 48.67 47.85 49.33 48.64 0.299 0.288 0.165 0.157 0.125 0.381 0.466 0.018 0.006 0.002 -0.001 -0.001 -0.003 -0.003 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 5. 22.05.2012 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 ISIN 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 STERV FH Equity FI0009005961 STORA ENSO OYJ-R SHS Materials 4.63 6.47% 25.04.2013 41.34 39.55 39.66 39.21 -0.274 -0.169 -0.159 -0.180 0.010 0.003 0.002 0.002 STB NO Equity NO0003053605 STOREBRAND ASA Financials 19.15 7.83% 11.04.2013 68.41 65.76 63.03 -0.260 -0.314 -0.371 0.041 0.029 0.018 STMN SE Equity CH0012280076 STRAUMANN HOLDING AG-REG Health Care 156.20 2.40% 22.03.2013 25.76 25.44 25.39 24.63 25.28 25.45 -0.103 -0.072 -0.041 -0.040 -0.038 -0.023 0.005 0.002 0.001 0.001 0.001 0.001 SUBC NO Equity LU0075646355 SUBSEA 7 SA Energy 132.30 28.05.2013 38.90 36.72 34.46 -0.309 -0.371 -0.435 0.029 0.022 0.015 SZU GY Equity DE0007297004 SUEDZUCKER AG Consumer Staples 24.66 2.84% 02.08.2013 23.00 21.75 22.42 22.91 23.43 22.68 22.47 -0.018 -0.100 -0.058 -0.037 -0.054 -0.020 0.002 0.028 0.007 0.005 0.002 0.003 0.005 0.006 SEV FP Equity FR0010613471 SUEZ ENVIRONNEMENT CO Utilities 9.58 6.78% 24.05.2013 36.82 35.12 35.27 34.23 30.45 29.57 26.87 -0.082 -0.152 -0.110 -0.192 -0.165 -0.170 -0.154 0.022 0.003 0.002 0.003 0.003 0.001 0.001 SUN SE Equity CH0038388911 SULZER AG-REG Industrials 118.00 2.54% 18.04.2013 34.02 33.47 33.48 33.37 33.83 33.74 -0.213 -0.159 -0.159 -0.066 -0.070 -0.060 0.003 0.003 0.003 0.000 0.001 0.001 SCAB SS Equity SE0000112724 SVENSKA CELLULOSA AB-B SHS Materials 103.50 4.44% 08.04.2013 26.31 27.75 27.54 28.26 26.88 26.88 0.048 -0.129 -0.206 -0.161 -0.107 -0.107 0.039 0.015 0.004 0.001 0.000 0.000 SHBA SS Equity SE0000193120 SVENSKA HANDELSBANKEN-A SHS Financials 207.20 4.83% 27.03.2013 30.26 31.27 30.57 30.65 30.36 30.36 -0.302 -0.363 -0.325 -0.272 -0.194 -0.194 0.019 0.007 0.004 0.002 0.002 0.002 UHR VX Equity CH0012255151 SWATCH GROUP AG/THE-BR Consumer Discretionary 389.80 1.72% 21.05.2013 30.27 29.50 29.87 30.28 30.38 30.89 30.48 -0.459 -0.259 -0.215 -0.243 -0.172 -0.124 -0.114 0.018 0.003 0.002 0.003 0.002 0.001 0.001 SWEDA SS Equity SE0000242455 SWEDBANK AB - A SHARES Financials 105.00 5.05% 28.03.2013 38.10 39.72 38.22 38.06 36.79 36.79 -0.568 -0.499 -0.434 -0.333 -0.225 -0.225 0.029 0.010 0.007 0.005 0.000 0.000 SWMA SS Equity SE0000310336 SWEDISH MATCH AB Consumer Staples 267.50 2.80% 03.05.2013 21.97 22.44 22.94 23.29 -0.012 -0.111 -0.114 -0.078 0.026 0.009 0.003 0.002 SLHN VX Equity CH0014852781 SWISS LIFE HOLDING AG-REG Financials 82.80 5.43% 24.04.2013 31.23 31.78 32.24 32.52 32.67 32.64 33.27 -0.177 -0.178 -0.197 -0.180 -0.143 -0.071 -0.084 0.008 0.003 0.004 0.002 0.001 -0.001 0.000 SPSN SE Equity CH0008038389 SWISS PRIME SITE-REG Financials 75.90 4.74% 22.04.2013 9.62 9.10 9.09 8.72 9.39 10.01 -0.178 -0.114 0.039 -0.031 0.025 0.027 0.017 0.007 0.001 0.005 0.002 0.001 SREN VX Equity CH0126881561 SWISS RE AG Financials 55.60 5.94% 19.04.2013 27.15 26.89 27.61 27.49 27.00 25.85 24.90 -0.436 -0.391 -0.340 -0.296 -0.188 -0.111 -0.087 0.018 0.008 0.005 0.004 0.002 0.002 0.003 SCMN VX Equity CH0008742519 SWISSCOM AG-REG Telecommunication Services 353.00 6.23% 12.04.2013 13.81 14.29 14.90 15.26 15.71 15.26 15.08 -0.178 -0.220 -0.175 -0.211 -0.137 -0.084 -0.062 0.022 0.006 0.004 0.006 0.004 0.002 0.003 SYDB DC Equity DK0010311471 SYDBANK A/S Financials 94.60 1.06% 15.03.2013 SY1 GY Equity DE000SYM9999 SYMRISE AG Materials 22.52 3.11% 16.05.2013 28.27 27.69 27.64 29.15 29.57 29.72 29.04 -0.016 -0.018 -0.015 -0.031 -0.025 -0.012 -0.027 0.018 0.007 0.004 0.001 0.001 0.000 0.001 SYNN VX Equity CH0011037469 SYNGENTA AG-REG Materials 306.30 2.81% 22.04.2013 23.40 23.24 23.93 24.32 24.72 24.54 24.41 -0.326 -0.237 -0.223 -0.237 -0.176 -0.139 -0.132 0.022 0.005 0.004 0.003 0.002 0.001 0.002 SYST VX Equity US87162M4096 SYNTHES INC-144A/REGS Health Care 156.40 1.41% 04.03.2013 12.57 10.88 10.78 10.49 9.91 9.68 9.66 -0.282 -0.079 -0.065 -0.077 -0.075 -0.066 -0.049 0.019 0.003 0.001 0.002 0.001 0.000 0.000 TATE LN Equity GB0008754136 TATE & LYLE PLC Consumer Staples 660.50 3.88% 27.06.2012 18.22 18.60 18.46 19.48 -0.406 -0.324 -0.232 -0.096 0.009 0.008 0.006 0.001 TW/ LN Equity GB0008782301 TAYLOR WIMPEY PLC Consumer Discretionary 42.32 1.89% 19.09.2012 TDC DC Equity DK0060228559 TDC A/S Telecommunication Services 38.99 11.80% 09.08.2012 TEC FP Equity FR0000131708 TECHNIP SA Energy 76.07 2.37% 09.05.2013 43.61 43.13 42.65 41.62 38.17 31.44 -0.327 -0.299 -0.271 -0.211 -0.123 -0.003 0.004 0.003 0.002 0.001 0.001 0.001 TRE SQ Equity ES0178165017 TECNICAS REUNIDAS SA Energy 30.25 4.46% 16.07.2012 38.77 36.27 36.17 35.23 33.49 33.16 32.92 -0.083 -0.115 -0.093 -0.078 -0.007 -0.032 0.016 0.001 0.001 0.001 0.000 0.000 0.001 0.000 TEL2B SS Equity SE0000314312 TELE2 AB-B SHS Telecommunication Services 112.70 5.99% 16.05.2013 26.85 28.65 28.70 28.19 28.57 28.57 -0.136 -0.179 -0.079 -0.192 -0.165 -0.165 0.028 0.019 0.018 0.005 0.001 0.001 TCY LN Equity GB00B282YM11 TELECITY GROUP PLC Information Technology 763.00 TIT IM Equity IT0003497168 TELECOM ITALIA SPA Telecommunication Services 0.74 5.84% 20.05.2013 40.39 38.41 38.93 36.49 37.00 39.00 37.90 -0.268 -0.250 -0.357 -0.194 -0.238 -0.308 -0.410 0.008 0.004 0.001 0.002 0.000 0.000 0.000 ERICB SS Equity SE0000108656 ERICSSON LM-B SHS Information Technology 61.75 4.37% 02.05.2013 31.82 36.73 35.05 33.88 32.60 32.60 32.60 -0.250 -0.247 -0.260 -0.162 -0.123 -0.123 -0.123 0.034 0.006 0.003 0.002 0.003 0.003 0.003 TEF SQ Equity ES0178430E18 TELEFONICA SA Telecommunication Services 9.88 13.15% 07.11.2012 41.61 38.64 37.71 35.23 26.30 23.01 17.73 -0.267 -0.215 -0.245 -0.139 0.018 0.342 0.402 0.005 0.001 0.003 0.001 0.001 -0.001 0.002 TKA AV Equity AT0000720008 TELEKOM AUSTRIA AG Telecommunication Services 7.76 4.90% 23.05.2013 27.37 25.40 24.46 25.36 32.93 34.31 0.580 0.433 0.092 0.165 0.801 1.001 0.073 0.032 0.012 0.018 -0.004 -0.005 TNET BB Equity BE0003826436 TELENET GROUP HOLDING NV Telecommunication Services 32.01 10.15% 27.08.2013 22.29 22.42 23.41 30.51 32.19 32.19 -0.242 -0.299 -0.086 0.559 0.582 0.582 0.020 0.008 -0.001 -0.008 -0.007 -0.007 TEL NO Equity NO0010063308 TELENOR ASA Telecommunication Services 98.70 6.08% 20.05.2013 26.35 28.10 27.71 27.25 -0.281 -0.200 -0.171 -0.184 0.047 0.018 0.009 0.002 RCF FP Equity FR0000051807 TELEPERFORMANCE Industrials 19.20 2.40% 06.06.2013 32.15 32.74 32.73 32.42 32.24 33.20 0.055 0.000 0.028 0.019 0.023 0.043 0.004 0.000 0.000 0.000 0.000 0.000 TLSN SS Equity SE0000667925 TELIASONERA AB Telecommunication Services 44.77 6.92% 04.04.2013 23.99 24.30 23.79 23.47 51.84 51.84 51.84 -0.463 -0.343 -0.326 -0.250 0.000 0.000 0.000 0.068 0.031 0.019 0.009 0.000 0.000 0.000 TEMN SE Equity CH0012453913 TEMENOS GROUP AG-REG Information Technology 15.35 51.56 51.57 51.27 47.57 47.68 47.72 -0.036 -0.045 -0.050 0.011 0.009 0.025 -0.001 0.000 0.001 0.000 0.000 0.000 TEN IM Equity LU0156801721 TENARIS SA Energy 13.41 0.76% 19.11.2012 40.08 39.15 38.98 38.87 -0.326 -0.274 -0.223 -0.185 0.005 0.003 0.002 0.001 TRN IM Equity IT0003242622 TERNA SPA Utilities 2.72 7.35% 19.11.2012 23.08 21.39 21.83 20.74 21.08 21.08 -0.346 -0.195 -0.198 -0.152 -0.077 -0.077 0.010 0.008 0.001 0.002 0.000 0.000 TSCO LN Equity GB0008847096 TESCO PLC Consumer Staples 310.15 4.90% 10.10.2012 22.92 21.56 21.63 22.61 23.02 22.57 22.59 -0.200 -0.194 -0.130 -0.093 -0.034 0.009 0.025 0.008 0.009 0.003 0.002 0.000 -0.002 -0.003 TGS NO Equity NO0003078800 TGS NOPEC GEOPHYSICAL CO ASA Energy 159.30 3.77% 07.06.2013 44.33 44.25 44.16 -0.165 -0.214 -0.265 0.017 0.012 0.008 HO FP Equity FR0000121329 THALES SA Industrials 24.83 2.13% 27.05.2013 26.41 26.75 27.26 27.25 26.16 26.22 26.60 -0.134 -0.213 -0.191 -0.206 -0.158 -0.136 -0.104 0.018 0.002 0.003 0.003 0.002 0.002 0.002 TKA GY Equity DE0007500001 THYSSENKRUPP AG Materials 15.26 2.95% 21.01.2013 41.69 42.04 41.86 42.11 40.03 39.60 37.84 -0.321 -0.294 -0.286 -0.232 -0.143 -0.105 -0.035 0.012 0.007 0.005 0.002 0.001 0.000 0.000 TNTE NA Equity NL0009739424 TNT EXPRESS NV Industrials 8.96 1.34% 02.08.2012 31.87 32.05 32.44 32.96 33.16 33.16 33.16 -1.187 -1.018 -0.856 -0.323 -0.116 -0.116 -0.116 0.050 0.038 0.026 0.007 0.004 0.004 0.004 TOD IM Equity IT0003007728 TODS SPA Consumer Discretionary 80.25 3.43% 20.05.2013 TOP DC Equity DK0010259530 TOPDANMARK A/S Financials 976.50 FP FP Equity FR0000120271 TOTAL SA Energy 35.03 6.51% 17.12.2012 25.49 24.52 24.84 23.76 23.54 23.08 22.00 -0.253 -0.324 -0.303 -0.238 -0.142 -0.057 -0.074 0.020 0.012 0.008 0.005 0.002 0.000 0.001 TPK LN Equity GB0007739609 TRAVIS PERKINS PLC Industrials 929.50 2.64% 10.10.2012 TRELB SS Equity SE0000114837 TRELLEBORG AB-B SHS Industrials 71.05 3.87% 22.04.2013 33.69 35.97 35.40 36.56 36.22 36.22 -0.524 -0.205 -0.221 -0.196 -0.175 -0.175 0.042 0.002 0.005 0.000 -0.001 -0.001 TT/ LN Equity GB00B1Z7RQ77 TUI TRAVEL PLC Consumer Discretionary 171.70 6.81% 06.03.2013 TLW LN Equity GB0001500809 TULLOW OIL PLC Energy 1389.00 1.01% 26.09.2012 35.63 35.48 35.32 32.61 -0.064 -0.065 -0.066 -0.074 0.000 0.001 0.002 0.001 UBM LN Equity JE00B2R84W06 UBM PLC Consumer Discretionary 533.00 5.25% 22.08.2012 UBSN VX Equity CH0024899483 UBS AG-REG Financials 10.92 1.83% 22.04.2013 37.85 37.67 37.77 38.17 37.47 36.87 35.37 -0.376 -0.412 -0.395 -0.302 -0.217 -0.157 -0.081 0.016 0.006 0.006 0.003 0.001 0.000 0.001 UCB BB Equity BE0003739530 UCB SA Health Care 38.48 2.68% 02.05.2013 30.45 30.38 29.66 28.75 28.26 28.26 -0.177 -0.150 -0.077 -0.094 -0.059 -0.059 0.005 0.003 0.001 0.002 0.002 0.002 ULE LN Equity GB0009123323 ULTRA ELECTRONICS HLDGS PLC Industrials 1623.00 2.62% 15.08.2012 UMI BB Equity BE0003884047 UMICORE Materials 39.14 2.68% 07.09.2012 37.03 35.46 34.88 34.22 34.25 34.25 -0.293 -0.193 -0.138 -0.142 -0.090 -0.090 0.013 0.002 0.003 0.002 0.000 0.000Stoxx 600 Index UL FP Equity FR0000124711 UNIBAIL-RODAMCO SE Financials 134.40 6.18% 07.05.2013 27.81 26.71 26.50 26.00 25.38 25.38 25.38 -0.312 -0.264 -0.246 -0.236 -0.208 -0.208 -0.208 0.016 0.007 0.005 0.004 0.002 0.002 0.002 UCG IM Equity IT0004781412 UNICREDIT SPA Financials 2.54 4.32% 20.05.2013 71.09 70.01 70.09 68.48 62.33 63.05 53.76 -0.430 -0.421 -0.394 -0.311 -0.293 -0.287 -0.498 0.005 0.003 0.002 0.001 0.002 0.002 0.006 UNA NA Equity NL0000009355 UNILEVER NV-CVA Consumer Staples 25.04 3.93% 08.08.2012 17.80 17.92 18.94 19.44 19.50 19.84 19.81 -0.281 -0.131 -0.134 -0.209 -0.136 -0.105 -0.066 0.033 0.005 0.002 0.006 0.002 0.002 0.001 ULVR LN Equity GB00B10RZP78 UNILEVER PLC Consumer Staples 2014.00 3.85% 08.08.2012 18.52 18.79 19.24 20.01 20.19 20.19 -0.297 -0.250 -0.205 -0.137 -0.126 -0.126 0.007 0.005 0.004 0.001 0.001 0.001 UBI IM Equity IT0003487029 UBI BANCA SCPA Financials 2.37 5.48% 20.05.2013 66.31 63.38 60.79 58.83 56.25 56.25 -0.289 -0.206 -0.279 -0.284 -0.197 -0.197 0.010 0.001 0.003 0.002 0.001 0.001 UTDI GY Equity DE0005089031 UNITED INTERNET AG-REG SHARE Information Technology 13.86 2.16% 03.06.2013 26.96 26.95 27.47 32.51 32.37 33.23 32.66 -0.336 -0.252 -0.232 -0.194 -0.123 -0.080 -0.066 0.029 0.001 0.002 0.002 0.001 0.000 0.000 UU/ LN Equity GB00B39J2M42 UNITED UTILITIES GROUP PLC Utilities 624.50 5.24% 20.06.2012 21.41 20.89 20.37 19.18 0.300 0.173 0.046 -0.083 0.016 0.015 0.014 0.007 UPM1V FH Equity FI0009005987 UPM-KYMMENE OYJ Materials 8.74 6.86% 08.04.2013 39.60 39.47 39.27 39.11 -0.215 -0.172 -0.208 -0.166 0.001 0.000 0.001 0.001 FR FP Equity FR0000130338 VALEO SA Consumer Discretionary 35.48 3.95% 28.06.2013 45.30 46.41 45.58 42.50 41.27 41.27 -0.223 -0.225 -0.217 -0.184 -0.176 -0.176 0.002 0.002 0.002 0.002 0.001 0.001 VATN SE Equity CH0014786500 VALIANT HOLDING AG-REG Financials 110.60 2.89% 24.05.2013 20.11 19.82 19.69 19.33 19.28 19.75 -0.038 -0.125 -0.176 -0.237 -0.263 -0.260 0.019 0.003 0.001 0.001 0.001 0.001 VK FP Equity FR0000120354 VALLOUREC Industrials 31.99 4.06% 05.06.2013 51.18 48.78 49.07 47.70 45.16 46.41 46.16 -0.254 -0.257 -0.240 -0.219 -0.220 -0.181 -0.136 0.009 0.003 0.004 0.002 0.001 0.001 0.002 VED LN Equity GB0033277061 VEDANTA RESOURCES PLC Materials 1034.00 3.43% 14.11.2012 59.15 56.58 55.37 50.74 -0.210 -0.164 -0.122 -0.095 -0.004 -0.002 -0.001 0.000 VIE FP Equity FR0000124141 VEOLIA ENVIRONNEMENT Utilities 9.60 23.05.2013 48.26 47.49 46.36 44.58 41.01 38.27 35.14 -0.059 -0.171 -0.154 -0.172 -0.175 -0.091 0.000 0.015 0.003 0.000 0.002 0.000 0.001 0.002 VER AV Equity AT0000746409 VERBUND AG Utilities 18.93 3.69% 19.04.2013 27.76 28.33 29.37 29.92 36.52 38.64 0.654 0.072 -0.115 -0.116 0.427 0.599 0.044 0.016 0.000 0.002 -0.007 -0.010 VWS DC Equity DK0010268606 VESTAS WIND SYSTEMS A/S Industrials 38.35 29.04.2013 63.91 60.41 57.85 61.02 -0.265 -0.429 -0.257 -0.194 0.006 0.002 -0.002 -0.001 VCT LN Equity GB0009292243 VICTREX PLC Materials 1319.00 2.62% 06.02.2013 VIG AV Equity AT0000908504 VIENNA INSURANCE GROUP AG Financials 28.50 4.21% 13.05.2013 44.74 42.06 40.77 40.03 47.35 49.46 -0.033 -0.250 -0.183 -0.202 0.474 0.672 0.033 -0.004 0.000 0.000 -0.008 -0.012 DG FP Equity FR0000125486 VINCI SA Industrials 33.65 5.35% 12.12.2012 36.59 36.22 36.42 35.25 32.62 33.40 30.87 -0.444 -0.319 -0.302 -0.218 -0.148 -0.147 -0.028 0.011 0.006 0.003 0.002 0.002 0.000 0.002 VIS SQ Equity ES0184262212 VISCOFAN SA Consumer Staples 32.90 3.11% 24.12.2012 VIV FP Equity FR0000127771 VIVENDI Telecommunication Services 13.13 7.62% 06.05.2013 39.29 38.42 37.25 35.42 34.59 31.65 29.68 -0.300 -0.199 -0.162 -0.143 -0.074 0.020 0.033 0.017 0.005 0.005 0.002 -0.001 -0.004 -0.001 VOD LN Equity GB00B16GWD56 VODAFONE GROUP PLC Telecommunication Services 170.60 5.70% 14.11.2012 25.26 20.86 20.87 21.88 19.99 19.42 18.70 -0.236 -0.218 -0.206 -0.240 -0.137 -0.096 -0.079 0.008 0.008 0.005 0.002 0.002 0.000 0.001 VOE AV Equity AT0000937503 VOESTALPINE AG Materials 21.98 4.09% 09.07.2012 45.55 42.96 43.69 42.88 52.06 52.36 -0.257 -0.194 -0.145 -0.117 0.668 0.929 0.027 0.001 0.001 -0.003 -0.008 -0.011 VOW3 GY Equity DE0007664039 VOLKSWAGEN AG-PFD Consumer Discretionary 131.80 2.93% 19.04.2013 40.33 40.05 40.28 40.36 38.92 38.22 36.92 -0.429 -0.382 -0.287 -0.273 -0.165 -0.099 -0.073 0.012 0.005 0.003 0.002 0.001 0.001 0.001 VOLVB SS Equity SE0000115446 VOLVO AB-B SHS Industrials 83.00 4.22% 04.04.2013 38.30 37.57 39.26 39.06 38.87 38.87 -0.485 -0.301 -0.254 -0.195 -0.122 -0.122 0.025 0.008 0.003 0.003 0.005 0.005 WCH GY Equity DE000WCH8881 WACKER CHEMIE AG Materials 57.29 2.79% 17.05.2013 36.09 36.10 36.63 43.43 39.84 37.78 37.23 -0.467 -0.495 -0.585 -0.636 -0.786 -0.906 -1.023 0.006 0.006 0.006 0.003 0.009 0.014 0.016 WRT1V FH Equity FI0009003727 WARTSILA OYJ ABP Industrials 28.36 3.26% 04.03.2013 WEIR LN Equity GB0009465807 WEIR GROUP PLC/THE Industrials 1572.00 2.49% 03.10.2012 MF FP Equity FR0000121204 WENDEL Financials 55.40 2.35% 10.06.2013 38.32 37.06 37.36 40.17 41.13 42.23 -0.242 -0.229 -0.230 -0.214 -0.214 -0.197 0.004 0.002 0.002 0.002 0.001 0.002 WHA NA Equity NL0000289213 WERELDHAVE NV Financials 49.78 9.54% 15.04.2013 25.02 24.46 24.52 24.29 24.60 24.60 24.60 -0.150 -0.232 -0.239 -0.210 -0.164 -0.164 -0.164 0.014 0.003 0.001 0.000 -0.002 -0.002 -0.002 WTB LN Equity GB00B1KJJ408 WHITBREAD PLC Consumer Discretionary 1832.00 2.95% 24.10.2012 23.85 23.39 22.92 21.85 -0.131 -0.137 -0.143 -0.109 0.006 0.005 0.004 0.001 WIE AV Equity AT0000831706 WIENERBERGER AG Industrials 7.59 1.58% 15.05.2013 37.77 37.67 38.09 39.45 44.02 45.47 -0.161 -0.039 -0.131 -0.084 0.376 0.496 0.055 0.015 0.000 0.004 -0.006 -0.009 WDH DC Equity DK0010268440 WILLIAM DEMANT HOLDING Health Care 520.00 WMH LN Equity GB0031698896 WILLIAM HILL PLC Consumer Discretionary 272.10 3.93% 24.10.2012 23.00 23.90 24.79 26.53 -0.166 -0.159 -0.151 -0.097 0.008 0.006 0.005 0.002 WIN GY Equity DE000A0CAYB2 WINCOR NIXDORF AG Information Technology 29.22 3.76% 22.01.2013 37.44 36.63 36.63 36.49 36.19 35.90 38.12 -0.247 -0.162 -0.143 -0.146 -0.144 -0.123 -0.205 0.007 0.002 0.003 0.002 0.001 0.001 0.000 WDI GY Equity DE0007472060 WIRECARD AG Information Technology 13.89 0.72% 24.06.2013 37.68 38.37 38.38 38.54 38.56 38.96 39.18 -0.222 -0.203 -0.193 -0.108 -0.024 0.002 0.004 0.000 0.001 0.002 0.001 0.000 -0.001 -0.001 MRW LN Equity GB0006043169 WM MORRISON SUPERMARKETS Consumer Staples 265.70 4.50% 26.09.2012 20.11 19.43 20.38 21.07 -0.076 -0.129 -0.156 -0.086 0.001 0.004 0.000 0.001 WOS LN Equity JE00B3YWCQ29 WOLSELEY PLC Industrials 2230.00 2.91% 10.10.2012 33.49 33.23 32.97 32.56 -0.365 -0.292 -0.218 -0.088 0.006 0.005 0.005 -0.001 WKL NA Equity NL0000395903 WOLTERS KLUWER Consumer Discretionary 12.00 5.84% 29.04.2013 27.10 26.27 26.03 26.12 25.77 24.60 25.20 -0.276 -0.223 -0.218 -0.217 -0.129 -0.071 -0.050 0.024 0.010 0.007 0.004 0.003 0.003 0.003 WPP LN Equity JE00B3DMTY01 WPP PLC Consumer Discretionary 785.50 3.30% 10.10.2012 31.78 31.13 30.47 29.51 -0.213 -0.208 -0.204 -0.138 0.006 0.005 0.004 0.003 XTA LN Equity GB0031411001 XSTRATA PLC Materials 966.40 2.62% 12.09.2012 43.78 44.15 43.62 41.85 41.30 41.30 -0.255 -0.182 -0.103 -0.123 -0.105 -0.105 0.016 0.000 0.002 -0.001 -0.002 -0.002 YAR NO Equity NO0010208051 YARA INTERNATIONAL ASA Materials 245.50 3.05% 10.05.2013 37.93 39.20 38.89 38.59 -0.243 -0.170 -0.103 -0.121 0.013 -0.001 -0.001 -0.001 YTY1V FH Equity FI0009800643 YIT OYJ Industrials 14.18 4.94% 14.03.2013 53.12 50.20 49.26 -0.212 -0.171 -0.137 0.004 0.001 0.001 ZOT SQ Equity ES0184933812 ZARDOYA OTIS SA Industrials 8.86 5.64% 12.09.2012 ZC FP Equity FR0000125684 ZODIAC AEROSPACE Industrials 78.52 1.66% 14.01.2013 32.56 29.71 29.61 29.01 28.74 29.19 -0.396 -0.243 -0.203 -0.227 -0.160 -0.138 0.003 -0.001 0.002 0.002 0.001 0.001 ZURN VX Equity CH0011075394 ZURICH INSURANCE GROUP AG Financials 203.60 8.60% 04.04.2013 24.84 24.47 25.12 25.53 25.00 22.76 20.91 -0.419 -0.384 -0.357 -0.287 -0.185 -0.111 -0.081 0.021 0.010 0.006 0.003 0.003 0.003 0.004 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security 0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid 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