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

1. 30.01.2012
Option Implied Volatility Skew Parameters by Terms:
At The Money Implied Volatilities by Terms 2
IVt = atx + btx + ct
Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol -
Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) -
Yield 30D 60D 90D 6M 12M 18M 24M
Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
AAV CT Equity ADVANTAGE OIL & GAS LTD Energy 3.65 64.67 66.33 65.26 -0.092 -0.290 -0.236 0.038 0.009 0.006
ARE CT Equity AECON GROUP INC Industrials 11.09 1.80% 16.03.2012 27.58 27.93 25.18 -0.468 -0.054 -0.146 0.076 0.028 0.035
AGF/B CT Equity AGF MANAGEMENT LTD-CLASS B Financials 15.55 7.20% 04.04.2012 23.46 22.17 23.04 23.36 -0.034 0.001 -0.240 -0.275 0.054 0.024 0.022 0.004
AEM CT Equity AGNICO-EAGLE MINES LTD Materials 38.26 1.89% 24.02.2012 42.61 41.34 41.34 41.65 -0.179 -0.100 -0.090 -0.062 0.017 0.007 0.005 0.002
AGU CT Equity AGRIUM INC Materials 80.29 0.56% 12.06.2012 27.81 26.64 26.50 28.43 30.64 31.85 33.06 -0.267 -0.258 -0.280 -0.227 -0.162 -0.134 -0.107 0.032 0.010 0.005 0.002 0.001 0.001 0.001
ASR CT Equity ALACER GOLD CORP Materials 9.39 49.21 44.93 45.41 -0.272 -0.247 -0.225 0.024 0.009 0.005
AGI CT Equity ALAMOS GOLD INC Materials 20.30 0.87% 11.04.2012 41.76 41.94 42.39 -0.416 -0.100 -0.055 0.016 0.005 0.002
AQN CT Equity ALGONQUIN POWER & UTILITIES Utilities 6.08 4.61% 28.03.2012 31.15 27.25 27.35 -0.327 -0.225 -0.134 0.081 0.044 0.028
ATD/B CT Equity ALIMENTATION COUCHE-TARD -B Consumer Staples 29.40 1.12% 20.03.2012 23.10 23.66 23.58 24.88 -0.145 -0.038 -0.048 -0.075 0.042 0.003 0.003 0.001
AP-U CT Equity ALLIED PROPERTIES REAL ESTAT Financials 25.56 5.38% 22.02.2012
ALA CT Equity ALTAGAS LTD Energy 30.43 4.58% 22.02.2012 15.94 16.24 16.01 0.111 -0.032 -0.190 0.028 0.013 0.024
ARX CT Equity ARC RESOURCES LTD Energy 24.43 4.91% 24.02.2012 25.91 25.31 25.65 -0.086 -0.294 -0.317 0.024 0.009 0.013
AX-U CT Equity ARTIS REAL ESTATE INVESTMENT Financials 15.06 7.17% 24.02.2012
ACM/A CT Equity ASTRAL MEDIA INC-A Consumer Discretionary 34.50 4.49% 11.07.2012 21.69 20.47 20.20 20.91 0.028 -0.043 -0.082 -0.113 0.030 0.023 0.016 0.004
ACO/X CT Equity ATCO LTD -CLASS I Utilities 58.16 2.25% 06.06.2012
ATH CT Equity ATHABASCA OIL SANDS CORP Energy 11.36 42.96 46.97 48.34 -0.121 -0.059 -0.052 0.031 0.004 0.004
ATP CT Equity ATLANTIC POWER CORP Utilities 14.79 7.78% 24.02.2012 15.65 14.96 15.20 -0.222 0.007 -0.142 0.064 0.030 0.025
AUQ CT Equity AURICO GOLD INC Materials 9.54 49.92 51.01 51.89 -0.282 -0.165 -0.153 0.027 0.008 0.002
ARZ CT Equity AURIZON MINES LTD Materials 5.57 49.52 46.55 46.04 -0.450 -0.195 -0.109 0.050 0.016 0.008
AVR CT Equity AVION GOLD CORP Materials 1.54
BTO CT Equity B2GOLD CORP Materials 3.74
BMO CT Equity BANK OF MONTREAL Financials 57.80 4.84% 26.04.2012 13.59 14.85 14.41 15.78 16.85 18.33 19.87 -0.110 -0.164 -0.164 -0.227 -0.215 -0.170 -0.125 0.048 0.028 0.022 0.011 0.002 0.002 0.001
BNS CT Equity BANK OF NOVA SCOTIA Financials 51.75 4.25% 30.03.2012 17.73 18.45 18.02 19.05 20.52 21.47 22.45 -0.295 -0.291 -0.255 -0.274 -0.222 -0.180 -0.137 0.044 0.024 0.017 0.007 0.003 0.001 -0.001
BNK CT Equity BANKERS PETROLEUM LTD Energy 5.33 55.90 53.83 53.75 -0.445 -0.295 -0.279 0.026 0.006 0.004
BAA CT Equity BANRO CORPORATION Materials 5.03 97.61 91.26 86.67 -0.754 -0.444 -0.283 0.044 0.015 0.011
ABX CT Equity BARRICK GOLD CORP Materials 49.27 1.22% 24.02.2012 27.17 26.64 27.21 28.52 30.61 32.26 33.92 -0.227 -0.192 -0.155 -0.129 -0.069 -0.057 -0.044 0.027 0.009 0.004 0.002 0.001 0.001 0.001
BTE CT Equity BAYTEX ENERGY CORP Energy 57.40 4.67% 24.02.2012 20.58 22.92 23.25 -0.279 -0.262 -0.362 0.018 0.004 0.009
BCE CT Equity BCE INC Telecommunication Services 40.36 5.38% 13.06.2012 14.57 13.71 13.96 14.72 15.38 17.82 20.33 -0.151 -0.037 -0.068 -0.040 -0.023 -0.058 -0.094 0.045 0.023 0.019 0.009 0.001 0.000 0.000
BA CT Equity BELL ALIANT INC Telecommunication Services 27.89 6.81% 09.03.2012 14.01 12.84 12.62 0.328 0.112 0.110 0.023 0.009 0.014
BIR CT Equity BIRCHCLIFF ENERGY LTD Energy 13.09 92.41 88.30 80.26 0.010 0.059 0.014 0.012 0.000 0.005
PXX CT Equity BLACKPEARL RESOURCES INC Energy 5.26 49.04 47.23 47.27 -0.520 -0.250 -0.173 0.035 0.008 0.004
BEI-U CT Equity BOARDWALK REAL ESTATE INVEST Financials 52.25 3.44% 22.02.2012
BBD/B CT Equity BOMBARDIER INC-B Industrials 4.42 2.26% 09.05.2012 42.46 40.03 43.57 44.33 46.50 47.64 48.80 -0.281 -0.301 -0.266 -0.190 -0.118 -0.077 -0.036 0.041 0.018 0.009 0.001 0.001 0.001 0.001
BNP CT Equity BONAVISTA ENERGY CORP Energy 22.64 6.89% 24.02.2012 24.18 24.41 24.93 0.023 -0.236 -0.173 0.031 0.010 0.016
BNE CT Equity BONTERRA ENERGY CORP Energy 54.47 6.32% 13.02.2012
BAM/A CT Equity BROOKFIELD ASSET MANAGE-CL A Financials 30.25 1.83% 25.04.2012 20.22 18.82 19.01 -0.313 -0.156 -0.287 0.031 0.009 0.010
BPO CT Equity BROOKFIELD OFFICE PROPERTIES Financials 17.25 3.26% 28.02.2012 29.24 25.34 24.60 -0.426 -0.180 -0.301 0.048 0.017 0.013
CAE CT Equity CAE INC Industrials 10.95 1.64% 13.03.2012 27.33 25.93 26.64 28.27 -0.013 -0.047 -0.108 -0.185 0.062 0.036 0.024 0.003
CFW CT Equity CALFRAC WELL SERVICES LTD Energy 25.53 0.88% 27.06.2012 34.57 38.82 39.29 0.062 -0.168 -0.277 0.024 0.002 0.004
CWT-U CT Equity CALLOWAY REAL ESTATE INVESTM Financials 26.98 5.74% 24.02.2012 16.42 16.01 15.40 -0.168 0.047 -0.314 0.031 0.019 0.030
CCO CT Equity CAMECO CORP Energy 23.40 2.05% 27.03.2012 33.19 32.65 31.71 33.69 35.90 38.39 40.91 -0.529 -0.249 -0.274 -0.213 -0.132 -0.113 -0.094 0.019 0.004 0.006 0.005 0.001 0.001 0.001
CAR-U CT Equity CAN APARTMENT PROP REAL ESTA Financials 22.72 5.11% 24.02.2012 21.36 19.25 18.62 -0.077 -0.053 -0.290 0.037 0.025 0.031
CM CT Equity CAN IMPERIAL BK OF COMMERCE Financials 75.22 4.95% 26.03.2012 15.11 16.30 15.35 16.92 18.96 20.43 21.96 -0.292 -0.296 -0.260 -0.253 -0.194 -0.162 -0.129 0.045 0.025 0.018 0.009 0.000 0.000 -0.001
CNR CT Equity CANADIAN NATL RAILWAY CO Industrials 75.74 1.98% 06.06.2012 17.87 18.39 18.79 19.81 20.75 21.42 22.10 -0.246 -0.216 -0.243 -0.270 -0.181 -0.127 -0.073 0.043 0.023 0.017 0.005 0.004 0.003 0.002
CNQ CT Equity CANADIAN NATURAL RESOURCES Energy 40.00 1.10% 14.03.2012 27.10 29.02 29.59 31.04 32.59 33.97 35.37 -0.291 -0.270 -0.263 -0.209 -0.115 -0.079 -0.043 0.034 0.012 0.008 0.003 0.001 0.001 0.001
COS CT Equity CANADIAN OIL SANDS LTD Energy 24.70 4.86% 15.02.2012 26.46 26.91 27.92 -0.225 -0.238 -0.233 0.042 0.019 0.012
CP CT Equity CANADIAN PACIFIC RAILWAY LTD Industrials 72.06 1.83% 21.03.2012 19.90 19.85 20.68 -0.471 -0.237 -0.287 0.014 0.004 0.007
REF-U CT Equity CAN REAL ESTATE INVEST TRUST Financials 36.65 3.99% 27.02.2012
CTC/A CT Equity CANADIAN TIRE CORP-CLASS A Consumer Discretionary 62.65 21.11 20.91 21.48 22.27 -0.425 -0.185 -0.209 -0.134 0.023 0.002 0.004 0.001
CU CT Equity CANADIAN UTILITIES LTD-A Utilities 60.13 2.94% 08.05.2012 13.92 15.28 15.44 0.002 -0.128 -0.127 0.010 0.003 0.007
CWB CT Equity CANADIAN WESTERN BANK Financials 26.33 2.43% 13.03.2012 21.08 24.20 22.70 -0.177 -0.127 -0.157 0.026 0.010 0.016
CUS CT Equity CANEXUS CORP Materials 7.23 7.57% 28.03.2012 24.40 24.09 22.85 -0.359 -0.367 -0.144 0.087 0.050 0.035
CFP CT Equity CANFOR CORP Materials 11.63 39.41 34.26 33.70 -0.166 -0.061 -0.132 0.044 0.017 0.008
CPX CT Equity CAPITAL POWER CORP Utilities 24.68 5.11% 28.03.2012 15.54 16.62 16.65 -0.027 -0.007 -0.065 0.026 0.009 0.013
S&P / TSX Index
CS CT Equity CAPSTONE MINING CORP Materials 3.50 93.06 74.51 77.84 -0.593 -0.220 -0.222 0.059 0.032 0.010
CCL/B CT Equity CCL INDUSTRIES INC - CL B Materials 31.44 2.27% 13.03.2012
CLS CT Equity CELESTICA INC Information Technology 8.04 38.79 37.24 38.10 39.90 40.85 43.10 45.34 -0.184 -0.328 -0.262 -0.138 -0.116 -0.098 -0.080 0.053 0.021 0.014 0.002 0.001 0.001 0.001
CLT CT Equity CELTIC EXPLORATION LTD Energy 19.43 43.00 42.67 41.27 -0.030 -0.105 -0.098 0.014 0.002 0.003
CVE CT Equity CENOVUS ENERGY INC Energy 36.70 2.40% 07.03.2012 32.24 31.11 30.76 -0.375 -0.220 -0.260 0.026 0.010 0.004
CG CT Equity CENTERRA GOLD INC Materials 19.40 0.77% 08.05.2012 41.03 42.38 40.76 42.88 42.27 44.54 46.45 -0.372 -0.137 -0.104 -0.002 0.011 -0.013 -0.037 0.018 0.004 0.004 0.001 0.001 0.000 0.000
GIB/A CT Equity CGI GROUP INC - CLASS A Information Technology 19.30 24.03 24.16 24.47 25.28 -0.059 -0.076 -0.124 -0.153 0.052 0.013 0.009 0.003
CSH-U CT Equity CHARTWELL SENIORS HOUSING RE Financials 8.77 6.16% 27.02.2012 33.97 24.52 22.70 -0.412 -0.211 -0.137 0.095 0.062 0.045
CGG CT Equity CHINA GOLD INTERNATIONAL RES Materials 3.20 87.23 83.86 88.35 -0.347 -0.341 -0.356 0.021 0.013 -0.002
CHR/B CT Equity CHORUS AVIATION INC - B Industrials 3.37 17.80% 28.03.2012 93.77 59.22 45.27 -0.719 -0.390 -0.209 0.050 0.044 0.038
CIX CT Equity CI FINANCIAL CORP Financials 21.40 4.46% 24.02.2012 14.10 15.94 15.61 -0.364 -0.212 -0.359 0.027 0.011 0.014
CGX CT Equity CINEPLEX INC Consumer Discretionary 25.46 5.07% 24.02.2012 25.03 21.63 20.58 0.073 -0.079 -0.082 0.017 0.004 0.005
CLC CT Equity CML HEALTHCARE INC Health Care 10.46 7.22% 24.02.2012 22.17 22.01 22.09 -0.285 -0.140 -0.202 0.091 0.049 0.033
CCA CT Equity COGECO CABLE INC Consumer Discretionary 47.42 2.85% 16.04.2012 25.98 24.56 26.28 0.357 -0.092 -0.089 0.020 0.007 0.001
CSI CT Equity COLOSSUS MINERALS INC Materials 7.17 63.61 56.88 55.06 -0.353 -0.287 -0.217 0.011 0.010 0.005
CUF-U CT Equity COMINAR REAL ESTATE INV-TR U Financials 21.57 6.80% 22.02.2012
CJR/B CT Equity CORUS ENTERTAINMENT INC-B SH Consumer Discretionary 20.75 4.63% 14.05.2012 16.38 17.87 20.21 -0.258 0.011 -0.263 0.034 0.011 0.012
BCB CT Equity COTT CORPORATION Consumer Staples 7.00 35.48 35.55 34.46 -0.252 -0.155 -0.253 0.054 0.025 0.011
CPG CT Equity CRESCENT POINT ENERGY CORP Energy 45.71 6.04% 24.02.2012 15.44 15.98 15.92 -0.253 -0.220 -0.212 0.052 0.029 0.019
CR CT Equity CREW ENERGY INC Energy 13.00 33.95 36.44 34.76 -0.474 -0.281 -0.242 0.043 0.011 0.007
DH CT Equity DAVIS & HENDERSON CORP Financials 17.85 7.06% 27.02.2012
DML CT Equity DENISON MINES CORP Energy 1.76
DGC CT Equity DETOUR GOLD CORP Materials 28.00 35.11 39.05 39.42 -0.254 -0.206 -0.192 0.031 0.007 0.005
DOL CT Equity DOLLARAMA INC Consumer Discretionary 42.45 0.85% 02.04.2012 15.18 16.36 17.71 -0.007 -0.081 -0.226 0.023 0.014 0.013
DII/B CT Equity DOREL INDUSTRIES-CL B Consumer Discretionary 24.83 2.43% 28.02.2012
DC/A CT Equity DUNDEE CORP -CL A Financials 24.00 15.63 17.41 19.45 -0.571 -0.300 -0.354 0.030 0.010 0.015
DPM CT Equity DUNDEE PRECIOUS METALS INC Materials 9.44 45.73 45.29 43.63 -0.497 -0.263 -0.231 0.026 0.010 0.006
D-U CT Equity DUNDEE REAL ESTATE INVESTMEN Financials 33.34 6.94% 27.02.2012
ELD CT Equity ELDORADO GOLD CORP Materials 14.92 0.87% 08.08.2012 40.59 41.68 41.94 41.77 42.93 45.32 47.75 -0.241 -0.220 -0.190 -0.100 -0.020 -0.030 -0.040 0.029 0.006 0.005 0.002 0.001 0.000 -0.001
EMA CT Equity EMERA INC Utilities 32.62 4.22% 30.04.2012 13.56 11.74 12.37 14.23 -0.196 -0.116 -0.067 -0.093 0.042 0.013 0.012 0.007
EMP/A CT Equity EMPIRE CO LTD 'A' Consumer Staples 56.20 1.68% 11.04.2012
ENB CT Equity ENBRIDGE INC Energy 37.23 3.04% 09.05.2012 16.88 17.29 17.49 18.62 19.31 20.36 21.42 -0.175 -0.171 -0.172 -0.176 -0.133 -0.141 -0.149 0.054 0.030 0.020 0.007 0.003 0.002 0.002
ECA CT Equity ENCANA CORP Energy 19.42 4.14% 12.03.2012 39.76 36.53 35.68 34.02 34.27 35.89 37.55 -0.184 -0.125 -0.114 -0.133 -0.076 -0.063 -0.049 0.026 0.009 0.003 0.001 0.000 0.000 0.000
EDR CT Equity ENDEAVOUR SILVER CORP Materials 11.14 46.48 48.37 52.99 -0.344 -0.283 -0.349 0.021 0.006 0.000
EFX CT Equity ENERFLEX LTD Energy 12.40 1.94% 12.03.2012 38.99 34.43 32.26 -0.486 -0.460 -0.210 0.066 0.028 0.019
ERF CT Equity ENERPLUS CORP Energy 23.84 9.23% 07.03.2012 21.37 22.75 22.16 0.130 -0.206 -0.202 0.038 0.013 0.021
ESI CT Equity ENSIGN ENERGY SERVICES INC Energy 15.59 2.76% 21.03.2012 35.15 37.15 35.70 -0.165 -0.227 -0.212 0.041 0.008 0.007
EGU CT Equity EUROPEAN GOLDFIELDS LTD Materials 12.59 61.77 61.28 60.43 -0.410 -0.420 -0.404 0.011 0.006 0.003
EXE-U CT Equity EXTENDICARE REAL ESTATE INVE Financials 8.45 9.94% 22.02.2012 49.84 37.59 39.32 -0.533 -0.422 -0.169 0.070 0.041 0.017
XG CT Equity EXTORRE GOLD MINES LTD Materials 9.67 38.69 33.06 35.34 -0.609 -0.517 -0.711 0.057 0.040 0.038
FFH CT Equity FAIRFAX FINANCIAL HLDGS LTD Financials 415.22 2.42% 15.01.2013
FTT CT Equity FINNING INTERNATIONAL INC Industrials 27.15 2.03% 06.03.2012 31.18 28.81 28.66 28.98 -0.457 -0.228 -0.215 -0.140 0.029 0.021 0.015 0.003
FCR CT Equity FIRST CAPITAL REALTY INC Financials 17.67 4.53% 28.03.2012 16.88 19.83 18.51 -0.145 -0.013 -0.243 0.045 0.018 0.022
FR CT Equity FIRST MAJESTIC SILVER CORP Materials 20.29 48.52 48.77 48.59 -0.457 -0.438 -0.324 0.018 0.006 0.006
FM CT Equity FIRST QUANTUM MINERALS LTD Materials 21.65 1.26% 10.04.2012 55.06 57.19 56.27 -0.415 -0.362 -0.311 0.018 0.005 0.004
FSV CT Equity FIRSTSERVICE CORP Financials 29.36
FES CT Equity FLINT ENERGY SERVICES LTD Energy 14.00
FTS CT Equity FORTIS INC Utilities 33.43 3.59% 09.05.2012 15.86 15.49 16.08 -0.090 -0.123 -0.240 0.025 0.012 0.011
FVI CT Equity FORTUNA SILVER MINES INC Materials 6.75 53.18 51.20 56.16 -0.610 -0.581 -0.306 0.075 0.019 0.002
FNV CT Equity FRANCO-NEVADA CORP Materials 44.37 1.25% 10.04.2012 19.57 21.11 23.13 -0.642 -0.352 -0.260 0.026 0.012 0.007
FRU CT Equity FREEHOLD ROYALTIES LTD Energy 20.73 8.30% 24.02.2012 20.31 22.92 22.52 -0.401 -0.195 -0.274 0.043 0.011 0.010
GBU CT Equity GABRIEL RESOURCES LTD Materials 5.94 77.37 74.94 74.14 -0.085 -0.117 -0.159 0.011 0.007 0.009
MIC CT Equity GENWORTH MI CANADA INC Financials 22.85 5.16% 09.02.2012 28.69 25.41 25.24 -0.366 -0.184 -0.263 0.021 0.007 0.009
WN CT Equity WESTON (GEORGE) LTD Consumer Staples 64.50 2.23% 07.03.2012 17.23 17.86 17.98 0.020 -0.109 -0.099 0.009 0.003 0.004
GIL CT Equity GILDAN ACTIVEWEAR INC Consumer Discretionary 21.91 1.83% 15.02.2012 45.64 37.42 34.75 -0.340 -0.146 -0.213 0.014 0.002 0.005
G CT Equity GOLDCORP INC Materials 48.82 1.31% 14.02.2012 28.85 29.77 30.12 31.90 34.12 35.94 37.75 -0.305 -0.203 -0.162 -0.110 -0.038 -0.031 -0.025 0.021 0.007 0.005 0.002 0.001 0.000 0.000
GSC CT Equity GOLDEN STAR RESOURCES LTD Materials 2.13 78.61 77.90 73.14 0.085 0.025 -0.009 0.007 -0.004 -0.002
GCE CT Equity GRANDE CACHE COAL CORP Materials 9.56 161.59 131.69 -1.766 -1.154 0.219 0.090
GBG CT Equity GREAT BASIN GOLD LTD Materials 1.24
GWO CT Equity GREAT-WEST LIFECO INC Financials 21.64 5.68% 29.02.2012 19.67 16.74 15.94 18.14 -0.382 -0.096 -0.263 -0.188 0.039 0.015 0.018 0.012
AIM CT Equity GROUPE AEROPLAN INC Consumer Discretionary 11.99 5.00% 13.03.2012 21.08 25.15 25.08 -0.135 -0.005 -0.161 0.070 0.025 0.016
GUY CT Equity GUYANA GOLDFIELDS INC Materials 7.64 81.83 78.26 80.85 -0.184 -0.214 -0.038 0.013 0.006 -0.002
HR-U CT Equity H&R REAL ESTATE INV-REIT UTS Financials 23.07 5.15% 15.03.2012 19.96 17.32 15.98 0.230 0.133 -0.226 0.037 0.028 0.040
HW CT Equity HARRY WINSTON DIAMOND CORP Materials 11.97 22.03.2012 38.46 37.42 37.69 -0.448 -0.329 -0.253 0.053 0.017 0.009
HCG CT Equity HOME CAPITAL GROUP INC Financials 50.74 1.77% 15.02.2012
HBM CT Equity HUDBAY MINERALS INC Materials 11.61 1.72% 15.03.2012 40.49 41.13 40.95 40.39 -0.241 -0.136 -0.134 -0.124 0.026 0.008 0.006 0.002
HSE CT Equity HUSKY ENERGY INC Energy 24.28 4.94% 21.03.2012 20.48 20.86 19.11 20.70 24.42 25.93 27.47 -0.315 -0.282 -0.211 -0.206 -0.179 -0.161 -0.143 0.053 0.028 0.018 0.008 0.002 0.002 0.001
IMG CT Equity IAMGOLD CORP Materials 16.78 1.68% 29.06.2012 40.11 41.34 41.19 41.50 -0.170 -0.220 -0.184 -0.110 0.029 0.005 0.004 0.003
IGM CT Equity IGM FINANCIAL INC Financials 45.19 5.03% 29.03.2012 16.89 14.37 13.67 -0.153 -0.157 -0.217 0.018 0.012 0.010
IMO CT Equity IMPERIAL OIL LTD Energy 46.86 1.00% 29.02.2012 23.01 25.86 26.49 27.28 -0.526 -0.248 -0.256 -0.212 0.027 0.003 0.004 0.004
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2. 30.01.2012
Option Implied Volatility Skew Parameters by Terms:
At The Money Implied Volatilities by Terms
IVt = atx + btx2 + ct
Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol -
Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) -
Yield 30D 60D 90D 6M 12M 18M 24M
Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
IAG CT Equity INDUSTRIAL ALLIANCE INSURANC Financials 25.95 4.08% 29.02.2012 30.85 28.38 28.25 28.30 -0.091 -0.031 -0.051 -0.057 0.012 0.011 0.007 0.000
IMN CT Equity INMET MINING CORPORATION Materials 68.08 0.29% 23.05.2012 36.51 35.89 37.23 -0.341 -0.216 -0.203 0.009 0.005 0.005
IFC CT Equity INTACT FINANCIAL CORP Financials 56.97 2.81% 07.03.2012 19.50 18.01 17.74 -0.034 -0.085 -0.225 0.010 0.004 0.005
IPL-U CT Equity INTER PIPELINE FUND LP-A Energy 17.37 6.13% 21.02.2012
IVN CT Equity IVANHOE MINES LTD Materials 16.16 54.92 61.18 59.20 56.68 0.023 -0.097 -0.148 -0.175 0.010 0.003 0.005 0.005
JAG CT Equity JAGUAR MINING INC Materials 7.27 177.83 119.69 78.66 -2.612 -2.139 -0.418 -0.058 0.003 0.007
PJC/A CT Equity JEAN COUTU GROUP INC-CLASS A Consumer Staples 13.29 2.11% 09.05.2012 18.74 17.76 17.55 -0.332 -0.262 -0.293 0.050 0.030 0.021
JE CT Equity JUST ENERGY GROUP INC Utilities 12.21 10.16% 13.02.2012 25.54 23.90 22.54 -0.257 -0.065 -0.143 0.048 0.019 0.020
KEY CT Equity KEYERA CORP Energy 46.07 4.58% 20.02.2012 21.97 20.24 19.54 0.290 0.002 -0.008 0.027 0.009 0.011
K CT Equity KINROSS GOLD CORP Materials 11.46 1.14% 20.03.2012 43.84 42.05 41.56 40.89 41.95 44.25 46.61 -0.141 -0.056 -0.038 -0.019 0.051 0.042 0.033 0.022 0.008 0.005 0.002 0.001 -0.001 -0.003
KGI CT Equity KIRKLAND LAKE GOLD INC Materials 17.55 47.21 46.07 46.52 -0.557 -0.293 -0.319 0.025 0.006 0.007
LIF-U CT Equity LABRADOR IRON ORE ROYALTY CO Materials 36.60 2.73% 28.03.2012
LSG CT Equity LAKE SHORE GOLD CORP Materials 1.47 141.18 119.68 125.69 0.000 0.000 0.000 0.000 0.000 0.000
LB CT Equity LAURENTIAN BANK OF CANADA Financials 45.80 4.19% 28.03.2012
LEG CT Equity LEGACY OIL + GAS INC Energy 11.96 38.38 39.23 38.84 -0.400 -0.261 -0.284 0.033 0.011 0.008
LNR CT Equity LINAMAR CORP Consumer Discretionary 16.80 2.38% 28.03.2012
L CT Equity LOBLAW COMPANIES LTD Consumer Staples 36.48 2.30% 07.03.2012 18.67 19.14 18.71 -0.033 -0.055 -0.144 0.027 0.014 0.020
LUN CT Equity LUNDIN MINING CORP Materials 4.94 65.01 63.93 64.28 -0.327 -0.357 -0.233 0.014 0.007 -0.002
MDA CT Equity MACDONALD DETTWILER & ASSOC Information Technology 43.52 2.30% 13.03.2012 24.21 24.33 24.65 0.302 -0.035 -0.015 0.021 0.002 0.003
MG CT Equity MAGNA INTERNATIONAL INC Consumer Discretionary 42.01 2.39% 09.03.2012 26.13 28.97 29.96 31.63 -0.231 -0.204 -0.218 -0.181 0.034 0.002 0.003 0.003
MDI CT Equity MAJOR DRILLING GROUP INTL Materials 16.47 1.03% 04.04.2012 35.78 37.05 35.89 -0.500 -0.277 -0.243 0.040 0.007 0.006
MBT CT Equity MANITOBA TELECOM SVCS INC Telecommunication Services 31.92 5.33% 07.03.2012 15.76 15.71 16.05 -0.049 0.105 -0.013 0.027 0.014 0.019
MFC CT Equity MANULIFE FINANCIAL CORP Financials 11.75 4.43% 17.02.2012 34.92 34.63 33.31 35.11 38.16 39.28 40.56 -0.290 -0.269 -0.300 -0.271 -0.161 -0.156 -0.152 0.035 0.011 0.009 0.002 -0.001 0.000 0.000
MFI CT Equity MAPLE LEAF FOODS INC Consumer Staples 10.91 1.47% 07.03.2012 21.37 21.59 23.48 -0.332 -0.120 -0.099 0.082 0.046 0.027
MEG CT Equity MEG ENERGY CORP Energy 44.04 44.74 43.86 46.24 -0.315 -0.193 -0.235 0.010 0.000 0.000
ML CT Equity MERCATOR MINERALS LTD Materials 1.84 133.37 108.21 98.85 0.617 0.219 0.053 0.033 0.012 0.003
MX CT Equity METHANEX CORP Materials 27.34 2.66% 14.03.2012 30.22 29.90 29.89 -0.548 -0.155 -0.267 0.024 0.005 0.006
MRU/A CT Equity METRO INC -A Consumer Staples 53.39 1.50% 08.02.2012 20.34 19.92 20.42 21.64 -0.172 -0.320 -0.261 -0.119 0.013 0.016 0.011 0.002
MFL CT Equity MINEFINDERS CORP Materials 14.34 69.16 61.01 58.98 -1.410 -0.655 -0.341 0.044 0.012 0.000
MTL CT Equity MULLEN GROUP LTD Energy 19.16 5.22% 28.03.2012 21.62 24.24 24.21 -0.100 -0.191 -0.215 0.029 0.012 0.015
NAE CT Equity NAL ENERGY CORP Energy 7.50 8.00% 21.02.2012 39.95 37.29 37.30 -0.319 -0.151 -0.251 0.076 0.028 0.010
NA CT Equity NATIONAL BANK OF CANADA Financials 75.00 4.28% 20.03.2012 15.01 17.03 16.03 17.54 18.89 20.31 21.79 -0.208 -0.232 -0.185 -0.231 -0.167 -0.153 -0.140 0.046 0.026 0.019 0.007 0.003 0.003 0.002
NEM CT Equity NEO MATERIAL TECHNOLOGIES IN Materials 8.33 64.91 63.59 63.37 -0.442 -0.431 -0.219 0.022 0.009 0.004
NSU CT Equity NEVSUN RESOURCES LTD Materials 6.64 1.51% 27.06.2012 58.22 59.65 59.94 -0.561 -0.338 -0.291 0.023 0.002 0.003
NGD CT Equity NEW GOLD INC Materials 11.66 43.08 45.94 44.94 -0.315 -0.192 -0.184 0.019 0.005 0.003
NXY CT Equity NEXEN INC Energy 18.31 1.09% 07.03.2012 37.33 36.20 36.74 37.28 38.57 39.77 40.97 -0.290 -0.208 -0.194 -0.172 -0.129 -0.119 -0.110 0.028 0.013 0.008 0.003 0.001 0.001 0.001
NKO CT Equity NIKO RESOURCES LTD Energy 48.82 0.49% 27.03.2012 44.43 44.48 43.79 -0.285 -0.156 -0.187 0.008 0.002 0.003
NDN CT Equity NORDION INC Health Care 9.54 4.21% 14.03.2012 29.06 24.76 24.70 26.89 -0.349 -0.278 -0.184 -0.075 0.079 0.042 0.030 0.007
PDL CT Equity NORTH AMER PALLADIUM LTD Materials 2.70 68.15 61.94 58.66 -0.030 -0.128 -0.129 0.010 0.003 0.002
NWC CT Equity NORTH WEST CO INC/THE Consumer Staples 19.50 4.92% 28.03.2012
NDM CT Equity NORTHERN DYNASTY MINERALS Materials 7.61 54.32 56.48 56.65 -0.243 -0.202 -0.267 0.039 0.013 0.009
NPI CT Equity NORTHLAND POWER INC Utilities 16.91 6.39% 24.02.2012 22.28 22.68 22.98 0.118 -0.015 -0.034 0.045 0.017 0.018
NG CT Equity NOVAGOLD RESOURCES INC Materials 10.61 63.08 62.65 61.68 -0.138 -0.367 -0.490 0.009 0.009 0.007
NVA CT Equity NUVISTA ENERGY LTD Energy 4.32 27.03.2012 73.34 67.31 63.16 -0.443 -0.244 -0.376 0.027 0.011 0.011
OGC CT Equity OCEANAGOLD CORP Materials 2.56
OCX CT Equity ONEX CORPORATION Financials 34.65 0.32% 04.04.2012 16.96 17.96 18.84 20.93 -0.394 -0.235 -0.228 -0.186 0.039 0.026 0.018 0.004
OTC CT Equity OPEN TEXT CORP Information Technology 53.23 43.99 36.74 34.80 -0.151 -0.175 -0.172 0.003 0.003 0.001
OSK CT Equity OSISKO MINING CORP Materials 11.83 41.83 43.72 42.31 43.88 45.21 47.08 48.95 -0.442 -0.257 -0.239 -0.139 -0.081 -0.077 -0.073 0.016 0.007 0.011 0.003 0.002 0.000 -0.002
PRE CT Equity PACIFIC RUBIALES ENERGY CORP Energy 24.75 1.51% 14.03.2012 37.56 38.51 38.24 38.33 39.72 46.52 53.37 -0.476 -0.273 -0.288 -0.203 -0.137 -0.028 0.083 0.016 0.006 0.007 0.005 0.001 -0.005 -0.011
PAA CT Equity PAN AMERICAN SILVER CORP Materials 23.00 0.44% 23.02.2012 48.72 46.44 45.77 44.87 -0.247 -0.167 -0.149 -0.091 0.009 0.004 0.003 0.001
POU CT Equity PARAMOUNT RESOURCES LTD -A Energy 34.01 33.24 36.08 36.49 37.32 -0.210 -0.122 -0.134 -0.092 0.029 0.002 0.002 0.000
PKI CT Equity PARKLAND FUEL CORP Energy 12.86 7.93% 21.02.2012
PSI CT Equity PASON SYSTEMS INC Energy 12.99 3.31% 11.06.2012
PPL CT Equity PEMBINA PIPELINE CORP Energy 26.71 5.84% 22.02.2012 19.72 18.53 17.85 0.405 0.044 -0.022 0.026 0.011 0.017
PGF CT Equity PENGROWTH ENERGY CORP Energy 10.12 8.30% 21.02.2012 24.37 27.56 24.19 -0.169 -0.062 -0.108 0.076 0.029 0.021
S&P / TSX Index
PWT CT Equity PENN WEST PETROLEUM LTD Energy 21.58 5.00% 28.03.2012 27.69 28.79 29.32 30.61 -0.439 -0.270 -0.282 -0.240 0.031 0.007 0.007 0.006
PBN CT Equity PETROBAKKEN ENERGY LTD-A Energy 15.00 6.40% 24.02.2012 45.65 45.16 47.89 -0.220 -0.249 -0.362 0.023 0.009 0.002
PBG CT Equity PETROBANK ENERGY & RESOURCES Energy 14.19 51.22 50.24 49.07 -0.331 -0.196 -0.205 0.024 0.009 0.008
PMG CT Equity PETROMINERALES LTD Energy 20.80 2.55% 27.03.2012 48.60 48.26 47.11 -0.346 -0.148 -0.145 0.011 0.004 0.005
PEY CT Equity PEYTO EXPLORATION & DEV CORP Energy 19.52 3.69% 27.04.2012 33.03 34.18 33.00 0.111 -0.177 -0.139 0.030 0.004 0.003
POT CT Equity POTASH CORP OF SASKATCHEWAN Materials 47.26 1.19% 11.07.2012 30.10 30.85 30.71 32.65 33.84 35.42 37.01 -0.230 -0.183 -0.173 -0.170 -0.120 -0.101 -0.082 0.022 0.007 0.004 0.002 0.000 0.000 0.000
POW CT Equity POWER CORP OF CANADA Financials 24.09 5.06% 21.03.2012 19.28 20.32 20.30 -0.187 -0.084 -0.316 0.041 0.014 0.016
PWF CT Equity POWER FINANCIAL CORP Financials 26.11 5.40% 28.03.2012 18.06 18.80 17.34 -0.248 -0.169 -0.229 0.020 0.007 0.013
PD CT Equity PRECISION DRILLING CORP Energy 9.97 47.21 44.10 42.51 -0.351 -0.365 -0.331 0.028 0.012 0.007
PG CT Equity PREMIER GOLD MINES LTD Materials 5.82 71.09 64.87 63.23 -0.899 -0.787 -0.762 0.059 0.030 0.023
PMZ-U CT Equity PRIMARIS RETAIL REAL ESTATE Financials 21.51 5.67% 24.02.2012 37.56 26.98 23.53 -0.271 -0.214 -0.351 0.048 0.036 0.038
PRQ CT Equity PROGRESS ENERGY RESOURCES CO Energy 10.70 3.74% 27.03.2012 37.88 39.28 36.87 -0.292 -0.162 -0.194 0.051 0.017 0.008
BIN CT Equity PROGRESSIVE WASTE SOLUTIONS Industrials 22.66 2.47% 28.03.2012 16.90 18.49 18.41 -0.748 -0.388 -0.302 0.034 0.014 0.016
PVE CT Equity PROVIDENT ENERGY LTD Energy 11.15 4.84% 22.02.2012 30.05 23.59 23.46 -0.541 -0.261 -0.254 0.078 0.048 0.035
QUX CT Equity QUADRA FNX MINING LTD Materials 14.97 32.59 49.13 35.68 -0.543 -0.633 -0.954 0.152 0.074 0.050
QBR/B CT Equity QUEBECOR INC -CL B Consumer Discretionary 34.35 0.58% 21.03.2012
RET/A CT Equity REITMANS (CANADA) LTD-A Consumer Discretionary 14.74 5.43% 10.04.2012
RIM CT Equity RESEARCH IN MOTION Information Technology 16.63 64.04 63.33 62.65 60.46 59.48 59.34 59.19 -0.071 -0.075 -0.067 -0.067 -0.044 -0.058 -0.072 0.013 0.006 0.004 0.000 0.000 0.000 0.000
REI-U CT Equity RIOCAN REAL ESTATE INVST TR Financials 26.02 5.50% 24.02.2012 20.61 18.76 18.28 0.211 0.183 -0.015 0.030 0.017 0.019
RCI/B CT Equity ROGERS COMMUNICATIONS INC-B Telecommunication Services 38.27 4.08% 14.03.2012 18.40 18.95 18.87 19.82 20.99 21.73 22.47 -0.223 -0.202 -0.176 -0.175 -0.106 -0.068 -0.030 0.049 0.025 0.016 0.004 0.002 0.001 0.001
R CT Equity ROMARCO MINERALS INC Materials 1.27
RON CT Equity RONA INC Consumer Discretionary 9.48 1.48% 07.03.2012 30.04 27.96 27.63 27.96 -0.253 -0.137 -0.168 -0.167 0.043 0.018 0.014 0.006
RY CT Equity ROYAL BANK OF CANADA Financials 52.30 4.28% 24.04.2012 15.19 16.97 16.64 18.27 19.33 21.14 23.01 -0.316 -0.306 -0.308 -0.287 -0.245 -0.214 -0.181 0.048 0.027 0.019 0.008 0.003 0.002 0.001
RMX CT Equity RUBICON MINERALS CORP Materials 4.29 59.62 56.77 57.72 -0.467 -0.445 -0.224 0.027 0.012 0.004
RUS CT Equity RUSSEL METALS INC Industrials 24.88 5.23% 23.02.2012 24.87 22.25 21.91 -0.463 -0.191 -0.340 0.025 0.005 0.008
SGR CT Equity SAN GOLD CORP Materials 1.92
SAP CT Equity SAPUTO INC Consumer Staples 38.44 2.08% 01.03.2012 23.54 24.32 25.10 -0.241 -0.145 -0.155 0.016 0.005 0.011
SVY CT Equity SAVANNA ENERGY SERVICES CORP Energy 7.02 07.03.2012 34.93 36.61 35.99 -0.346 -0.282 -0.271 0.067 0.023 0.013
SMF CT Equity SEMAFO INC Materials 7.45 55.44 49.94 48.86 -0.182 -0.182 -0.175 0.021 0.012 0.005
SJR/B CT Equity SHAW COMMUNICATIONS INC-B Consumer Discretionary 19.72 4.90% 13.06.2012 15.78 15.30 16.24 18.50 0.233 0.013 -0.061 -0.134 0.032 0.022 0.019 0.008
SCL/A CT Equity SHAWCOR LTD-CLASS A Energy 29.46 1.14% 14.03.2012 38.53 39.81 37.68 -0.199 -0.046 -0.062 0.020 -0.005 -0.001
S CT Equity SHERRITT INTERNATIONAL CORP Materials 6.33 2.43% 27.03.2012 44.90 38.68 38.65 -0.367 -0.230 -0.210 0.034 0.017 0.008
SC CT Equity SHOPPERS DRUG MART CORP Consumer Staples 40.76 2.65% 28.03.2012 18.88 18.00 17.73 18.87 20.11 21.37 22.65 -0.177 -0.190 -0.271 -0.158 -0.132 -0.120 -0.108 0.022 0.014 0.015 0.002 0.002 0.001 0.000
SSO CT Equity SILVER STANDARD RESOURCES Materials 17.86 49.51 50.71 50.69 -0.380 -0.150 -0.111 0.016 0.005 0.003
SLW CT Equity SILVER WHEATON CORP Materials 35.78 1.09% 14.03.2012 35.90 38.60 39.49 41.79 -0.401 -0.179 -0.157 -0.097 0.019 0.005 0.004 0.001
SVM CT Equity SILVERCORP METALS INC Materials 8.20 1.34% 28.03.2012 51.61 50.05 50.07 -0.454 -0.239 -0.198 0.036 0.014 0.004
SNC CT Equity SNC-LAVALIN GROUP INC Industrials 52.00 1.92% 14.03.2012 26.65 28.38 28.95 30.48 -0.412 -0.392 -0.347 -0.205 0.032 0.013 0.009 0.002
SGQ CT Equity SOUTHGOBI RESOURCES LTD Energy 7.10 67.23 64.41 63.86 -0.568 -0.213 -0.262 0.033 0.007 0.001
STN CT Equity STANTEC INC Industrials 27.55 20.69 23.71 23.61 -0.143 -0.224 -0.278 0.016 0.005 0.009
SLF CT Equity SUN LIFE FINANCIAL INC Financials 19.78 7.48% 27.02.2012 28.56 27.11 26.12 27.09 28.64 30.96 33.43 -0.251 -0.142 -0.172 -0.231 -0.166 -0.143 -0.120 0.033 0.014 0.013 0.003 0.002 0.001 0.001
SU CT Equity SUNCOR ENERGY INC Energy 34.21 1.37% 29.02.2012 26.99 27.48 27.32 28.41 31.60 32.68 33.78 -0.506 -0.337 -0.329 -0.314 -0.249 -0.203 -0.157 0.030 0.016 0.012 0.004 0.001 0.001 0.001
SPB CT Equity SUPERIOR PLUS CORP Industrials 6.34 9.46% 24.02.2012 47.88 45.82 42.64 -0.299 -0.162 -0.193 0.032 0.011 0.007
SXC CT Equity SXC HEALTH SOLUTIONS CORP Health Care 62.17 40.00 40.60 39.47 -0.170 -0.066 -0.122 0.003 0.001 0.005
THO CT Equity TAHOE RESOURCES INC Materials 21.20 40.81 41.46 41.95 -0.553 -0.229 -0.205 0.020 0.006 0.006
TLM CT Equity TALISMAN ENERGY INC Energy 12.03 2.46% 30.05.2012 42.10 40.86 40.54 40.66 42.51 43.55 44.60 -0.310 -0.273 -0.239 -0.163 -0.114 -0.108 -0.102 0.031 0.011 0.008 0.001 0.000 -0.001 -0.001
TKO CT Equity TASEKO MINES LTD Materials 3.50 68.01 69.48 68.87 -0.519 -0.115 -0.139 0.029 0.011 0.009
TCK/B CT Equity TECK RESOURCES LTD-CLS B Materials 42.25 1.89% 12.06.2012 35.92 35.15 35.92 37.63 39.00 41.51 44.04 -0.427 -0.400 -0.358 -0.267 -0.216 -0.196 -0.176 0.026 0.007 0.005 0.004 0.002 0.001 0.001
T CT Equity TELUS CORP Telecommunication Services 56.35 4.33% 07.03.2012 16.20 16.62 17.47 19.09 20.13 21.31 22.54 -0.239 -0.141 -0.113 -0.038 0.000 -0.011 -0.022 0.042 0.022 0.014 0.003 0.001 0.001 0.000
TCM CT Equity THOMPSON CREEK METALS CO INC Materials 8.57 46.70 48.59 48.05 -0.247 -0.239 -0.226 0.030 0.009 0.005
TRI CT Equity THOMSON REUTERS CORP Consumer Discretionary 27.67 4.79% 20.02.2012 25.58 23.68 23.19 23.52 -0.233 -0.136 -0.174 -0.211 0.043 0.018 0.013 0.004
THI CT Equity TIM HORTONS INC Consumer Discretionary 48.59 1.65% 05.03.2012 19.32 20.01 19.94 -0.084 -0.159 -0.212 0.013 0.007 0.009
X CT Equity TMX GROUP INC Financials 41.87 4.01% 22.02.2012 33.43 28.39 -0.192 -0.205 0.007 0.003
TIH CT Equity TOROMONT INDUSTRIES LTD Industrials 22.15 2.17% 07.03.2012 22.31 22.36 22.22 -0.751 -0.316 -0.269 0.034 0.012 0.011
TD CT Equity TORONTO-DOMINION BANK Financials 77.49 3.66% 03.04.2012 16.89 18.11 17.45 19.01 21.20 24.83 28.54 -0.294 -0.326 -0.327 -0.308 -0.220 -0.160 -0.100 0.042 0.022 0.016 0.007 0.001 -0.003 -0.007
TOU CT Equity TOURMALINE OIL CORP Energy 25.16 7.00 34.31 33.77 -0.279 -0.177 -0.145 0.033 0.008 0.008
TA CT Equity TRANSALTA CORP Utilities 20.24 5.73% 30.05.2012 13.89 13.93 14.13 14.43 0.017 0.032 -0.008 -0.081 0.039 0.025 0.002 0.013
TRP CT Equity TRANSCANADA CORP Energy 41.33 4.26% 27.03.2012 18.37 17.87 17.43 17.98 22.22 26.47 30.82 -0.309 -0.197 -0.151 -0.173 -0.151 -0.076 0.001 0.047 0.025 0.020 0.008 0.000 0.006 0.012
TCL/A CT Equity TRANSCONTINENTAL INC-CL A Industrials 12.56 4.78% 29.03.2012 32.10 34.84 34.74 -0.321 -0.165 -0.174 0.059 0.008 0.007
TFI CT Equity TRANSFORCE INC Industrials 16.15 2.85% 28.03.2012 27.67 27.97 25.54 -0.552 -0.244 -0.291 0.040 0.006 0.011
TGL CT Equity TRANSGLOBE ENERGY CORP Energy 9.34 60.51 58.93 62.78 -0.170 -0.231 -0.172 0.029 0.015 0.007
TCW CT Equity TRICAN WELL SERVICE LTD Energy 16.27 0.61% 27.06.2012 42.01 42.94 43.04 42.25 -0.297 -0.196 -0.213 -0.147 0.027 0.005 0.004 0.002
TET CT Equity TRILOGY ENERGY CORP Energy 31.19 2.08% 24.02.2012 32.45 35.30 34.81 -0.002 -0.201 -0.219 0.019 0.005 0.006
TDG CT Equity TRINIDAD DRILLING LTD Energy 6.59 3.03% 28.03.2012 50.64 47.30 45.77 -0.260 -0.308 -0.290 0.034 0.010 0.006
UUU CT Equity URANIUM ONE INC Energy 2.75 70.83 66.76 63.54 -0.260 -0.179 -0.064 0.026 0.013 0.009
VRX CT Equity VALEANT PHARMACEUTICALS INTE Health Care 49.00 37.25 38.27 38.15 -0.242 -0.199 -0.244 0.006 0.002 0.004
VSN CT Equity VERESEN INC Energy 15.22 6.57% 24.02.2012 18.86 20.21 17.61 -0.053 -0.056 -0.165 0.063 0.036 0.032
VET CT Equity VERMILION ENERGY INC Energy 45.70 5.01% 24.02.2012 18.45 24.08 23.21 -0.133 -0.227 -0.223 0.022 0.006 0.010
VT CT Equity VITERRA INC Consumer Staples 10.27 1.46% 04.07.2012 26.17 24.90 23.96 -0.282 -0.203 -0.180 0.059 0.028 0.018
WFT CT Equity WEST FRASER TIMBER CO LTD Materials 48.01 1.17% 15.03.2012
WJA CT Equity WESTJET AIRLINES LTD Industrials 12.34 1.62% 12.03.2012 31.90 30.21 30.11 -0.377 -0.208 -0.134 0.042 0.020 0.015
WPT CT Equity WESTPORT INNOVATIONS INC Industrials 38.65 47.70 47.32 48.42 -0.468 -0.303 -0.260 0.014 0.007 0.005
Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

3. 30.01.2012
Option Implied Volatility Skew Parameters by Terms:
At The Money Implied Volatilities by Terms 2
IVt = atx + btx + ct
Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
Dividend ATM2 ATM2 ATM2 ATM2 ATM2 ATM2 ATM2
Ticker Name GICS_SECTOR_NAME ATM2 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) -
Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M
Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M
WPT CT Equity WESTPORT INNOVATIONS INC Industrials 38.65 47.70 47.32 48.42 -0.468 -0.303 -0.260 0.014 0.007 0.005
WTE-U CT Equity WESTSHORE TERMINALS INVESTME Industrials 24.73 4.69% 28.03.2012
WIN CT Equity WI-LAN INC Information Technology 5.49 2.55% 13.03.2012 72.48 62.54 61.97 -0.437 -0.034 -0.082 0.012 0.006 0.003
YRI CT Equity YAMANA GOLD INC Materials 17.36 1.19% 27.03.2012 34.75 36.10 36.13 36.71 38.22 40.09 41.98 -0.289 -0.156 -0.120 -0.057 -0.028 -0.052 -0.075 0.021 0.008 0.006 0.002 0.001 0.001 0.001
YLO CT Equity YELLOW MEDIA INC Consumer Discretionary 0.20 28.03.2012 285.80 285.80 0.000 0.000 0.000 0.000
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
S&P / TSX Index
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
0 #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security #N/A Invalid Security
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