26.03.2013                                                                                                                ...
26.03.2013                                                                                                                ...
Stoxx 600 index   dividends and implied volatility surfaces parameters
Stoxx 600 index   dividends and implied volatility surfaces parameters
Stoxx 600 index   dividends and implied volatility surfaces parameters
Upcoming SlideShare
Loading in...5
×

Stoxx 600 index dividends and implied volatility surfaces parameters

159

Published on

0 Comments
0 Likes
Statistics
Notes
  • Be the first to comment

  • Be the first to like this

No Downloads
Views
Total Views
159
On Slideshare
0
From Embeds
0
Number of Embeds
0
Actions
Shares
0
Downloads
2
Comments
0
Likes
0
Embeds 0
No embeds

No notes for slide

Stoxx 600 index dividends and implied volatility surfaces parameters

  1. 1. 26.03.2013 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker 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 315.80 2.60% 19.06.2013 20.11 20.11 20.10 19.88 -0.329 -0.329 -0.323 -0.094 0.023 0.023 0.022 0.000 AALB NA Equity NL0000852564 AALBERTS INDUSTRIES NV Industrials 17.42 2.01% 29.04.2014 17.66 18.91 19.24 20.31 21.22 -0.258 -0.157 -0.149 -0.116 -0.078 0.026 0.010 0.007 0.003 0.003 ABBN VX Equity CH0012221716 ABB LTD-REG Industrials 21.47 3.17% 30.04.2014 15.92 17.40 17.71 18.34 19.77 19.81 19.59 -0.169 -0.009 -0.130 -0.122 -0.112 -0.114 -0.099 0.034 0.013 0.010 0.005 0.002 0.002 0.002 ADN LN Equity GB0000031285 ABERDEEN ASSET MGMT PLC Financials 429.30 3.07% 08.05.2013 ABE SQ Equity ES0111845014 ABERTIS INFRAESTRUCTURAS SA Industrials 13.40 4.93% 31.10.2013 22.29 22.91 23.53 23.08 23.05 23.14 23.37 -0.135 -0.118 -0.154 -0.160 -0.163 -0.118 -0.101 0.003 0.001 0.001 0.001 0.001 0.001 0.000 ANA SQ Equity ES0125220311 ACCIONA SA Utilities 45.28 5.96% 04.06.2013 41.36 37.74 28.73 36.09 34.65 33.99 34.23 -0.128 -0.037 0.295 -0.093 -0.135 -0.150 -0.168 -0.001 0.000 0.000 -0.001 0.000 0.000 0.000 AC FP Equity FR0000120404 ACCOR SA Consumer Discretionary 27.27 2.79% 11.06.2014 25.78 25.04 24.40 25.85 26.54 27.13 27.69 -0.287 -0.213 -0.188 -0.125 -0.099 -0.122 -0.107 0.018 0.006 0.003 0.001 0.002 0.001 0.001 ACX SQ Equity ES0132105018 ACERINOX SA Materials 8.19 6.72% 05.07.2013 30.13 30.29 30.33 31.84 31.38 33.03 32.79 -0.068 -0.062 -0.107 -0.133 0.052 0.159 0.155 0.002 0.001 0.001 0.000 -0.001 -0.002 -0.002 ACKB BB Equity BE0003764785 ACKERMANS & VAN HAAREN Financials 65.65 2.54% 29.05.2013 ACS SQ Equity ES0167050915 ACS ACTIVIDADES CONS Y SERV Industrials 18.24 6.31% 05.07.2013 29.58 28.08 27.63 26.35 25.20 25.34 23.72 -0.212 -0.186 -0.222 -0.128 -0.349 -0.233 -0.355 0.003 0.001 0.001 -0.001 0.001 -0.002 0.001 ATLN VX Equity CH0010532478 ACTELION LTD-REG Health Care 51.25 1.95% 22.04.2014 23.97 23.82 25.00 25.31 25.55 25.72 -0.308 -0.099 -0.106 -0.087 -0.094 -0.085 0.016 0.004 0.006 0.001 0.001 0.001 ADEN VX Equity CH0012138605 ADECCO SA-REG Industrials 52.45 3.43% 28.04.2014 22.31 22.86 22.67 23.92 24.62 24.82 24.52 -0.119 -0.059 -0.141 -0.102 -0.087 -0.114 -0.113 0.015 0.003 0.005 0.002 0.001 0.002 0.002 ADS GY Equity DE000A1EWWW0 ADIDAS AG Consumer Discretionary 82.71 1.63% 09.05.2014 20.97 22.86 22.69 22.57 22.43 22.95 23.10 -0.199 -0.146 -0.139 -0.117 -0.082 -0.035 -0.002 0.023 0.007 0.005 0.002 0.001 0.000 0.000 ADM LN Equity GB00B02J6398 ADMIRAL GROUP PLC Financials 1325.00 4.98% 11.09.2013 AGS LN Equity GB00B4JV1B90 AEGIS GROUP PLC Consumer Discretionary 239.80 12.06.2013 AGN NA Equity NL0000303709 AEGON NV Financials 4.62 4.76% 15.08.2013 30.20 30.27 30.24 28.52 29.10 28.06 27.19 -0.066 -0.133 -0.196 -0.126 -0.049 0.000 0.086 0.021 0.006 0.008 0.004 0.000 0.003 0.003 ADP FP Equity FR0010340141 ADP Industrials 67.04 3.09% 12.05.2014 19.49 19.35 19.60 20.32 20.45 19.98 -0.163 -0.038 0.032 0.037 0.035 0.031 0.007 0.003 -0.001 -0.001 -0.001 0.000 AFR LN Equity GB00B0672758 AFREN PLC Energy 145.00 AGS BB Equity BE0974264930 AGEAS Financials 25.86 4.64% 29.04.2013 27.68 27.28 26.62 26.52 26.31 25.39 25.32 -0.038 -0.078 -0.073 -0.057 -0.038 -0.037 -0.016 0.006 0.001 0.002 0.001 0.000 0.001 0.001 AGK LN Equity GB00B4WQ2Z29 AGGREKO PLC Industrials 1798.00 1.38% 04.09.2013 AF FP Equity FR0000031122 AIR FRANCE-KLM Industrials 7.47 16.07.2013 41.02 40.91 41.34 40.41 40.02 37.43 37.72 -0.212 -0.117 -0.163 -0.127 -0.112 0.114 0.115 0.002 0.001 0.004 0.002 0.000 0.000 -0.001 AI FP Equity FR0000120073 AIR LIQUIDE SA Materials 94.65 2.64% 12.05.2014 16.29 17.38 17.10 18.13 19.14 20.08 20.52 -0.151 -0.178 -0.146 -0.122 -0.122 -0.113 -0.128 0.022 0.010 0.009 0.003 0.002 0.002 0.002 AIXA GY Equity DE000A0WMPJ6 AIXTRON SE Information Technology 11.52 26.05.2014 32.49 35.64 35.63 36.18 36.62 37.85 37.78 -0.233 -0.065 -0.069 -0.033 -0.044 -0.209 -0.293 0.013 0.004 0.004 0.001 0.001 0.002 0.003 AKSO NO Equity NO0010215684 AKER SOLUTIONS ASA Energy 108.20 3.70% 18.04.2014 31.49 31.49 31.52 32.32 -0.121 -0.121 -0.123 -0.175 0.007 0.007 0.007 0.000 AKZA NA Equity NL0000009132 AKZO NOBEL Materials 51.24 2.85% 22.10.2013 26.38 24.05 23.72 23.79 24.08 23.72 23.46 -0.318 -0.184 -0.178 -0.122 -0.095 -0.066 -0.049 0.012 0.008 0.006 0.003 0.002 0.001 0.001 ALU FP Equity FR0000130007 ALCATEL-LUCENT Information Technology 1.04 09.06.2014 61.29 59.51 58.03 58.35 59.06 60.88 61.69 -0.318 -0.284 -0.251 -0.060 -0.041 -0.058 -0.047 0.005 0.004 0.005 0.004 0.001 0.000 0.000 ALFA SS Equity SE0000695876 ALFA LAVAL AB Industrials 147.70 2.37% 24.04.2014 19.95 22.67 21.75 22.50 23.98 23.98 -0.219 -0.098 -0.107 -0.129 -0.085 -0.085 0.042 0.014 0.008 0.002 0.000 0.000 ALV GY Equity DE0008404005 ALLIANZ SE-REG Financials 108.50 4.15% 08.05.2014 21.70 21.75 22.05 21.83 21.92 21.52 20.72 -0.270 -0.194 -0.176 -0.153 -0.120 -0.069 -0.048 0.020 0.009 0.006 0.003 0.002 0.001 0.002 ALLN SE Equity CH0008837566 ALLREAL HOLDING AG-REG Financials 137.40 4.00% 10.04.2014 ALO FP Equity FR0010220475 ALSTOM Industrials 33.12 2.87% 27.06.2013 28.04 30.32 29.88 29.04 29.95 29.70 29.49 -0.430 -0.287 -0.238 -0.111 -0.092 -0.059 -0.041 0.019 0.007 0.005 0.002 0.001 0.002 0.002 AMS SQ Equity EU0009658145 AMADEUS IT HOLDING SA-A SHS Information Technology 20.64 2.52% 29.07.2013 19.10 19.09 19.23 19.44 19.60 19.54 19.58 -0.104 -0.078 -0.110 -0.124 -0.108 -0.095 -0.087 0.001 0.001 0.000 0.002 0.001 0.001 0.001 AMEC LN Equity GB0000282623 AMEC PLC Energy 1059.00 3.52% 27.11.2013 AMEAS FH Equity FI0009000285 AMER SPORTS OYJ Consumer Discretionary 12.75 3.14% 10.03.2014 AML LN Equity GB00B2988H17 AMLIN PLC Financials 425.70 5.71% 04.09.2013 ANDR AV Equity AT0000730007 ANDRITZ AG Industrials 50.95 26.03.2014 21.70 25.44 24.59 25.36 20.72 16.58 -0.703 -0.050 -0.046 -0.001 0.499 0.672 0.056 0.001 0.001 0.000 0.001 0.003 AAL LN Equity GB00B1XZS820 ANGLO AMERICAN PLC Materials 1728.50 3.43% 14.08.2013 30.80 29.95 30.21 30.97 29.71 32.74 32.25 -0.120 -0.147 -0.172 -0.113 -0.003 -0.054 -0.062 0.009 0.003 0.002 0.001 0.001 0.000 0.000 ABI BB Equity BE0003793107 ANHEUSER-BUSCH INBEV NV Consumer Staples 75.10 3.46% 16.10.2013 20.61 20.65 19.87 20.98 21.21 21.21 -0.285 -0.172 -0.162 -0.129 -0.084 -0.084 0.011 0.007 0.006 0.003 0.002 0.002 ANTO LN Equity GB0000456144 ANTOFAGASTA PLC Materials 1013.00 1.40% 11.09.2013 30.99 30.99 31.00 31.96 -0.110 -0.110 -0.109 -0.096 0.000 0.000 0.000 0.001 MAERSKB DC Equity DK0010244508 AP MOELLER-MAERSK A/S-B Industrials 46080.00 2.60% 14.04.2014 34.34 29.33 27.40 25.45 25.11 -0.098 -0.207 -0.211 -0.148 -0.107 0.001 0.000 0.000 0.000 0.000 MT NA Equity LU0323134006 ARCELORMITTAL Materials 10.37 1.50% 09.05.2014 34.23 34.82 35.14 33.90 34.47 34.45 34.61 -0.093 -0.127 -0.184 -0.118 -0.091 -0.059 -0.053 0.004 0.003 0.002 0.002 0.001 0.003 0.002 AKE FP Equity FR0010313833 ARKEMA Materials 70.85 2.54% 29.05.2014 30.28 30.28 30.30 31.27 32.16 32.17 -0.017 -0.017 -0.017 -0.036 -0.027 -0.027 0.002 0.002 0.002 0.000 0.000 0.000 ARM LN Equity DE0005557508 ARM HOLDINGS PLC Information Technology 913.50 0.53% 04.09.2013 27.67 27.67 27.69 28.82 -0.080 -0.080 -0.080 -0.082 0.002 0.002 0.002 0.001 ARYN SE Equity CH0043238366 ARYZTA AG Consumer Staples 53.10 1.29% 29.01.2014 16.24 16.66 16.87 17.64 18.04 18.30 0.035 -0.082 -0.086 -0.056 -0.039 -0.053 0.009 0.001 -0.001 0.000 0.000 0.000 ASHM LN Equity GB00B132NW22 ASHMORE GROUP PLC Financials 350.30 4.55% 06.11.2013 AHT LN Equity GB0000536739 ASHTEAD GROUP PLC Industrials 582.50 0.79% 14.08.2013 ASM NA Equity NL0000334118 ASM INTERNATIONAL NV Information Technology 26.58 27.06 28.31 26.41 26.46 0.002 -0.068 -0.264 -0.209 0.008 0.004 0.003 0.003 ASML NA Equity NL0010273215 ASML HOLDING NV Information Technology 52.73 1.01% 24.04.2014 31.84 29.06 28.34 28.59 28.84 28.62 28.47 -0.251 -0.187 -0.219 -0.156 -0.125 -0.098 -0.075 0.005 0.001 0.004 0.002 0.001 0.001 0.001 ASSAB SS Equity SE0000255648 ASSA ABLOY AB-B Industrials 259.20 1.97% 28.04.2014 18.83 20.16 20.37 21.39 23.35 23.36 -0.164 -0.075 -0.084 -0.111 -0.109 -0.109 0.051 0.025 0.015 0.006 0.000 0.000 G IM Equity IT0000062072 ASSICURAZIONI GENERALI Financials 12.69 1.58% 19.05.2014 33.24 32.12 30.67 29.47 28.76 28.25 27.51 -0.425 -0.287 -0.298 -0.240 -0.171 -0.083 -0.052 0.009 0.004 0.003 0.002 0.001 0.001 0.001 ABF LN Equity GB0006731235 ASSOCIATED BRITISH FOODS PLC Consumer Staples 1862.00 1.66% 05.06.2013 12.13 12.13 12.14 12.69 -0.038 -0.038 -0.038 -0.033 0.000 0.000 0.000 0.000 AZN LN Equity GB0009895292 ASTRAZENECA PLC Health Care 3251.00 5.88% 07.08.2013 14.98 15.08 14.66 15.07 15.20 16.18 16.41 -0.031 -0.204 -0.203 -0.115 -0.080 -0.064 -0.076 0.006 0.007 0.007 0.003 0.003 0.003 0.003 ATL IM Equity IT0003506190 ATLANTIA SPA Industrials 12.41 6.17% 18.11.2013 23.97 24.95 23.98 23.74 25.29 25.31 -0.306 -0.260 -0.165 -0.165 -0.152 -0.151 0.013 0.007 0.004 0.004 0.001 0.001 ATCOA SS Equity SE0000101032 ATLAS COPCO AB-A SHS Industrials 182.50 3.01% 30.04.2014 17.34 20.08 19.76 20.95 24.08 24.10 -0.238 -0.107 -0.110 -0.106 -0.099 -0.099 0.040 0.017 0.010 0.003 0.001 0.001 ATO FP Equity FR0000051732 ATOS Information Technology 54.72 1.10% 13.06.2013 25.15 25.15 25.17 25.92 27.43 27.44 -0.110 -0.110 -0.110 -0.102 -0.101 -0.101 0.003 0.003 0.003 0.001 0.000 0.000 NDA GY Equity DE0006766504 AURUBIS AG Materials 50.91 2.65% 28.02.2014 22.81 24.03 23.64 24.40 24.44 25.69 26.06 0.050 -0.066 -0.142 -0.014 0.029 0.032 0.043 0.007 0.001 0.003 0.001 0.000 0.000 0.000Stoxx 600 Index AVV LN Equity GB00B15CMQ74 AVEVA GROUP PLC Information Technology 2263.00 1.10% 19.06.2013 AV/ LN Equity GB0002162385 AVIVA PLC Financials 303.00 6.60% 18.09.2013 25.22 27.25 26.46 24.64 22.93 25.01 25.65 -0.229 -0.164 -0.170 -0.117 -0.066 -0.065 0.024 0.007 0.003 0.002 0.002 0.003 0.001 -0.001 CS FP Equity FR0000120628 AXA SA Financials 13.77 5.23% 05.05.2014 27.51 27.23 26.78 26.58 26.82 26.62 26.77 -0.306 -0.163 -0.156 -0.138 -0.106 -0.126 -0.117 0.022 0.010 0.008 0.004 0.001 0.001 0.000 SPR GY Equity DE0005501357 AXEL SPRINGER AG Consumer Discretionary 34.55 4.92% 24.04.2014 17.58 18.40 18.52 18.51 18.52 19.75 19.60 -0.130 0.061 0.031 0.011 0.009 -0.025 -0.038 0.022 0.004 0.002 0.000 0.000 0.000 0.001 BAB LN Equity GB0009697037 BABCOCK INTL GROUP PLC Industrials 1088.00 2.40% 03.07.2013 BA/ LN Equity GB0002634946 BAE SYSTEMS PLC Industrials 385.60 5.13% 16.10.2013 22.17 23.01 22.84 22.17 22.05 22.05 -0.115 -0.066 -0.085 -0.042 -0.040 -0.040 0.006 0.003 0.001 0.000 0.001 0.001 BBY LN Equity GB0000961622 BALFOUR BEATTY PLC Industrials 237.00 5.99% 09.10.2013 BALN VX Equity CH0012410517 BALOISE HOLDING AG - REG Financials 89.20 5.04% 06.05.2014 16.85 14.79 15.70 15.72 16.67 17.53 17.27 -0.215 -0.077 -0.106 -0.108 -0.075 -0.078 -0.079 0.025 0.014 0.010 0.005 0.002 0.002 0.001 BMPS IM Equity IT0001334587 BANCA MONTE DEI PASCHI SIENA Financials 0.19 20.05.2013 52.91 51.38 51.05 47.53 36.15 25.80 21.52 -0.292 -0.233 -0.276 -0.330 -0.091 -0.984 -1.113 0.004 0.004 0.004 0.007 0.001 0.021 0.025 BPE IM Equity IT0000066123 BANCA POPOL EMILIA ROMAGNA Financials 5.74 19.05.2014 60.49 57.55 57.78 62.48 62.22 65.80 -0.092 -0.386 -0.338 -0.257 -0.191 -0.252 0.001 0.004 0.005 0.002 0.001 -0.003 PMI IM Equity IT0000064482 BANCA POPOLARE DI MILANO Financials 0.51 19.05.2014 56.45 53.56 52.64 50.24 47.57 47.56 -0.321 -0.178 -0.295 -0.244 -0.183 -0.183 0.012 0.004 0.001 0.002 0.002 0.002 BPSO IM Equity IT0000784196 BANCA POPOLARE DI SONDRIO Financials 4.29 3.50% 22.04.2013 45.20 38.10 38.08 37.18 37.53 41.11 -0.658 -0.210 -0.169 -0.133 -0.081 -0.157 0.000 0.003 0.002 0.003 0.001 -0.001 BBVA SQ Equity US78378X1072 BANCO BILBAO VIZCAYA ARGENTA Financials 7.02 5.97% 10.07.2013 32.94 33.19 33.06 32.17 30.22 29.15 28.44 -0.402 -0.347 -0.254 -0.272 -0.165 -0.110 -0.055 0.009 0.002 0.001 0.001 -0.001 -0.002 0.000 BCP PL Equity PTBCP0AM0007 BANCO COMERCIAL PORTUGUES-R Financials 0.10 3.29% 22.04.2013 SAB SQ Equity ES0113860A34 BANCO DE SABADELL SA Financials 1.48 0.68% 10.09.2013 38.73 39.12 37.88 34.09 32.78 35.44 35.73 -0.348 -0.180 -0.339 -0.316 -0.376 -0.219 -0.278 0.014 -0.001 0.006 0.007 0.007 0.003 0.006 BES PL Equity PTBES0AM0007 BANCO ESPIRITO SANTO-REG Financials 0.85 07.04.2014 BP IM Equity IT0004231566 BANCO POPOLARE SCARL Financials 1.02 23.05.2013 51.25 48.66 46.00 44.18 40.90 40.88 -0.329 -0.296 -0.368 -0.207 -0.103 -0.102 0.001 0.002 0.008 0.001 0.000 0.000 POP SQ Equity ES0113790531 BANCO POPULAR ESPANOL Financials 0.60 2.70% 18.06.2013 70.93 58.61 55.78 61.41 57.42 59.27 57.24 -0.118 0.005 0.129 -0.328 -0.351 -0.181 0.149 0.010 0.000 0.001 -0.002 0.001 0.001 0.000 SAN SQ Equity ES0113900J37 BANCO SANTANDER SA Financials 5.45 11.00% 08.07.2013 36.00 34.22 33.17 31.65 28.93 28.63 28.24 0.086 -0.212 -0.267 -0.162 -0.090 0.164 0.240 0.020 0.001 0.000 0.000 0.001 -0.005 -0.002 BKIR ID Equity IE0030606259 BANK OF IRELAND Financials 0.16 14.08.2013 53.68 56.25 53.75 53.68 53.99 54.21 -0.154 0.007 -0.067 -0.057 0.005 0.008 0.010 -0.002 0.002 0.003 -0.001 -0.001 BCVN SE Equity CH0015251710 BANQUE CANTONALE VAUDOIS-REG Financials 522.50 6.12% 29.04.2014 22.23 16.20 20.84 21.36 22.80 25.54 -0.037 0.173 0.203 0.181 0.146 0.220 0.004 0.006 0.003 0.002 0.001 -0.002 BARC LN Equity GB0031348658 BARCLAYS PLC Financials 285.90 2.45% 01.05.2013 34.35 34.95 33.81 32.25 30.67 29.91 30.02 -0.172 -0.255 -0.289 -0.203 -0.112 -0.098 -0.096 0.006 0.001 0.003 0.001 0.000 0.002 0.002 BDEV LN Equity GB0000811801 BARRATT DEVELOPMENTS PLC Consumer Discretionary 268.50 0.93% 23.10.2013 21.99 21.99 21.98 21.35 -0.062 -0.062 -0.060 0.027 0.000 0.000 0.000 0.002 BARN SE Equity CH0009002962 BARRY CALLEBAUT AG-REG Consumer Staples 914.50 1.86% 27.02.2014 16.81 16.49 16.36 16.95 17.59 17.54 -0.023 -0.026 -0.040 -0.039 -0.036 -0.036 0.001 0.000 0.001 0.001 0.000 0.001 BAS GY Equity DE000BASF111 BASF SE Materials 70.17 3.71% 02.05.2014 20.22 21.82 21.88 22.34 23.20 22.94 22.56 -0.186 -0.161 -0.156 -0.118 -0.080 -0.024 0.003 0.023 0.008 0.006 0.003 0.001 0.001 0.002 BAYN GY Equity DE000BAY0017 BAYER AG-REG Health Care 78.98 2.41% 28.04.2014 20.42 21.71 21.82 22.67 23.18 23.23 23.08 -0.213 -0.200 -0.172 -0.124 -0.097 -0.067 -0.044 0.025 0.008 0.006 0.003 0.001 0.001 0.001 BMW GY Equity DE0005190003 BAYERISCHE MOTOREN WERKE AG Consumer Discretionary 70.03 3.57% 19.05.2014 25.51 25.37 25.20 25.22 24.90 24.73 24.35 -0.183 -0.090 -0.076 -0.079 -0.059 -0.045 -0.015 0.016 0.006 0.004 0.002 0.001 0.002 0.002 BEI GY Equity DE0005200000 BEIERSDORF AG Consumer Staples 71.77 0.98% 22.04.2014 17.31 18.44 18.27 18.40 18.09 18.20 18.41 -0.270 -0.157 -0.108 -0.098 -0.084 -0.082 -0.065 0.014 0.007 0.006 0.004 0.002 0.001 0.001 BELG BB Equity BE0003810273 BELGACOM SA Telecommunication Services 19.53 11.17% 10.12.2013 19.37 16.56 19.47 19.97 18.96 18.97 0.103 0.193 0.101 -0.005 0.038 0.038 0.022 0.010 0.009 0.001 0.000 0.000 BWY LN Equity GB0000904986 BELLWAY PLC Consumer Discretionary 1213.00 2.10% 11.12.2013 BKG LN Equity GB00B02L3W35 BERKELEY GROUP HOLDINGS Consumer Discretionary 2012.00 BG/ LN Equity GB0008762899 BG GROUP PLC Energy 1141.50 1.55% 31.07.2013 19.78 21.44 21.72 23.08 23.79 23.79 -0.247 -0.062 -0.075 -0.043 -0.006 -0.006 0.008 0.006 0.005 0.001 0.000 0.000 BLT LN Equity GB0000566504 BHP BILLITON PLC Materials 1930.00 4.10% 04.09.2013 25.40 25.12 25.35 25.84 26.15 26.59 27.02 -0.216 -0.196 -0.238 -0.130 -0.097 -0.066 -0.070 0.005 0.003 0.002 0.001 0.000 0.001 0.001 GBF GY Equity DE0005909006 BILFINGER SE Industrials 81.28 3.69% 22.04.2014 16.28 19.03 19.05 20.31 21.45 21.88 21.48 -0.217 -0.113 -0.156 -0.136 -0.095 -0.107 -0.093 0.013 0.005 0.008 0.004 0.002 0.002 0.002 BIM FP Equity FR0010096479 BIOMERIEUX Health Care 72.11 1.36% 02.06.2014 23.24 23.04 23.22 23.15 23.08 23.48 -0.057 -0.001 -0.007 0.005 0.011 0.005 0.003 0.000 0.001 0.000 0.000 0.000 BNP FP Equity FR0000131104 BNP PARIBAS Financials 40.68 3.69% 30.05.2014 34.09 36.45 34.40 32.71 31.11 31.36 31.86 -0.234 -0.206 -0.201 -0.156 -0.120 -0.133 -0.159 0.008 0.003 0.003 0.002 0.001 0.001 0.001 BOL SS Equity SE0000869646 BOLIDEN AB Materials 105.30 3.80% 05.05.2014 22.38 24.46 24.61 25.73 27.50 27.50 -0.526 -0.128 -0.124 -0.124 -0.096 -0.096 0.058 0.015 0.010 0.003 0.002 0.002 BME SQ Equity ES0115056139 BOLSAS Y MERCADOS ESPANOLES Financials 19.50 8.22% 06.09.2013 35.03 31.73 30.23 27.07 23.87 23.36 23.01 -0.113 -0.078 -0.078 -0.081 -0.063 -0.090 -0.078 0.000 0.000 0.001 0.002 0.002 0.002 0.002 BOK LN Equity GB00B01TND91 BOOKER GROUP PLC Consumer Staples 124.10 2.05% 05.06.2013 EN FP Equity FR0000120503 BOUYGUES SA Industrials 21.84 7.33% 30.04.2014 32.31 33.80 33.78 32.21 30.94 30.63 30.65 -0.310 0.001 -0.039 -0.070 -0.054 0.001 0.041 0.019 0.010 0.005 0.002 0.001 0.000 -0.001 BP/ LN Equity GB0007980591 BP PLC Energy 461.50 5.28% 08.05.2013 17.58 17.67 17.80 18.86 20.94 19.62 19.10 -0.159 -0.130 -0.117 -0.088 -0.023 -0.044 -0.082 0.015 0.004 0.006 0.002 -0.001 0.002 0.003 BNR GY Equity DE000A1DAHH0 BRENNTAG AG Industrials 121.00 1.98% 20.06.2014 14.48 16.29 17.21 18.93 20.51 20.83 21.00 -0.222 -0.175 -0.191 -0.167 -0.113 -0.095 -0.078 0.022 0.004 0.003 0.002 0.001 0.001 0.001 BATS LN Equity GB0002875804 BRITISH AMERICAN TOBACCO PLC Consumer Staples 3493.00 4.18% 14.08.2013 14.90 15.57 15.86 16.89 -0.160 -0.195 -0.137 -0.080 0.004 0.005 0.005 0.002 BLND LN Equity GB0001367019 BRITISH LAND CO PLC Financials 547.50 4.89% 03.07.2013 13.72 13.72 13.75 15.40 -0.089 -0.089 -0.088 -0.062 0.012 0.012 0.011 -0.002 BSY LN Equity GB0001411924 BRITISH SKY BROADCASTING GRO Consumer Discretionary 890.00 3.19% 23.10.2013 17.36 18.50 18.15 17.95 17.90 17.90 0.084 0.000 -0.048 -0.054 0.022 0.022 0.003 0.000 0.002 0.002 0.000 0.000 BVIC LN Equity GB00B0N8QD54 BRITVIC PLC Consumer Staples 437.90 4.09% 29.05.2013 BT/A LN Equity GB0030913577 BT GROUP PLC Telecommunication Services 277.00 3.54% 07.08.2013 22.50 25.37 24.11 23.28 22.52 18.49 17.38 -0.188 -0.215 -0.217 -0.137 -0.060 -0.088 -0.083 0.012 0.005 0.005 0.003 0.003 0.004 0.003 BTG LN Equity GB0001001592 BTG PLC Health Care 347.10 BNZL LN Equity GB00B0744B38 BUNZL PLC Industrials 1290.00 2.22% 06.11.2013 BRBY LN Equity GB0031743007 BURBERRY GROUP PLC Consumer Discretionary 1335.00 2.17% 03.07.2013 33.50 31.83 32.26 31.11 30.48 31.86 0.114 0.051 -0.011 0.007 0.010 0.030 0.010 0.003 0.003 0.001 0.001 0.000 BVI FP Equity FR0006174348 BUREAU VERITAS SA Industrials 97.69 1.87% 11.06.2013 17.69 17.84 17.89 18.11 18.08 18.04 0.120 0.016 -0.006 0.007 0.013 0.031 0.010 0.001 0.000 0.000 0.000 0.000 BPTY LN Equity GI000A0MV757 BWIN.PARTY DIGITAL ENTERTAIN Consumer Discretionary 146.70 2.49% 11.09.2013 GCC ID Equity IE00B010DT83 C&C GROUP PLC Consumer Staples 5.14 1.85% 22.05.2013 21.59 22.51 22.96 22.98 22.87 22.25 -0.314 -0.208 -0.039 -0.092 -0.106 -0.117 0.037 0.012 0.005 0.000 0.000 0.001 CWC LN Equity GB00B5KKT968 CABLE & WIRELESS COMMUNICATI Telecommunication Services 41.86 6.41% 29.05.2013 28.78 28.78 28.74 27.33 -0.287 -0.287 -0.289 -0.360 0.013 0.013 0.012 0.006 CNE LN Equity GB00B74CDH82 CAIRN ENERGY PLC Energy 280.20 30.30 30.30 30.33 31.29 -0.162 -0.162 -0.161 -0.120 0.009 0.009 0.009 0.002 CABK SQ Equity ES0140609019 CAIXABANK S.A Financials 2.66 8.68% 28.05.2013 35.69 34.99 29.31 31.22 29.84 30.67 33.10 -0.198 -0.192 0.127 -0.120 -0.201 -0.176 -0.379 0.007 0.001 -0.002 0.000 0.000 0.000 0.004 CAP FP Equity FR0000125338 CAP GEMINI Information Technology 36.26 2.76% 04.06.2014 27.76 30.81 30.45 29.99 29.96 29.45 28.87 -0.221 -0.226 -0.176 -0.142 -0.104 -0.092 -0.094 0.014 0.005 0.005 0.002 0.001 0.003 0.004 CPI LN Equity GB00B23K0M20 CAPITA PLC Industrials 899.00 2.69% 11.09.2013 CAPC LN Equity GB00B62G9D36 CAPITAL & COUNTIES PROPERTIE Financials 269.00 0.58% 21.08.2013 CLLN LN Equity GB0007365546 CARILLION PLC Industrials 281.80 6.12% 04.09.2013 CARLB DC Equity DK0010181759 CARLSBERG AS-B Consumer Staples 566.00 1.15% 24.03.2014 19.34 21.78 21.70 22.36 22.54 -0.024 -0.004 -0.001 0.035 0.028 0.003 0.000 -0.001 0.000 0.000 CCL LN Equity GB0031215220 CARNIVAL PLC Consumer Discretionary 2249.00 3.00% 22.05.2013 21.46 21.46 21.48 22.29 -0.129 -0.129 -0.128 -0.110 0.006 0.006 0.006 0.002 CA FP Equity FR0000120172 CARREFOUR SA Consumer Staples 21.48 2.70% 02.05.2014 33.13 31.30 30.50 30.67 30.70 30.51 29.79 -0.251 -0.131 -0.130 -0.118 -0.090 -0.099 -0.098 0.011 0.003 0.003 0.002 0.001 0.002 0.001 CO FP Equity FR0000125585 CASINO GUICHARD PERRACHON Consumer Staples 82.04 3.66% 24.04.2014 22.13 20.49 20.35 20.11 21.23 20.46 20.68 -0.225 -0.124 -0.160 -0.082 -0.068 -0.108 -0.097 0.014 0.009 0.003 0.003 0.002 0.003 0.003 CAST SS Equity SE0000379190 CASTELLUM AB Financials 92.10 4.45% 21.03.2014 CGL LN Equity BMG196F11004 CATLIN GROUP LTD Financials 526.50 5.70% 21.08.2013 CLS1 GY Equity DE000CLS1001 CELESIO AG Health Care 14.32 2.10% 19.05.2014 21.63 21.69 22.05 23.01 23.99 24.28 24.18 -0.146 -0.092 -0.057 -0.050 -0.048 -0.023 -0.001 0.023 0.005 0.001 0.001 0.001 0.000 0.000 CNA LN Equity GB00B033F229 CENTRICA PLC Utilities 363.50 4.61% 25.09.2013 13.44 12.83 13.18 14.42 14.80 14.80 -0.013 -0.054 -0.085 -0.093 -0.010 -0.010 0.010 0.008 0.004 0.003 0.001 0.001 CHR DC Equity DK0060227585 CHR HANSEN HOLDING A/S Materials 212.00 1.58% 27.11.2013 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  2. 2. 26.03.2013 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker 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 CDI FP Equity FR0000130403 CHRISTIAN DIOR Consumer Discretionary 127.35 2.28% 29.11.2013 24.12 24.12 24.15 25.44 26.25 26.25 -0.101 -0.101 -0.102 -0.118 -0.128 -0.128 0.005 0.005 0.005 0.003 0.003 0.003 SGO FP Equity FR0000125007 COMPAGNIE DE SAINT-GOBAIN Industrials 29.89 4.15% 09.06.2014 27.25 29.50 29.64 29.95 30.65 29.81 29.52 -0.172 -0.194 -0.171 -0.132 -0.102 -0.094 -0.055 0.021 0.008 0.004 0.002 0.001 0.002 0.001 CFR VX Equity CH0045039655 CIE FINANCIERE RICHEMON-BR A Consumer Discretionary 75.05 0.93% 09.09.2013 23.64 26.28 26.15 26.42 26.95 27.11 -0.186 -0.133 -0.196 -0.132 -0.112 -0.090 0.017 0.002 0.003 0.001 0.001 0.001 CGG FP Equity FR0000120164 CIE GENERALE DE GEOPHYSIQUE Energy 18.13 41.48 38.74 37.84 37.53 37.60 37.74 -0.278 -0.140 -0.152 -0.127 -0.100 -0.103 0.011 0.001 0.003 0.002 0.001 0.001 ML FP Equity FR0000121261 MICHELIN (CGDE) Consumer Discretionary 66.39 3.62% 13.05.2014 25.23 27.60 27.10 27.41 28.41 25.98 24.63 -0.375 -0.221 -0.158 -0.142 -0.109 -0.039 -0.052 0.021 0.007 0.005 0.003 0.001 0.001 0.003 CLN VX Equity CH0012142631 CLARIANT AG-REG Materials 13.22 2.50% 27.03.2014 27.04 27.66 26.58 26.38 27.03 27.32 26.60 0.066 -0.080 -0.137 -0.069 -0.075 -0.013 0.012 0.015 0.004 0.005 0.002 0.001 0.000 0.000 CBG LN Equity GB0007668071 CLOSE BROTHERS GROUP PLC Financials 1067.00 4.22% 16.10.2013 CNP FP Equity FR0000120222 CNP ASSURANCES Financials 11.22 6.86% 30.04.2014 25.56 25.56 25.54 24.84 25.76 25.76 -0.089 -0.089 -0.091 -0.167 -0.129 -0.129 0.005 0.005 0.005 0.003 0.002 0.002 COB LN Equity GB00B07KD360 COBHAM PLC Industrials 243.30 3.62% 09.10.2013 EEEK GA Equity GRS104003009 COCA-COLA HELLENIC BOTTLING Consumer Staples 20.89 25.06.2014 COFB BB Equity BE0003593044 COFINIMMO Financials 92.25 7.05% 30.04.2013 16.66 20.55 19.30 18.29 17.77 18.38 -0.030 -0.018 0.008 -0.028 -0.018 -0.062 0.000 -0.001 0.001 -0.001 0.000 0.001 COLOB DC Equity DK0060448595 COLOPLAST-B Health Care 321.60 1.55% 12.12.2013 COLR BB Equity BE0974256852 COLRUYT SA Consumer Staples 37.64 2.60% 27.09.2013 16.70 17.32 17.76 18.22 18.57 18.57 -0.311 -0.156 -0.094 -0.091 -0.044 -0.044 0.018 0.007 0.006 0.001 0.002 0.002 CBK GY Equity DE0008032004 COMMERZBANK AG Financials 1.17 23.05.2014 38.43 42.52 38.18 35.92 34.39 35.92 35.03 -0.380 -0.218 -0.155 -0.058 -0.145 -0.160 -0.103 0.039 -0.001 0.003 -0.002 0.005 0.003 0.002 CPG LN Equity GB0005331532 COMPASS GROUP PLC Consumer Discretionary 815.50 2.87% 26.06.2013 15.89 16.36 16.41 16.96 17.84 17.84 -0.112 -0.213 -0.196 -0.122 -0.081 -0.081 0.011 0.006 0.006 0.003 0.001 0.001 CON GY Equity DE0005439004 CONTINENTAL AG Consumer Discretionary 94.40 2.38% 16.05.2014 26.63 26.26 26.38 26.56 26.51 26.23 25.54 -0.291 -0.159 -0.154 -0.124 -0.073 -0.016 0.023 0.014 0.005 0.004 0.001 0.000 0.002 0.003 CORA NA Equity NL0000288967 CORIO NV Financials 37.03 7.45% 23.04.2014 14.94 15.01 15.68 16.31 16.94 16.94 16.94 -0.212 0.045 0.031 -0.106 -0.085 -0.085 -0.085 0.026 0.012 0.014 0.004 0.002 0.002 0.002 ACA FP Equity FR0000045072 CREDIT AGRICOLE SA Financials 6.20 26.05.2014 41.46 43.17 42.98 38.23 39.00 37.44 37.06 -0.105 -0.164 -0.141 -0.149 -0.095 0.070 0.062 0.006 0.003 0.003 0.000 0.001 -0.001 -0.001 CSGN VX Equity CH0012138530 CREDIT SUISSE GROUP AG-REG Financials 25.32 0.39% 09.05.2014 26.77 25.49 26.65 28.47 28.73 30.82 29.58 -0.447 -0.537 -0.528 -0.398 -0.311 -0.257 -0.226 0.023 0.010 0.007 0.004 0.002 0.000 0.000 CRH ID Equity IE0001827041 CRH PLC Materials 17.15 3.64% 28.08.2013 27.17 25.02 26.08 29.22 29.95 30.15 -0.116 -0.025 -0.039 -0.076 -0.077 -0.064 0.012 0.003 0.000 0.002 0.001 0.002 CRDA LN Equity GB0002335270 CRODA INTERNATIONAL PLC Materials 2701.00 2.28% 28.08.2013 DMGT LN Equity GB0009457366 DAILY MAIL&GENERAL TST-A NV Consumer Discretionary 703.00 2.70% 29.05.2013 DAI GY Equity DE0007100000 DAIMLER AG-REGISTERED SHARES Consumer Discretionary 43.99 5.00% 10.04.2014 22.96 24.70 24.44 25.00 25.60 24.68 23.55 0.015 -0.095 -0.091 -0.090 -0.060 -0.021 0.015 0.018 0.006 0.005 0.002 0.001 0.002 0.003 BN FP Equity FR0000120644 DANONE Consumer Staples 54.22 2.67% 06.05.2014 20.94 19.42 19.52 19.72 20.14 19.82 19.40 -0.256 -0.179 -0.196 -0.119 -0.075 -0.078 -0.073 0.021 0.009 0.005 0.004 0.002 0.002 0.002 DANSKE DC EquityDK0010274414 DANSKE BANK A/S Financials 105.90 1.89% 19.03.2014 23.99 25.30 25.03 26.09 27.17 -0.200 -0.107 -0.065 -0.032 -0.042 0.045 0.015 0.006 -0.001 0.001 DSY FP Equity FR0000130650 DASSAULT SYSTEMES SA Information Technology 89.16 0.87% 14.06.2013 34.30 34.30 33.98 20.00 21.19 21.20 -0.119 -0.119 -0.119 -0.130 -0.093 -0.093 0.005 0.005 0.005 0.003 0.001 0.001 CPR IM Equity IT0003849244 DAVIDE CAMPARI-MILANO SPA Consumer Staples 6.05 1.16% 19.05.2014 18.98 19.25 19.13 19.17 18.97 19.33 -0.162 -0.020 0.004 0.010 0.009 0.015 0.010 0.001 0.000 0.000 0.000 0.000 DCC ID Equity IE0002424939 DCC PLC Industrials 27.43 3.14% 22.05.2013 23.14 22.08 20.70 20.79 21.33 21.71 -0.222 -0.100 -0.100 -0.122 -0.083 -0.061 0.018 0.002 0.002 0.002 0.002 0.001 DLAR LN Equity GB00B3DGH821 DE LA RUE PLC Industrials 965.00 4.38% 03.07.2013 DE NA Equity NL0010157558 DE MASTER BLENDERS1753 NV Consumer Staples 9.37 30.61 30.80 28.67 26.06 23.83 24.82 24.91 -0.057 -0.061 -0.106 -0.103 -0.091 -0.058 -0.050 0.018 0.003 0.004 0.002 0.003 0.001 0.001 DEB LN Equity GB00B126KH97 DEBENHAMS PLC Consumer Discretionary 81.00 4.44% 05.06.2013 DELB BB Equity BE0003562700 DELHAIZE GROUP Consumer Staples 42.09 3.33% 28.05.2014 26.50 28.67 28.19 24.49 22.60 22.60 -0.311 -0.180 -0.127 -0.093 -0.068 -0.068 0.012 0.005 0.004 0.003 0.002 0.002 DL NA Equity NL0009294552 DELTA LLOYD NV Financials 13.85 7.44% 05.08.2013 25.39 26.01 26.18 24.98 24.81 24.81 -0.398 -0.257 -0.183 -0.121 -0.094 -0.094 0.030 0.009 0.007 0.003 0.003 0.003 DLN LN Equity GB0002652740 DERWENT LONDON PLC Financials 2142.00 1.60% 25.09.2013 DBK GY Equity DE0005140008 DEUTSCHE BANK AG-REGISTERED Financials 31.65 2.37% 23.05.2014 33.82 34.89 33.61 32.75 32.56 33.78 34.07 -0.434 -0.386 -0.272 -0.206 -0.152 -0.105 -0.075 0.020 0.008 0.005 0.002 0.001 0.001 -0.001 DB1 GY Equity DE0005810055 DEUTSCHE BOERSE AG Financials 48.76 4.31% 15.05.2014 21.34 21.22 21.02 21.67 21.89 21.32 20.86 -0.158 -0.081 -0.084 -0.100 -0.084 -0.049 -0.027 0.017 0.005 0.005 0.002 0.001 0.001 0.002 DEQ GY Equity DE0007480204 DEUTSCHE EUROSHOP AG Financials 31.00 3.71% 21.06.2013 15.90 16.76 16.57 17.04 18.74 18.29 18.89 -0.238 -0.127 -0.145 -0.135 -0.095 -0.020 -0.058 0.027 0.005 0.007 0.002 0.001 0.000 0.000 LHA GY Equity DE0008232125 DEUTSCHE LUFTHANSA-REG Industrials 15.76 09.05.2014 27.13 28.24 28.05 27.87 27.58 27.77 27.57 -0.296 -0.192 -0.181 -0.111 -0.105 -0.006 0.058 0.022 0.007 0.004 0.001 0.001 -0.001 -0.003 DPW GY Equity DE0005552004 DEUTSCHE POST AG-REG Industrials 18.05 3.88% 30.05.2014 18.33 19.45 19.20 19.87 20.25 19.09 18.01 -0.330 -0.268 -0.158 -0.153 -0.110 -0.061 -0.014 0.039 0.015 0.008 0.004 0.002 0.002 0.003 DTE GY Equity DE0005557508 DEUTSCHE TELEKOM AG-REG Telecommunication Services 8.43 8.31% 19.05.2014 17.82 20.08 19.80 19.44 17.91 18.11 15.71 -0.145 0.240 0.133 0.065 -0.005 0.062 0.075 0.041 0.021 0.011 0.006 0.003 0.002 0.005 DWNI GY Equity DE000A0HN5C6 DEUTSCHE WOHNEN AG-BR Financials 14.54 1.44% 10.06.2014 23.56 23.55 23.19 25.35 25.37 24.39 24.09 -0.265 -0.171 -0.115 -0.077 -0.107 -0.100 -0.086 0.019 0.003 0.000 0.000 0.001 0.003 0.003 DGE LN Equity GB0002374006 DIAGEO PLC Consumer Staples 2017.00 2.37% 04.09.2013 15.90 14.74 14.54 15.09 15.23 15.97 15.58 0.026 -0.137 -0.197 -0.138 -0.044 -0.076 -0.052 0.016 0.011 0.010 0.004 0.001 0.003 0.003 DLG LN Equity GB00B89W0M42 DIRECT LINE INSURANCE GROUP Financials 201.90 5.94% 14.08.2013 16.55 16.55 16.55 16.93 -0.073 -0.073 -0.074 -0.125 0.007 0.007 0.006 -0.001 DIA SQ Equity ES0126775032 DISTRIBUIDORA INTERNACIONAL Consumer Staples 5.56 2.34% 16.07.2013 32.76 31.59 30.54 28.44 26.05 24.74 24.72 -0.151 -0.161 -0.277 -0.230 -0.149 -0.149 -0.142 0.002 -0.001 0.002 0.003 0.000 -0.001 0.000 DNB NO Equity NO0010031479 DNB ASA Financials 85.05 2.47% 25.04.2014 25.42 28.01 28.23 25.12 24.54 -0.102 0.042 -0.020 -0.083 -0.111 0.059 0.027 0.014 0.001 0.002 DRX LN Equity GB00B1VNSX38 DRAX GROUP PLC Utilities 615.00 2.78% 25.09.2013 SMDS LN Equity GB0008220112 DS SMITH PLC Materials 223.40 3.13% 02.10.2013 DSV DC Equity DK0060079531 DSV A/S Industrials 141.40 1.11% 24.03.2014 20.01 22.11 22.19 23.02 22.95 -0.094 -0.091 -0.044 -0.004 -0.044 0.019 0.007 0.000 -0.003 0.001 DUFN SE Equity CH0023405456 DUFRY AG-REG Consumer Discretionary 121.10 16.05.2014 27.84 27.85 27.79 27.48 27.95 27.67 -0.135 -0.123 -0.131 -0.127 -0.096 -0.112 0.002 0.001 0.002 0.003 0.002 0.003 EOAN GY Equity DE000ENAG999 E.ON SE Utilities 13.60 8.09% 09.05.2014 24.28 22.96 22.20 22.39 23.30 22.69 23.04 -0.152 0.097 0.008 -0.029 -0.033 0.052 0.115 0.024 0.010 0.009 0.004 0.001 0.002 -0.002 EAD FP Equity NL0000235190 EADS NV Industrials 41.25 1.45% 04.06.2014 29.96 30.55 30.44 30.01 29.36 25.76 25.37 -0.297 -0.185 -0.161 -0.120 -0.088 -0.025 -0.006 0.013 0.005 0.004 0.001 0.000 0.004 0.004 EZJ LN Equity GB00B7KR2P84 EASYJET PLC Industrials 1048.00 2.18% 26.02.2014 EBRO SQ Equity ES0112501012 EBRO FOODS SA Consumer Staples 15.10 3.31% 10.01.2014 30.07 28.71 27.97 26.39 23.87 23.34 23.29 -0.079 -0.100 -0.134 -0.125 -0.091 -0.086 -0.078 0.001 0.000 0.001 0.000 0.000 0.000 0.001 EDEN FP Equity FR0010908533 EDENRED Industrials 25.25 3.25% 27.05.2013 27.65 24.61 23.92 22.37 22.49 23.45 -0.271 -0.088 -0.077 -0.096 -0.085 -0.053 0.015 0.002 0.003 0.003 0.002 0.002 EDP PL Equity PTEDP0AM0009 EDP-ENERGIAS DE PORTUGAL SA Utilities 2.45 7.54% 13.05.2013Stoxx 600 Index FGR FP Equity FR0000130452 EIFFAGE Industrials 34.17 3.51% 24.04.2014 36.55 37.50 37.53 37.54 37.51 38.40 -0.007 0.002 0.003 0.014 0.009 0.001 0.002 0.000 -0.001 0.000 0.000 0.000 ELN ID Equity IE0003072950 ELAN CORP PLC Health Care 8.97 41.40 40.93 40.58 40.06 40.71 40.50 -0.158 -0.166 -0.161 -0.114 -0.102 -0.100 0.002 0.002 0.002 0.000 0.000 0.001 EDF FP Equity FR0010242511 EDF Utilities 15.43 8.10% 12.12.2013 21.72 22.23 22.86 23.27 23.03 24.20 23.50 -0.123 -0.075 -0.081 -0.075 -0.032 -0.004 0.027 0.027 0.009 0.007 0.004 0.002 0.001 0.001 ECM LN Equity GB0003096442 ELECTROCOMPONENTS PLC Information Technology 251.50 4.67% 19.06.2013 ELUXB SS Equity SE0000103814 ELECTROLUX AB-SER B Consumer Discretionary 172.00 3.78% 26.03.2014 21.64 23.08 23.05 24.23 26.13 26.15 0.079 -0.048 -0.104 -0.099 -0.125 -0.125 0.042 0.016 0.008 0.003 0.001 0.001 EKTAB SS Equity SE0000163628 ELEKTA AB-B SHS Health Care 95.50 1.47% 05.09.2013 27.80 26.88 23.32 23.32 23.32 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 ELM LN Equity GB0002418548 ELEMENTIS PLC Materials 258.50 2.03% 04.09.2013 ELI1V FH Equity FI0009007884 ELISA OYJ Telecommunication Services 14.87 26.03.2014 14.70 16.93 17.65 19.90 30.85 0.380 0.150 0.037 -0.059 -0.416 0.024 0.013 0.011 0.003 -0.001 EMSN SE Equity CH0016440353 EMS-CHEMIE HOLDING AG-REG Materials 275.00 2.73% ENG SQ Equity ES0130960018 ENAGAS SA Utilities 18.05 6.47% 04.07.2013 24.00 23.67 23.30 22.58 21.70 20.91 20.11 0.000 -0.050 -0.075 -0.073 -0.059 -0.050 -0.022 -0.001 0.001 0.002 0.001 0.001 0.000 0.000 ELE SQ Equity ES0130670112 ENDESA SA Utilities 16.64 02.07.2014 30.33 29.54 29.54 28.77 27.78 26.54 26.52 -0.072 -0.054 -0.057 -0.056 -0.048 0.118 0.114 0.000 0.000 0.000 0.000 0.000 -0.001 -0.001 EGPW IM Equity IT0004618465 ENEL GREEN POWER SPA Utilities 1.48 1.75% 19.05.2014 30.51 32.46 33.00 32.65 32.75 32.75 -0.101 -0.128 -0.111 -0.073 -0.057 -0.057 0.018 0.000 0.001 0.001 0.001 0.001 ENEL IM Equity IT0003128367 ENEL SPA Utilities 2.59 5.80% 23.06.2014 27.22 27.23 27.00 25.51 25.53 24.52 22.73 -0.353 -0.256 -0.231 -0.123 -0.143 -0.177 -0.189 0.009 0.008 0.003 0.002 0.001 0.002 0.002 ENI IM Equity IT0003132476 ENI SPA Energy 17.95 6.07% 23.09.2013 19.76 20.28 19.52 20.26 20.46 19.25 18.93 -0.221 -0.313 -0.209 -0.153 -0.115 -0.084 -0.059 0.029 0.011 0.008 0.004 0.001 0.001 0.001 EBS AV Equity AT0000652011 ERSTE GROUP BANK AG Financials 22.18 1.80% 22.05.2014 35.28 36.77 34.83 34.96 30.75 27.28 -0.221 -0.063 -0.067 -0.011 0.412 0.573 0.046 0.002 0.002 -0.005 0.006 0.008 EI FP Equity FR0000121667 ESSILOR INTERNATIONAL Health Care 87.25 1.01% 26.05.2014 19.58 19.93 19.67 19.69 19.71 18.54 18.28 -0.248 -0.184 -0.147 -0.106 -0.080 -0.057 -0.056 0.013 0.006 0.006 0.003 0.002 0.001 0.002 MAU FP Equity FR0000051070 MAUREL ET PROM Energy 14.15 2.83% 17.06.2013 28.54 28.62 29.94 29.84 29.52 28.28 0.052 -0.012 -0.052 -0.026 -0.019 0.047 0.008 0.000 0.000 0.000 0.001 0.001 ENRC LN Equity GB00B29BCK10 EURASIAN NATURAL RESOURCES Materials 252.00 1.83% 21.08.2013 46.22 46.22 46.16 43.96 -0.161 -0.161 -0.159 -0.051 -0.002 -0.002 -0.002 0.001 RF FP Equity FR0000121121 EURAZEO Financials 39.38 3.05% 16.05.2013 26.18 23.96 28.05 28.22 28.24 28.32 0.101 0.200 0.012 0.001 0.006 -0.006 0.001 0.000 -0.001 0.000 0.000 0.001 ECMPA NA Equity NL0000288876 EUROCOMMERCIAL PROPERTIE-CV Financials 28.96 6.94% 31.10.2013 ETL FP Equity FR0010221234 EUTELSAT COMMUNICATIONS Consumer Discretionary 27.75 3.96% 14.11.2013 19.30 19.16 19.24 19.34 20.05 19.53 -0.075 -0.029 -0.035 0.007 0.000 -0.007 0.011 0.002 0.001 0.000 0.000 0.001 EVR LN Equity GB00B71N6K86 EVRAZ PLC Materials 221.40 1.19% 05.06.2013 EXO IM Equity IT0001353140 EXOR SPA Financials 21.99 1.59% 24.06.2013 23.09 23.68 25.13 24.21 24.26 -0.206 -0.164 -0.188 -0.149 -0.113 0.010 0.004 0.001 0.002 0.001 EXPN LN Equity GB00B19NLV48 EXPERIAN PLC Industrials 1142.00 2.05% 19.06.2013 20.51 20.51 20.51 20.30 -0.093 -0.093 -0.092 -0.069 0.003 0.003 0.003 0.001 FER SQ Equity ES0118900010 FERROVIAL SA Industrials 12.48 3.61% 12.12.2013 30.59 30.95 29.96 28.88 27.58 27.38 27.15 -0.119 -0.090 -0.095 -0.101 -0.123 -0.078 -0.077 0.001 0.001 0.000 0.000 0.000 0.000 0.000 FI IM Equity IT0004644743 FIAT INDUSTRIAL Industrials 8.75 2.57% 21.04.2014 29.65 28.89 28.87 29.28 29.83 29.83 -0.283 -0.176 -0.191 -0.160 -0.090 -0.089 0.010 0.005 0.003 0.002 0.000 0.000 F IM Equity IT0001976403 FIAT SPA Consumer Discretionary 4.27 21.04.2014 41.48 41.97 41.93 40.21 38.72 36.53 34.44 -0.216 -0.175 -0.124 -0.146 -0.122 -0.250 -0.321 0.017 0.006 0.002 0.001 0.001 0.002 0.003 FLTR LN Equity GB00B0744359 FILTRONA PLC Materials 709.00 1.81% 25.09.2013 FNC IM Equity IT0003856405 FINMECCANICA SPA Industrials 3.88 20.05.2013 45.25 44.79 43.81 41.97 40.43 40.43 -0.381 -0.281 -0.247 -0.142 -0.089 -0.088 0.009 0.003 0.001 0.000 0.000 0.000 FGP LN Equity GB0003452173 FIRSTGROUP PLC Industrials 194.90 10.95% 10.07.2013 FLS DC Equity DK0010234467 FLSMIDTH & CO A/S Industrials 352.60 2.55% 07.04.2014 27.21 26.60 26.03 26.65 27.11 0.114 -0.062 -0.069 -0.015 -0.055 0.008 0.001 0.001 0.000 -0.001 FHZN SE Equity CH0010567961 FLUGHAFEN ZUERICH AG-REG Industrials 440.75 2.16% 30.04.2014 FDR FP Equity FR0000064578 FONCIERE DES REGIONS Financials 61.40 6.84% 05.05.2014 17.03 17.72 17.73 18.20 18.06 19.27 -0.087 0.056 0.015 0.001 0.013 -0.024 0.019 0.005 0.002 0.000 0.000 0.001 FUM1V FH Equity FI0009007132 FORTUM OYJ Utilities 15.75 6.35% 10.04.2014 17.04 20.10 19.41 20.41 21.47 0.081 0.004 0.012 -0.052 -0.035 0.024 0.007 0.006 0.002 0.000 FTE FP Equity FR0000133308 FRANCE TELECOM SA Telecommunication Services 8.29 6.64% 05.09.2013 28.98 28.85 27.96 31.12 27.28 20.92 23.16 -0.193 -0.180 -0.115 0.266 0.010 0.553 0.314 0.021 0.007 0.005 -0.002 0.000 0.003 0.001 FRA GY Equity DE0005773303 FRAPORT AG Industrials 44.05 2.84% 15.05.2014 20.00 20.07 20.34 21.22 22.09 22.12 21.70 -0.120 -0.126 -0.147 -0.132 -0.094 -0.109 -0.103 0.008 0.002 0.004 0.002 0.001 0.001 0.001 FNTN GY Equity DE000A0Z2ZZ5 FREENET AG Telecommunication Services 18.44 7.32% 12.05.2014 24.07 25.31 23.53 21.64 21.89 21.51 20.17 -0.465 -0.337 -0.187 -0.173 -0.136 -0.060 -0.003 0.016 0.009 0.008 0.004 0.001 0.003 0.004 FME GY Equity DE0005785802 FRESENIUS MEDICAL CARE AG & Health Care 52.25 1.44% 19.05.2014 14.69 15.53 15.12 16.68 17.57 18.20 18.24 -0.158 -0.104 -0.101 -0.094 -0.070 -0.040 -0.024 0.032 0.012 0.005 0.002 0.000 0.001 0.001 FRE GY Equity DE0005785604 FRESENIUS SE & CO KGAA Health Care 96.15 1.14% 20.05.2014 14.09 15.22 15.38 16.21 17.02 17.56 17.50 -0.214 -0.134 -0.103 -0.075 -0.058 -0.038 -0.019 0.021 0.005 0.005 0.002 0.002 0.002 0.002 FRES LN Equity GB00B2QPKJ12 FRESNILLO PLC Materials 1370.00 3.09% 14.08.2013 26.78 26.78 26.77 26.52 -0.184 -0.184 -0.180 0.042 0.002 0.002 0.001 -0.003 FPE3 GY Equity DE0005790430 FUCHS PETROLUB AG -PREF Materials 64.90 2.00% 12.05.2014 22.07 22.00 22.29 23.16 23.26 23.86 23.69 -0.185 -0.064 -0.071 -0.033 -0.055 -0.062 -0.061 0.010 0.003 0.002 0.001 0.001 0.001 0.001 FUR NA Equity NL0000352565 FUGRO NV-CVA Energy 43.52 3.45% 12.05.2014 24.74 26.21 26.31 26.81 27.36 27.36 27.36 -0.302 -0.168 -0.118 -0.102 -0.091 -0.091 -0.091 0.018 0.008 0.007 0.003 0.001 0.001 0.001 GFS LN Equity GB00B01FLG62 G4S PLC Industrials 295.10 3.14% 18.09.2013 GALN SE Equity CH0015536466 GALENICA AG-REG Health Care 571.50 1.92% 07.05.2014 25.93 26.80 26.55 26.82 26.23 26.29 -0.393 -0.344 -0.470 -0.244 -0.201 -0.206 0.008 0.004 0.003 0.002 0.002 0.002 GALP PL Equity PTGAL0AM0009 GALP ENERGIA SGPS SA Energy 12.25 2.16% 21.05.2013 GAM SE Equity CH0102659627 GAM HOLDING AG Financials 16.50 3.03% 21.04.2014 22.10 22.61 22.62 24.77 25.43 24.99 -0.129 -0.083 -0.154 -0.109 -0.069 -0.007 0.026 0.009 0.007 0.003 0.002 0.002 GAS SQ Equity ES0116870314 GAS NATURAL SDG SA Utilities 14.02 6.52% 08.01.2014 30.28 28.84 28.30 26.33 23.86 18.51 18.16 -0.035 -0.060 -0.070 -0.059 0.019 0.251 0.262 0.001 -0.001 0.001 0.001 0.001 0.001 0.001 GSZ FP Equity FR0010208488 GDF SUEZ Utilities 15.41 9.73% 25.09.2013 23.89 24.38 24.42 23.89 23.32 22.62 22.96 -0.211 -0.079 -0.114 -0.100 -0.013 -0.011 0.006 0.024 0.007 0.004 0.002 0.001 0.000 0.001 G1A GY Equity DE0006602006 GEA GROUP AG Industrials 25.72 2.14% 22.04.2014 19.64 21.92 22.16 24.13 25.97 26.65 26.44 -0.132 -0.093 -0.175 -0.131 -0.094 -0.108 -0.109 0.025 0.005 0.004 0.001 0.001 0.001 0.001 GEBN VX Equity CH0030170408 GEBERIT AG-REG Industrials 232.00 2.84% 08.04.2014 16.25 16.65 16.87 17.22 17.86 17.78 -0.194 -0.177 -0.187 -0.146 -0.126 -0.108 0.021 0.010 0.007 0.005 0.003 0.004 GFC FP Equity FR0010040865 GECINA SA Financials 89.66 4.91% 21.04.2014 18.82 19.45 19.45 19.52 19.50 21.36 -0.210 -0.005 -0.005 -0.001 0.009 -0.030 0.011 0.000 0.000 0.000 0.000 0.000 GTO FP Equity NL0000400653 GEMALTO Information Technology 68.96 0.49% 28.05.2014 24.51 24.86 24.94 24.91 26.31 25.09 -0.124 0.008 -0.003 0.003 -0.049 0.014 0.009 0.001 0.000 0.000 0.000 0.000 FI/N SE Equity CH0001752309 FISCHER (GEORG)-REG Industrials 409.50 26.03.2014 20.09 21.53 21.70 22.55 23.00 23.65 -0.026 -0.040 -0.067 -0.078 -0.067 -0.027 0.006 0.002 0.002 0.003 0.003 0.004 GXI GY Equity DE000A0LD6E6 GERRESHEIMER AG Health Care 44.59 1.46% 22.04.2014 20.35 18.40 18.41 20.53 22.20 22.56 22.27 -0.225 -0.082 -0.078 -0.078 -0.072 -0.071 -0.052 0.011 0.003 0.003 0.002 0.002 0.002 0.002 GETIB SS Equity SE0000202624 GETINGE AB-B SHS Health Care 193.30 2.28% 24.03.2014 19.47 16.43 18.35 20.83 18.32 0.188 0.055 0.090 -0.145 -0.590 0.019 0.003 0.013 0.000 0.030 GIVN VX Equity CH0010645932 GIVAUDAN-REG Materials 1168.00 26.03.2014 16.90 15.31 15.20 15.61 15.79 15.90 -0.259 -0.174 -0.184 -0.144 -0.067 -0.067 0.010 0.006 0.008 0.005 0.001 0.002 GJF NO Equity NO0010582521 GJENSIDIGE FORSIKRING ASA Financials 97.05 7.06% 25.04.2014 14.23 14.23 14.28 16.04 0.274 0.274 0.268 0.104 0.024 0.024 0.024 0.007 GKN LN Equity GB0030646508 GKN PLC Consumer Discretionary 265.90 2.86% 07.08.2013 GSK LN Equity GB0009252882 GLAXOSMITHKLINE PLC Health Care 1514.50 5.28% 08.05.2013 15.14 15.28 15.12 15.24 15.34 15.14 14.51 -0.207 -0.209 -0.184 -0.118 -0.082 -0.062 -0.033 0.006 0.009 0.006 0.003 0.002 0.002 0.002 GLEN LN Equity JE00B4T3BW64 GLENCORE INTERNATIONAL PLC Materials 357.10 2.96% 28.08.2013 24.62 25.38 24.85 25.24 26.51 26.48 25.57 -0.185 -0.154 -0.186 -0.125 -0.105 -0.098 -0.071 0.022 0.003 0.000 0.002 0.000 0.000 0.000 GN DC Equity DK0010272632 GN STORE NORD A/S Health Care 104.70 0.86% 21.03.2014 25.24 26.40 25.51 26.55 26.41 -0.203 -0.111 -0.032 -0.021 -0.012 0.041 0.012 0.010 0.000 0.001 GPOR LN Equity GB00B01FLL16 GREAT PORTLAND ESTATES PLC Financials 492.20 1.77% 29.05.2013 GNK LN Equity GB00B0HZP136 GREENE KING PLC Consumer Discretionary 715.50 3.74% 07.08.2013 GRF SQ Equity ES0171996012 GRIFOLS SA Health Care 28.26 0.78% 02.07.2013 29.91 28.40 27.48 25.25 23.09 22.30 22.32 -0.116 -0.094 -0.103 -0.135 -0.136 -0.130 -0.123 0.003 0.002 0.002 0.002 0.002 0.001 0.001 GBLB BB Equity BE0003797140 GROUPE BRUXELLES LAMBERT SA Financials 59.70 4.44% 28.04.2014 12.68 12.01 12.39 11.73 12.39 12.39 0.135 0.085 -0.137 -0.129 -0.114 -0.114 0.020 0.016 0.017 0.006 0.003 0.003 GET FP Equity FR0010533075 GROUPE EUROTUNNEL SA - REGR Industrials 6.46 1.86% 21.05.2013 15.75 19.79 20.32 22.13 22.81 21.76 -0.293 -0.085 -0.059 -0.130 -0.109 -0.044 0.037 0.007 0.006 0.002 0.002 0.003 GIB GY Equity DE000GSW1111 GSW IMMOBILIEN AG Financials 30.60 2.94% 30.06.2014 22.16 22.20 22.20 22.52 23.40 24.26 23.73 -0.134 -0.156 -0.178 -0.125 -0.163 -0.163 -0.149 0.019 0.003 0.002 0.001 0.001 0.001 0.001 HLMA LN Equity GB0004052071 HALMA PLC Information Technology 519.50 2.06% 17.07.2013 HMSO LN Equity GB0004065016 HAMMERSON PLC Financials 486.60 5.73% 14.08.2013 HNR1 GY Equity DE0008402215 HANNOVER RUECKVERSICHERU-REG Financials 61.83 4.85% 08.05.2014 17.73 17.73 18.07 17.80 18.29 16.16 15.30 -0.391 -0.121 -0.124 -0.110 -0.083 -0.042 -0.016 0.028 0.009 0.009 0.004 0.002 0.005 0.006 HL/ LN Equity GB00B1VZ0M25 HARGREAVES LANSDOWN PLC Financials 871.00 3.17% 11.09.2013 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

×