15.05.2013Ticker Name GICS_SECTOR_NAME ATM RefDividendYieldNext Ex-DividendDateATM Vol -30DATM Vol -60DATM Vol -90DATM Vol...
15.05.2013Ticker Name GICS_SECTOR_NAME ATM RefDividendYieldNext Ex-DividendDateATM Vol -30DATM Vol -60DATM Vol -90DATM Vol...
15.05.2013Ticker Name GICS_SECTOR_NAME ATM2 RefDividendYieldNext Ex-DividendDateATM2Vol - 30DATM2Vol - 60DATM2Vol - 90DATM...
15.05.2013Ticker Name GICS_SECTOR_NAME ATM2 RefDividendYieldNext Ex-DividendDateATM2Vol - 30DATM2Vol - 60DATM2Vol - 90DATM...
15.05.2013Ticker Name GICS_SECTOR_NAME ATM3 RefDividendYieldNext Ex-DividendDateATM3Vol - 30DATM3Vol - 60DATM3Vol - 90DATM...
S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters
S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters
S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters
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S&P 1000 Index - Dividends and Implied Volatility Surfaces Parameters

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

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

  1. 1. 15.05.2013Ticker Name GICS_SECTOR_NAME ATM RefDividendYieldNext Ex-DividendDateATM Vol -30DATM Vol -60DATM Vol -90DATM Vol -6MATM Vol -12MATM Vol -18MATM Vol -24MSkew(a) -30DSkew(a) -60DSkew(a) -90DSkew(a) -6MSkew(a) -12MSkew(a) -18MSkew(a) -24MSkew(b) -30DSkew(b) -60DSkew(b) -90DSkew(b) -6MSkew(b) -12MSkew(b) -18MSkew(b) -24MDDD UN Equity 3D SYSTEMS CORP Information Technology 48.65 63.56 63.70 62.66 57.84 55.11 54.77 -0.069 -0.074 -0.076 -0.058 -0.097 -0.061 0.003 0.002 0.001 0.000 0.000 0.000SHLM UW Equity SCHULMAN (A.) INC Materials 28.73 2.94% 19.07.2013 21.26 26.62 27.94 0.000 -0.147 -0.186 0.000 0.002 0.003AAON UW Equity AAON INC Industrials 30.73 0.85% 07.06.2013 24.24 24.50 24.73 0.000 0.004 -0.031 0.000 0.000 0.001AIR UN Equity AAR CORP Industrials 19.27 1.56% 26.07.2013 28.68 29.80 30.50 31.66 -0.076 -0.200 -0.232 -0.165 0.001 0.003 0.004 0.002AAN UN Equity AARONS INC Consumer Discretionary 29.06 0.25% 03.09.2013 23.34 24.77 25.51 26.10 0.000 -0.110 -0.145 -0.128 0.000 0.005 0.006 0.003ABAX UW Equity ABAXIS INC Health Care 46.83 26.08 29.99 31.72 32.42 -0.112 -0.164 -0.180 -0.167 0.000 0.003 0.003 0.001ABMD UW Equity ABIOMED INC Health Care 23.18 42.79 42.22 41.93 41.44 -0.266 -0.223 -0.200 -0.153 0.009 0.007 0.005 0.003ABM UN Equity ABM INDUSTRIES INC Industrials 22.53 2.71% 02.07.2013 22.88 21.66 21.18 0.000 -0.094 -0.123 0.000 0.002 0.003AKR UN Equity ACADIA REALTY TRUST Financials 28.91 3.01% 26.06.2013 19.57 19.57 19.57 25.26 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000ACIW UW Equity ACI WORLDWIDE INC Information Technology 45.63 22.16 22.15 22.68 24.79 0.000 -0.225 -0.302 -0.254 0.000 0.007 0.009 0.004ACOR UW Equity ACORDA THERAPEUTICS INC Health Care 33.91 66.92 47.81 40.65 -0.202 -1.237 -1.184 -0.001 0.044 0.040ATU UN Equity ACTUANT CORP-A Industrials 33.56 0.12% 25.09.2013 28.86 25.84 24.73 27.15 -0.277 -0.268 -0.248 -0.208 0.003 0.008 0.009 0.003AYI UN Equity ACUITY BRANDS INC Industrials 77.62 0.67% 18.07.2013 23.61 25.86 26.98 27.75 -0.258 -0.254 -0.243 -0.204 0.008 0.010 0.010 0.005ACXM UW Equity ACXIOM CORP Information Technology 21.39 37.63 33.95 31.75 29.50 0.018 -0.110 -0.182 -0.204 0.000 0.001 0.001 0.003ADTN UW Equity ADTRAN INC Information Technology 22.18 1.80% 23.07.2013 33.73 35.61 36.74 38.42 38.02 38.74 -0.208 -0.241 -0.233 -0.141 -0.126 -0.081 0.004 0.005 0.004 0.001 0.001 0.001AAP UN Equity ADVANCE AUTO PARTS INC Consumer Discretionary 86.14 0.28% 19.06.2013 27.10 25.74 24.92 24.13 23.14 23.64 -0.225 -0.174 -0.146 -0.144 -0.099 -0.100 0.006 0.003 0.001 0.001 0.000 0.000AEIS UW Equity ADVANCED ENERGY INDUSTRIES Information Technology 18.31 30.79 30.36 31.28 0.057 -0.177 -0.253 0.001 0.006 0.006ADVS UW Equity ADVENT SOFTWARE INC Information Technology 31.40 33.02 33.13 33.22 33.40 0.000 -0.050 -0.089 -0.164 0.000 0.003 0.004 0.001ACM UN Equity AECOM TECHNOLOGY CORP Industrials 30.77 26.21 26.90 27.49 28.63 0.000 -0.141 -0.198 -0.186 0.000 0.004 0.005 0.003AEGN UW Equity AEGION CORP Industrials 22.46 27.32 29.24 30.10 30.19 0.000 -0.212 -0.284 -0.202 0.000 0.003 0.004 0.003ARO UN Equity AEROPOSTALE INC Consumer Discretionary 16.31 47.79 44.24 42.84 42.36 41.98 41.92 -0.280 -0.194 -0.165 -0.160 -0.122 -0.105 0.002 0.001 0.000 0.001 0.001 0.001AVAV UW Equity AEROVIRONMENT INC Industrials 20.11 29.76 32.63 33.97 34.33 -0.108 -0.141 -0.147 -0.094 0.005 0.004 0.004 0.003AMG UN Equity AFFILIATED MANAGERS GROUP Financials 164.51 17.60 18.92 19.78 21.09 -0.410 -0.324 -0.276 -0.241 0.010 0.006 0.003 0.002AFFX UW Equity AFFYMETRIX INC Health Care 3.75 72.20 72.16 72.11 66.88 -0.370 -0.370 -0.371 -0.301 0.001 0.001 0.001 0.001AGCO UN Equity AGCO CORP Industrials 55.68 0.54% 15.08.2013 23.12 25.00 25.95 26.66 -0.116 -0.143 -0.149 -0.131 0.002 0.004 0.005 0.003AGYS UW Equity AGILYSYS INC Information Technology 11.65 39.83 42.39 42.11 0.000 -0.287 -0.294 0.000 0.004 0.004AIRM UW Equity AIR METHODS CORP Health Care 34.88 40.40 38.32 37.56 -0.122 -0.266 -0.282 0.001 0.006 0.007AKS UN Equity AK STEEL HOLDING CORP Materials 3.40 54.21 56.82 57.94 57.97 56.30 56.76 -0.288 -0.284 -0.270 -0.203 -0.137 -0.126 0.016 0.010 0.006 0.004 0.002 0.001AKRX UW Equity AKORN INC Health Care 14.60 39.57 39.00 38.83 39.25 -0.112 -0.166 -0.181 -0.135 0.002 0.003 0.003 0.002ALK UN Equity ALASKA AIR GROUP INC Industrials 67.86 29.45 29.76 29.94 30.30 -0.184 -0.219 -0.215 -0.170 0.009 0.007 0.005 0.003AIN UN Equity ALBANY INTL CORP-CL A Industrials 31.70 1.89% 06.06.2013 71.94 57.35 47.50 34.64 0.000 0.000 0.041 0.053 0.000 0.029 0.043 0.034ALB UN Equity ALBEMARLE CORP Materials 65.23 1.53% 13.09.2013 20.96 21.75 22.42 23.70 -0.309 -0.275 -0.254 -0.221 0.008 0.008 0.007 0.004ALEX UN Equity ALEXANDER & BALDWIN INC Financials 34.02 29.95 29.26 28.85 28.01 -0.316 -0.286 -0.264 -0.231 0.004 0.008 0.010 0.007ARE UN Equity ALEXANDRIA REAL ESTATE EQUIT Financials 77.67 3.18% 26.06.2013 11.95 11.73 12.19 0.000 -0.177 -0.252 0.000 0.002 0.004ALGN UW Equity ALIGN TECHNOLOGY INC Health Care 36.18 31.02 34.06 34.45 34.67 37.38 38.71 -0.135 -0.281 -0.305 -0.256 -0.139 -0.107 0.006 0.008 0.008 0.006 0.002 0.003Y UN Equity ALLEGHANY CORP Financials 394.40ALGT UW Equity ALLEGIANT TRAVEL CO Industrials 93.79 24.86 24.24 24.35 -0.204 -0.251 -0.247 0.004 0.007 0.007ALE UN Equity ALLETE INC Utilities 51.08 3.78% 15.08.2013 13.56 17.12 16.64 0.000 0.000 0.000 0.000 0.000 0.000ADS UN Equity ALLIANCE DATA SYSTEMS CORP Information Technology 177.21 16.76 17.44 18.01 19.17 -0.462 -0.330 -0.258 -0.207 0.013 0.009 0.007 0.003AOI UN Equity ALLIANCE ONE INTERNATIONAL Consumer Staples 3.70 59.67 59.67 59.67 57.98 -0.168 -0.168 -0.168 -0.153 0.000 0.000 0.000 0.000LNT UN Equity ALLIANT ENERGY CORP Utilities 52.61 3.65% 31.07.2013 11.39 11.38 11.38 0.159 0.160 0.162 0.008 0.008 0.008ATK UN Equity ALLIANT TECHSYSTEMS INC Industrials 77.41 1.34% 05.09.2013 20.10 21.35 22.15 22.97 -0.315 -0.302 -0.293 -0.262 0.009 0.009 0.008 0.005MDRX UW Equity ALLSCRIPTS HEALTHCARE SOLUTI Health Care 14.08 32.73 35.94 37.62 38.87 39.50 39.21 -0.049 -0.219 -0.271 -0.163 -0.116 -0.101 0.001 0.005 0.006 0.003 0.001 0.001AFAM UW Equity ALMOST FAMILY INC Health Care 19.50 25.55 24.89 24.77 25.52 0.000 -0.103 -0.140 -0.100 0.000 0.002 0.002 0.000ANR UN Equity ALPHA NATURAL RESOURCES INC Energy 6.84 59.17 58.91 59.07 60.74 58.33 59.69 -0.193 -0.243 -0.219 -0.150 -0.108 -0.121 0.009 0.007 0.005 0.002 0.001 0.001CAS UN Equity CASTLE (A.M.) & CO Materials 18.07 0.83% 30.07.2013 36.08 36.15 36.39 37.35 -0.082 -0.115 -0.131 -0.143 0.000 0.003 0.004 0.004AMCX UW Equity AMC NETWORKS INC-A Consumer Discretionary 65.56 26.41 27.13 28.06 30.53 -0.189 -0.230 -0.232 -0.163 0.003 0.006 0.006 0.004ACO UN Equity AMCOL INTERNATIONAL CORP Materials 30.92 2.65% 30.05.2013 29.92 30.18 30.38 30.90 0.000 -0.127 -0.181 -0.182 0.000 0.003 0.004 0.003AMED UW Equity AMEDISYS INC Health Care 11.03 55.00 53.68 52.98 52.52 -0.053 -0.096 -0.119 -0.120 0.007 0.003 0.001 0.001ACC UN Equity AMERICAN CAMPUS COMMUNITIES Financials 44.68 2.42% 14.08.2013 15.71 16.80 17.48 18.42 0.000 -0.050 -0.083 -0.126 0.000 0.000 0.000 0.002AEO UN Equity AMERICAN EAGLE OUTFITTERS Consumer Discretionary 20.10 2.49% 27.06.2013 38.59 35.67 34.15 33.97 33.51 34.04 -0.315 -0.237 -0.189 -0.157 -0.130 -0.123 0.004 0.003 0.003 0.002 0.001 0.001AFG UN Equity AMERICAN FINANCIAL GROUP INC Financials 49.72 1.69% 10.07.2013 13.35 14.05 14.27 13.79 0.000 -0.074 -0.106 -0.113 0.000 0.001 0.002 0.002AM UN Equity AMERICAN GREETINGS CORP-CL A Consumer Discretionary 18.43 1.74% 05.07.2013 16.83 16.83 16.83 0.000 0.000 0.000 0.000 0.000 0.000APEI UW Equity AMERICAN PUBLIC EDUCATION Consumer Discretionary 37.62 32.86 34.45 35.36 36.29 -0.166 -0.131 -0.126 -0.170 0.000 0.001 0.002 0.002ASEI UW Equity AMERICAN SCIENCE & ENGINEERI Industrials 60.53 2.48% 22.08.2013 20.48 20.62 21.44 -0.242 -0.270 -0.244 0.005 0.008 0.009AWR UN Equity AMERICAN STATES WATER CO Utilities 54.95 2.73% 13.08.2013 18.44 18.65 18.73 18.51 0.000 -0.087 -0.128 -0.162 0.000 0.004 0.006 0.005AVD UN Equity AMERICAN VANGUARD CORP Materials 30.53 0.59% 25.09.2013 33.62 35.12 35.80 35.90 -0.190 -0.197 -0.188 -0.134 0.009 0.006 0.004 0.002AMSF UW Equity AMERISAFE INC Financials 33.41 0.24%AME UN Equity AMETEK INC Industrials 42.86 0.56% 13.09.2013 19.53 19.70 19.96 20.80 -0.173 -0.261 -0.290 -0.257 0.001 0.006 0.008 0.005AHS UN Equity AMN HEALTHCARE SERVICES INC Health Care 14.40 35.70 34.97 35.46 -0.133 -0.050 -0.029 0.002 0.001 0.000AMSG UW Equity AMSURG CORP Health Care 35.73 24.52 25.28 25.31 23.62 0.000 -0.086 -0.129 -0.137 0.000 -0.002 -0.002 0.000ALOG UW Equity ANALOGIC CORP Health Care 80.38 0.60% 14.06.2013 26.32 23.69 22.77 -0.339 -0.291 -0.254 0.009 0.007 0.005ANDE UW Equity ANDERSONS INC/THE Consumer Staples 53.70 1.27% 03.10.2013 23.36 23.50 23.81 24.87 -0.136 -0.183 -0.192 -0.139 0.002 0.007 0.009 0.005AXE UN Equity ANIXTER INTERNATIONAL INC Information Technology 73.67 17.71 20.47 21.69 22.24 -0.390 -0.303 -0.249 -0.188 0.012 0.008 0.006 0.005ANN UN Equity ANN INC Consumer Discretionary 31.30 46.14 42.09 39.94 39.39 38.51 39.18 -0.257 -0.247 -0.232 -0.183 -0.165 -0.138 0.005 0.004 0.003 0.002 0.001 0.001ANSS UW Equity ANSYS INC Information Technology 76.90 20.18 21.09 22.14 -0.342 -0.269 -0.231 0.011 0.006 0.003AOS UN Equity SMITH (A.O.) CORP Industrials 79.70 0.65% 31.07.2013 18.41 19.55 20.57 -0.084 -0.058 -0.075 0.001 0.000 0.000AOL UN Equity AOL INC Information Technology 37.78 33.46 32.71 33.61 36.35 37.18 36.89 -0.192 -0.155 -0.134 -0.114 -0.095 -0.077 0.010 0.006 0.004 0.001 0.001 0.001APOG UW Equity APOGEE ENTERPRISES INC Industrials 27.55 1.31% 12.07.2013 34.12 35.58 36.53 37.66 -0.348 -0.310 -0.272 -0.173 0.006 0.007 0.007 0.003AINV UW Equity APOLLO INVESTMENT CORP Financials 8.61 9.30% 11.06.2013 22.58 23.14 23.58 22.96 -0.197 -0.124 -0.096 -0.173 0.003 0.006 0.007 0.004AIT UN Equity APPLIED INDUSTRIAL TECH INC Industrials 46.00 1.76% 15.08.2013 22.52 23.49 24.01 24.63 0.000 -0.197 -0.244 -0.148 0.000 0.005 0.006 0.004AREX UW Equity APPROACH RESOURCES INC Energy 27.07 35.81 35.00 35.09 -0.123 -0.247 -0.257 0.002 0.003 0.003ATR UN Equity APTARGROUP INC Materials 56.50 1.77% 05.08.2013 15.46 17.47 18.38 19.05 0.000 -0.175 -0.222 -0.175 0.000 0.005 0.006 0.003WTR UN Equity AQUA AMERICA INC Utilities 32.89 1.73% 15.11.2013 21.39 19.95 18.81 16.55 -0.553 -0.346 -0.199 -0.098 0.024 0.011 0.003 0.004ARB UN Equity ARBITRON INC Consumer Discretionary 46.85 0.85% 14.06.2013 13.46 12.95 12.37 10.92 0.000 0.027 0.006 -0.197 0.000 -0.001 0.000 0.007ACI UN Equity ARCH COAL INC Energy 4.96 2.42% 28.08.2013 59.33 60.25 61.55 63.33 64.68 66.96 -0.174 -0.125 -0.108 -0.103 -0.104 -0.100 0.008 0.006 0.004 0.002 0.001 0.001ACAT UW Equity ARCTIC CAT INC Consumer Discretionary 47.63 0.84% 28.08.2013 47.11 45.61 44.65 43.23 -0.093 -0.086 -0.087 -0.112 0.005 0.003 0.002 0.001ABFS UW Equity ARKANSAS BEST CORP Industrials 17.04 0.70% 02.08.2013 57.97 57.70 57.25 55.58 0.028 -0.017 -0.046 -0.094 0.006 0.003 0.002 0.001ARQL UQ Equity ARQULE INC Health Care 2.92 82.00 81.88 81.77 0.302 0.300 0.298 0.001 0.001 0.001ARRS UW Equity ARRIS GROUP INC Information Technology 16.95 28.18 28.98 29.14 28.29 -0.092 -0.061 -0.066 -0.147 0.001 0.001 0.002 0.004ARW UN Equity ARROW ELECTRONICS INC Information Technology 38.45 25.06 26.63 27.43 27.90 -0.234 -0.236 -0.233 -0.214 0.007 0.005 0.004 0.005AJG UN Equity ARTHUR J GALLAGHER & CO Financials 45.40 3.11% 30.09.2013 12.11 12.38 13.00 0.000 0.002 -0.017 0.000 0.000 0.000ASNA UW Equity ASCENA RETAIL GROUP INC Consumer Discretionary 19.85 35.04 32.84 31.63 31.46 30.95 31.31 -0.338 -0.274 -0.227 -0.160 -0.081 -0.012 0.008 0.006 0.004 0.003 0.000 0.000ASH UN Equity ASHLAND INC Materials 89.40 1.52% 19.08.2013 24.46 24.57 25.20 26.81 -0.313 -0.257 -0.222 -0.184 0.011 0.008 0.006 0.003AHL UN Equity ASPEN INSURANCE HOLDINGS LTD Financials 38.68 1.86% 09.08.2013 18.45 18.95 19.34 20.13 0.000 -0.029 -0.047 -0.072 0.000 0.000 0.001 0.001ASBC UW Equity ASSOCIATED BANC-CORP Financials 15.14 3.04% 08.08.2013 21.89 22.58 22.98 23.41 0.000 -0.069 -0.106 -0.154 0.000 0.003 0.004 0.003ASTE UW Equity ASTEC INDUSTRIES INC Industrials 34.99 1.14% 24.07.2013 26.53 27.86 28.49 28.77 -0.343 -0.367 -0.363 -0.292 0.011 0.008 0.006 0.003AF UN Equity ASTORIA FINANCIAL CORP Financials 9.92 1.61% 15.08.2013 24.31 23.94 24.76 0.000 0.003 -0.024 0.000 0.000 0.002ATNI UW Equity ATLANTIC TELE-NETWORK INC Telecommunication Services 50.50 2.16% 28.06.2013 28.96 28.25 28.04 28.10 0.000 -0.135 -0.197 -0.208 0.000 0.001 0.002 0.004AAWW UW Equity ATLAS AIR WORLDWIDE HOLDINGS Industrials 45.81 26.85 29.56 30.95 32.02 -0.156 -0.217 -0.229 -0.176 0.005 0.004 0.003 0.002ATML UW Equity ATMEL CORP Information Technology 7.25 37.54 39.12 40.67 44.87 0.000 -0.155 -0.207 -0.165 0.000 0.006 0.007 0.001ATMI UW Equity ATMI INC Information Technology 23.58 26.10 26.58 26.93 27.74 0.148 -0.030 -0.106 -0.090 0.000 0.001 0.001 0.001ATO UN Equity ATMOS ENERGY CORP Utilities 44.79 3.15% 27.08.2013 14.29 14.25 14.33 0.000 0.003 -0.026 0.000 0.000 0.000ATW UN Equity ATWOOD OCEANICS INC Energy 52.00 23.06 24.67 25.57 26.59 -0.281 -0.242 -0.213 -0.161 0.009 0.005 0.004 0.004AVID UW Equity AVID TECHNOLOGY INC Information Technology 6.86 48.09 47.68 47.53 47.55 0.000 -0.186 -0.255 -0.172 0.000 0.004 0.005 0.002AVA UN Equity AVISTA CORP Utilities 29.03 4.25% 20.08.2013 15.39 15.26 15.14 14.76 -0.154 -0.153 -0.152 -0.148 0.002 0.002 0.002 0.003AVT UN Equity AVNET INC Information Technology 32.97 25.79 27.80 28.76 29.12 -0.232 -0.224 -0.216 -0.189 0.010 0.007 0.006 0.003AZZ UN Equity AZZ INC Industrials 41.60 1.61% 09.07.2013 29.80 30.32 30.78 31.88 -0.033 -0.134 -0.168 -0.138 0.000 0.003 0.004 0.003BGS UN Equity B&G FOODS INC Consumer Staples 31.09 3.92% 28.06.2013 20.58 22.14 22.40 21.71 0.000 -0.249 -0.297 -0.163 0.000 0.006 0.008 0.005BEAV UW Equity B/E AEROSPACE INC Industrials 64.21 21.48 21.87 22.63 -0.211 -0.231 -0.229 0.007 0.007 0.006BMI UN Equity BADGER METER INC Information Technology 44.24 1.60% 30.08.2013 31.50 33.97 35.21 35.97 -0.296 -0.246 -0.217 -0.178 0.013 0.009 0.006 0.002BCPC UW Equity BALCHEM CORP Materials 45.30 0.53% 13.12.2013 25.95 26.72 27.11 27.29 -0.187 -0.242 -0.246 -0.170 0.004 0.007 0.007 0.004BYI UN Equity BALLY TECHNOLOGIES INC Consumer Discretionary 52.88 19.52 19.57 20.43 22.50 24.29 25.64 -0.383 -0.286 -0.255 -0.256 -0.198 -0.151 0.012 0.010 0.007 0.005 0.004 0.003BXS UN Equity BANCORPSOUTH INC Financials 17.28 0.23% 13.09.2013 19.67 21.79 22.54 0.000 -0.149 -0.199 0.000 0.003 0.004BKMU UW Equity BANK MUTUAL CORP Financials 5.32 1.50% 14.08.2013 46.90 44.15 42.83 42.72 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000BOH UN Equity BANK OF HAWAII CORP Financials 50.00 3.60% 28.08.2013 13.17 14.39 14.98 0.000 -0.180 -0.223 0.000 0.003 0.005OZRK UW Equity BANK OF THE OZARKS Financials 43.27 1.69% 10.07.2013 21.66 23.25 23.75 23.10 -0.114 -0.054 -0.054 -0.149 0.001 0.001 0.001 0.001BANR UW Equity BANNER CORPORATION Financials 33.85 1.48% 03.07.2013 26.69 28.07 28.72 29.11 -0.211 -0.110 -0.076 -0.119 0.004 0.001 0.001 0.004BKS UN Equity BARNES & NOBLE INC Consumer Discretionary 20.74 72.30 64.39 58.80 51.66 45.79 42.39 -0.162 -0.124 -0.096 -0.074 -0.109 -0.139 0.000 0.002 0.002 0.001 0.001 0.001B UN Equity BARNES GROUP INC Industrials 30.00 1.43% 29.08.2013 21.78 23.86 24.95 25.57 0.000 -0.065 -0.094 -0.134 0.000 0.005 0.006 0.005BAS UN Equity BASIC ENERGY SERVICES INC Energy 13.89 41.20 43.74 45.31 0.080 -0.225 -0.283 0.010 0.008 0.005BBCN UW Equity BBCN BANCORP INC Financials 13.10 1.98% 30.07.2013 95.38 95.84 96.30 81.88 0.474 0.480 0.486 -0.288 0.010 0.009 0.008 0.021BELFB UW Equity BEL FUSE INC-CL B Information Technology 14.65 2.13% 16.07.2013BDC UN Equity BELDEN INC Industrials 53.99 0.37% 14.06.2013 28.48 28.75 29.29 31.18 -0.348 -0.278 -0.240 -0.211 0.011 0.009 0.007 0.004BHE UN Equity BENCHMARK ELECTRONICS INC Information Technology 19.31 28.45 28.70 29.00 -0.117 -0.053 -0.057 0.001 0.001 0.001BGFV UW Equity BIG 5 SPORTING GOODS CORP Consumer Discretionary 22.28 1.80% 30.08.2013 38.63 38.39 38.87 -0.095 -0.164 -0.162 0.002 0.005 0.006BIG UN Equity BIG LOTS INC Consumer Discretionary 37.36 34.74 32.31 31.62 32.29 33.03 33.06 -0.259 -0.266 -0.239 -0.159 -0.134 -0.124 0.015 0.010 0.006 0.002 0.001 0.001BH UN Equity BIGLARI HOLDINGS INC Consumer Discretionary 403.04BBG UN Equity BILL BARRETT CORP Energy 21.32 44.27 44.90 45.52 47.06 -0.223 -0.163 -0.136 -0.136 0.012 0.007 0.004 0.002BIO UN Equity BIO-RAD LABORATORIES-A Health Care 115.94 20.46 20.80 21.17 22.19 -0.069 -0.155 -0.192 -0.210 0.001 0.006 0.008 0.005BRLI UW Equity BIO-REFERENCE LABS INC Health Care 28.82 38.28 35.68 34.58 34.98 -0.393 -0.365 -0.336 -0.245 0.012 0.011 0.010 0.004BMR UN Equity BIOMED REALTY TRUST INC Financials 22.71 4.23% 28.06.2013 12.20 14.19 15.03 14.95 0.000 0.026 0.022 -0.035 0.000 -0.001 0.000 0.001BJRI UW Equity BJS RESTAURANTS INC Consumer Discretionary 37.60 25.93 25.44 25.98 -0.096 -0.285 -0.289 0.000 0.007 0.008BBOX UW Equity BLACK BOX CORP Information Technology 26.28 1.37% 02.10.2013 33.90 34.69 35.23 36.12 -0.121 -0.202 -0.230 -0.195 0.004 0.006 0.006 0.005Option Implied Volatility Skew Parameters by Terms:IVt = atx + btx2+ ctAt The Money Implied Volatilities by TermsS&P1000IndexQ.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  2. 2. 15.05.2013Ticker Name GICS_SECTOR_NAME ATM RefDividendYieldNext Ex-DividendDateATM Vol -30DATM Vol -60DATM Vol -90DATM Vol -6MATM Vol -12MATM Vol -18MATM Vol -24MSkew(a) -30DSkew(a) -60DSkew(a) -90DSkew(a) -6MSkew(a) -12MSkew(a) -18MSkew(a) -24MSkew(b) -30DSkew(b) -60DSkew(b) -90DSkew(b) -6MSkew(b) -12MSkew(b) -18MSkew(b) -24MBKH UN Equity BLACK HILLS CORP Utilities 49.75 2.31% 16.08.2013 16.49 17.22 17.73 18.14 0.000 -0.160 -0.201 -0.193 0.000 0.008 0.009 0.004BLKB UW Equity BLACKBAUD INC Information Technology 30.65 1.60% 28.08.2013 23.03 23.46 23.95 25.34 0.000 -0.205 -0.278 -0.235 0.000 0.006 0.007 0.006BCOR UW Equity BLUCORA INC Information Technology 17.78 34.70 33.85 34.34 -0.027 -0.148 -0.183 -0.001 0.003 0.004NILE UW Equity BLUE NILE INC Consumer Discretionary 32.01 35.64 41.99 44.17 43.84 -0.244 -0.212 -0.183 -0.133 0.001 0.003 0.003 0.002BTH UN Equity BLYTH INC Consumer Discretionary 14.65 1.71% 01.10.2013 61.22 61.69 61.77 61.54 0.000 -0.117 -0.163 -0.135 0.000 0.001 0.002 0.001BOBE UW Equity BOB EVANS FARMS Consumer Discretionary 45.81 2.63% 06.06.2013 24.69 24.59 24.49 24.25 -0.827 -0.511 -0.306 -0.114 0.027 0.018 0.011 0.004SAM UN Equity BOSTON BEER COMPANY INC-A Consumer Staples 151.47 26.35 27.94 28.73 29.09 -0.303 -0.223 -0.180 -0.151 0.009 0.005 0.004 0.002BPFH UW Equity BOSTON PRIVATE FINL HOLDING Financials 9.90 2.22% 16.08.2013 201.64 163.61 136.47 0.000 0.000 0.000 0.000 0.000 0.000EPAY UW Equity BOTTOMLINE TECHNOLOGIES (DE) Information Technology 28.00 27.24 28.44 29.20 30.31 0.000 -0.111 -0.159 -0.161 0.000 0.001 0.002 0.002BYD UN Equity BOYD GAMING CORP Consumer Discretionary 14.30 49.34 46.88 46.21 49.07 48.70 50.37 -0.205 -0.201 -0.186 -0.121 -0.201 -0.133 0.009 0.007 0.005 0.002 0.001 0.001BRC UN Equity BRADY CORPORATION - CL A Industrials 35.40 2.23% 10.07.2013 21.09 21.09 21.09 21.09 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000BRE UN Equity BRE PROPERTIES INC Financials 52.60 3.02% 13.09.2013 17.57 18.33 18.73 -0.060 -0.019 -0.036 0.000 0.000 0.001BGG UN Equity BRIGGS & STRATTON Industrials 23.52 2.10% 20.08.2013 26.52 26.39 26.67 -0.073 -0.350 -0.333 0.000 0.011 0.011BCO UN Equity BRINKS CO/THE Industrials 26.83 1.12% 19.07.2013 28.44 30.60 31.48 31.12 -0.241 -0.217 -0.200 -0.161 0.006 0.004 0.003 0.004EAT UN Equity BRINKER INTERNATIONAL INC Consumer Discretionary 40.61 2.19% 12.06.2013 22.37 21.95 22.74 0.000 -0.134 -0.168 0.000 0.005 0.006BRS UN Equity BRISTOW GROUP INC Energy 66.31 1.36% 05.06.2013 22.45 22.66 22.91 23.58 -0.192 -0.204 -0.203 -0.178 0.001 0.004 0.004 0.003BR UN Equity BROADRIDGE FINANCIAL SOLUTIO Information Technology 26.38 2.84% 13.09.2013 19.66 18.67 18.09 17.35 0.000 -0.033 -0.066 -0.160 0.000 0.002 0.004 0.004BRKL UW Equity BROOKLINE BANCORP INC Financials 8.64 3.94% 07.08.2013 31.45 31.45 31.45 31.45 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000BRKS UW Equity BROOKS AUTOMATION INC Information Technology 9.96 3.21% 04.09.2013 37.43 38.32 38.24 0.000 0.004 -0.028 0.000 0.000 0.000BRO UN Equity BROWN & BROWN INC Financials 32.79 1.14% 05.08.2013 19.05 19.01 18.97 19.17 -0.170 -0.170 -0.171 -0.156 0.000 0.000 0.000 0.004BWS UN Equity BROWN SHOE COMPANY INC Consumer Discretionary 17.64 1.59% 19.06.2013 41.33 39.38 38.44 38.11 -0.137 -0.076 -0.062 -0.128 0.000 0.000 0.000 0.000BC UN Equity BRUNSWICK CORP Consumer Discretionary 32.84 0.15% 22.11.2013 36.06 38.01 39.11 40.26 -0.152 -0.176 -0.182 -0.158 0.008 0.005 0.003 0.002BKI UN Equity BUCKEYE TECHNOLOGIES INC Materials 37.50 0.72% 09.08.2013 8.69 8.69 8.69 0.000 0.000 0.000 0.000 0.000 0.000BKE UN Equity BUCKLE INC/THE Consumer Discretionary 53.93 1.48% 15.07.2013 32.58 31.28 30.66 30.57 -0.285 -0.282 -0.264 -0.179 0.009 0.005 0.003 0.002BWLD UW Equity BUFFALO WILD WINGS INC Consumer Discretionary 94.79 23.94 26.07 27.31 28.98 29.68 31.70 -0.314 -0.250 -0.209 -0.157 -0.127 -0.102 0.012 0.007 0.005 0.002 0.002 0.001CJES UN Equity C&J ENERGY SERVICES INC Energy 18.47 30.63 34.32 35.92 35.50 37.30 37.33 0.093 -0.061 -0.137 -0.158 -0.173 -0.139 0.012 0.007 0.004 0.003 0.002 0.002CAB UN Equity CABELAS INC Consumer Discretionary 70.45 30.40 33.05 34.34 35.05 -0.191 -0.176 -0.164 -0.137 0.006 0.003 0.002 0.001CBT UN Equity CABOT CORP Materials 38.09 2.26% 28.08.2013 28.08 27.93 27.99 -0.160 -0.103 -0.120 0.002 0.001 0.002CCMP UW Equity CABOT MICROELECTRONICS CORP Information Technology 35.74 25.60 25.29 25.77 0.000 -0.151 -0.194 0.000 0.004 0.004CACI UN Equity CACI INTERNATIONAL INC -CL A Information Technology 61.04 24.61 25.88 26.73 27.72 -0.489 -0.366 -0.302 -0.248 0.016 0.010 0.007 0.004CDNS UW Equity CADENCE DESIGN SYS INC Information Technology 14.18 18.61 22.10 23.78 24.69 0.000 -0.157 -0.208 -0.202 0.000 0.005 0.005 0.004CALM UW Equity CAL-MAINE FOODS INC Consumer Staples 43.51 1.83% 05.08.2013 18.62 20.57 21.94 24.38 0.000 -0.224 -0.268 -0.189 0.000 0.010 0.012 0.004CLMS UW Equity CALAMOS ASSET MANAGEMENT-A Financials 10.84 3.55% 15.08.2013 29.47 29.76 30.44 34.28 0.000 -0.129 -0.176 -0.077 0.000 -0.002 -0.002 -0.001CVGW UW Equity CALAVO GROWERS INC Consumer Staples 30.14 2.16% 27.11.2013 30.47 29.71 29.42 0.000 -0.229 -0.272 0.000 0.007 0.007CCC UN Equity CALGON CARBON CORP Materials 17.54 25.54 26.15 26.98 0.000 -0.151 -0.200 0.000 0.004 0.005ELY UN Equity CALLAWAY GOLF COMPANY Consumer Discretionary 6.63 0.60% 14.08.2013 27.69 31.10 31.67 28.70 0.000 -0.109 -0.160 -0.205 0.000 0.000 0.001 0.009CBM UN Equity CAMBREX CORP Health Care 13.14 39.53 40.30 40.12 0.000 -0.069 -0.087 0.000 -0.001 -0.001CPT UN Equity CAMDEN PROPERTY TRUST Financials 74.49 3.42% 28.06.2013 13.72 15.02 15.44 15.15 0.000 -0.037 -0.051 -0.051 0.000 0.000 0.001 0.001CMN UN Equity CANTEL MEDICAL CORP Health Care 34.87 0.34% 17.07.2013 29.06 29.35 29.71 30.74 0.000 -0.085 -0.117 -0.092 0.000 0.004 0.005 0.003CPLA UW Equity CAPELLA EDUCATION CO Consumer Discretionary 42.68 27.74 28.35 29.26 31.94 -0.255 -0.248 -0.231 -0.173 0.009 0.006 0.004 0.003CRR UN Equity CARBO CERAMICS INC Energy 70.06 1.71% 01.08.2013 30.98 34.92 36.80 37.91 37.15 37.68 -0.301 -0.211 -0.164 -0.134 -0.059 -0.064 0.011 0.006 0.004 0.001 0.002 0.001CATM UW Equity CARDTRONICS INC Information Technology 29.03 26.05 29.49 31.26 32.78 0.000 -0.041 -0.061 -0.080 0.000 0.000 0.001 0.001CECO UW Equity CAREER EDUCATION CORP Consumer Discretionary 2.94 56.37 61.12 63.90 65.90 0.000 0.003 -0.024 -0.074 0.000 0.000 0.001 0.003CSL UN Equity CARLISLE COS INC Industrials 67.08 1.28% 14.08.2013 22.13 22.09 22.23 22.70 -0.381 -0.420 -0.423 -0.349 0.006 0.007 0.008 0.006CRS UN Equity CARPENTER TECHNOLOGY Materials 46.82 1.56% 30.08.2013 24.76 26.37 27.27 28.24 -0.303 -0.261 -0.229 -0.168 0.008 0.006 0.005 0.003CRZO UW Equity CARRIZO OIL & GAS INC Energy 26.85 40.78 40.27 40.53 41.53 42.15 42.49 -0.195 -0.203 -0.189 -0.151 -0.132 -0.122 0.005 0.004 0.003 0.001 0.001 0.001CRI UN Equity CARTERS INC Consumer Discretionary 70.52 0.23% 20.96 22.15 22.98 24.31 -0.288 -0.275 -0.256 -0.196 0.007 0.006 0.005 0.003CASY UW Equity CASEYS GENERAL STORES INC Consumer Staples 60.65 1.22% 01.08.2013 33.88 28.57 26.17 22.97 -1.123 -0.444 -0.191 -0.150 0.016 0.033 0.034 0.006CSH UN Equity CASH AMERICA INTL INC Financials 47.15 0.30% 29.07.2013 28.61 27.41 27.19 28.61 -0.323 -0.427 -0.446 -0.318 0.007 0.007 0.007 0.005CATY UW Equity CATHAY GENERAL BANCORP Financials 20.60 0.78% 31.05.2013 28.16 25.12 25.79 37.13 0.000 -0.281 -0.551 -0.860 0.000 0.007 0.015 0.036CATO UN Equity CATO CORP-CLASS A Consumer Discretionary 24.87 4.95% 13.06.2013 27.99 27.07 26.69 -0.076 -0.091 -0.102 0.001 0.003 0.003CBEY UW Equity CBEYOND INC Telecommunication Services 9.54 32.21 35.70 37.37 38.23 0.000 -0.106 -0.157 -0.215 0.000 0.006 0.007 0.005CBOE UW Equity CBOE HOLDINGS INC Financials 40.10 1.72% 28.08.2013 17.88 17.79 17.62 17.06 17.09 17.20 -0.215 -0.253 -0.265 -0.234 -0.169 -0.150 0.011 0.010 0.008 0.006 0.004 0.003CDI UN Equity CDI CORP Industrials 13.68 3.80% 06.08.2013 40.13 37.80 36.24 34.27 0.000 -0.040 -0.064 -0.081 0.000 0.000 0.000 0.000CEC UN Equity CEC ENTERTAINMENT INC Consumer Discretionary 38.87 2.62% 03.09.2013 25.86 25.68 25.76 26.47 0.000 -0.012 -0.041 -0.130 0.000 0.000 0.001 0.004CDR UN Equity CEDAR REALTY TRUST INC Financials 6.61 3.03% 07.08.2013 28.94 28.87 28.80 -0.330 -0.329 -0.328 0.002 0.002 0.002CNC UN Equity CENTENE CORP Health Care 51.36 32.79 33.42 34.30 37.80 34.98 36.62 -0.306 -0.267 -0.238 -0.184 -0.125 -0.106 0.010 0.008 0.006 0.002 0.003 0.002CENTA UW Equity CENTRAL GARDEN AND PET CO-A Consumer Staples 7.59 38.85 38.57 38.76 40.23 0.000 0.003 0.002 -0.004 0.000 0.000 0.000 0.000CENX UW Equity CENTURY ALUMINUM COMPANY Materials 8.65 45.73 46.35 46.52 45.68 -0.237 -0.211 -0.197 -0.176 0.011 0.007 0.005 0.003CEVA UW Equity CEVA INC Information Technology 15.91 30.31 31.27 32.18 34.29 0.000 -0.061 -0.085 -0.077 0.000 0.002 0.003 0.001CHG UN Equity CH ENERGY GROUP INC Utilities 64.18 3.46% 11.07.2013CRL UN Equity CHARLES RIVER LABORATORIES Health Care 45.72 23.91 25.80 26.74 27.34 -0.183 -0.188 -0.182 -0.152 0.004 0.006 0.006 0.002CKP UN Equity CHECKPOINT SYSTEMS INC Information Technology 12.40 38.75 38.46 38.36 38.80 0.000 -0.080 -0.100 -0.065 0.000 0.004 0.005 0.003CAKE UW Equity CHEESECAKE FACTORY INC/THE Consumer Discretionary 40.80 1.18% 05.08.2013 19.94 20.15 21.06 22.85 -0.136 -0.193 -0.200 -0.174 0.005 0.007 0.006 0.003CHE UN Equity CHEMED CORP Health Care 65.94 1.23% 24.05.2013 38.24 37.39 36.74 35.26 -0.672 -0.525 -0.427 -0.268 0.015 0.011 0.008 0.002CHS UN Equity CHICOS FAS INC Consumer Discretionary 19.46 1.16% 12.09.2013 40.83 36.94 34.80 33.56 33.96 34.48 -0.193 -0.167 -0.152 -0.135 -0.117 -0.097 0.005 0.005 0.004 0.002 0.001 0.001PLCE UW Equity CHILDRENS PLACE Consumer Discretionary 50.95 39.10 36.04 34.27 32.91 -0.352 -0.284 -0.240 -0.200 0.007 0.005 0.004 0.002CBK UN Equity CHRISTOPHER & BANKS CORP Consumer Discretionary 7.65 55.78 52.77 51.56 52.43 0.347 0.072 -0.077 -0.135 0.014 0.009 0.005 0.003CHD UN Equity CHURCH & DWIGHT CO INC Consumer Staples 64.59 1.83% 15.08.2013 14.06 13.28 13.50 -0.079 -0.009 0.003 0.001 0.000 0.000CBR UN Equity CIBER INC Information Technology 3.89 60.85 60.85 60.85 60.85 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000CIEN UW Equity CIENA CORP Information Technology 15.21 48.65 45.08 43.89 44.46 44.91 44.33 -0.155 -0.172 -0.166 -0.135 -0.125 -0.116 0.010 0.007 0.005 0.002 0.000 0.000XEC UN Equity CIMAREX ENERGY CO Energy 69.46 0.84% 14.08.2013 31.05 32.56 33.30 33.72 -0.164 -0.172 -0.173 -0.162 0.010 0.006 0.004 0.002CBB UN Equity CINCINNATI BELL INC Telecommunication Services 3.61 64.57 64.61 64.64 65.91 -0.085 -0.085 -0.085 -0.246 0.000 0.000 0.000 0.001CNK UN Equity CINEMARK HOLDINGS INC Consumer Discretionary 30.20 2.78% 06.06.2013 18.64 19.51 20.09 21.12 0.000 -0.167 -0.219 -0.163 0.000 0.006 0.007 0.005CIR UN Equity CIRCOR INTERNATIONAL INC Industrials 50.22 0.30% 07.08.2013 27.94 30.06 30.41 30.02 -0.186 -0.228 -0.216 -0.161 0.006 0.007 0.008 0.008CRUS UW Equity CIRRUS LOGIC INC Information Technology 22.59 44.22 46.91 48.25 49.17 47.14 47.74 -0.140 -0.140 -0.137 -0.120 -0.117 -0.098 0.009 0.005 0.003 0.001 0.001 0.001CHCO UW Equity CITY HOLDING CO Financials 39.60 3.72% 10.07.2013 20.92 21.55 21.97 22.41 0.000 0.096 0.088 -0.110 0.000 0.000 0.001 0.003CYN UN Equity CITY NATIONAL CORP Financials 60.49 2.15% 29.07.2013 15.93 16.36 17.15 19.90 -0.173 -0.350 -0.377 -0.252 0.003 0.011 0.011 0.004CLC UN Equity CLARCOR INC Industrials 54.70 1.07% 03.07.2013 22.74 22.09 21.79 21.88 -0.198 -0.223 -0.226 -0.184 0.003 0.004 0.004 0.003CLH UN Equity CLEAN HARBORS INC Industrials 55.39 27.68 28.41 29.22 -0.207 -0.233 -0.223 0.002 0.007 0.007CLW UN Equity CLEARWATER PAPER CORP Materials 46.62 24.16 24.29 25.07 -0.232 -0.202 -0.176 0.006 0.005 0.005CNL UN Equity CLECO CORPORATION Utilities 48.09 3.02% 08.08.2013 14.77 14.77 14.77 15.46 0.001 0.001 0.001 0.008 0.000 0.000 0.000 0.000CLD UN Equity CLOUD PEAK ENERGY INC Energy 18.19 36.60 37.13 37.16 36.29 -0.151 -0.154 -0.150 -0.130 -0.001 0.003 0.005 0.003CGNX UW Equity COGNEX CORP Information Technology 44.14 29.05.2013 22.38 25.14 26.61 28.00 -0.467 -0.287 -0.186 -0.174 0.020 0.011 0.006 0.001COHR UW Equity COHERENT INC Information Technology 57.19 47.23 34.74 25.56 28.17 0.708 0.306 -0.015 -0.179 -0.002 0.021 0.037 0.028COHU UW Equity COHU INC Information Technology 10.35 2.32% 26.06.2013 32.17 33.90 34.97 36.23 0.000 0.028 0.005 -0.138 0.000 -0.001 0.000 0.004CSTR UW Equity COINSTAR INC Consumer Discretionary 55.26 35.69 36.90 37.71 38.83 38.93 38.68 -0.106 -0.170 -0.169 -0.139 -0.127 -0.112 0.004 0.003 0.002 0.001 0.001 0.001CWTR UW Equity COLDWATER CREEK INC Consumer Discretionary 3.87 82.46 83.98 81.66 0.000 -0.314 -0.375 0.000 0.001 0.001CLP UN Equity COLONIAL PROPERTIES TRUST Financials 23.93 3.68% 08.08.2013 19.60 17.32 16.33 16.85 0.000 -0.052 -0.089 -0.129 0.000 0.000 0.000 0.001COLB UW Equity COLUMBIA BANKING SYSTEM INC Financials 21.84 2.11% 05.08.2013 26.41 44.56 47.58 38.92 -0.076 -0.089 -0.214 -0.727 0.001 0.002 0.003 -0.001FIX UN Equity COMFORT SYSTEMS USA INC Industrials 13.43 1.12% 28.08.2013 39.44 38.47 36.75 -0.513 -0.363 -0.195 -0.002 -0.002 0.000CBSH UW Equity COMMERCE BANCSHARES INC Financials 41.71 2.16% 04.09.2013 32.99 27.48 23.66 22.54 0.000 -0.001 -0.004 0.345 0.000 -0.001 0.000 0.010CMC UN Equity COMMERCIAL METALS CO Materials 15.17 3.16% 11.07.2013 25.73 27.41 28.35 29.36 -0.198 -0.270 -0.286 -0.219 0.003 0.003 0.003 0.002CBU UN Equity COMMUNITY BANK SYSTEM INC Financials 29.30 3.79% 13.09.2013 20.38 21.07 21.39 21.39 0.000 0.009 0.002 -0.043 0.000 0.000 0.000 0.001CYH UN Equity COMMUNITY HEALTH SYSTEMS INC Health Care 45.42 28.00 29.43 30.27 31.27 -0.279 -0.221 -0.186 -0.147 0.009 0.006 0.004 0.002CVLT UW Equity COMMVAULT SYSTEMS INC Information Technology 74.64 37.72 37.49 38.03 -0.200 -0.189 -0.181 0.004 0.003 0.002CMP UN Equity COMPASS MINERALS INTERNATION Materials 88.82 2.53% 30.08.2013 16.02 18.10 19.11 19.69 -0.341 -0.277 -0.226 -0.135 0.012 0.006 0.004 0.007CPSI UW Equity COMPUTER PROGRAMS & SYSTEMS Health Care 49.12 4.34% 06.08.2013 29.86 31.11 31.90 32.94 -0.075 -0.147 -0.166 -0.113 0.001 0.002 0.002 0.000CPWR UW Equity COMPUWARE CORP Information Technology 11.30 37.55 34.99 32.62 27.34 0.000 -0.176 -0.219 -0.059 0.000 0.002 0.002 0.004SCOR UW Equity COMSCORE INC Information Technology 19.19 34.41 34.28 34.38 35.13 -0.030 -0.029 -0.025 -0.009 0.000 0.001 0.002 0.002CRK UN Equity COMSTOCK RESOURCES INC Energy 17.50 0.71% 45.85 46.49 47.02 48.08 -0.229 -0.155 -0.115 -0.084 0.013 0.007 0.005 0.002CMTL UW Equity COMTECH TELECOMMUNICATIONS Information Technology 26.09 4.22% 19.07.2013 29.32 26.91 26.13 -0.154 -0.211 -0.230 0.000 0.003 0.004CNW UN Equity CON-WAY INC Industrials 36.15 0.83% 15.08.2013 28.23 29.68 30.78 32.90 -0.319 -0.275 -0.243 -0.186 0.007 0.006 0.005 0.003CNQR UW Equity CONCUR TECHNOLOGIES INC Information Technology 83.40 24.77 27.13 28.15 28.41 -0.315 -0.258 -0.225 -0.190 0.009 0.006 0.005 0.002CNMD UW Equity CONMED CORP Health Care 32.80 1.89% 14.06.2013 22.50 22.43 22.37 22.41 -0.095 -0.095 -0.094 -0.140 0.001 0.001 0.001 0.003CGX UN Equity CONSOLIDATED GRAPHICS INC Industrials 42.00 34.55 36.16 35.61 31.52 -0.173 -0.176 -0.169 -0.130 0.004 -0.004 -0.006 0.002MCF UA Equity CONTANGO OIL & GAS Energy 37.35 30.88 29.34 29.05 -0.167 -0.253 -0.255 0.002 0.007 0.007CVG UN Equity CONVERGYS CORP Information Technology 18.27 1.31% 19.06.2013 21.47 21.48 22.02 0.000 0.004 -0.031 0.000 0.000 0.001COO UN Equity COOPER COS INC/THE Health Care 111.84 0.05% 18.07.2013 25.22 22.75 21.61 21.93 -0.254 -0.228 -0.207 -0.164 0.006 0.006 0.006 0.005CPRT UW Equity COPART INC Industrials 36.82 37.50 34.62 32.98 31.80 -0.120 -0.116 -0.116 -0.128 0.009 0.007 0.005 0.002CLGX UN Equity CORELOGIC INC Information Technology 27.99 28.73 26.66 26.81 -0.172 -0.202 -0.216 0.002 0.008 0.009COR UN Equity CORESITE REALTY CORP Financials 36.86 3.20% 26.06.2013 25.79 27.39 28.03 -0.055 -0.021 -0.043 0.000 0.000 0.001COCO UW Equity CORINTHIAN COLLEGES INC Consumer Discretionary 2.19 48.25 59.06 62.04 57.03 0.000 0.011 0.003 -0.047 0.000 0.000 0.000 -0.001CEB UN Equity CORPORATE EXECUTIVE BOARD CO Industrials 59.58 1.59% 13.09.2013 24.74 25.03 25.54 27.12 -0.224 -0.224 -0.211 -0.159 0.004 0.005 0.006 0.005OFC UN Equity CORPORATE OFFICE PROPERTIES Financials 29.11 3.78% 26.09.2013 14.51 16.05 16.85 17.51 0.000 -0.058 -0.087 -0.116 0.000 0.001 0.002 0.003CXW UN Equity CORRECTIONS CORP OF AMERICA Financials 38.77 4.64% 01.07.2013 17.37 19.39 20.39 21.14 22.16 23.45 -0.152 -0.267 -0.286 -0.151 -0.148 -0.097 0.002 0.005 0.006 0.004 0.003 0.002CRVL UW Equity CORVEL CORP Health Care 49.20CUZ UN Equity COUSINS PROPERTIES INC Financials 11.06 1.54% 09.08.2013 23.56 23.56 23.34 0.000 0.000 0.000 0.000 0.000 0.000CVD UN Equity COVANCE INC Health Care 77.34 17.14 19.33 20.24 20.36 -0.220 -0.204 -0.189 -0.148 0.003 0.004 0.005 0.004CBRL UW Equity CRACKER BARREL OLD COUNTRY Consumer Discretionary 86.92 2.47% 17.07.2013 23.45 22.63 22.19 21.94 -0.437 -0.330 -0.260 -0.186 0.017 0.012 0.008 0.005CR UN Equity CRANE CO Industrials 59.66 1.98% 28.08.2013 18.07 18.79 19.48 21.02 -0.075 -0.289 -0.358 -0.287 0.001 0.009 0.011 0.007CREE UW Equity CREE INC Information Technology 59.91 37.68 40.77 42.24 42.88 41.50 40.82 -0.073 -0.121 -0.138 -0.115 -0.119 -0.104 0.009 0.005 0.003 0.001 0.000 0.000CROX UW Equity CROCS INC Consumer Discretionary 17.40 28.26 31.33 33.16 35.68 37.56 39.07 -0.163 -0.214 -0.226 -0.185 -0.131 -0.120 0.004 0.004 0.003 0.002 0.001 0.001CCRN UW Equity CROSS COUNTRY HEALTHCARE INC Health Care 5.21 50.19 52.00 52.87 52.90 0.000 0.052 0.072 0.048 0.000 0.002 0.002 0.001CRY UN Equity CRYOLIFE INC Health Care 6.40 1.56% 12.06.2013 42.42 42.41 42.39 -0.155 -0.154 -0.154 0.001 0.001 0.001CSGS UW Equity CSG SYSTEMS INTL INC Information Technology 21.69 21.78 23.05 23.78 24.63 0.000 -0.030 -0.054 -0.099 0.000 -0.001 0.000 0.002Option Implied Volatility Skew Parameters by Terms:IVt = atx + btx2+ ctAt The Money Implied Volatilities by TermsS&P1000IndexQ.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  3. 3. 15.05.2013Ticker Name GICS_SECTOR_NAME ATM2 RefDividendYieldNext Ex-DividendDateATM2Vol - 30DATM2Vol - 60DATM2Vol - 90DATM2Vol - 6MATM2Vol - 12MATM2Vol - 18MATM2Vol - 24MSkew(a) -30DSkew(a) -60DSkew(a) -90DSkew(a) -6MSkew(a) -12MSkew(a) -18MSkew(a) -24MSkew(b) -30DSkew(b) -60DSkew(b) -90DSkew(b) -6MSkew(b) -12MSkew(b) -18MSkew(b) -24MCST UN Equity CST BRANDS INC Consumer Discretionary 33.16 33.84 33.82 33.02 31.98 0.410 0.157 0.048 0.045 -0.003 0.002 0.004 0.004CTS UN Equity CTS CORP Information Technology 10.93 1.28% 26.06.2013 35.72 34.30 34.36 0.000 -0.027 -0.050 0.000 0.000 0.000CUB UN Equity CUBIC CORP Industrials 45.85 0.57% 28.08.2013 21.11 20.84 21.79 -0.132 -0.104 -0.096 0.004 0.004 0.003CBST UW Equity CUBIST PHARMACEUTICALS INC Health Care 48.45 43.72 39.67 37.41 36.81 -0.676 -0.410 -0.243 -0.126 0.008 0.006 0.004 0.003CFR UN Equity CULLEN/FROST BANKERS INC Financials 63.06 3.17% 30.08.2013 13.12 13.00 13.81 -0.063 -0.064 -0.129 0.000 0.001 0.003CW UN Equity CURTISS-WRIGHT CORP Industrials 35.56 1.12% 02.10.2013 23.32 23.52 23.64 23.72 0.000 -0.098 -0.146 -0.167 0.000 0.001 0.002 0.003CVBF UW Equity CVB FINANCIAL CORP Financials 11.35 3.00% 01.07.2013 24.33 24.27 24.21 23.92 -0.140 -0.140 -0.140 -0.144 0.000 0.000 0.000 0.000CYBX UW Equity CYBERONICS INC Health Care 48.30 43.45 42.13 42.18 -0.204 -0.185 -0.167 0.008 0.007 0.005CYMI UW Equity CYMER INC Information Technology 109.67 20.50 23.36 24.19 23.54 -0.188 -0.318 -0.372 -0.370 0.004 0.003 0.003 0.004CY UW Equity CYPRESS SEMICONDUCTOR CORP Information Technology 11.15 3.95% 24.09.2013 31.04 33.38 34.50 35.40 36.98 38.30 -0.470 -0.292 -0.196 -0.136 -0.140 -0.120 0.013 0.007 0.004 0.002 0.000 0.000CYT UN Equity CYTEC INDUSTRIES INC Materials 71.66 0.77% 09.08.2013 23.25 25.21 25.98 25.88 -0.204 -0.190 -0.193 -0.228 0.004 0.003 0.003 0.004DAKT UW Equity DAKTRONICS INC Information Technology 10.39 2.21% 11.06.2013 39.85 37.03 36.21 0.000 0.017 -0.023 0.000 0.000 0.000DAR UN Equity DARLING INTERNATIONAL INC Consumer Staples 18.79 26.54 25.04 24.83 -0.143 -0.103 -0.102 0.001 0.000 0.001TRAK UW Equity DEALERTRACK TECHNOLOGIES INC Information Technology 31.41 29.51 29.77 30.08 30.92 0.000 -0.084 -0.122 -0.129 0.000 0.003 0.004 0.003DECK UW Equity DECKERS OUTDOOR CORP Consumer Discretionary 55.23 36.90 37.25 39.72 42.45 43.10 43.25 -0.199 -0.175 -0.169 -0.146 -0.143 -0.128 0.010 0.005 0.003 0.001 0.001 0.000DEL UN Equity DELTIC TIMBER CORP Materials 67.67 0.59% 04.09.2013DLX UN Equity DELUXE CORP Industrials 39.42 2.54% 22.08.2013 27.98 27.67 27.74 -0.221 -0.258 -0.257 0.004 0.007 0.007DV UN Equity DEVRY INC Consumer Discretionary 30.19 1.19% 21.06.2013 30.33 34.44 36.33 37.10 -0.281 -0.230 -0.198 -0.137 0.008 0.005 0.004 0.002DMND UW Equity DIAMOND FOODS INC Consumer Staples 16.18 43.53 41.58 40.47 39.05 43.19 42.19 -0.033 -0.048 -0.055 -0.093 -0.082 -0.073 0.013 0.009 0.006 0.003 0.003 0.002DRH UN Equity DIAMONDROCK HOSPITALITY CO Financials 10.08 4.41% 12.06.2013 23.37 24.44 25.23 26.62 0.000 0.029 0.024 -0.044 0.000 -0.001 -0.001 0.001DHX UN Equity DICE HOLDINGS INC Information Technology 8.92 39.05 42.66 43.79 42.13 0.000 -0.072 -0.085 -0.033 0.000 0.001 0.000 0.000DKS UN Equity DICKS SPORTING GOODS INC Consumer Discretionary 53.00 0.94% 03.06.2013 30.55 28.04 26.70 26.06 26.23 26.78 -0.357 -0.271 -0.216 -0.153 -0.144 -0.121 0.009 0.006 0.004 0.002 0.001 0.001DBD UN Equity DIEBOLD INC Information Technology 30.67 2.83% 30.08.2013 19.77 21.64 22.48 22.69 0.000 -0.087 -0.112 -0.083 0.000 0.003 0.003 0.002DGII UW Equity DIGI INTERNATIONAL INC Information Technology 9.38 35.38 36.13 36.47 36.48 0.000 0.030 0.035 -0.006 0.000 -0.001 -0.001 0.000DGIT UW Equity DIGITAL GENERATION INC Consumer Discretionary 7.47 42.81 49.87 53.05 54.23 0.000 -0.113 -0.154 -0.143 0.000 0.000 0.000 0.001DRIV UW Equity DIGITAL RIVER INC Information Technology 16.78 38.60 39.54 40.17 41.13 0.006 -0.067 -0.102 -0.108 0.002 0.003 0.003 0.002DCOM UW Equity DIME COMMUNITY BANCSHARES Financials 14.42 3.88% 08.08.2013 85.84 86.74 87.62 76.51 -0.884 -0.894 -0.904 -0.766 0.019 0.018 0.017 0.012DIN UN Equity DINEEQUITY INC Consumer Discretionary 72.51 4.14% 11.09.2013 21.80 24.78 26.18 26.88 -0.348 -0.297 -0.261 -0.186 0.011 0.005 0.003 0.005DIOD UW Equity DIODES INC Information Technology 24.29 33.59 34.20 34.72 35.76 -0.233 -0.245 -0.242 -0.200 0.007 0.005 0.003 0.002UFS UN Equity DOMTAR CORP Materials 73.99 2.97% 17.09.2013 26.64 27.24 27.61 -0.275 -0.264 -0.226 0.012 0.010 0.009DCI UN Equity DONALDSON CO INC Industrials 38.34 1.20% 05.06.2013 20.81 22.12 22.14 21.35 -0.213 -0.251 -0.253 -0.205 0.004 0.006 0.007 0.005DORM UW Equity DORMAN PRODUCTS INC Consumer Discretionary 44.24 28.11 28.52 28.92 29.82 -0.176 -0.180 -0.164 -0.099 0.003 0.005 0.006 0.002DWA UW Equity DREAMWORKS ANIMATION SKG-A Consumer Discretionary 21.97 26.19 29.62 31.27 32.29 -0.057 -0.097 -0.112 -0.105 0.005 0.004 0.003 0.002DRC UN Equity DRESSER-RAND GROUP INC Energy 62.25 36.26 35.79 35.50 35.12 0.013 -0.013 -0.032 -0.065 0.008 0.005 0.003 0.002DW UN Equity DREW INDUSTRIES INC Consumer Discretionary 36.85 24.14 24.58 25.41 -0.073 -0.097 -0.119 0.000 0.001 0.002DRQ UN Equity DRIL-QUIP INC Energy 91.42 21.25 22.38 23.16 24.60 -0.360 -0.272 -0.223 -0.182 0.011 0.010 0.009 0.006DSPG UW Equity DSP GROUP INC Information Technology 8.03DST UN Equity DST SYSTEMS INC Information Technology 70.01 2.18% 09.08.2013 15.50 16.85 17.56 18.40 -0.104 -0.150 -0.176 -0.210 0.002 0.003 0.004 0.006DTSI UW Equity DTS INC Information Technology 19.67 29.52 30.55 31.29 32.59 -0.103 -0.138 -0.149 -0.132 0.002 0.004 0.005 0.003DRE UN Equity DUKE REALTY CORP Financials 18.49 2.76% 15.08.2013 18.80 18.20 17.77 16.83 0.000 -0.007 -0.006 0.019 0.000 -0.001 -0.001 0.003DY UN Equity DYCOM INDUSTRIES INC Industrials 19.49 38.88 38.17 37.77 37.45 -0.234 -0.214 -0.195 -0.144 0.000 0.002 0.002 0.002EXP UN Equity EAGLE MATERIALS INC Materials 74.71 0.54% 21.06.2013 38.47 37.94 37.59 -0.350 -0.313 -0.270 0.007 0.005 0.003EWBC UW Equity EAST WEST BANCORP INC Financials 25.22 2.62% 09.08.2013 17.47 18.78 19.20 0.000 -0.104 -0.129 0.000 0.002 0.003EGP UN Equity EASTGROUP PROPERTIES INC Financials 65.37 3.33% 12.06.2013 15.22 14.60 14.28 14.37 0.000 -0.070 -0.100 -0.087 0.000 -0.001 0.000 0.002EV UN Equity EATON VANCE CORP Financials 43.00 1.93% 31.07.2013 23.75 22.64 22.43 23.88 -0.026 -0.186 -0.249 -0.248 0.000 0.007 0.009 0.006EBIX UW Equity EBIX INC Information Technology 19.72 2.00% 20.05.2013 20.04 21.31 21.03 18.67 -0.143 -0.527 -0.702 -0.576 0.008 0.012 0.013 0.009EHTH UW Equity EHEALTH INC Financials 24.14 38.41 40.43 41.48 41.77 -0.305 -0.339 -0.322 -0.180 0.007 0.004 0.003 0.002EE UN Equity EL PASO ELECTRIC CO Utilities 37.61 2.82% 10.09.2013 15.95 15.95 15.95 15.61 0.000 0.000 0.000 -0.037 0.000 0.000 0.000 0.000ESIO UW Equity ELECTRO SCIENTIFIC INDS INC Information Technology 11.02 2.90% 23.08.2013 43.18 41.77 40.63 38.38 0.000 -0.171 -0.242 -0.186 0.000 0.002 0.003 0.002EFII UW Equity ELECTRONICS FOR IMAGING Information Technology 26.48 30.00 29.66 29.62 0.000 -0.142 -0.174 0.000 0.003 0.004EME UN Equity EMCOR GROUP INC Industrials 40.00 0.70% 17.07.2013 23.47 23.09 23.30 -0.297 -0.353 -0.340 0.006 0.009 0.009EBS UN Equity EMERGENT BIOSOLUTIONS INC Health Care 14.39 41.59 39.32 38.15 37.87 -0.235 -0.249 -0.237 -0.145 0.004 0.006 0.006 0.002EIG UN Equity EMPLOYERS HOLDINGS INC Financials 25.38 1.18% 12.08.2013 74.90 87.87 92.06 0.794 0.779 0.626 0.002 -0.013 -0.020ECPG UW Equity ENCORE CAPITAL GROUP INC Financials 31.93 25.82 27.65 28.34 27.75 0.000 -0.042 -0.070 -0.125 0.000 0.000 0.000 0.003WIRE UW Equity ENCORE WIRE CORP Industrials 34.85 0.23% 26.06.2013 21.27 23.35 24.46 25.48 0.000 -0.075 -0.114 -0.159 0.000 0.001 0.002 0.003ENDP UW Equity ENDO HEALTH SOLUTIONS INC Health Care 33.41 36.97 36.02 35.63 35.44 34.80 34.21 -0.219 -0.206 -0.163 -0.102 -0.121 -0.096 0.005 -0.001 -0.002 0.001 0.001 0.001EGN UN Equity ENERGEN CORP Energy 51.10 0.86% 15.08.2013 24.03 22.90 22.94 -0.214 -0.220 -0.221 0.006 0.004 0.003ENR UN Equity ENERGIZER HOLDINGS INC Consumer Staples 101.70 1.57% 16.08.2013 18.58 22.32 23.67 23.57 -0.304 -0.261 -0.224 -0.149 0.009 0.007 0.006 0.003ENS UN Equity ENERSYS Industrials 48.64 25.07 25.27 25.58 26.61 -0.365 -0.276 -0.220 -0.159 0.012 0.009 0.007 0.003EGL UN Equity ENGILITY HOLDINGS INC Industrials 23.62NPO UN Equity ENPRO INDUSTRIES INC Industrials 50.05 27.30 27.78 27.93 27.68 -0.312 -0.218 -0.160 -0.105 0.013 0.009 0.006 0.003ENSG UW Equity ENSIGN GROUP INC/THE Health Care 35.13 0.77% 28.06.2013 24.71 27.19 28.29 28.49 0.000 -0.158 -0.228 -0.235 0.000 -0.004 -0.005 -0.001ENTR UW Equity ENTROPIC COMMUNICATIONS INC Information Technology 4.22 44.87 45.64 46.51 48.82 0.000 -0.059 -0.094 -0.125 0.000 -0.002 -0.002 0.001ENZ UN Equity ENZO BIOCHEM INC Health Care 2.24 65.83 67.64 66.77 0.000 0.000 0.000 0.000 0.000 0.000EPIQ UW Equity EPIQ SYSTEMS INC Information Technology 12.54 2.87% 16.07.2013 28.45 28.93 29.69 0.000 0.002 -0.012 0.000 0.000 0.001EPR UN Equity EPR PROPERTIES Financials 59.01 5.49% 29.05.2013 16.10 15.40 15.39 -0.135 -0.203 -0.227 0.001 0.005 0.005EQIX UW Equity EQUINIX INC Information Technology 230.60 25.63 27.05 28.04 29.91 30.59 30.99 -0.309 -0.248 -0.209 -0.157 -0.109 -0.087 0.012 0.008 0.006 0.003 0.001 0.000EQY UN Equity EQUITY ONE INC Financials 26.19 3.36% 13.09.2013 18.21 16.28 15.46 15.89 0.000 -0.196 -0.255 -0.092 0.000 0.006 0.009 0.003ERA UN Equity ERA GROUP INC Energy 26.13ESE UN Equity ESCO TECHNOLOGIES INC Industrials 32.53 1.05% 04.10.2013 32.21 31.40 30.63 28.58 -0.194 -0.191 -0.184 -0.158 0.000 0.004 0.006 0.005ESS UN Equity ESSEX PROPERTY TRUST INC Financials 164.93 2.99% 28.06.2013 12.60 12.69 13.22 -0.106 -0.130 -0.164 0.001 0.003 0.005ESL UN Equity ESTERLINE TECHNOLOGIES CORP Industrials 79.06 26.42 26.25 26.12 26.00 -0.145 -0.157 -0.155 -0.123 0.003 0.003 0.003 0.003ETH UN Equity ETHAN ALLEN INTERIORS INC Consumer Discretionary 32.41 1.30% 10.10.2013 32.10 32.90 33.36 34.07 -0.142 -0.281 -0.307 -0.191 0.000 0.005 0.006 0.003RE UN Equity EVEREST RE GROUP LTD Financials 136.37 1.46% 22.05.2013 14.92 15.07 15.54 -0.157 -0.119 -0.122 0.002 0.002 0.003SSP UN Equity EW SCRIPPS CO/THE-A Consumer Discretionary 13.58 35.37 34.95 34.50 33.29 -0.007 -0.072 -0.109 -0.137 0.000 -0.001 0.000 0.002EXAR UW Equity EXAR CORP Information Technology 10.99 30.12 31.55 32.32 0.000 -0.011 -0.003 0.000 0.000 0.000XLS UN Equity EXELIS INC Industrials 11.83 3.49% 28.08.2013 26.06 27.04 26.92 0.000 -0.296 -0.296 0.000 0.005 0.005EXLS UW Equity EXLSERVICE HOLDINGS INC Information Technology 29.41 71.33 60.46 52.38 0.000 0.005 -0.048 0.000 -0.001 0.006EXPO UW Equity EXPONENT INC Industrials 54.48 0.28% 23.70 24.52 25.06 25.80 -0.112 -0.155 -0.183 -0.240 0.002 0.004 0.004 0.002EXH UN Equity EXTERRAN HOLDINGS INC Energy 28.98 31.97 33.20 33.73 33.87 -0.209 -0.185 -0.171 -0.163 0.004 0.006 0.006 0.003EXR UN Equity EXTRA SPACE STORAGE INC Financials 43.98 2.36% 14.06.2013 14.99 15.73 16.25 17.24 0.000 -0.027 -0.042 -0.060 0.000 0.001 0.001 0.000EZPW UW Equity EZCORP INC-CL A Financials 19.00 32.77 34.04 34.64 34.88 -0.142 -0.147 -0.143 -0.109 0.001 0.003 0.004 0.003FDS UN Equity FACTSET RESEARCH SYSTEMS INC Information Technology 97.84 1.43% 28.08.2013 26.02 23.99 23.03 23.07 -0.364 -0.288 -0.243 -0.218 0.010 0.008 0.006 0.004FICO UN Equity FAIR ISAAC CORP Information Technology 49.99 0.28% 18.05.2013 18.57 19.89 20.73 -0.219 -0.253 -0.241 0.004 0.009 0.009FCS UN Equity FAIRCHILD SEMICONDUCTOR INTE Information Technology 14.72 33.11 33.63 33.96 34.29 -0.256 -0.308 -0.299 -0.180 0.000 0.005 0.006 0.003FARO UW Equity FARO TECHNOLOGIES INC Information Technology 35.58 35.22 36.39 37.28 38.89 -0.137 -0.132 -0.127 -0.106 0.004 0.004 0.004 0.002FRT UN Equity FEDERAL REALTY INVS TRUST Financials 117.39 2.62% 20.09.2013 14.55 12.31 12.15 15.76 -0.090 -0.337 -0.405 -0.165 0.000 0.007 0.008 0.003FSS UN Equity FEDERAL SIGNAL CORP Industrials 8.61 0.58% 19.06.2013 49.75 45.75 44.33 46.59 0.000 -0.079 -0.119 -0.093 0.000 0.000 -0.001 0.001FII UN Equity FEDERATED INVESTORS INC-CL B Financials 25.42 3.78% 08.08.2013 24.78 24.45 24.41 -0.205 -0.114 -0.097 0.005 0.003 0.002FEIC UW Equity FEI COMPANY Information Technology 70.83 0.45% 05.07.2013 24.15 25.66 26.82 29.22 -0.556 -0.446 -0.362 -0.230 0.019 0.016 0.013 0.008FNF UN Equity FIDELITY NATIONAL FINL-A Financials 25.39 2.60% 16.09.2013 20.94 21.38 21.57 21.67 0.000 -0.133 -0.181 -0.152 0.000 0.005 0.007 0.005FNP UN Equity FIFTH & PACIFIC COS INC Consumer Discretionary 22.38 34.41 34.38 35.66 38.58 39.75 39.96 -0.119 -0.171 -0.189 -0.163 -0.102 -0.085 0.004 0.005 0.004 0.002 0.000 0.001FNGN UW Equity FINANCIAL ENGINES INC Financials 42.33 0.12% 27.47 27.93 28.27 28.91 -0.055 -0.162 -0.201 -0.166 0.000 0.003 0.004 0.003FINL UW Equity FINISH LINE/THE - CL A Consumer Discretionary 21.42 1.35% 28.08.2013 32.60 34.24 35.12 35.98 -0.101 -0.145 -0.149 -0.102 0.001 0.005 0.006 0.002FAF UN Equity FIRST AMERICAN FINANCIAL Financials 25.50 1.88% 26.06.2013 27.02 27.05 31.79 0.000 -0.309 -0.615 0.000 0.013 0.016FBP UN Equity FIRST BANCORP PUERTO RICO Financials 6.06 35.55 37.82 38.83 38.99 0.000 -0.152 -0.209 -0.190 0.000 0.004 0.006 0.005FCFS UW Equity FIRST CASH FINL SVCS INC Financials 55.48 25.77 26.52 26.78 25.53 -0.138 -0.166 -0.190 -0.245 0.003 0.002 0.002 0.004FCF UN Equity FIRST COMMONWEALTH FINL CORP Financials 7.30 3.28% 31.07.2013 131.30 131.30 131.30 0.000 0.000 0.000 0.000 0.000 0.000FFBC UW Equity FIRST FINANCIAL BANCORP Financials 15.65 6.77% 28.08.2013 25.33 25.35 25.21 24.45 0.000 0.022 0.004 -0.115 0.000 0.000 0.000 0.002FFIN UW Equity FIRST FINL BANKSHARES INC Financials 53.18 1.96% 13.09.2013 21.93 21.07 20.60 -0.060 -0.068 -0.084 0.000 0.000 0.001FMBI UW Equity FIRST MIDWEST BANCORP INC/IL Financials 13.27 1.50% 02.10.2013 35.98 29.35 25.54 30.95 0.000 -0.001 0.003 -0.126 0.000 0.000 0.000 0.017FNFG UW Equity FIRST NIAGARA FINANCIAL GRP Financials 9.89 3.24% 31.07.2013 19.82 20.17 20.87 0.000 0.000 0.000 0.000 0.000 0.000FMER UW Equity FIRSTMERIT CORP Financials 17.97 3.56% 30.05.2013 20.58 19.49 19.41 21.08 0.000 0.025 0.018 -0.038 0.000 -0.001 -0.001 0.001FLO UN Equity FLOWERS FOODS INC Consumer Staples 34.16 2.03% 12.06.2013 27.94 27.14 26.45 -0.144 -0.149 -0.143 0.001 0.002 0.002FNB UN Equity FNB CORP Financials 11.73 4.09% 30.05.2013 25.72 25.72 25.72 26.12 0.000 0.000 0.000 -0.108 0.000 0.000 0.000 0.002FL UN Equity FOOT LOCKER INC Consumer Discretionary 36.57 2.24% 17.07.2013 29.17 28.03 27.32 26.84 27.41 28.24 -0.256 -0.233 -0.209 -0.167 -0.150 -0.126 0.007 0.006 0.005 0.002 0.001 0.001FST UN Equity FOREST OIL CORP Energy 5.11 63.45 63.36 62.83 60.33 59.86 60.25 -0.035 -0.059 -0.086 -0.156 -0.102 -0.098 -0.001 0.001 0.001 0.002 0.001 0.000FOR UN Equity FORESTAR GROUP INC Financials 24.71 34.74 35.04 35.75 38.27 -0.014 -0.174 -0.200 -0.042 0.000 0.006 0.006 0.001FORR UW Equity FORRESTER RESEARCH INC Information Technology 35.99 1.67% 03.09.2013 20.56 20.47 20.59 21.36 0.000 -0.069 -0.100 -0.107 0.000 0.002 0.003 0.003FBHS UN Equity FORTUNE BRANDS HOME & SECURI Industrials 42.75 0.23% 30.16 30.71 31.14 31.98 -0.052 -0.101 -0.120 -0.119 0.000 0.003 0.004 0.004FWRD UW Equity FORWARD AIR CORPORATION Industrials 38.25 1.12% 23.08.2013 61.34 61.34 61.34 61.34 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000FRAN UW Equity FRANCESCAS HOLDINGS CORP Consumer Discretionary 29.65 52.21 50.44 49.65 50.13 48.89 49.53 -0.342 -0.279 -0.241 -0.206 -0.168 -0.138 0.008 0.005 0.004 0.002 0.001 0.001FELE UW Equity FRANKLIN ELECTRIC CO INC Industrials 33.46 0.94% 06.08.2013 31.01 31.01 31.01 -0.055 -0.055 -0.055 0.001 0.001 0.001FSP UA Equity FRANKLIN STREET PROPERTIES C Financials 14.04 5.41% 24.07.2013 22.62 22.57 22.52 21.84 -0.084 -0.084 -0.084 -0.111 0.001 0.001 0.001 0.001FRED UW Equity FREDS INC-CLASS A Consumer Discretionary 15.50 1.61% 31.05.2013 34.63 33.00 31.42 0.000 0.000 0.000 0.000 0.000 0.000FCN UN Equity FTI CONSULTING INC Industrials 36.53 24.70 26.12 27.26 30.52 26.54 28.30 -0.376 -0.252 -0.204 -0.283 0.002 -0.056 0.010 0.009 0.007 0.003 0.005 0.003FULT UW Equity FULTON FINANCIAL CORP Financials 11.59 2.76% 05.07.2013 21.69 21.66 21.63 20.67 -0.128 -0.128 -0.128 -0.104 0.001 0.001 0.001 0.001GK UW Equity G & K SERVICES INC -CL A Industrials 47.31 1.93% 17.09.2013 22.98 24.54 25.23 25.20 -0.121 -0.126 -0.131 -0.152 0.000 0.003 0.004 0.003GDI UN Equity GARDNER DENVER INC Industrials 75.18 0.13% 21.05.2013 3.83 4.76 4.96 -0.359 -0.406 -0.392 0.006 0.008 0.009IT UN Equity GARTNER INC Information Technology 58.25 19.71 20.83 21.54 22.50 -0.065 -0.145 -0.177 -0.182 0.000 0.006 0.007 0.005GMT UN Equity GATX CORP Industrials 53.99 2.33% 13.09.2013 22.99 22.30 21.73 21.75 0.146 -0.078 -0.179 -0.216 -0.002 0.003 0.005 0.006GY UN Equity GENCORP INC Industrials 13.87 34.75 33.24 33.19 36.31 -0.070 -0.024 -0.013 -0.048 0.001 0.005 0.007 0.003BGC UN Equity GENERAL CABLE CORP Industrials 33.36 32.30 35.04 36.12 35.85 -0.305 -0.248 -0.214 -0.167 0.016 0.009 0.006 0.002GNCMA UW EquityGENERAL COMMUNICATION INC-A Telecommunication Services 9.62 37.05 37.60 38.12 0.000 0.002 -0.013 0.000 0.000 0.000Option Implied Volatility Skew Parameters by Terms:IVt = atx + btx2+ ctAt The Money Implied Volatilities by TermsS&P1000IndexQ.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  4. 4. 15.05.2013Ticker Name GICS_SECTOR_NAME ATM2 RefDividendYieldNext Ex-DividendDateATM2Vol - 30DATM2Vol - 60DATM2Vol - 90DATM2Vol - 6MATM2Vol - 12MATM2Vol - 18MATM2Vol - 24MSkew(a) -30DSkew(a) -60DSkew(a) -90DSkew(a) -6MSkew(a) -12MSkew(a) -18MSkew(a) -24MSkew(b) -30DSkew(b) -60DSkew(b) -90DSkew(b) -6MSkew(b) -12MSkew(b) -18MSkew(b) -24MGCO UN Equity GENESCO INC Consumer Discretionary 65.20 34.24 34.37 33.98 33.80 -0.291 -0.306 -0.301 -0.247 0.004 0.004 0.004 0.003GWR UN Equity GENESEE & WYOMING INC-CL A Industrials 91.77 25.14 25.37 25.90 -0.351 -0.330 -0.293 0.010 0.008 0.006GNTX UW Equity GENTEX CORP Consumer Discretionary 25.01 2.32% 05.07.2013 21.83 23.40 24.51 26.56 -0.201 -0.191 -0.174 -0.118 0.004 0.007 0.007 0.004GTIV UW Equity GENTIVA HEALTH SERVICES Health Care 10.31 42.84 42.93 43.33 44.64 0.000 -0.162 -0.214 -0.131 0.000 0.006 0.007 0.004GEO UN Equity GEO GROUP INC/THE Financials 38.43 2.66% 19.08.2013 26.98 26.33 26.25 26.97 -0.114 -0.223 -0.238 -0.108 0.002 0.009 0.011 0.006GEOS UW Equity GEOSPACE TECHNOLOGIES CORP Energy 87.63 39.87 39.34 39.79 42.68 -0.157 -0.117 -0.095 -0.082 0.004 0.001 0.000 0.001GTY UN Equity GETTY REALTY CORP Financials 22.70 3.66% 24.09.2013 19.81 19.88 20.08 20.75 0.000 0.024 0.009 -0.090 0.000 0.000 0.000 0.002ROCK UW Equity GIBRALTAR INDUSTRIES INC Industrials 17.41 38.22 37.77 37.55 37.55 -0.150 -0.242 -0.265 -0.204 0.003 0.006 0.006 0.003GBCI UW Equity GLACIER BANCORP INC Financials 19.44 2.98% 12.07.2013 102.76 83.96 71.61 0.000 0.010 -0.093 0.000 0.000 0.001GPN UN Equity GLOBAL PAYMENTS INC Information Technology 46.71 0.13% 16.08.2013 19.54 20.98 21.80 22.70 -0.030 -0.205 -0.248 -0.189 0.000 0.007 0.008 0.003GSM UW Equity GLOBE SPECIALTY METALS INC Materials 12.48 2.30% 31.05.2013 35.76 34.79 34.41 34.83 0.000 -0.104 -0.150 -0.158 0.000 0.004 0.005 0.004GOV UN Equity GOVERNMENT PROPERTIES INCOME Financials 26.66 6.45% 25.07.2013 20.62 18.79 17.62 16.24 0.000 0.020 0.018 -0.034 0.000 -0.001 -0.001 0.001GGG UN Equity GRACO INC Industrials 62.15 1.69% 18.07.2013 21.79 22.70 23.06 23.06 -0.214 -0.233 -0.222 -0.145 0.005 0.006 0.006 0.003GVA UN Equity GRANITE CONSTRUCTION INC Industrials 31.40 1.66% 28.06.2013 31.71 31.91 32.10 32.53 0.000 -0.107 -0.160 -0.189 0.000 0.002 0.003 0.002GXP UN Equity GREAT PLAINS ENERGY INC Utilities 24.20 3.64% 28.08.2013 17.59 15.79 15.00 15.20 -0.149 -0.170 -0.176 -0.155 0.001 0.004 0.005 0.006GB UN Equity GREATBATCH INC Health Care 31.09 26.05 25.41 25.27 26.10 0.000 -0.084 -0.136 -0.162 0.000 -0.002 -0.002 0.003GMCR UW Equity GREEN MOUNTAIN COFFEE ROASTE Consumer Staples 78.85 44.10 43.09 45.88 49.94 44.84 44.56 -0.177 -0.105 -0.090 -0.117 -0.084 -0.079 0.007 0.004 0.002 0.001 0.000 0.000GHL UN Equity GREENHILL & CO INC Financials 48.41 3.72% 03.09.2013 29.91 30.27 30.68 31.66 -0.213 -0.171 -0.143 -0.108 0.006 0.004 0.003 0.003GEF UN Equity GREIF INC-CL A Materials 49.99 3.36% 19.06.2013 26.26 25.63 25.90 -0.406 -0.326 -0.276 0.010 0.007 0.006GFF UN Equity GRIFFON CORP Industrials 11.01 0.91% 28.08.2013 43.73 39.97 38.61 0.000 -0.136 -0.191 0.000 -0.001 -0.001GPI UN Equity GROUP 1 AUTOMOTIVE INC Consumer Discretionary 64.90 1.11% 31.05.2013 27.27 28.58 29.24 -0.303 -0.099 -0.021 0.013 0.005 0.002GTAT UW Equity GT ADVANCED TECHNOLOGIES INC Information Technology 4.14 101.59 94.69 90.05 83.07 0.000 -0.134 -0.198 -0.169 0.000 0.000 0.001 0.001GES UN Equity GUESS? INC Consumer Discretionary 30.08 2.66% 03.06.2013 39.63 37.59 36.54 36.17 35.92 36.40 -0.354 -0.318 -0.291 -0.227 -0.173 -0.134 0.007 0.005 0.003 0.002 0.001 0.001GIFI UW Equity GULF ISLAND FABRICATION INC Energy 20.12 2.58% 12.08.2013 42.73 43.29 43.61 -0.228 -0.266 -0.266 0.005 0.003 0.002GPOR UW Equity GULFPORT ENERGY CORP Energy 49.04 41.31 40.86 41.38 -0.316 -0.236 -0.195 0.009 0.006 0.004HAE UN Equity HAEMONETICS CORP/MASS Health Care 39.41 19.14 21.33 22.49 22.49 -0.181 -0.256 -0.279 -0.161 0.003 0.007 0.007 0.002HAIN UW Equity HAIN CELESTIAL GROUP INC Consumer Staples 64.44 27.79 27.85 28.30 30.22 -0.234 -0.206 -0.181 -0.130 0.012 0.007 0.004 0.002HBHC UW Equity HANCOCK HOLDING CO Financials 28.36 3.39% 05.09.2013 40.42 38.10 36.13 30.56 0.214 0.168 0.110 -0.638 0.003 0.007 0.012 0.042HBI UN Equity HANESBRANDS INC Consumer Discretionary 51.32 1.56% 16.08.2013 22.31 22.75 23.72 -0.197 -0.278 -0.272 0.005 0.009 0.009HGR UN Equity HANGER INC Health Care 32.21 31.98 30.87 30.54 31.31 -0.119 -0.170 -0.181 -0.132 0.000 0.005 0.007 0.005HAFC UW Equity HANMI FINANCIAL CORPORATION Financials 16.26 29.45 27.35 26.85 0.000 -0.140 -0.184 0.000 0.000 0.000THG UN Equity HANOVER INSURANCE GROUP INC/ Financials 51.06 2.66% 06.09.2013 41.83 34.95 29.75 22.72 0.000 0.020 0.008 -0.323 0.000 0.000 0.000 0.008HLIT UW Equity HARMONIC INC Information Technology 5.96 45.80 45.80 42.60 0.000 0.000 -0.070 0.000 0.000 0.000HTSI UN Equity HARRIS TEETER SUPERMARKETS I Consumer Staples 45.88 1.31% 05.06.2013 26.61 26.76 27.09 28.27 -0.062 -0.052 -0.040 -0.006 -0.001 0.002 0.003 0.001HSC UN Equity HARSCO CORP Industrials 23.16 3.56% 15.10.2013 24.68 23.15 23.06 0.000 -0.203 -0.290 0.000 0.004 0.006HHS UN Equity HARTE-HANKS INC Consumer Discretionary 8.64 3.99% 11.09.2013 43.07 43.08 43.10 45.57 0.022 0.022 0.022 -0.085 0.000 0.000 0.000 -0.001HVT UN Equity HAVERTY FURNITURE Consumer Discretionary 24.49 0.65% 23.08.2013 34.60 34.17 33.69 32.41 -0.131 -0.090 -0.088 -0.157 0.002 0.002 0.003 0.004HE UN Equity HAWAIIAN ELECTRIC INDS Utilities 27.92 4.58% 15.08.2013 21.22 21.22 21.22 19.71 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000HWKN UW Equity HAWKINS INC Materials 38.53 1.87% 18.09.2013HAYN UW Equity HAYNES INTERNATIONAL INC Materials 47.92 1.92% 04.09.2013 33.62 34.09 34.32 34.46 -0.144 -0.215 -0.237 -0.194 0.001 0.003 0.003 0.002FUL UN Equity H.B. FULLER CO. Materials 39.71 1.02% 16.07.2013 23.02 23.93 24.38 24.68 -0.195 -0.141 -0.121 -0.143 0.004 0.002 0.001 0.003HCC UN Equity HCC INSURANCE HOLDINGS INC Financials 43.59 1.62% 02.07.2013 36.37 37.71 39.01 28.62 -0.621 -0.629 -0.634 -0.560 0.010 0.009 0.007 0.006HW UN Equity HEADWATERS INC Materials 11.55 41.45 43.45 44.05 43.10 -0.089 -0.105 -0.117 -0.142 0.003 0.004 0.004 0.002HMA UN Equity HEALTH MGMT ASSOCIATES INC-A Health Care 11.01 39.05 39.59 40.03 41.12 -0.140 -0.194 -0.188 -0.068 0.006 0.006 0.005 0.002HNT UN Equity HEALTH NET INC Health Care 31.70 32.06 31.05 31.42 -0.018 -0.166 -0.209 0.004 0.006 0.005HR UN Equity HEALTHCARE REALTY TRUST INC Financials 29.89 4.15% 13.08.2013 14.91 14.58 14.43 14.45 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000HCSG UW Equity HEALTHCARE SERVICES GROUP Industrials 22.41 3.05% 31.07.2013 50.20 50.20 50.20 0.000 0.000 0.000 0.000 0.000 0.000HSTM UW Equity HEALTHSTREAM INC Health Care 23.99 33.82 36.41 37.70 38.50 -0.002 -0.093 -0.131 -0.139 0.000 0.003 0.003 0.003HWAY UW Equity HEALTHWAYS INC Health Care 14.24 43.33 41.21 40.61 43.09 -0.179 -0.205 -0.212 -0.224 0.003 0.007 0.008 0.005HTLD UW Equity HEARTLAND EXPRESS INC Industrials 14.22 0.56% 19.06.2013 142.04 114.07 94.59 74.25 0.000 0.048 0.049 -0.306 0.000 0.000 0.000 0.003HPY UN Equity HEARTLAND PAYMENT SYSTEMS IN Information Technology 31.97 0.92% 23.08.2013 28.39 28.87 28.94 0.047 -0.072 -0.109 0.000 0.000 0.000HSII UW Equity HEIDRICK & STRUGGLES INTL Industrials 14.75 3.53% 07.08.2013 38.24 38.94 38.83 -0.233 -0.226 -0.208 0.005 0.001 0.000HELE UW Equity HELEN OF TROY LTD Consumer Discretionary 37.37 25.88 28.07 28.90 28.20 -0.069 -0.227 -0.247 -0.122 0.000 0.007 0.008 0.003HLX UN Equity HELIX ENERGY SOLUTIONS GROUP Energy 24.74 31.35 31.90 32.44 33.78 -0.211 -0.203 -0.197 -0.183 0.007 0.006 0.005 0.003HSIC UW Equity HENRY SCHEIN INC Health Care 95.35 13.40 13.80 14.51 -0.198 -0.262 -0.271 0.001 0.006 0.007MLHR UW Equity HERMAN MILLER INC Industrials 26.40 1.95% 28.08.2013 29.69 30.09 30.44 31.15 0.000 -0.143 -0.196 -0.176 0.000 0.004 0.005 0.004HF UN Equity HFF INC-CLASS A Financials 20.19 30.23 29.88 29.78 0.000 -0.158 -0.203 0.000 0.001 0.002HITK UW Equity HI-TECH PHARMACAL CO INC Health Care 31.61 42.29 41.00 40.68 -0.133 -0.157 -0.174 0.001 0.002 0.002HIBB UW Equity HIBBETT SPORTS INC Consumer Discretionary 60.76 25.82 25.80 25.90 -0.202 -0.251 -0.258 0.002 -0.001 -0.001ONE UN Equity HIGHER ONE HOLDINGS INC Information Technology 11.47 40.79 38.55 38.18 41.42 0.000 -0.175 -0.250 -0.212 0.000 0.005 0.006 0.004HIW UN Equity HIGHWOODS PROPERTIES INC Financials 39.86 4.26% 22.08.2013 15.59 18.47 19.45 18.76 0.000 -0.055 -0.107 -0.220 0.000 0.002 0.003 0.003HRC UN Equity HILL-ROM HOLDINGS INC Health Care 36.98 1.35% 19.06.2013 22.54 21.46 21.35 23.03 0.000 -0.135 -0.189 -0.171 0.000 0.005 0.007 0.005HI UN Equity HILLENBRAND INC Consumer Discretionary 25.31 3.10% 16.09.2013 17.39 19.24 20.01 0.000 -0.153 -0.191 0.000 0.003 0.005HSH UN Equity HILLSHIRE BRANDS CO Consumer Staples 36.65 1.69% 29.08.2013 22.53 22.06 22.21 23.22 23.91 23.70 0.072 0.032 -0.014 -0.065 -0.056 -0.069 0.004 0.005 0.005 0.003 0.001 0.001HITT UW Equity HITTITE MICROWAVE CORP Information Technology 56.38 24.71 26.03 26.87 28.08 -0.214 -0.207 -0.201 -0.185 0.004 0.005 0.005 0.003HMSY UW Equity HMS HOLDINGS CORP Health Care 25.92 34.06 35.06 35.70 36.63 -0.151 -0.191 -0.201 -0.166 0.005 0.006 0.006 0.004HNI UN Equity HNI CORP Industrials 36.59 2.13% 16.08.2013 29.72 30.94 31.02 -0.019 -0.141 -0.168 0.000 0.002 0.002HFC UN Equity HOLLYFRONTIER CORP Energy 48.31 3.10% 12.06.2013 37.38 37.73 37.89 37.80 38.00 37.87 -0.158 -0.149 -0.141 -0.117 -0.095 -0.091 0.006 0.004 0.003 0.001 0.001 0.001HOLX UW Equity HOLOGIC INC Health Care 21.21 29.08 29.44 29.68 30.19 -0.086 -0.137 -0.157 -0.149 0.003 0.003 0.003 0.002HOMB UW Equity HOME BANCSHARES INC Financials 41.76 1.44% 12.08.2013 20.02 19.78 19.56 19.04 0.000 0.046 0.058 0.008 0.000 0.000 0.000 0.000HME UN Equity HOME PROPERTIES INC Financials 65.59 3.26% 14.08.2013 12.34 13.14 13.46 0.000 0.002 -0.017 0.000 0.000 0.000HMN UN Equity HORACE MANN EDUCATORS Financials 22.74 3.56% 13.06.2013 24.03 24.86 25.14 24.84 0.000 -0.016 -0.018 0.003 0.000 0.000 0.000 0.000HOS UN Equity HORNBECK OFFSHORE SERVICES Energy 51.47 34.03 34.99 35.60 36.30 -0.285 -0.257 -0.230 -0.155 0.011 0.007 0.004 0.002HPT UN Equity HOSPITALITY PROPERTIES TRUST Financials 30.53 6.16% 26.07.2013 15.94 16.17 16.46 17.31 0.000 -0.102 -0.141 -0.123 0.000 0.003 0.004 0.005HOTT UW Equity HOT TOPIC INC Consumer Discretionary 13.94 14.01 14.01 14.01 14.01 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000HSNI UW Equity HSN INC Consumer Discretionary 56.33 1.31% 03.09.2013 24.05 23.93 24.24 25.82 -0.218 -0.224 -0.211 -0.147 0.003 0.006 0.006 0.004HUBG UW Equity HUB GROUP INC-CL A Industrials 39.03 25.96 27.62 28.61 0.000 0.023 0.027 0.000 0.005 0.004HUB/B UN Equity HUBBELL INC -CL B Industrials 98.36 1.88% 26.09.2013 29.71 25.89 21.56 19.36 -0.920 -0.659 -0.481 -0.259 0.014 0.024 0.029 0.020HII UN Equity HUNTINGTON INGALLS INDUSTRIE Industrials 54.42 0.74% 28.08.2013 21.35 21.97 22.50 23.65 -0.137 -0.198 -0.217 -0.199 0.002 0.006 0.007 0.005ICON UW Equity ICONIX BRAND GROUP INC Consumer Discretionary 30.49 30.08 30.51 31.12 32.99 0.000 -0.123 -0.167 -0.183 0.000 0.008 0.009 0.000ICUI UW Equity ICU MEDICAL INC Health Care 67.54 27.02 27.23 26.97 25.11 -0.932 -0.504 -0.330 -0.235 0.036 0.050 0.049 0.026IDA UN Equity IDACORP INC Utilities 49.65 3.22% 08.08.2013 27.34 29.24 31.01 17.91 -0.731 -0.743 -0.753 -0.570 0.013 0.012 0.011 0.007IEX UN Equity IDEX CORP Industrials 55.45 1.62% 17.07.2013 19.84 18.69 19.42 0.000 -0.147 -0.200 0.000 0.004 0.006IDXX UW Equity IDEXX LABORATORIES INC Health Care 88.59 16.31 16.74 17.45 -0.195 -0.226 -0.228 0.003 0.005 0.005IGTE UW Equity IGATE CORP Information Technology 16.47 24.02.2014 30.27 31.87 32.69 33.00 -0.188 -0.336 -0.371 -0.237 0.001 0.001 0.001 0.002IIVI UW Equity II-VI INC Industrials 16.08 29.90 30.42 30.95 -0.095 -0.110 -0.126 0.000 0.000 0.001INDB UW Equity INDEPENDENT BANK CORP/MA Financials 32.49 2.74% 27.06.2013 18.21 18.18 18.16 19.08 -0.049 -0.049 -0.049 -0.011 0.000 0.000 0.000 0.000IPCC UW Equity INFINITY PROPERTY & CASUALTY Financials 60.58 2.06% 11.09.2013 35.83 30.98 27.61 22.91 0.000 -0.267 -0.367 -0.241 0.000 0.017 0.024 0.019INFA UW Equity INFORMATICA CORP Information Technology 35.03 33.16 35.24 36.12 35.81 36.15 36.92 -0.256 -0.179 -0.143 -0.143 -0.135 -0.112 0.007 0.004 0.003 0.001 0.001 0.001IM UN Equity INGRAM MICRO INC-CL A Information Technology 18.09 20.77 20.45 20.50 21.35 0.000 -0.142 -0.194 -0.147 0.000 0.003 0.005 0.003INGR UN Equity INGREDION INC Consumer Staples 71.69 2.15% 02.07.2013 18.33 18.19 18.89 -0.160 -0.171 -0.167 0.003 0.005 0.005IRC UN Equity INLAND REAL ESTATE CORP Financials 11.53 4.94% 29.05.2013 20.37 20.32 20.27 20.41 -0.091 -0.091 -0.090 -0.050 0.001 0.001 0.001 0.001IPHS UW Equity INNOPHOS HOLDINGS INC Materials 52.92 2.17% 16.10.2013 19.26 20.95 21.70 21.83 -0.697 -0.436 -0.268 -0.130 0.028 0.016 0.008 0.004NSIT UW Equity INSIGHT ENTERPRISES INC Information Technology 18.45 28.62 28.72 29.07 29.88 -0.056 -0.211 -0.254 -0.184 0.000 0.007 0.008 0.004NSP UN Equity INSPERITY INC Industrials 29.86 2.38% 31.05.2013 22.04 21.13 20.99 0.000 -0.024 -0.044 0.000 0.000 0.001IART UW Equity INTEGRA LIFESCIENCES HOLDING Health Care 35.46 31.88 32.21 32.47 33.01 -0.253 -0.217 -0.193 -0.157 0.007 0.005 0.004 0.002IDTI UW Equity INTEGRATED DEVICE TECH INC Information Technology 7.71 33.23 33.98 34.59 35.74 -0.191 -0.208 -0.199 -0.137 0.002 0.006 0.007 0.004IPAR UW Equity INTER PARFUMS INC Consumer Staples 31.24 1.54% 25.09.2013 30.16 29.63 29.14 27.94 0.000 -0.048 -0.087 -0.153 0.000 -0.001 -0.001 0.005IBKR UW Equity INTERACTIVE BROKERS GRO-CL A Financials 15.86 2.52% 30.08.2013 15.99 16.24 16.36 16.44 17.28 17.84 0.000 -0.033 -0.056 -0.096 -0.090 -0.056 0.000 0.000 0.001 0.004 0.003 0.002ININ UW Equity INTERACTIVE INTELLIGENCE GRO Information Technology 49.75 36.27 37.13 37.59 37.79 -0.251 -0.258 -0.249 -0.183 0.002 0.005 0.006 0.003IDCC UW Equity INTERDIGITAL INC Information Technology 47.21 0.80% 08.07.2013 29.68 31.39 32.41 33.55 35.38 36.34 -0.258 -0.167 -0.125 -0.137 -0.077 -0.079 0.016 0.008 0.005 0.004 -0.001 -0.001TILE UW Equity INTERFACE INC Industrials 18.46 0.65% 07.08.2013 36.65 36.97 36.79 -0.023 -0.093 -0.118 0.000 0.002 0.003IN UN Equity INTERMEC INC Information Technology 9.74IBOC UW Equity INTERNATIONAL BANCSHARES CRP Financials 21.76 2.11% 30.09.2013 29.47 29.04 28.38 26.86 0.000 -0.155 -0.191 -0.074 0.000 0.003 0.004 0.004IRF UN Equity INTL RECTIFIER CORP Information Technology 21.94 30.96 32.72 33.46 33.19 -0.118 -0.202 -0.231 -0.194 0.002 0.002 0.003 0.002ISCA UW Equity INTL SPEEDWAY CORP-CL A Consumer Discretionary 34.16 0.64% 28.05.2014 19.50 20.25 20.86 22.20 0.000 -0.133 -0.188 -0.214 0.000 0.006 0.008 0.006ISIL UW Equity INTERSIL CORP-A Information Technology 7.82 6.14% 09.08.2013 39.61 37.49 37.34 -0.038 -0.116 -0.157 0.001 0.004 0.005IILG UW Equity INTERVAL LEISURE GROUP Consumer Discretionary 22.03 2.00% 06.09.2013 28.56 28.39 28.56 29.71 -0.086 -0.223 -0.276 -0.269 0.001 0.005 0.007 0.006IVAC UW Equity INTEVAC INC Information Technology 4.40 52.86 48.13 47.29 0.000 0.000 0.000 0.000 0.000 0.000IPI UN Equity INTREPID POTASH INC Materials 17.51 27.09 27.79 28.54 30.75 -0.061 -0.089 -0.105 -0.127 0.001 0.003 0.004 0.002IVC UN Equity INVACARE CORP Health Care 14.84 0.34% 28.06.2013 38.86 39.16 39.21 39.33 0.000 -0.063 -0.077 -0.021 0.000 0.001 0.002 0.002ITG UN Equity INVESTMENT TECHNOLOGY GROUP Financials 13.07 26.10 26.67 26.51 0.000 -0.004 -0.078 0.000 0.000 0.001IO UN Equity ION GEOPHYSICAL CORP Energy 6.29 41.04 42.28 43.28 45.05 -0.048 -0.192 -0.232 -0.155 0.000 0.005 0.006 0.002IPCM UW Equity IPC THE HOSPITALIST CO Health Care 49.45 28.12 28.85 29.41 30.44 -0.046 -0.112 -0.140 -0.137 0.001 0.003 0.003 0.003IRBT UW Equity IROBOT CORP Consumer Discretionary 34.53 39.11 42.01 43.37 43.79 -0.002 -0.043 -0.055 -0.028 0.000 0.002 0.002 0.001ITRI UW Equity ITRON INC Information Technology 41.69 26.55 28.45 29.30 29.53 -0.029 -0.104 -0.135 -0.146 0.000 0.004 0.005 0.002ITT UN Equity ITT CORP Industrials 30.45 1.35% 28.08.2013 17.49 18.07 18.76 0.000 0.005 -0.036 0.000 0.000 0.002ESI UN Equity ITT EDUCATIONAL SERVICES INC Consumer Discretionary 24.60 75.27 73.68 71.03 65.88 63.84 63.64 -0.060 -0.065 -0.081 -0.104 -0.083 -0.075 0.002 0.003 0.003 0.001 0.002 0.002XXIA UW Equity IXIA Information Technology 16.01 42.83 46.95 48.41 47.46 -0.092 -0.159 -0.169 -0.108 0.000 0.000 0.000 0.000JJSF UW Equity J & J SNACK FOODS CORP Consumer Staples 77.35 0.88% 13.09.2013JCOM UW Equity J2 GLOBAL INC Information Technology 40.98 2.42% 15.08.2013 25.38 26.65 27.29 27.59 0.015 -0.064 -0.093 -0.091 0.003 0.003 0.003 0.003JKHY UW Equity JACK HENRY & ASSOCIATES INC Information Technology 48.02 1.27% 05.09.2013 16.08 16.03 15.98 16.54 -0.239 -0.238 -0.236 -0.201 0.007 0.007 0.007 0.006JACK UW Equity JACK IN THE BOX INC Consumer Discretionary 38.65 25.85 24.33 23.60 23.57 -0.135 -0.168 -0.176 -0.146 0.001 0.006 0.007 0.006JAKK UW Equity JAKKS PACIFIC INC Consumer Discretionary 10.43 2.68% 11.09.2013 37.97 37.35 37.16 37.81 0.000 -0.287 -0.384 -0.249 0.000 0.008 0.010 0.006JNS UN Equity JANUS CAPITAL GROUP INC Financials 8.60 3.26% 08.08.2013 28.70 28.51 28.54 29.00 -0.056 -0.136 -0.167 -0.139 0.000 0.004 0.006 0.006JAH UN Equity JARDEN CORP Consumer Discretionary 49.04 01.07.2013 21.33 21.04 21.49 -0.124 -0.130 -0.148 0.002 0.002 0.003At The Money Implied Volatilities by TermsOption Implied Volatility Skew Parameters by Terms:IVt = atx + btx2+ ctS&P1000IndexQ.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  5. 5. 15.05.2013Ticker Name GICS_SECTOR_NAME ATM3 RefDividendYieldNext Ex-DividendDateATM3Vol - 30DATM3Vol - 60DATM3Vol - 90DATM3Vol - 6MATM3Vol - 12MATM3Vol - 18MATM3Vol - 24MSkew(a) -30DSkew(a) -60DSkew(a) -90DSkew(a) -6MSkew(a) -12MSkew(a) -18MSkew(a) -24MSkew(b) -30DSkew(b) -60DSkew(b) -90DSkew(b) -6MSkew(b) -12MSkew(b) -18MSkew(b) -24MJBHT UW Equity HUNT (JB) TRANSPRT SVCS INC Industrials 73.82 0.87% 31.07.2013 21.23 23.08 23.87 24.01 23.43 24.12 -0.229 -0.265 -0.268 -0.224 -0.155 -0.125 0.005 0.005 0.005 0.003 0.005 0.003JBLU UW Equity JETBLUE AIRWAYS CORP Industrials 6.73 33.27 34.16 34.47 34.18 31.78 33.96 -0.012 -0.101 -0.149 -0.207 -0.122 -0.130 0.000 0.004 0.005 0.005 0.001 0.001JBT UN Equity JOHN BEAN TECHNOLOGIES CORP Industrials 21.12 1.33% 30.05.2013 28.00 26.99 26.90 0.000 -0.070 -0.118 0.000 0.000 0.001JW/A UN Equity WILEY (JOHN) & SONS-CLASS A Consumer Discretionary 39.00 2.77% 05.07.2013 52.87 41.05 34.21 29.42 0.622 0.477 0.301 -0.242 -0.012 -0.007 -0.004 0.016JLL UN Equity JONES LANG LASALLE INC Financials 96.92 0.23% 15.11.2013 20.89 22.41 23.23 24.10 -0.292 -0.342 -0.342 -0.237 0.007 0.008 0.008 0.006JOSB UW Equity JOS A BANK CLOTHIERS INC Consumer Discretionary 43.79 40.99 36.99 35.40 -0.273 -0.228 -0.196 0.005 0.004 0.004KALU UW Equity KAISER ALUMINUM CORP Materials 64.00 1.91% 26.07.2013 23.33 23.67 24.13 25.53 -0.179 -0.277 -0.303 -0.236 0.003 0.009 0.010 0.007KAMN UN Equity KAMAN CORP Industrials 33.42 2.09% 20.06.2013 26.19 27.12 27.39 26.60 0.000 -0.032 -0.054 -0.082 0.000 -0.002 -0.001 0.003KSU UN Equity KANSAS CITY SOUTHERN Industrials 116.40 0.76% 12.09.2013 26.72 26.96 27.26 28.06 -0.224 -0.191 -0.174 -0.166 0.003 0.003 0.003 0.003KS UN Equity KAPSTONE PAPER AND PACKAGING Materials 28.86 27.00 27.61 27.80 27.44 0.000 -0.078 -0.113 -0.123 0.000 0.002 0.002 0.002KDN UN Equity KAYDON CORP Industrials 26.26 3.16% 12.09.2013 22.72 21.51 21.43 0.000 0.005 -0.042 0.000 0.000 0.001KBH UN Equity KB HOME Consumer Discretionary 24.96 0.40% 30.07.2013 40.26 43.37 44.13 43.70 43.34 43.23 -0.267 -0.191 -0.157 -0.121 -0.082 -0.071 0.009 0.004 0.002 0.001 0.001 0.001KBR UN Equity KBR INC Industrials 32.32 0.99% 14.06.2013 26.41 27.42 28.04 28.83 -0.227 -0.212 -0.197 -0.159 0.007 0.005 0.003 0.002KELYA UW Equity KELLY SERVICES INC -A Industrials 16.95 1.18% 15.08.2013 32.41 30.87 30.17 30.07 -0.267 -0.187 -0.153 -0.182 0.004 0.003 0.002 0.004KMPR UN Equity KEMPER CORP Financials 33.76 2.96% 14.08.2013KMT UN Equity KENNAMETAL INC Industrials 42.07 1.66% 09.08.2013 25.64 26.01 26.32 -0.102 -0.186 -0.205 0.000 0.004 0.005KRC UN Equity KILROY REALTY CORP Financials 58.24 2.49% 26.06.2013 16.83 16.78 16.74 17.08 -0.059 -0.059 -0.059 -0.188 0.000 0.000 0.000 0.004KND UN Equity KINDRED HEALTHCARE INC Health Care 12.17 32.56 34.64 35.78 36.84 0.000 -0.183 -0.236 -0.174 0.000 0.005 0.005 0.001KEX UN Equity KIRBY CORP Industrials 80.07 21.99 23.25 24.01 25.02 -0.343 -0.320 -0.291 -0.205 0.006 0.006 0.005 0.004KIRK UW Equity KIRKLANDS INC Consumer Discretionary 13.96 35.10 35.36 35.86 -0.091 -0.085 -0.113 0.001 0.001 0.001KRG UN Equity KITE REALTY GROUP TRUST Financials 6.68 3.59% 05.07.2013KNX UN Equity KNIGHT TRANSPORTATION INC Industrials 17.03 1.64% 29.05.2013 21.88 21.70 21.93 23.37 0.000 -0.076 -0.105 -0.089 0.000 0.001 0.001 0.001KOPN UW Equity KOPIN CORP Information Technology 3.32 73.75 73.75 70.07 0.000 0.000 -0.058 0.000 0.000 0.000KOP UN Equity KOPPERS HOLDINGS INC Materials 41.54 2.45% 21.08.2013 28.95 30.36 31.04 31.46 -0.286 -0.261 -0.236 -0.179 0.009 0.006 0.004 0.003KFY UN Equity KORN/FERRY INTERNATIONAL Industrials 17.50 35.73 36.13 36.59 37.31 -0.163 -0.180 -0.180 -0.138 0.004 0.002 0.002 0.001KRA UN Equity KRATON PERFORMANCE POLYMERS Materials 21.13 35.79 33.73 33.92 -0.184 -0.185 -0.176 -0.001 0.008 0.009KLIC UW Equity KULICKE & SOFFA INDUSTRIES Information Technology 11.50 30.83 30.94 31.62 -0.005 -0.049 -0.069 0.000 0.002 0.002LZB UN Equity LA-Z-BOY INC Consumer Discretionary 19.35 0.83% 06.09.2013 40.05 37.58 37.18 -0.155 -0.256 -0.267 0.002 0.007 0.008LG UN Equity LACLEDE GROUP INC/THE Utilities 46.18 3.72% 11.09.2013 44.23 37.25 31.92 22.21 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000LAMR UW Equity LAMAR ADVERTISING CO-A Consumer Discretionary 48.46 29.38 27.11 26.60 26.92 26.22 26.21 -0.468 -0.367 -0.301 -0.246 -0.205 -0.181 0.015 0.010 0.006 0.003 0.002 0.001LANC UW Equity LANCASTER COLONY CORP Consumer Staples 82.45 1.89% 10.06.2013 22.44 21.21 19.94 16.99 0.000 -0.012 -0.035 -0.152 0.000 0.004 0.006 0.010LDR UN Equity LANDAUER INC Health Care 48.62 4.73% 12.06.2013LSTR UW Equity LANDSTAR SYSTEM INC Industrials 55.10 13.08.2013 21.63 22.27 22.71 -0.373 -0.218 -0.122 0.014 0.003 0.000LHO UN Equity LASALLE HOTEL PROPERTIES Financials 27.35 3.62% 26.06.2013 28.35 26.48 25.41 24.57 0.000 -0.087 -0.130 -0.130 0.000 0.001 0.001 0.001LPS UN Equity LENDER PROCESSING SERVICES Information Technology 28.92 1.38% 27.08.2013 27.76 29.28 30.24 31.89 -0.327 -0.369 -0.352 -0.200 0.005 0.005 0.005 0.003LII UN Equity LENNOX INTERNATIONAL INC Industrials 64.82 1.51% 26.06.2013 22.77 23.64 24.14 24.59 -0.244 -0.237 -0.228 -0.198 0.006 0.005 0.005 0.003LXP UN Equity LEXINGTON REALTY TRUST Financials 13.31 4.73% 28.06.2013 20.98 20.98 20.98 21.42 -0.452 -0.448 -0.444 -0.029 0.018 0.018 0.018 0.001LXK UN Equity LEXMARK INTERNATIONAL INC-A Information Technology 30.61 3.92% 28.08.2013 36.17 35.81 37.12 40.49 42.01 42.03 -0.261 -0.188 -0.162 -0.155 -0.135 -0.121 0.010 0.007 0.004 0.002 0.001 0.001LHCG UW Equity LHC GROUP INC Health Care 22.00 30.63 30.67 30.73 31.19 -0.236 -0.247 -0.241 -0.190 0.005 0.006 0.006 0.005LRY UN Equity LIBERTY PROPERTY TRUST Financials 44.09 4.31% 28.06.2013 12.42 13.11 13.28 0.000 -0.123 -0.172 0.000 0.002 0.004LTM UN Equity LIFE TIME FITNESS INC Consumer Discretionary 49.64 23.44 25.04 25.98 27.24 -0.106 -0.193 -0.211 -0.150 0.003 0.005 0.005 0.002LPNT UW Equity LIFEPOINT HOSPITALS INC Health Care 47.44 23.53 23.75 24.16 25.29 -0.076 -0.171 -0.200 -0.153 0.001 0.003 0.004 0.002LINC UW Equity LINCOLN EDUCATIONAL SERVICES Consumer Discretionary 6.32 4.43% 13.09.2013 133.43 127.93 122.19 89.38 0.779 0.983 1.160 0.782 -0.023 -0.022 -0.018 -0.008LECO UW Equity LINCOLN ELECTRIC HOLDINGS Industrials 58.30 1.46% 25.09.2013 20.89 21.49 21.93 22.74 -0.072 -0.138 -0.167 -0.171 0.001 0.002 0.003 0.003LNN UN Equity LINDSAY CORP Industrials 81.86 0.48% 16.08.2013 28.50 28.85 29.43 31.14 -0.172 -0.163 -0.156 -0.140 0.004 0.003 0.003 0.002LQDT UW Equity LIQUIDITY SERVICES INC Information Technology 37.80 43.54 44.30 44.62 44.59 -0.121 -0.135 -0.142 -0.153 0.000 0.001 0.001 0.001LAD UN Equity LITHIA MOTORS INC-CL A Consumer Discretionary 52.96 1.02% 09.08.2013 29.77 32.65 33.99 34.60 -0.330 -0.226 -0.175 -0.182 0.013 0.007 0.004 0.003LFUS UW Equity LITTELFUSE INC Information Technology 71.61 1.20% 22.08.2013 21.45 21.92 22.18 22.41 0.000 -0.115 -0.163 -0.159 0.000 0.003 0.005 0.004LYV UN Equity LIVE NATION ENTERTAINMENT IN Consumer Discretionary 13.95 34.05 33.82 34.16 35.79 38.60 40.62 -0.387 -0.358 -0.309 -0.218 -0.168 -0.167 0.013 0.010 0.008 0.005 0.002 0.001LPSN UW Equity LIVEPERSON INC Information Technology 8.65 49.28 47.21 46.18 0.033 -0.028 -0.070 0.000 0.000 0.000LKQ UW Equity LKQ CORP Consumer Discretionary 25.05 25.24 26.59 27.32 27.96 -0.196 -0.203 -0.200 -0.182 0.004 0.007 0.007 0.004LOGM UW Equity LOGMEIN INC Information Technology 24.34 45.35 46.05 44.82 42.18 0.586 0.175 -0.023 -0.131 0.005 -0.001 0.000 0.008LPX UN Equity LOUISIANA-PACIFIC CORP Materials 19.90 40.64 41.15 41.31 41.02 42.17 43.69 -0.238 -0.206 -0.190 -0.182 -0.147 -0.133 0.005 0.004 0.003 0.002 0.001 0.001LXU UN Equity LSB INDUSTRIES INC Materials 33.13 79.42 65.53 53.12 33.80 -1.144 -1.169 -1.133 -0.486 0.013 0.019 0.026 0.031LTC UN Equity LTC PROPERTIES INC Financials 47.28 4.08% 19.07.2013 17.39 17.29 17.60 18.89 0.000 -0.038 -0.069 -0.133 0.000 0.000 0.000 0.001LUFK UW Equity LUFKIN INDUSTRIES INC Energy 88.31 0.62% 30.08.2013 4.39 5.90 6.61 7.01 -0.197 -0.631 -0.351 -0.300 -0.002 0.027 0.013 0.010LL UN Equity LUMBER LIQUIDATORS HOLDINGS Consumer Discretionary 89.88 34.16 37.84 39.39 39.62 -0.287 -0.235 -0.201 -0.149 0.009 0.005 0.003 0.002LMNX UW Equity LUMINEX CORP Health Care 18.30 36.87 50.28 51.56 -0.362 -0.233 -0.115 0.001 0.026 0.025LMOS UW Equity LUMOS NETWORKS CORP Telecommunication Services 16.61 3.38% 11.09.2013 36.34 36.72 38.14 -0.291 -0.291 -0.238 0.002 0.001 0.001LDL UN Equity LYDALL INC Industrials 14.68 34.62 35.36 35.58 35.08 0.000 0.021 0.004 -0.109 0.000 -0.001 0.000 0.003MHO UN Equity M/I HOMES INC Consumer Discretionary 26.74 44.23 41.57 41.78 -0.149 -0.147 -0.131 0.003 0.007 0.007CLI UN Equity MACK-CALI REALTY CORP Financials 28.28 4.24% 05.07.2013 14.42 14.42 15.57 0.000 0.000 -0.067 0.000 0.000 0.001MGLN UW Equity MAGELLAN HEALTH SERVICES INC Health Care 51.69 25.31 22.93 22.41 24.63 0.029 -0.110 -0.169 -0.158 0.000 0.004 0.006 0.006MFB UN Equity MAIDENFORM BRANDS INC Consumer Discretionary 18.52 31.66 31.02 31.35 -0.084 -0.249 -0.239 0.000 0.009 0.009MANH UW Equity MANHATTAN ASSOCIATES INC Information Technology 73.11 20.47 21.56 22.72 -0.189 -0.155 -0.158 0.005 0.002 0.002MAN UN Equity MANPOWERGROUP INC Industrials 56.90 1.62% 05.12.2013 26.01 27.08 28.07 30.18 -0.364 -0.334 -0.307 -0.208 0.014 0.010 0.008 0.003MANT UW Equity MANTECH INTERNATIONAL CORP-A Information Technology 27.95 3.01% 06.09.2013 27.09 26.98 27.09 27.23 -0.106 -0.170 -0.184 -0.124 0.001 0.005 0.006 0.003MCS UN Equity MARCUS CORPORATION Consumer Discretionary 13.95 2.44% 25.07.2013HZO UN Equity MARINEMAX INC Consumer Discretionary 12.78 47.07 44.27 43.90 0.000 -0.302 -0.361 0.000 0.009 0.009MKTX UW Equity MARKETAXESS HOLDINGS INC Financials 46.09 1.22% 09.08.2013 29.17 29.79 30.44 32.13 -0.207 -0.176 -0.164 -0.184 0.005 0.006 0.006 0.003VAC UN Equity MARRIOTT VACATIONS WORLD Consumer Discretionary 46.34 26.49 26.59 26.38 -0.045 -0.241 -0.268 0.000 0.005 0.005MLM UN Equity MARTIN MARIETTA MATERIALS Materials 108.75 1.47% 31.05.2013 23.70 23.85 24.35 -0.438 -0.351 -0.297 0.012 0.008 0.006MASI UW Equity MASIMO CORPORATION Health Care 22.35 33.64 33.03 32.92 33.73 -0.058 -0.103 -0.124 -0.122 0.003 0.003 0.002 0.002MTRN UN Equity MATERION CORP Materials 28.15 1.15% 14.08.2013 35.13 34.94 35.04 35.87 -0.189 -0.184 -0.178 -0.163 0.003 0.004 0.004 0.002MTRX UW Equity MATRIX SERVICE CO Energy 16.82 38.14 38.28 38.15 37.29 -0.127 -0.085 -0.072 -0.092 0.002 0.002 0.002 0.002MATX UN Equity MATSON INC Industrials 26.07 2.30% 30.07.2013 27.33 27.75 28.02 28.37 0.000 -0.118 -0.172 -0.200 0.000 0.005 0.006 0.004MATW UW Equity MATTHEWS INTL CORP-CLASS A Consumer Discretionary 38.59 1.11% 01.08.2013 24.93 24.43 24.30 25.00 -0.210 -0.364 -0.395 -0.225 0.002 0.009 0.012 0.008MMS UN Equity MAXIMUS INC Information Technology 76.67 0.47% 15.08.2013 28.88 23.73 22.37 0.000 0.357 0.146 0.000 0.014 0.017MBFI UW Equity MB FINANCIAL INC Financials 26.05 2.23% 24.05.2013 22.07 22.90 23.32 23.48 0.000 -0.045 -0.080 -0.147 0.000 0.002 0.003 0.004MDC UN Equity MDC HOLDINGS INC Consumer Discretionary 38.46 1.30% 03.02.2014 33.82 35.26 36.18 37.51 -0.265 -0.227 -0.200 -0.151 0.006 0.004 0.002 0.001MDU UN Equity MDU RESOURCES GROUP INC Utilities 26.86 2.62% 04.06.2013 50.40 50.41 50.41 0.773 0.629 0.544 -0.022 -0.025 -0.026MIG UN Equity MEADOWBROOK INSURANCE GROUP Financials 8.06 1.36% 07.08.2013 38.97 38.32 37.53 0.000 0.005 -0.040 0.000 0.000 -0.001MEAS UW Equity MEASUREMENT SPECIALTIES INC Information Technology 46.38 24.90 24.28 24.54 -0.303 -0.226 -0.185 0.005 0.003 0.003MPW UN Equity MEDICAL PROPERTIES TRUST INC Financials 17.26 4.98% 11.06.2013 25.67 22.66 21.65 -0.328 -0.199 -0.125 0.006 0.004 0.003MDCO UW Equity MEDICINES COMPANY Health Care 36.98 40.12 48.07 47.14 42.04 38.50 38.08 -0.260 -0.009 -0.110 -0.246 -0.040 -0.046 0.005 0.002 0.003 0.003 0.000 0.001MDSO UW Equity MEDIDATA SOLUTIONS INC Health Care 74.85 25.46 26.37 28.16 -0.154 -0.181 -0.180 0.002 0.003 0.003MED UN Equity MEDIFAST INC Consumer Staples 26.13 30.38 32.48 33.88 36.49 -0.476 -0.410 -0.364 -0.307 0.012 0.006 0.004 0.002MD UN Equity MEDNAX INC Health Care 90.96 20.24 21.66 22.60 24.09 -0.350 -0.306 -0.277 -0.238 0.009 0.006 0.004 0.003WFR UN Equity MEMC ELECTRONIC MATERIALS Information Technology 6.20 64.19 62.89 62.00 61.74 63.54 64.24 -0.247 -0.163 -0.126 -0.115 -0.118 -0.107 0.009 0.007 0.005 0.003 0.001 0.001MW UN Equity MENS WEARHOUSE INC/THE Consumer Discretionary 34.83 2.15% 13.09.2013 41.43 36.94 34.67 34.38 -0.287 -0.227 -0.190 -0.156 0.005 0.004 0.003 0.002MENT UW Equity MENTOR GRAPHICS CORP Information Technology 18.22 34.21 31.53 30.28 -0.079 -0.162 -0.181 -0.001 0.004 0.005MCY UN Equity MERCURY GENERAL CORP Financials 45.91 5.35% 13.09.2013 17.08 18.18 18.81 19.26 0.000 -0.181 -0.219 -0.151 0.000 0.010 0.012 0.007MRCY UW Equity MERCURY SYSTEMS INC Information Technology 9.06 51.38 50.55 49.92 -0.498 -0.501 -0.260 0.003 0.005 0.003MDP UN Equity MEREDITH CORP Consumer Discretionary 43.12 3.81% 30.08.2013 28.59 27.77 27.47 28.17 0.024 -0.109 -0.166 -0.130 0.000 -0.001 -0.001 0.000VIVO UW Equity MERIDIAN BIOSCIENCE INC Health Care 21.97 3.82% 25.07.2013 26.08 26.64 27.04 -0.153 -0.107 -0.113 0.002 0.001 0.002MMSI UW Equity MERIT MEDICAL SYSTEMS INC Health Care 10.20 30.14 29.91 30.95 0.000 0.002 -0.016 0.000 0.000 0.000MTH UN Equity MERITAGE HOMES CORP Consumer Discretionary 52.36 35.01 35.43 35.89 37.08 -0.242 -0.203 -0.173 -0.120 0.006 0.005 0.004 0.002MEI UN Equity METHODE ELECTRONICS INC Information Technology 15.00 2.00% 10.07.2013 31.02 35.02 36.02 0.000 -0.175 -0.200 0.000 0.003 0.005MTD UN Equity METTLER-TOLEDO INTERNATIONAL Health Care 227.96 21.09 21.47 21.52 -0.163 -0.147 -0.143 0.001 0.000 0.000MCRL UW Equity MICREL INC Information Technology 10.31 1.75% 05.08.2013 26.22 29.30 30.54 30.40 0.000 0.037 0.007 -0.170 0.000 0.000 0.000 0.003MCRS UW Equity MICROS SYSTEMS INC Information Technology 43.26 23.51 24.09 24.58 25.75 -0.210 -0.236 -0.239 -0.194 0.003 0.007 0.007 0.004MSCC UW Equity MICROSEMI CORP Information Technology 21.20 32.36 32.78 33.11 33.83 -0.074 -0.152 -0.190 -0.211 0.000 0.004 0.005 0.004MSTR UW Equity MICROSTRATEGY INC-CL A Information Technology 94.53 31.96 31.70 33.18 -0.217 -0.122 -0.077 0.009 0.007 0.005MAA UN Equity MID-AMERICA APARTMENT COMM Financials 72.90 3.88% 11.07.2013 11.91 12.14 12.29 12.45 -0.059 -0.100 -0.109 -0.057 0.000 0.002 0.003 0.001MSA UN Equity MINE SAFETY APPLIANCES CO Industrials 50.16 1.79% 16.08.2013 23.53 24.56 24.91 24.90 -0.095 -0.173 -0.202 -0.196 0.002 0.003 0.004 0.005MTX UN Equity MINERALS TECHNOLOGIES INC Materials 42.51 0.47% 30.08.2013 23.31 23.16 23.01 22.59 0.000 -0.028 -0.046 -0.069 0.000 0.000 0.000 0.002MKSI UW Equity MKS INSTRUMENTS INC Information Technology 27.52 2.33% 30.08.2013 30.21 28.76 28.51 0.000 -0.219 -0.287 0.000 0.006 0.007MINI UW Equity MOBILE MINI INC Industrials 36.91 26.82 29.05 30.33 31.71 0.028 -0.095 -0.131 -0.099 0.000 0.005 0.006 0.003MHK UN Equity MOHAWK INDUSTRIES INC Consumer Discretionary 119.56 26.44 27.94 28.63 28.99 -0.206 -0.196 -0.184 -0.150 0.005 0.004 0.003 0.002MOH UN Equity MOLINA HEALTHCARE INC Health Care 37.89 31.09 33.75 34.82 34.85 -0.448 -0.354 -0.283 -0.184 0.015 0.006 0.002 0.001MNTA UW Equity MOMENTA PHARMACEUTICALS INC Health Care 13.40 41.01 43.13 45.92 53.51 -0.059 -0.080 -0.084 -0.079 0.018 0.011 0.006 0.002MCRI UW Equity MONARCH CASINO & RESORT INC Consumer Discretionary 14.95 34.12 34.51 34.76 34.82 -0.268 -0.214 -0.199 -0.240 0.003 0.006 0.006 0.004MPWR UW Equity MONOLITHIC POWER SYSTEMS INC Information Technology 24.45 31.85 33.01 33.63 34.14 -0.162 -0.199 -0.205 -0.148 0.005 0.004 0.003 0.002TYPE UW Equity MONOTYPE IMAGING HOLDINGS IN Information Technology 23.32 1.07% 27.09.2013 30.64 31.63 32.26 33.19 -0.058 -0.039 -0.022 0.015 0.000 0.000 0.001 0.001MNRO UW Equity MONRO MUFFLER BRAKE INC Consumer Discretionary 45.70 1.05% 07.06.2013 28.12 25.75 25.29 0.050 -0.167 -0.241 0.000 0.003 0.004MWW UN Equity MONSTER WORLDWIDE INC Information Technology 5.17 50.84 47.40 46.47 50.14 48.90 50.29 0.168 0.029 -0.051 -0.096 -0.121 -0.122 0.002 0.005 0.006 0.002 0.002 0.002MOG/A UN Equity MOOG INC-CLASS A Industrials 50.07MOV UN Equity MOVADO GROUP INC Consumer Discretionary 33.83 0.65% 13.06.2013 43.12 42.37 41.89 41.23 -0.291 -0.309 -0.305 -0.234 0.009 0.007 0.006 0.003MSM UN Equity MSC INDUSTRIAL DIRECT CO-A Industrials 83.48 1.51% 10.07.2013 20.01 21.59 22.56 23.89 -0.153 -0.334 -0.384 -0.298 0.001 0.008 0.010 0.008MSCI UN Equity MSCI INC Financials 34.39 21.88 23.31 24.02 24.67 -0.141 -0.223 -0.250 -0.209 0.003 0.004 0.005 0.004MTSC UW Equity MTS SYSTEMS CORP Information Technology 56.73 2.12% 11.06.2013 24.75 23.14 22.75 0.000 -0.243 -0.308 0.000 0.006 0.007MLI UN Equity MUELLER INDUSTRIES INC Industrials 53.00 0.94% 04.09.2013 23.99 24.15 24.30 24.59 -0.055 -0.058 -0.068 -0.120 0.000 0.002 0.003 0.003MGAM UW Equity MULTIMEDIA GAMES HOLDING CO Consumer Discretionary 25.47 36.16 35.70 36.55 -0.160 -0.208 -0.202 0.006 0.009 0.009MWIV UW Equity MWI VETERINARY SUPPLY INC Health Care 115.87 23.43 24.65 25.95 -0.106 -0.097 -0.099 0.001 0.001 0.000S&P1000IndexAt The Money Implied Volatilities by TermsOption Implied Volatility Skew Parameters by Terms:IVt = atx + btx2+ ctQ.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

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