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Stoxx 600 Index - Dividends and Implied Volatility Surfaces Parameters

The document contains implied volatility skew parameters for the options of 19 stocks across various terms from 30 days to 24 months. For each stock, it lists the at-the-money implied volatilities, skew coefficients that model the implied volatility smile, and ex-dividend dates. The stocks span sectors like consumer staples, healthcare, energy, and financials.

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16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M NESN VX Equity NESTLE SA-REG Consumer Staples 62.00 3.39% 24.04.2013 12.09 11.44 11.60 12.41 14.70 14.31 14.55 -0.153 -0.198 -0.203 -0.168 -0.125 -0.090 -0.077 0.035 0.021 0.016 0.008 0.003 0.002 0.002 HSBA LN Equity HSBC HOLDINGS PLC Financials 610.00 4.58% 20.03.2013 17.99 18.35 18.92 20.48 21.56 23.26 23.64 -0.229 -0.304 -0.302 -0.241 -0.131 -0.111 -0.101 0.019 0.013 0.009 0.005 0.004 0.001 0.000 NOVN VX Equity NOVARTIS AG-REG Health Care 58.65 4.26% 26.02.2013 12.05 11.79 11.06 10.17 13.14 12.92 12.43 -0.289 -0.214 -0.163 -0.085 -0.078 -0.037 0.001 0.042 0.022 0.016 0.008 0.003 0.002 0.001 ROG VX Equity ROCHE HOLDING AG-GENUSSCHEIN Health Care 184.50 4.07% 07.03.2013 14.17 13.61 13.54 14.39 16.77 17.44 17.25 -0.244 -0.233 -0.197 -0.096 -0.066 -0.018 0.006 0.029 0.016 0.012 0.006 0.003 0.003 0.004 VOD LN Equity VODAFONE GROUP PLC Telecommunication Services 173.05 5.89% 21.11.2012 16.20 17.06 17.33 17.67 18.67 19.27 18.88 -0.146 -0.276 -0.281 -0.204 -0.077 -0.086 -0.090 0.006 0.008 0.007 0.004 0.000 0.000 0.002 BP/ LN Equity BP PLC Energy 433.95 5.00% 07.11.2012 21.24 22.08 22.34 22.96 24.11 25.25 24.79 -0.199 -0.217 -0.205 -0.154 -0.074 -0.109 -0.110 0.005 0.005 0.005 0.002 0.000 0.001 0.001 RDSA NA Equity ROYAL DUTCH SHELL PLC-A SHS Energy 26.72 5.05% 14.11.2012 13.27 14.11 14.57 15.33 16.18 17.12 17.16 0.074 -0.139 -0.172 -0.129 -0.112 -0.104 -0.077 0.030 0.020 0.016 0.006 0.003 0.002 0.002 GSK LN Equity GLAXOSMITHKLINE PLC Health Care 1439.00 5.35% 14.11.2012 13.93 14.55 14.87 15.78 17.12 17.59 17.25 -0.210 -0.265 -0.242 -0.154 -0.125 -0.124 -0.117 0.004 0.009 0.009 0.005 0.002 0.002 0.001 FP FP Equity TOTAL SA Energy 39.07 6.07% 18.03.2013 19.80 19.24 19.67 20.52 20.96 19.39 18.83 -0.124 -0.212 -0.239 -0.219 -0.142 -0.038 -0.119 0.021 0.013 0.011 0.004 0.003 0.000 0.002 SAN FP Equity SANOFI Health Care 68.83 4.04% 10.05.2013 21.38 20.90 20.77 20.48 21.57 19.65 19.62 -0.185 -0.263 -0.267 -0.201 -0.140 -0.118 -0.108 0.022 0.009 0.007 0.004 0.002 0.002 0.002 BATS LN Equity BRITISH AMERICAN TOBACCO PLC Consumer Staples 3233.00 4.32% 06.03.2013 16.59 16.71 16.68 17.56 -0.179 -0.206 -0.190 -0.132 0.004 0.005 0.004 0.001 SIE GY Equity SIEMENS AG-REG Industrials 77.30 3.95% 24.01.2013 20.62 20.08 19.57 19.57 20.54 21.02 20.78 -0.251 -0.249 -0.228 -0.171 -0.158 -0.123 -0.085 0.024 0.012 0.009 0.005 0.002 0.002 0.002 BAS GY Equity BASF SE Materials 65.72 3.96% 29.04.2013 23.81 23.20 23.39 23.80 24.39 24.34 25.22 -0.400 -0.338 -0.301 -0.216 -0.130 -0.071 -0.059 0.022 0.010 0.007 0.003 0.001 0.000 0.000 SAN SQ Equity BANCO SANTANDER SA Financials 6.04 12.39% 17.10.2012 38.86 38.94 38.02 36.90 33.37 31.65 27.22 -0.335 -0.328 -0.296 -0.209 -0.062 0.160 0.353 0.002 -0.001 -0.001 0.001 0.001 -0.001 -0.002 BAYN GY Equity BAYER AG-REG Health Care 70.00 2.57% 29.04.2013 25.06 24.26 24.21 24.41 25.19 24.70 24.72 -0.365 -0.328 -0.301 -0.225 -0.164 -0.140 -0.115 0.024 0.011 0.008 0.003 0.002 0.002 0.002 DGE LN Equity DIAGEO PLC Consumer Staples 1792.00 2.68% 27.02.2013 16.40 16.33 16.65 17.99 19.27 20.07 19.97 -0.353 -0.343 -0.312 -0.227 -0.154 -0.121 -0.115 0.012 0.011 0.009 0.005 0.003 0.003 0.003 BG/ LN Equity BG GROUP PLC Energy 1326.00 1.28% 10.04.2013 24.65 24.36 24.58 25.74 25.90 26.02 -0.207 -0.188 -0.179 -0.155 -0.128 -0.128 0.013 0.009 0.006 0.003 0.002 0.002 NOVOB DC Equity NOVO NORDISK A/S-B Health Care 956.50 1.67% 21.03.2013 33.46 29.09 26.96 24.26 -0.154 -0.091 -0.058 -0.002 0.000 0.000 0.000 0.000 SAP GY Equity SAP AG Information Technology 55.56 1.51% 24.05.2013 22.60 20.94 20.63 20.92 22.43 23.00 23.41 -0.295 -0.279 -0.269 -0.231 -0.199 -0.173 -0.136 0.021 0.011 0.009 0.004 0.003 0.002 0.001 BLT LN Equity BHP BILLITON PLC Materials 1942.50 3.90% 04.03.2013 26.86 27.11 27.38 28.59 29.78 32.67 33.38 -0.308 -0.276 -0.248 -0.186 -0.124 -0.117 -0.115 0.007 0.006 0.004 0.002 0.001 0.000 0.000 ABI BB Equity ANHEUSER-BUSCH INBEV NV Consumer Staples 67.71 2.70% 24.04.2013 20.82 20.44 20.58 21.14 21.93 21.93 -0.248 -0.266 -0.254 -0.198 -0.121 -0.121 0.020 0.009 0.006 0.003 0.001 0.001 ENI IM Equity ENI SPA Energy 17.77 6.13% 20.05.2013 23.96 24.27 24.25 23.49 24.05 22.88 23.15 -0.383 -0.363 -0.332 -0.237 -0.181 -0.143 -0.128 0.019 0.006 0.003 0.002 0.001 0.002 0.002 RIO LN Equity RIO TINTO PLC Materials 3033.50 3.54% 27.02.2013 32.41 31.60 31.79 33.14 34.20 35.08 34.87 -0.319 -0.253 -0.224 -0.171 -0.129 -0.100 -0.086 0.007 0.006 0.004 0.001 0.002 0.001 0.001 AZN LN Equity ASTRAZENECA PLC Health Care 2909.50 6.29% 13.02.2013 15.87 15.66 15.62 16.72 17.97 20.16 20.63 -0.396 -0.348 -0.291 -0.186 -0.120 -0.132 -0.140 0.013 0.012 0.010 0.005 0.002 0.001 0.001 UNA NA Equity UNILEVER NV-CVA Consumer Staples 28.45 3.50% 07.11.2012 17.03 16.41 16.13 16.08 16.41 16.14 15.85 -0.282 -0.260 -0.232 -0.173 -0.108 -0.097 -0.063 0.025 0.013 0.010 0.005 0.002 0.004 0.003 ALV GY Equity ALLIANZ SE-REG Financials 94.92 4.85% 10.05.2013 20.08 20.85 21.38 21.89 23.70 22.12 22.16 -0.195 -0.225 -0.228 -0.184 -0.090 -0.098 -0.025 0.020 0.008 0.006 0.003 0.001 0.003 0.003 BNP FP Equity BNP PARIBAS Financials 40.42 3.46% 30.05.2013 36.04 35.85 35.76 35.18 36.12 36.27 35.79 -0.305 -0.288 -0.279 -0.229 -0.142 -0.147 -0.140 0.012 0.004 0.003 0.002 0.001 0.001 0.001 TEF SQ Equity TELEFONICA SA Telecommunication Services 10.49 07.11.2013 29.48 29.84 29.80 29.77 30.09 29.26 27.65 -0.191 -0.202 -0.203 -0.243 -0.229 -0.089 0.096 0.007 0.002 0.001 0.002 0.002 0.001 0.000 ULVR LN Equity UNILEVER PLC Consumer Staples 2345.00 3.44% 07.11.2012 14.88 14.88 15.12 16.05 16.56 16.56 -0.248 -0.248 -0.237 -0.194 -0.159 -0.159 0.010 0.010 0.009 0.005 0.004 0.004 DAI GY Equity DAIMLER AG-REGISTERED SHARES Consumer Discretionary 38.11 5.77% 11.04.2013 31.23 30.34 30.15 31.20 30.03 31.65 30.42 -0.186 -0.164 -0.161 -0.149 -0.078 -0.038 0.005 0.013 0.005 0.004 0.002 0.001 0.001 0.001 EOAN GY Equity E.ON AG Utilities 18.38 5.99% 03.05.2013 18.03 18.18 18.95 20.60 21.20 20.23 21.30 -0.257 -0.282 -0.283 -0.233 -0.135 -0.060 -0.051 0.036 0.016 0.011 0.004 0.002 0.003 0.003 UBSN VX Equity UBS AG-REG Financials 12.30 1.63% 22.04.2013 28.74 28.15 28.08 27.98 29.09 28.47 29.07 -0.383 -0.275 -0.239 -0.191 -0.120 -0.092 -0.067 0.028 0.014 0.010 0.004 0.002 0.003 0.004 STAN LN Equity STANDARD CHARTERED PLC Financials 1472.50 3.62% 06.03.2013 26.31 26.50 26.39 26.72 27.09 27.09 -0.170 -0.227 -0.220 -0.154 -0.120 -0.120 0.007 0.007 0.006 0.002 0.001 0.001 ABBN VX Equity ABB LTD-REG Industrials 17.81 4.49% 29.04.2013 22.83 21.94 21.84 22.04 23.79 23.82 25.13 -0.329 -0.278 -0.253 -0.178 -0.084 -0.049 -0.011 0.020 0.010 0.008 0.004 0.001 0.000 -0.001 BBVA SQ Equity BANCO BILBAO VIZCAYA ARGENTA Financials 6.24 6.72% 10.01.2013 41.25 40.54 40.54 38.95 40.01 40.38 41.78 -0.330 -0.241 -0.220 -0.199 -0.062 0.088 0.202 0.002 -0.001 -0.002 -0.002 -0.004 -0.007 -0.009 SAB LN Equity SABMILLER PLC Consumer Staples 2682.00 2.35% 05.12.2012 18.34 18.34 18.62 19.61 -0.214 -0.214 -0.206 -0.174 0.007 0.007 0.007 0.004 MC FP Equity LVMH MOET HENNESSY LOUIS VUI Consumer Discretionary 124.10 2.42% 22.04.2013 28.36 26.32 25.91 25.81 26.35 23.42 22.60 -0.272 -0.226 -0.205 -0.165 -0.117 -0.109 -0.125 0.013 0.006 0.005 0.002 0.001 0.002 0.002 NG/ LN Equity NATIONAL GRID PLC Utilities 703.00 5.81% 28.11.2012 15.01 14.82 14.98 15.66 16.21 -0.137 -0.163 -0.143 -0.074 -0.045 0.007 0.011 0.009 0.002 0.002 BARC LN Equity BARCLAYS PLC Financials 244.85 2.65% 07.11.2012 38.05 37.74 37.50 37.28 38.33 38.14 37.44 -0.352 -0.299 -0.273 -0.221 -0.145 -0.106 -0.094 0.006 0.008 0.007 0.002 0.001 0.003 0.004 DBK GY Equity DEUTSCHE BANK AG-REGISTERED Financials 34.15 2.20% 03.06.2013 41.05 39.08 37.97 35.65 35.26 34.19 34.38 -0.368 -0.327 -0.304 -0.240 -0.151 -0.103 -0.042 0.016 0.006 0.004 0.003 0.001 0.001 0.000 AAL LN Equity ANGLO AMERICAN PLC Materials 1804.50 2.68% 27.03.2013 37.67 36.79 36.62 37.15 37.60 39.09 39.73 -0.278 -0.259 -0.241 -0.196 -0.120 -0.095 -0.073 0.006 0.005 0.004 0.002 -0.001 -0.001 -0.002 AI FP Equity AIR LIQUIDE SA Materials 95.47 2.62% 13.05.2013 21.57 21.38 21.35 21.18 21.90 21.73 21.41 -0.154 -0.222 -0.237 -0.211 -0.151 -0.157 -0.132 0.018 0.011 0.009 0.004 0.002 0.002 0.002 RB/ LN Equity RECKITT BENCKISER GROUP PLC Consumer Staples 3673.00 3.59% 20.02.2013 15.83 15.83 15.90 16.72 17.40 17.40 -0.281 -0.281 -0.250 -0.146 -0.086 -0.086 0.009 0.009 0.008 0.004 0.002 0.002 ZURN VX Equity ZURICH INSURANCE GROUP AG Financials 244.50 7.16% 04.04.2013 17.80 17.23 17.36 18.65 18.02 18.72 18.69 -0.285 -0.297 -0.290 -0.239 -0.124 -0.089 -0.056 0.032 0.015 0.010 0.005 0.004 0.003 0.004 BN FP Equity DANONE Consumer Staples 48.46 3.10% 07.05.2013 23.98 21.76 21.23 20.23 20.50 19.93 19.78 -0.167 -0.228 -0.227 -0.175 -0.127 -0.188 -0.193 0.016 0.008 0.006 0.003 0.002 0.003 0.003 TSCO LN Equity TESCO PLC Consumer Staples 307.45 4.84% 24.04.2013 17.99 18.07 18.45 19.33 20.64 20.58 20.69 -0.062 -0.182 -0.200 -0.160 -0.077 -0.075 -0.059 0.001 0.005 0.006 0.004 0.000 0.000 0.000 IMT LN Equity IMPERIAL TOBACCO GROUP PLC Consumer Staples 2295.00 4.72% 16.01.2013 20.05 20.05 20.00 20.76 -0.140 -0.140 -0.115 -0.047 0.003 0.003 0.003 0.002 PRU LN Equity PRUDENTIAL PLC Financials 866.50 3.12% 27.03.2013 23.60 23.81 24.06 25.13 26.41 27.00 26.52 -0.244 -0.352 -0.343 -0.235 -0.151 -0.160 -0.123 0.008 0.008 0.007 0.004 0.002 0.003 0.002 DTE GY Equity DEUTSCHE TELEKOM AG-REG Telecommunication Services 9.03 7.75% 24.05.2013 26.30 24.33 23.85 22.29 21.88 21.59 21.76 -0.459 -0.357 -0.297 -0.165 -0.057 -0.036 0.039 0.040 0.016 0.009 0.003 0.002 0.001 0.001 SYNN VX Equity SYNGENTA AG-REG Materials 346.50 2.48% 22.04.2013 19.60 19.26 19.39 19.76 20.61 20.73 20.97 -0.461 -0.369 -0.320 -0.221 -0.140 -0.116 -0.099 0.020 0.011 0.008 0.004 0.002 0.001 0.001 INGA NA Equity ING GROEP NV-CVA Financials 6.88 25.04.2013 38.16 38.02 37.85 37.73 38.78 38.57 38.93 -0.339 -0.303 -0.297 -0.285 -0.234 -0.214 -0.161 0.021 0.007 0.005 0.003 0.001 0.002 0.002 SU FP Equity SCHNEIDER ELECTRIC SA Industrials 48.11 3.74% 13.05.2013 37.18 36.66 36.34 35.54 36.21 35.96 36.59 -0.242 -0.249 -0.243 -0.191 -0.137 -0.124 -0.105 0.013 0.005 0.004 0.001 0.001 -0.001 -0.001 CFR VX Equity CIE FINANCIERE RICHEMON-BR A Consumer Discretionary 59.95 1.03% 09.09.2013 29.87 28.82 28.55 28.41 28.66 28.79 -0.217 -0.207 -0.199 -0.164 -0.115 -0.100 0.010 0.004 0.003 0.002 0.001 0.002 HMB SS Equity HENNES & MAURITZ AB-B SHS Consumer Discretionary 234.60 4.05% 03.05.2013 16.77 17.90 18.23 19.16 19.44 -0.280 -0.135 -0.116 -0.131 -0.086 0.069 0.030 0.016 0.005 0.003 LIN GY Equity LINDE AG Materials 134.65 2.01% 30.05.2013 20.17 19.85 20.00 20.50 21.08 21.15 21.79 -0.286 -0.283 -0.272 -0.222 -0.147 -0.109 -0.098 0.021 0.011 0.008 0.004 0.003 0.002 0.001 Stoxx 600 Index GSZ FP Equity GDF SUEZ Utilities 17.62 3.80% 01.05.2013 21.15 21.21 21.55 22.12 23.23 25.46 25.35 -0.163 -0.192 -0.201 -0.170 -0.109 -0.136 -0.107 0.028 0.012 0.008 0.004 0.001 0.000 -0.002 OR FP Equity L'OREAL Consumer Staples 99.59 2.21% 29.04.2013 20.73 20.14 20.06 20.18 20.83 20.75 20.80 -0.113 -0.218 -0.235 -0.193 -0.149 -0.152 -0.134 0.019 0.009 0.007 0.003 0.002 0.003 0.003 CS FP Equity AXA SA Financials 12.17 6.00% 06.05.2013 32.94 32.72 32.55 31.48 32.48 30.61 29.28 -0.243 -0.292 -0.306 -0.264 -0.172 -0.131 -0.142 0.017 0.006 0.005 0.003 0.001 0.003 0.004 CSGN VX Equity CREDIT SUISSE GROUP AG-REG Financials 21.76 3.45% 09.05.2013 32.73 31.59 31.03 30.19 31.57 30.25 30.98 -0.179 -0.209 -0.219 -0.194 -0.111 -0.084 -0.064 0.020 0.008 0.005 0.003 0.001 0.002 0.002 LLOY LN Equity LLOYDS BANKING GROUP PLC Financials 42.43 06.03.2013 35.18 35.13 35.35 36.21 37.41 39.14 39.12 -0.155 -0.240 -0.259 -0.256 -0.135 -0.138 -0.156 0.010 0.001 0.000 0.004 0.003 0.002 0.001 BT/A LN Equity BT GROUP PLC Telecommunication Services 218.90 4.34% 19.12.2012 25.64 22.58 22.55 24.04 24.44 25.84 25.74 -0.321 -0.266 -0.229 -0.179 -0.077 -0.092 -0.095 0.005 0.009 0.008 0.002 -0.001 0.000 -0.001 CNA LN Equity CENTRICA PLC Utilities 335.90 5.03% 24.04.2013 15.11 15.11 15.36 15.99 16.49 16.51 -0.055 -0.055 -0.077 -0.126 -0.112 -0.122 0.013 0.013 0.011 0.005 0.001 0.001 STL NO Equity STATOIL ASA Energy 146.70 4.64% 16.05.2013 24.51 23.05 22.46 22.67 22.67 22.67 -0.010 -0.142 -0.165 -0.185 -0.185 -0.185 0.030 0.025 0.004 0.001 0.001 0.001 VOW3 GY Equity VOLKSWAGEN AG-PREF Consumer Discretionary 146.35 2.56% 19.04.2013 30.71 29.94 29.76 29.40 30.81 30.57 30.97 -0.266 -0.228 -0.219 -0.190 -0.138 -0.104 -0.084 0.014 0.006 0.005 0.003 0.001 0.001 0.001 ITX SQ Equity INDITEX Consumer Discretionary 98.26 1.83% 02.05.2013 28.68 28.16 27.55 25.93 25.25 24.71 24.41 -0.153 -0.156 -0.163 -0.183 -0.191 -0.182 -0.170 0.002 0.002 0.001 0.001 0.001 0.001 0.000 ERICB SS Equity ERICSSON LM-B SHS Information Technology 58.75 4.60% 10.04.2013 34.78 30.55 27.88 29.89 30.46 30.46 30.46 -0.091 -0.346 -0.225 -0.128 0.073 0.073 0.073 0.016 0.016 0.008 0.003 -0.001 -0.001 -0.001 VIV FP Equity VIVENDI Telecommunication Services 15.87 6.30% 06.05.2013 31.36 29.56 28.86 27.17 26.98 26.63 26.23 -0.251 -0.200 -0.187 -0.133 -0.014 -0.010 0.003 0.021 0.004 0.002 0.003 0.001 0.003 0.003 RR/ LN Equity ROLLS-ROYCE HOLDINGS PLC Industrials 884.00 2.23% 24.04.2013 19.12 19.12 19.68 21.40 -0.321 -0.321 -0.273 -0.132 0.010 0.010 0.008 0.003 MUV2 GY Equity MUENCHENER RUECKVER AG-REG Financials 126.90 5.12% 26.04.2013 16.56 17.01 17.76 19.23 20.47 19.58 20.22 -0.256 -0.255 -0.251 -0.211 -0.150 -0.116 -0.092 0.025 0.013 0.010 0.004 0.002 0.003 0.003 XTA LN Equity XSTRATA PLC Materials 959.60 2.78% 01.05.2013 33.07 33.27 33.74 34.49 35.61 34.89 34.91 -0.165 -0.207 -0.220 -0.214 -0.070 -0.090 -0.076 0.012 0.007 0.004 0.001 -0.001 0.000 0.000 GLE FP Equity SOCIETE GENERALE Financials 25.16 1.99% 31.05.2013 44.74 43.92 43.37 41.67 41.46 40.66 41.07 -0.344 -0.299 -0.279 -0.231 -0.185 -0.153 -0.151 0.012 0.005 0.004 0.002 0.002 0.003 0.003 BMW GY Equity BAYERISCHE MOTOREN WERKE AG Consumer Discretionary 60.64 4.29% 15.05.2013 30.16 29.55 29.54 29.16 29.88 29.15 29.65 -0.271 -0.255 -0.240 -0.189 -0.141 -0.120 -0.095 0.016 0.007 0.005 0.002 0.001 0.001 0.002 UCG IM Equity UNICREDIT SPA Financials 3.60 2.09% 20.05.2013 43.89 44.53 44.33 43.30 43.46 43.60 44.66 -0.381 -0.358 -0.330 -0.287 -0.263 -0.389 -0.439 0.012 0.003 0.002 0.002 0.002 0.001 0.001 NDA SS Equity NORDEA BANK AB Financials 63.50 3.94% 25.03.2013 27.10 25.58 24.41 30.99 27.53 27.53 -0.460 -0.354 -0.380 -0.300 -0.073 -0.073 0.052 0.025 0.017 0.003 -0.001 -0.001 SREN VX Equity SWISS RE AG Financials 65.85 5.16% 17.04.2013 20.02 19.84 19.96 20.02 21.08 21.64 23.27 -0.335 -0.286 -0.262 -0.201 -0.131 -0.095 -0.067 0.028 0.015 0.012 0.005 0.003 0.002 0.001 ENEL IM Equity ENEL SPA Utilities 2.92 4.97% 24.06.2013 26.99 26.93 26.93 26.91 27.11 27.32 27.19 -0.319 -0.321 -0.298 -0.239 -0.158 -0.155 -0.147 0.028 0.008 0.005 0.002 0.001 0.001 0.001 ISP IM Equity INTESA SANPAOLO Financials 1.32 4.56% 24.06.2013 43.33 43.22 43.11 43.49 42.03 42.95 45.51 -0.348 -0.331 -0.300 -0.294 -0.144 -0.185 -0.118 0.012 0.002 0.001 0.001 0.001 0.001 0.002 RI FP Equity PERNOD-RICARD SA Consumer Staples 88.54 1.86% 02.07.2013 20.79 20.64 20.75 21.29 21.97 23.13 22.82 -0.194 -0.265 -0.275 -0.238 -0.165 -0.111 -0.088 0.018 0.011 0.009 0.003 0.003 0.002 0.002 FTE FP Equity FRANCE TELECOM SA Telecommunication Services 9.40 12.23% 10.06.2013 28.83 27.25 26.47 24.14 18.58 29.24 29.16 -0.114 -0.188 -0.204 -0.157 0.070 0.177 0.309 0.023 0.011 0.008 0.005 0.005 -0.010 -0.013 PHIA NA Equity KONINKLIJKE PHILIPS ELECTRON Industrials 18.83 3.98% 02.05.2013 27.53 25.79 25.42 25.25 25.91 24.90 25.47 -0.235 -0.282 -0.281 -0.206 -0.122 -0.116 -0.087 0.018 0.008 0.006 0.003 0.001 0.002 0.002 DG FP Equity VINCI SA Industrials 34.39 5.23% 21.05.2013 28.56 28.43 28.52 28.27 29.97 29.13 29.65 -0.251 -0.242 -0.229 -0.178 -0.096 -0.157 -0.162 0.019 0.006 0.004 0.002 0.000 0.000 0.000 ASML NA Equity ASML HOLDING NV Information Technology 41.22 23.49% 26.04.2013 33.89 28.63 35.53 47.00 46.98 34.67 31.09 -0.175 1.003 0.875 0.344 0.178 1.025 1.000 0.007 -0.006 -0.009 -0.009 -0.003 -0.017 -0.010 RWE GY Equity RWE AG Utilities 35.31 5.66% 19.04.2013 18.46 19.84 20.40 20.76 22.66 22.27 23.32 -0.231 -0.279 -0.283 -0.222 -0.140 -0.110 -0.080 0.028 0.011 0.007 0.003 0.002 0.001 0.001 SSE LN Equity SSE PLC Utilities 1447.00 5.82% 23.01.2013 14.60 14.60 14.54 14.97 -0.117 -0.117 -0.118 -0.131 0.003 0.003 0.003 0.003 G IM Equity ASSICURAZIONI GENERALI Financials 12.29 2.85% 20.05.2013 31.94 32.98 33.13 32.59 33.21 33.31 35.85 -0.427 -0.335 -0.310 -0.245 -0.131 -0.118 -0.081 0.018 0.004 0.002 0.001 0.001 0.000 -0.001 CPG LN Equity COMPASS GROUP PLC Consumer Discretionary 695.50 3.15% 23.01.2013 16.10 16.10 16.08 16.73 17.62 17.62 -0.164 -0.164 -0.168 -0.177 -0.169 -0.169 0.012 0.012 0.010 0.004 0.004 0.004 TLW LN Equity TULLOW OIL PLC Energy 1422.00 0.91% 17.04.2013 25.68 25.68 26.26 27.82 -0.154 -0.154 -0.143 -0.097 0.003 0.003 0.003 0.002 UL FP Equity UNIBAIL-RODAMCO SE Financials 171.55 4.84% 07.05.2013 17.66 17.55 17.75 18.07 19.64 19.64 19.64 -0.403 -0.326 -0.296 -0.220 -0.129 -0.129 -0.129 0.019 0.011 0.009 0.005 0.002 0.002 0.002 IBE SQ Equity IBERDROLA SA Utilities 3.92 8.57% 02.01.2013 36.85 35.47 35.80 33.42 31.80 34.20 34.92 -0.125 -0.123 -0.108 -0.079 0.015 0.206 0.417 0.007 0.004 0.003 0.002 0.000 0.001 0.000 EI FP Equity ESSILOR INTERNATIONAL Health Care 71.36 1.37% 24.05.2013 20.87 20.27 20.24 20.53 21.53 20.76 20.11 -0.309 -0.302 -0.280 -0.202 -0.138 -0.147 -0.135 0.024 0.011 0.008 0.004 0.002 0.002 0.003 VOLVB SS Equity VOLVO AB-B SHS Industrials 91.95 3.81% 05.04.2013 31.32 29.94 28.98 30.54 29.78 -0.320 -0.284 -0.259 -0.186 -0.078 0.027 0.011 0.006 0.003 0.003 ADS GY Equity ADIDAS AG Consumer Discretionary 67.32 1.86% 10.05.2013 24.00 23.12 22.93 23.23 24.54 24.88 25.62 -0.318 -0.306 -0.289 -0.229 -0.156 -0.113 -0.084 0.020 0.010 0.008 0.004 0.002 0.001 0.000 DPW GY Equity DEUTSCHE POST AG-REG Industrials 15.57 4.63% 10.05.2013 20.42 20.29 20.46 21.07 22.35 22.15 22.91 -0.223 -0.274 -0.270 -0.189 -0.127 -0.094 -0.080 0.033 0.014 0.010 0.004 0.002 0.001 0.001 EXPN LN Equity EXPERIAN PLC Industrials 1086.00 2.00% 19.12.2012 16.16 16.16 16.67 18.07 -0.221 -0.221 -0.209 -0.151 0.006 0.006 0.005 0.003 GLEN LN Equity GLENCORE INTERNATIONAL PLC Materials 339.30 2.91% 15.05.2013 30.82 31.13 31.44 33.31 31.59 30.98 32.31 -0.215 -0.194 -0.179 -0.088 -0.074 0.199 -0.009 0.005 0.006 0.005 -0.001 0.002 -0.001 0.000 SHBA SS Equity SVENSKA HANDELSBANKEN-A SHS Financials 242.50 4.23% 27.03.2013 20.30 19.16 18.63 20.98 21.73 -0.163 -0.281 -0.285 -0.233 0.045 0.039 0.017 0.012 0.005 -0.001 WPP LN Equity WPP PLC Consumer Discretionary 855.00 3.42% 05.06.2013 20.30 20.30 20.67 21.59 -0.281 -0.281 -0.253 -0.165 0.013 0.013 0.011 0.002 BA/ LN Equity BAE SYSTEMS PLC Industrials 329.90 5.94% 17.04.2013 25.62 24.51 24.02 23.16 23.37 23.37 0.062 0.019 -0.004 -0.034 -0.023 -0.023 0.007 0.007 0.006 0.002 0.001 0.001 SHP LN Equity SHIRE PLC Health Care 1829.00 0.59% 06.03.2013 28.94 28.32 27.80 27.21 0.064 0.043 0.031 0.014 0.007 0.009 0.008 0.004 FRE GY Equity FRESENIUS SE & CO KGAA Health Care 96.60 1.11% 14.05.2013 17.06 16.91 17.27 18.59 20.70 22.29 22.49 -0.424 -0.285 -0.234 -0.150 -0.106 -0.110 -0.105 0.017 0.009 0.007 0.004 0.002 0.001 0.001 SWEDA SS Equity SWEDBANK AB - A SHARES Financials 120.80 4.88% 28.03.2013 25.95 24.34 23.50 25.56 23.94 -0.332 -0.318 -0.327 -0.253 0.080 0.046 0.021 0.012 0.006 0.001 PSON LN Equity PEARSON PLC Consumer Discretionary 1239.00 3.68% 03.04.2013 17.59 17.59 17.70 18.41 -0.219 -0.219 -0.203 -0.147 0.004 0.004 0.004 0.003 AV/ LN Equity AVIVA PLC Financials 336.90 7.72% 20.03.2013 27.30 27.95 28.27 30.27 28.49 32.47 33.59 -0.329 -0.296 -0.278 -0.252 -0.054 -0.168 -0.204 0.005 0.007 0.006 0.002 0.001 0.000 0.000 FME GY Equity FRESENIUS MEDICAL CARE AG & Health Care 58.72 1.28% 13.05.2013 18.96 17.99 17.86 18.13 19.21 20.21 21.42 -0.204 -0.189 -0.187 -0.173 -0.125 -0.109 -0.095 0.027 0.012 0.009 0.004 0.002 0.001 0.001 REP SQ Equity REPSOL SA Energy 15.47 5.43% 03.01.2013 37.79 38.69 39.60 37.63 38.13 39.15 39.12 -0.226 -0.314 -0.306 -0.176 -0.170 -0.008 0.007 -0.002 0.000 0.001 0.001 0.001 -0.003 -0.003 SAMAS FH Equity SAMPO OYJ-A SHS Financials 24.93 5.01% 15.04.2013 22.42 20.75 20.33 19.74 -0.247 -0.248 -0.247 -0.205 0.022 0.010 0.008 0.004 HOLN VX Equity HOLCIM LTD-REG Materials 64.20 1.95% 09.05.2013 22.68 22.20 22.33 22.90 24.63 24.46 24.91 -0.443 -0.307 -0.267 -0.218 -0.139 -0.123 -0.122 0.016 0.009 0.007 0.003 0.002 0.002 0.002 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN Industrials 26.59 4.89% 10.06.2013 37.04 36.01 35.67 34.50 34.72 35.44 36.73 -0.199 -0.217 -0.216 -0.157 -0.081 -0.094 -0.012 0.015 0.007 0.005 0.002 0.001 -0.001 -0.002 TLSN SS Equity TELIASONERA AB Telecommunication Services 45.98 7.07% 04.04.2013 20.66 18.49 17.07 20.88 21.56 21.56 21.56 -0.246 -0.187 -0.175 -0.159 0.140 0.140 0.140 0.068 0.038 0.021 0.007 -0.005 -0.005 -0.005 ATCOA SS Equity ATLAS COPCO AB-A SHS Industrials 153.80 3.41% 22.04.2013 31.02 29.81 28.67 28.94 27.89 -0.599 -0.364 -0.284 -0.201 -0.120 0.034 0.011 0.005 0.003 0.005 SAND SS Equity SANDVIK AB Industrials 89.00 4.27% 03.05.2013 30.35 29.66 29.28 31.61 34.14 -0.246 -0.261 -0.248 -0.137 0.069 0.033 0.012 0.006 0.001 -0.002 ML FP Equity MICHELIN (CGDE) Consumer Discretionary 62.38 3.69% 24.05.2013 29.17 29.10 29.35 29.78 30.69 31.21 -0.284 -0.276 -0.262 -0.202 -0.144 -0.116 0.016 0.007 0.006 0.003 0.002 0.001 HEN3 GY Equity HENKEL AG & CO KGAA VORZUG Consumer Staples 63.73 1.43% 16.04.2013 20.19 19.97 20.09 20.73 22.12 22.06 22.17 -0.249 -0.248 -0.249 -0.228 -0.157 -0.130 -0.120 0.022 0.011 0.009 0.004 0.002 0.002 0.001 KNEBV FH Equity KONE OYJ-B Industrials 57.75 2.51% 05.03.2013 SDRL NO Equity SEADRILL LTD Energy 227.40 8.68% 10.12.2012 20.11 20.11 22.06 -0.021 -0.021 0.022 0.005 0.005 0.004 MT NA Equity ARCELORMITTAL Materials 11.58 4.97% 15.02.2013 38.96 39.18 38.85 38.37 38.44 42.19 43.26 -0.181 -0.211 -0.192 -0.116 0.007 -0.005 -0.023 0.010 0.004 0.004 0.002 0.000 -0.003 -0.003 TEL NO Equity TELENOR ASA Telecommunication Services 108.90 5.33% 17.05.2013 22.65 22.69 23.48 28.40 -0.491 -0.401 -0.179 -0.141 0.047 0.023 0.005 0.002 OML LN Equity OLD MUTUAL PLC Financials 175.10 3.60% 17.04.2013 21.97 21.97 22.22 22.71 -0.228 -0.228 -0.216 -0.172 0.009 0.009 0.008 0.003 HEIA NA Equity HEINEKEN NV Consumer Staples 48.76 1.91% 23.04.2013 21.27 20.15 19.83 19.57 19.68 19.58 19.64 -0.417 -0.308 -0.269 -0.205 -0.135 -0.126 -0.110 0.023 0.013 0.010 0.005 0.003 0.002 0.003 AKZA NA Equity AKZO NOBEL Materials 43.22 3.47% 22.10.2012 31.30 28.26 27.46 26.11 25.83 25.34 25.52 -0.015 -0.146 -0.171 -0.161 -0.115 -0.102 -0.076 0.009 0.005 0.004 0.003 0.001 0.001 0.001 ARM LN Equity ARM HOLDINGS PLC Information Technology 592.50 0.76% 01.05.2013 28.48 28.48 29.12 31.15 -0.113 -0.113 -0.104 -0.072 0.006 0.006 0.005 0.001 CRH ID Equity CRH PLC Materials 13.83 4.54% 06.03.2013 36.19 34.22 33.88 34.86 33.47 33.84 -0.271 -0.318 -0.252 -0.084 -0.193 -0.213 0.010 0.002 0.001 -0.001 0.001 0.001 SEBA SS Equity SKANDINAVISKA ENSKILDA BAN-A Financials 55.70 3.32% 01.04.2013 29.25 26.78 25.39 26.86 26.43 -0.177 -0.231 -0.310 -0.212 -0.030 0.031 0.019 0.012 0.005 0.000 PP FP Equity PPR Consumer Discretionary 132.20 3.03% 02.05.2013 23.03 22.29 22.30 22.43 23.41 24.16 24.37 -0.169 -0.234 -0.226 -0.149 -0.108 -0.091 -0.060 0.017 0.006 0.004 0.003 0.001 0.001 0.001 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M LGEN LN Equity LEGAL & GENERAL GROUP PLC Financials 136.20 5.54% 17.04.2013 20.56 20.37 21.03 22.62 23.53 23.53 -0.366 -0.326 -0.284 -0.210 -0.205 -0.205 0.011 0.011 0.009 0.003 0.002 0.002 CA FP Equity CARREFOUR SA Consumer Staples 16.38 4.03% 04.07.2013 34.20 32.74 32.45 32.50 31.88 31.92 32.28 -0.176 -0.213 -0.211 -0.170 -0.069 -0.063 -0.091 0.020 0.007 0.004 0.002 0.002 0.002 0.003 UHR VX Equity SWATCH GROUP AG/THE-BR Consumer Discretionary 381.90 1.75% 21.05.2013 23.52 22.80 23.15 24.13 25.52 26.07 26.38 -0.099 -0.200 -0.219 -0.183 -0.119 -0.098 -0.092 0.011 0.006 0.005 0.003 0.001 0.001 0.001 EAD FP Equity EADS NV Industrials 26.55 2.26% 04.06.2013 29.18 27.86 27.50 27.04 27.80 27.33 28.15 -0.129 -0.163 -0.165 -0.122 -0.075 -0.065 -0.053 0.013 0.005 0.004 0.002 0.001 0.001 0.001 REL LN Equity REED ELSEVIER PLC Consumer Discretionary 617.00 3.74% 24.04.2013 16.69 16.69 17.00 17.56 -0.211 -0.211 -0.209 -0.185 0.005 0.005 0.005 0.004 WOS LN Equity WOLSELEY PLC Industrials 2682.00 2.57% 03.04.2013 24.66 24.66 25.02 25.86 -0.114 -0.114 -0.105 -0.080 0.002 0.002 0.002 0.001 TEC FP Equity TECHNIP SA Energy 87.70 1.92% 09.05.2013 28.26 28.26 28.77 30.00 30.53 29.11 -0.259 -0.259 -0.237 -0.168 -0.131 -0.100 0.003 0.003 0.003 0.002 0.002 0.002 BSY LN Equity BRITISH SKY BROADCASTING GRO Consumer Discretionary 754.50 3.48% 27.03.2013 16.12 16.47 16.98 18.73 19.59 19.59 19.59 -0.188 -0.194 -0.175 -0.101 -0.029 -0.029 -0.029 0.003 0.007 0.006 0.003 0.004 0.004 0.004 AH NA Equity KONINKLIJKE AHOLD NV Consumer Staples 9.56 4.60% 26.04.2013 17.22 16.94 16.98 17.05 17.84 16.94 17.33 0.064 -0.161 -0.188 -0.113 -0.025 -0.044 -0.004 0.029 0.020 0.015 0.004 0.001 0.003 0.003 SGSN VX Equity SGS SA-REG Industrials 2012.00 1.49% 18.03.2013 17.10 17.19 17.55 18.88 20.25 21.22 -0.286 -0.292 -0.286 -0.234 -0.140 -0.138 0.007 0.010 0.010 0.005 0.002 0.001 DNB NO Equity DNB ASA Financials 73.60 2.72% 26.04.2013 29.28 28.03 30.33 32.44 -0.257 -0.135 -0.205 -0.274 0.060 0.022 0.007 0.000 SPM IM Equity SAIPEM SPA Energy 35.25 2.18% 20.05.2013 26.53 26.99 27.32 28.08 29.58 29.58 -0.367 -0.343 -0.293 -0.211 -0.098 -0.098 0.005 0.004 0.004 0.001 0.000 0.000 RRS LN Equity RANDGOLD RESOURCES LTD Materials 7685.00 0.52% 08.05.2013 37.36 37.36 37.27 36.99 0.003 0.003 -0.010 -0.045 0.001 0.001 0.000 -0.001 SAF FP Equity SAFRAN SA Industrials 30.18 2.58% 18.12.2012 24.49 24.49 25.40 27.90 29.50 29.50 -0.142 -0.142 -0.145 -0.149 -0.128 -0.128 0.006 0.006 0.005 0.003 0.001 0.001 SL/ LN Equity STANDARD LIFE PLC Financials 291.50 5.09% 20.03.2013 16.24 16.24 18.01 22.23 -0.279 -0.279 -0.292 -0.278 0.008 0.008 0.007 0.002 SCAB SS Equity SVENSKA CELLULOSA AB-B SHS Consumer Staples 119.50 3.85% 08.04.2013 24.56 21.83 21.06 23.31 23.91 -0.157 -0.104 -0.171 -0.099 0.065 0.032 0.017 0.012 0.004 -0.001 ASSAB SS Equity ASSA ABLOY AB-B Industrials 217.30 2.49% 02.05.2013 28.06 27.23 26.05 26.52 26.19 -0.252 -0.250 -0.229 -0.154 -0.084 0.030 0.011 0.006 0.002 0.002 LG FP Equity LAFARGE SA Materials 44.48 1.35% 03.07.2013 32.92 31.91 31.58 31.44 33.03 32.76 33.60 -0.319 -0.275 -0.253 -0.209 -0.130 -0.078 -0.023 0.017 0.007 0.005 0.003 0.001 0.000 -0.002 DANSKE DC EquityDANSKE BANK A/S Financials 105.70 1.42% 19.03.2013 24.29 24.70 25.62 28.32 -0.293 -0.240 -0.201 -0.122 0.046 0.012 0.004 0.002 KGF LN Equity KINGFISHER PLC Consumer Discretionary 279.70 3.48% 01.05.2013 19.40 20.48 20.99 21.83 -0.084 -0.196 -0.204 -0.139 -0.002 0.002 0.003 0.003 MRW LN Equity WM MORRISON SUPERMARKETS Consumer Staples 267.10 4.58% 15.05.2013 16.25 15.72 15.97 16.96 -0.178 -0.146 -0.134 -0.107 0.003 0.002 0.002 0.002 DB1 GY Equity DEUTSCHE BOERSE AG Financials 41.35 5.80% 16.05.2013 25.13 24.70 24.67 24.06 25.32 24.04 24.70 -0.300 -0.314 -0.300 -0.218 -0.130 -0.102 -0.088 0.020 0.009 0.006 0.003 0.001 0.002 0.002 TIT IM Equity TELECOM ITALIA SPA Telecommunication Services 0.76 5.63% 20.05.2013 36.45 36.13 35.92 34.90 37.36 34.11 33.77 -0.250 -0.275 -0.226 -0.122 0.070 -0.021 -0.077 0.026 0.008 0.005 0.002 -0.001 0.000 0.001 NOK1V FH Equity NOKIA OYJ Information Technology 2.10 03.05.2013 73.02 68.74 68.86 69.16 68.29 66.70 69.40 -0.055 -0.056 -0.081 -0.160 -0.211 -0.144 -0.070 0.007 0.003 0.002 0.002 0.003 0.002 0.001 LAND LN Equity LAND SECURITIES GROUP PLC Financials 805.50 3.77% 28.11.2012 13.46 14.21 14.71 16.07 -0.144 -0.199 -0.195 -0.153 0.003 0.005 0.005 0.003 MKS LN Equity MARKS & SPENCER GROUP PLC Consumer Discretionary 390.30 4.41% 14.11.2012 24.57 23.10 22.82 23.06 23.91 24.32 24.71 -0.015 -0.083 -0.100 -0.108 -0.070 -0.077 -0.083 0.005 0.009 0.008 0.003 0.002 0.002 0.002 INVEB SS Equity INVESTOR AB-B SHS Financials 145.80 4.12% 15.04.2013 18.48 17.55 17.37 19.45 21.21 -0.289 -0.257 -0.245 -0.166 0.075 0.049 0.026 0.016 0.003 0.000 PUB FP Equity PUBLICIS GROUPE Consumer Discretionary 43.05 1.97% 27.06.2013 22.81 21.73 21.75 22.38 23.04 23.52 23.77 -0.158 -0.209 -0.222 -0.198 -0.127 -0.102 -0.090 0.019 0.008 0.006 0.002 0.002 0.002 0.002 REN NA Equity REED ELSEVIER NV Consumer Discretionary 10.51 4.79% 25.04.2013 21.25 19.01 18.64 18.63 18.25 18.27 18.61 0.072 -0.152 -0.206 -0.154 -0.087 -0.054 -0.029 0.028 0.018 0.014 0.004 0.002 0.002 0.003 AGN NA Equity AEGON NV Financials 4.27 5.15% 16.05.2013 35.91 34.59 34.28 33.61 33.88 32.65 33.53 -0.189 -0.210 -0.226 -0.222 -0.096 -0.063 -0.024 0.025 0.010 0.007 0.002 0.001 0.002 0.001 AGK LN Equity AGGREKO PLC Industrials 2278.00 1.07% 17.04.2013 MAERSKB DC Equity MOELLER-MAERSK A/S-B AP Industrials 40680.00 2.46% 15.04.2013 29.23 27.37 27.16 27.27 -0.057 -0.080 -0.073 -0.044 0.006 0.002 0.001 0.000 PAH3 GY Equity PORSCHE AUTOMOBIL HLDG-PRF Consumer Discretionary 48.07 2.18% 24.06.2013 30.90 31.08 31.09 31.63 31.06 32.08 32.04 -0.257 -0.208 -0.173 -0.130 -0.073 -0.105 -0.079 0.013 0.005 0.004 0.001 0.002 0.001 0.001 NXT LN Equity NEXT PLC Consumer Discretionary 3610.00 2.77% 26.06.2013 18.03 18.03 18.53 20.08 -0.236 -0.236 -0.202 -0.102 0.009 0.009 0.007 0.002 SN/ LN Equity SMITH & NEPHEW PLC Health Care 668.00 2.48% 17.04.2013 16.96 16.96 17.23 18.09 -0.270 -0.270 -0.244 -0.153 0.007 0.007 0.006 0.004 RNO FP Equity RENAULT SA Consumer Discretionary 35.15 4.89% 10.05.2013 42.40 39.94 39.20 38.06 40.04 38.08 39.94 -0.252 -0.226 -0.216 -0.165 -0.064 -0.060 0.032 0.012 0.005 0.003 0.001 -0.001 -0.001 -0.006 CARLB DC Equity CARLSBERG AS-B Consumer Staples 520.00 1.15% 25.03.2013 24.62 23.07 23.18 24.80 -0.159 -0.118 -0.094 -0.055 0.004 0.001 0.000 0.000 LR FP Equity LEGRAND SA Industrials 29.15 3.29% 31.05.2013 26.64 26.64 26.96 27.45 27.21 27.21 -0.112 -0.112 -0.113 -0.101 -0.117 -0.117 0.003 0.003 0.002 0.001 0.002 0.002 YAR NO Equity YARA INTERNATIONAL ASA Materials 286.60 2.62% 10.05.2013 31.32 31.58 31.91 35.47 -0.179 -0.166 -0.118 -0.172 0.006 0.001 0.000 0.002 SCMN VX Equity SWISSCOM AG-REG Telecommunication Services 384.90 5.72% 12.04.2013 13.55 13.07 13.06 13.33 12.83 13.27 14.11 0.027 -0.143 -0.179 -0.147 -0.078 -0.072 -0.077 0.016 0.013 0.011 0.006 0.004 0.003 0.003 TEN IM Equity TENARIS SA Energy 15.17 2.48% 19.11.2012 27.83 27.34 27.43 28.00 -0.219 -0.243 -0.224 -0.143 0.010 0.003 0.003 0.002 ACA FP Equity CREDIT AGRICOLE SA Financials 6.30 0.79% 27.05.2013 47.33 45.39 44.63 43.31 41.95 39.95 40.17 -0.255 -0.273 -0.263 -0.214 -0.216 -0.168 -0.086 0.016 0.005 0.003 0.003 0.002 0.002 0.003 TKA GY Equity THYSSENKRUPP AG Materials 17.97 2.23% 21.01.2013 35.14 35.73 35.49 35.00 35.39 36.16 36.01 -0.272 -0.210 -0.173 -0.102 -0.083 -0.056 -0.036 0.019 0.006 0.004 0.002 0.001 0.000 -0.001 RBS LN Equity ROYAL BANK OF SCOTLAND GROUP Financials 276.90 27.02.2013 38.56 38.09 37.95 38.09 39.54 40.19 41.38 -0.229 -0.277 -0.254 -0.200 -0.141 -0.112 -0.014 0.014 0.007 0.005 0.003 0.002 0.000 -0.001 CBK GY Equity COMMERZBANK AG Financials 1.55 24.05.2013 39.52 42.64 43.64 44.67 44.18 43.56 43.33 -0.288 -0.124 -0.104 -0.132 -0.131 -0.095 -0.092 0.042 0.011 0.006 0.002 0.001 0.001 0.001 SESG FP Equity SES Consumer Discretionary 21.17 4.56% 19.04.2013 RYA ID Equity RYANAIR HOLDINGS PLC Industrials 4.55 21.86 22.58 22.37 21.46 22.01 21.91 -0.084 -0.145 -0.159 -0.167 -0.174 -0.161 0.038 0.016 0.009 0.001 0.002 0.001 GEBN VX Equity GEBERIT AG-REG Industrials 205.70 3.06% 22.04.2013 18.58 17.79 17.86 18.00 18.62 19.14 -0.213 -0.328 -0.333 -0.246 -0.162 -0.131 0.018 0.011 0.009 0.006 0.003 0.003 DSM NA Equity KONINKLIJKE DSM NV Materials 39.14 3.88% 15.05.2013 23.05 22.30 22.23 22.52 23.19 23.55 24.45 -0.277 -0.260 -0.237 -0.183 -0.129 -0.094 -0.063 0.020 0.011 0.008 0.003 0.002 0.001 0.000 MRK GY Equity MERCK KGAA Health Care 100.35 1.74% 29.04.2013 21.44 20.49 20.19 20.15 21.21 21.30 21.56 -0.265 -0.284 -0.270 -0.200 -0.120 -0.110 -0.110 0.019 0.010 0.008 0.004 0.001 0.001 0.001 FI IM Equity FIAT INDUSTRIAL Industrials 7.87 2.80% 22.04.2013 34.48 34.38 34.45 33.84 33.59 33.59 -0.236 -0.235 -0.233 -0.174 -0.043 -0.043 0.010 0.003 0.003 0.002 0.001 0.001 SDF GY Equity K+S AG-REG Materials 36.79 3.81% 10.05.2013 23.01 22.40 22.82 24.16 25.26 25.20 25.98 -0.180 -0.247 -0.253 -0.203 -0.138 -0.148 -0.153 0.013 0.008 0.007 0.003 0.001 0.001 0.001 SWMA SS Equity SWEDISH MATCH AB Consumer Staples 263.90 2.84% 03.05.2013 23.88 21.83 21.44 21.22 -0.193 -0.106 -0.067 0.005 0.015 0.005 0.003 0.001 SKFB SS Equity SKF AB-B SHARES Industrials 144.60 3.80% 24.04.2013 32.45 28.85 27.91 28.75 29.19 -0.198 -0.278 -0.262 -0.157 0.056 0.022 0.011 0.004 0.000 -0.001 BRBY LN Equity BURBERRY GROUP PLC Consumer Discretionary 1145.00 2.40% 19.12.2012 27.40 26.78 27.12 28.18 28.96 29.45 -0.174 -0.124 -0.107 -0.078 -0.079 -0.064 0.013 0.005 0.004 0.001 0.001 0.001 Stoxx 600 Index FUM1V FH Equity FORTUM OYJ Utilities 14.18 7.05% 01.04.2013 24.20 23.02 22.93 24.63 -0.088 -0.210 -0.241 -0.190 0.016 0.006 0.004 0.002 KPN NA Equity KONINKLIJKE KPN NV Telecommunication Services 5.95 5.89% 11.04.2013 33.82 30.16 28.90 28.80 27.99 27.72 29.62 -0.097 -0.061 -0.066 -0.066 0.002 0.045 0.092 0.024 0.012 0.009 0.003 0.001 0.000 -0.001 UU/ LN Equity UNITED UTILITIES GROUP PLC Utilities 730.50 4.70% 12.12.2012 26.57 26.57 25.81 23.37 0.230 0.230 0.196 0.087 -0.001 -0.001 -0.001 -0.001 SBRY LN Equity SAINSBURY (J) PLC Consumer Staples 356.70 4.65% 21.11.2012 17.64 17.54 17.68 18.31 18.99 18.99 0.049 0.024 -0.010 -0.083 -0.065 -0.065 0.011 0.005 0.003 0.005 0.003 0.003 ANTO LN Equity ANTOFAGASTA PLC Materials 1282.00 1.16% 08.05.2013 33.34 33.34 33.44 33.84 -0.261 -0.261 -0.242 -0.176 0.004 0.004 0.003 0.002 AMS SQ Equity AMADEUS IT HOLDING SA-A SHS Information Technology 19.02 2.21% 30.01.2013 27.28 26.16 25.30 23.71 22.16 21.49 21.52 -0.136 -0.155 -0.151 -0.132 -0.104 -0.107 -0.108 0.003 0.002 0.001 0.001 0.001 0.001 0.001 CPI LN Equity CAPITA PLC Industrials 735.00 3.29% 17.04.2013 ABF LN Equity ASSOCIATED BRITISH FOODS PLC Consumer Staples 1361.00 2.13% 05.12.2012 11.73 11.73 11.81 12.07 -0.176 -0.176 -0.133 -0.006 0.007 0.007 0.007 0.007 CON GY Equity CONTINENTAL AG Consumer Discretionary 75.56 2.65% 16.05.2013 29.63 29.81 29.86 30.10 32.29 32.18 32.71 -0.355 -0.318 -0.296 -0.227 -0.139 -0.116 -0.097 0.010 0.004 0.005 0.003 0.001 0.001 0.001 SW FP Equity SODEXO Consumer Discretionary 61.12 2.68% 01.02.2013 19.62 19.62 19.28 18.88 19.09 18.63 18.53 -0.231 -0.231 -0.213 -0.162 -0.117 -0.016 -0.007 0.006 0.006 0.005 0.003 0.002 0.003 0.003 BLND LN Equity BRITISH LAND CO PLC Financials 538.50 4.94% 09.01.2013 16.87 16.87 17.17 17.56 -0.208 -0.208 -0.166 -0.027 0.013 0.013 0.010 0.002 JMAT LN Equity JOHNSON MATTHEY PLC Materials 2285.00 2.65% 28.11.2012 SAB SQ Equity BANCO DE SABADELL SA Financials 2.00 2.00% 18.12.2012 34.50 36.57 36.50 34.83 34.02 34.13 33.76 0.091 -0.009 -0.026 -0.043 -0.133 -0.139 -0.039 -0.001 -0.002 -0.001 0.001 0.002 0.001 0.001 SRG IM Equity SNAM SPA Utilities 3.53 7.08% 20.05.2013 17.08 17.16 17.33 17.36 17.60 17.60 -0.191 -0.246 -0.245 -0.209 -0.270 -0.270 0.015 0.009 0.008 0.006 0.004 0.004 BEI GY Equity BEIERSDORF AG Consumer Staples 58.97 1.36% 29.04.2013 19.18 19.07 18.98 18.74 19.27 19.65 20.21 -0.249 -0.183 -0.166 -0.130 -0.087 -0.100 -0.098 0.012 0.010 0.009 0.004 0.002 0.001 0.001 BAER VX Equity JULIUS BAER GROUP LTD Financials 32.73 2.26% 12.04.2013 21.78 22.00 22.73 24.99 26.28 26.34 26.76 -0.251 -0.248 -0.233 -0.176 -0.103 -0.068 -0.048 0.015 0.007 0.005 0.003 0.002 0.002 0.003 KYG ID Equity KERRY GROUP PLC-A Consumer Staples 40.44 0.89% 10.04.2013 23.71 22.20 22.01 23.01 24.72 24.67 -0.086 -0.122 -0.131 -0.134 -0.111 -0.106 0.012 0.004 0.003 0.002 0.003 0.003 GIVN VX Equity GIVAUDAN-REG Materials 944.50 2.65% 26.03.2013 14.18 14.63 15.24 16.80 17.53 18.47 -0.424 -0.322 -0.282 -0.211 -0.117 -0.095 0.015 0.011 0.009 0.005 0.003 0.002 HEI GY Equity HEIDELBERGCEMENT AG Materials 40.24 1.37% 03.05.2013 32.31 32.14 32.36 32.92 34.08 33.75 33.95 -0.377 -0.365 -0.348 -0.269 -0.167 -0.159 -0.141 0.009 0.006 0.006 0.003 0.001 0.001 0.002 DE NA Equity DE MASTER BLENDERS1753 NV Consumer Staples 9.53 19.17 19.80 20.30 21.39 -0.050 -0.038 -0.036 -0.043 0.026 0.009 0.006 0.002 CDI FP Equity CHRISTIAN DIOR Consumer Discretionary 109.55 2.61% 22.04.2013 23.11 23.11 23.54 24.68 25.61 25.61 -0.317 -0.317 -0.287 -0.194 -0.213 -0.213 0.005 0.005 0.004 0.003 0.004 0.004 ALO FP Equity ALSTOM Industrials 27.33 3.48% 27.06.2013 35.07 33.97 33.82 34.31 35.56 36.17 36.74 -0.264 -0.264 -0.248 -0.194 -0.110 -0.095 -0.069 0.017 0.007 0.005 0.002 0.001 0.000 -0.001 SOLB BB Equity SOLVAY SA Materials 94.51 3.24% 17.01.2013 30.54 29.30 28.85 28.68 29.28 29.28 -0.297 -0.260 -0.231 -0.158 -0.071 -0.071 0.012 0.004 0.003 0.003 0.002 0.002 ITRK LN Equity INTERTEK GROUP PLC Industrials 2826.00 1.42% 05.06.2013 IFX GY Equity INFINEON TECHNOLOGIES AG Information Technology 5.13 2.34% 08.03.2013 44.81 42.35 40.40 37.77 38.51 39.80 39.83 -0.365 -0.333 -0.300 -0.227 -0.159 -0.156 -0.134 0.010 0.005 0.005 0.002 0.001 0.000 0.001 CCL LN Equity CARNIVAL PLC Consumer Discretionary 2410.00 2.57% 20.02.2013 18.55 18.55 19.07 21.17 -0.211 -0.211 -0.199 -0.153 0.008 0.008 0.007 0.002 IHG LN Equity INTERCONTINENTAL HOTELS GROU Consumer Discretionary 1594.00 2.53% 20.03.2013 21.34 21.34 21.89 23.80 -0.213 -0.213 -0.208 -0.165 0.003 0.003 0.003 0.002 NZYMB DC Equity NOVOZYMES A/S-B SHARES Materials 163.20 1.29% 28.02.2013 25.54 25.34 25.30 25.60 -0.094 -0.050 -0.028 0.001 0.010 0.001 0.000 0.000 DSY FP Equity DASSAULT SYSTEMES SA Information Technology 82.94 0.94% 14.06.2013 20.90 20.90 21.13 21.80 22.75 22.75 -0.260 -0.260 -0.242 -0.177 -0.126 -0.126 0.006 0.006 0.005 0.003 0.002 0.002 BNR GY Equity BRENNTAG AG Industrials 100.65 2.38% 20.06.2013 20.09 21.32 21.95 22.98 24.20 23.91 24.50 -0.080 -0.214 -0.238 -0.183 -0.150 -0.099 -0.097 0.013 0.005 0.004 0.002 0.001 0.000 0.000 GTO FP Equity GEMALTO Information Technology 68.07 0.50% 24.05.2013 25.25 25.15 25.10 25.01 25.13 25.11 -0.085 -0.009 0.007 0.006 0.003 0.001 0.009 0.001 0.000 0.000 0.000 0.000 WTB LN Equity WHITBREAD PLC Consumer Discretionary 2375.00 2.32% 31.10.2012 19.43 19.43 19.89 20.70 -0.182 -0.182 -0.142 -0.041 0.012 0.012 0.010 0.003 SMIN LN Equity SMITHS GROUP PLC Industrials 1056.00 3.66% 20.03.2013 ADEN VX Equity ADECCO SA-REG Industrials 47.74 3.98% 03.05.2013 40.76 38.17 36.72 33.36 32.19 31.89 33.08 -0.306 -0.252 -0.235 -0.181 -0.093 -0.087 -0.085 0.007 0.002 0.002 0.001 0.001 0.000 0.001 ORK NO Equity ORKLA ASA Industrials 46.74 5.88% 19.04.2013 28.07 24.36 24.45 21.83 -0.448 -0.302 -0.237 -0.213 0.069 0.040 0.018 0.014 PFC LN Equity PETROFAC LTD Energy 1619.00 2.55% 17.04.2013 23.07 23.07 23.80 26.12 -0.080 -0.080 -0.097 -0.127 0.006 0.006 0.005 0.002 CAP FP Equity CAP GEMINI Information Technology 32.34 3.09% 04.06.2013 36.67 35.16 34.58 33.93 34.48 35.35 35.48 -0.256 -0.224 -0.210 -0.169 -0.116 -0.120 -0.113 0.017 0.007 0.005 0.002 0.000 0.000 0.000 RSA LN Equity RSA INSURANCE GROUP PLC Financials 115.00 8.22% 27.03.2013 18.37 17.79 17.99 19.54 18.69 18.69 -0.090 -0.161 -0.174 -0.153 -0.096 -0.096 0.001 0.006 0.006 0.004 0.003 0.003 SUBC NO Equity SUBSEA 7 SA Energy 131.20 2.16% 25.06.2013 33.76 33.76 33.42 32.93 -0.286 -0.286 -0.274 -0.220 0.006 0.006 0.005 0.000 LXS GY Equity LANXESS AG Materials 59.90 1.59% 16.05.2013 34.44 33.25 32.96 32.89 33.91 34.32 34.57 -0.242 -0.189 -0.181 -0.163 -0.122 -0.117 -0.106 0.010 0.003 0.003 0.002 0.001 0.002 0.002 SVT LN Equity SEVERN TRENT PLC Utilities 1693.00 4.48% 05.12.2012 17.42 17.42 17.54 18.10 -0.050 -0.050 -0.056 -0.057 0.003 0.003 0.003 0.002 REX LN Equity REXAM PLC Materials 458.50 3.51% 08.05.2013 KNIN VX Equity KUEHNE & NAGEL INTL AG-REG Industrials 106.00 4.06% 10.05.2013 24.81 23.89 24.02 24.37 26.00 23.23 -0.176 -0.234 -0.239 -0.173 -0.079 -0.006 0.011 0.007 0.006 0.002 0.000 0.004 EDP PL Equity EDP-ENERGIAS DE PORTUGAL SA Utilities 2.10 8.80% 13.05.2013 EN FP Equity BOUYGUES SA Industrials 19.55 8.19% 30.04.2013 31.61 30.92 30.60 29.06 30.54 30.58 32.03 -0.191 -0.232 -0.226 -0.148 -0.059 -0.148 -0.104 0.016 0.007 0.006 0.002 0.000 0.000 -0.002 SKAB SS Equity SKANSKA AB-B SHS Industrials 103.40 6.04% 08.04.2013 22.00 20.84 20.26 22.73 22.14 -0.255 -0.213 -0.266 -0.178 0.072 0.056 0.028 0.012 0.004 0.000 EBS AV Equity ERSTE GROUP BANK AG Financials 19.09 2.10% 17.05.2013 34.41 34.49 34.50 34.54 35.03 41.74 -0.472 -0.193 -0.141 -0.109 0.442 0.558 0.043 0.013 0.007 0.003 -0.002 -0.006 ADN LN Equity ABERDEEN ASSET MGMT PLC Financials 334.90 3.40% 05.12.2012 SGE LN Equity SAGE GROUP PLC/THE Information Technology 309.30 3.46% 06.02.2013 21.48 21.48 21.45 22.15 -0.244 -0.244 -0.213 -0.136 0.008 0.008 0.007 0.004 EDF FP Equity EDF Utilities 16.79 7.15% 13.12.2012 21.85 21.45 21.63 22.62 24.34 27.49 27.03 -0.252 -0.219 -0.199 -0.154 -0.120 -0.118 -0.095 0.032 0.013 0.009 0.005 0.002 0.002 0.002 KD8 GY Equity KABEL DEUTSCHLAND HOLDING AG Consumer Discretionary 56.39 2.66% 14.10.2013 23.98 24.32 24.67 25.97 27.24 27.87 27.22 -0.140 -0.065 -0.085 -0.162 -0.082 -0.091 -0.087 0.007 0.000 0.001 0.002 0.001 0.001 0.001 SCHP VX Equity SCHINDLER HOLDING-PART CERT Industrials 120.40 2.08% 18.03.2013 16.94 16.91 16.97 16.53 14.68 14.60 -0.186 -0.083 -0.053 0.001 0.069 0.062 0.018 0.004 0.002 0.002 0.003 0.006 GBLB BB Equity GROUPE BRUXELLES LAMBERT SA Financials 57.66 4.74% 26.04.2013 15.65 15.70 15.99 16.23 16.14 16.14 -0.209 -0.283 -0.296 -0.239 -0.118 -0.118 0.031 0.019 0.014 0.005 0.002 0.002 GFS LN Equity G4S PLC Industrials 267.10 3.43% 08.05.2013 UPM1V FH Equity UPM-KYMMENE OYJ Materials 8.73 6.87% 08.04.2013 30.39 29.45 29.43 31.80 -0.093 -0.144 -0.155 -0.141 0.015 0.002 0.001 0.002 ATLN VX Equity ACTELION LTD-REG Health Care 47.63 1.68% 06.05.2013 33.62 33.19 32.98 32.39 32.37 32.08 -0.198 -0.115 -0.095 -0.053 -0.037 -0.033 0.009 0.006 0.005 0.001 0.001 0.001 WEIR LN Equity WEIR GROUP PLC/THE Industrials 1741.00 2.19% 01.05.2013 AGS BB Equity AGEAS Financials 19.83 4.79% 29.04.2013 33.09 33.36 33.41 32.69 34.33 34.07 34.95 -0.240 -0.226 -0.216 -0.131 -0.025 -0.024 -0.015 0.015 0.004 0.003 0.003 0.001 0.000 0.000 WRT1V FH Equity WARTSILA OYJ ABP Industrials 26.53 3.49% 04.03.2013 BNZL LN Equity BUNZL PLC Industrials 1110.00 2.53% 08.05.2013 WKL NA Equity WOLTERS KLUWER Consumer Discretionary 15.00 4.80% 29.04.2013 17.53 17.47 17.92 19.18 21.04 20.62 21.33 -0.350 -0.233 -0.223 -0.221 -0.128 -0.090 -0.067 0.028 0.015 0.011 0.005 0.002 0.002 0.003 ABE SQ Equity ABERTIS INFRAESTRUCTURAS SA Industrials 11.93 5.53% 31.10.2012 25.61 25.20 24.71 24.00 23.74 23.37 23.32 -0.213 -0.214 -0.204 -0.179 -0.132 -0.120 -0.132 0.006 0.001 0.000 0.002 0.002 0.002 0.002 GETIB SS Equity GETINGE AB-B SHS Health Care 196.20 2.04% 29.04.2013 22.09 20.43 20.89 22.36 -0.250 -0.281 -0.271 -0.195 0.036 0.018 0.012 0.002 ELUXB SS Equity ELECTROLUX AB-SER B Consumer Discretionary 162.70 4.00% 03.04.2013 32.80 30.10 28.56 31.03 31.42 -0.211 -0.262 -0.230 -0.166 0.059 0.018 0.008 0.004 0.001 0.000 LUX IM Equity LUXOTTICA GROUP SPA Consumer Discretionary 28.31 1.91% 20.05.2013 17.58 18.80 19.40 20.39 21.68 21.68 -0.314 -0.312 -0.279 -0.185 -0.099 -0.099 0.017 0.006 0.004 0.003 0.001 0.001 UMI BB Equity UMICORE Materials 39.29 2.93% 26.04.2013 26.81 27.15 27.16 26.81 27.07 27.07 -0.299 -0.274 -0.248 -0.164 -0.034 -0.034 0.017 0.007 0.005 0.002 -0.001 -0.001 UCB BB Equity UCB SA Health Care 44.88 2.30% 02.05.2013 21.58 21.60 22.16 23.76 25.16 25.16 -0.306 -0.212 -0.176 -0.112 -0.060 -0.060 0.020 0.009 0.007 0.004 0.002 0.002 AMEC LN Equity AMEC PLC Energy 1102.00 3.04% 28.11.2012 AKE FP Equity ARKEMA Materials 74.23 2.16% 29.05.2013 33.93 33.93 33.51 32.68 34.96 34.96 -0.147 -0.147 -0.143 -0.126 -0.089 -0.089 0.004 0.004 0.004 0.002 0.002 0.002 ALFA SS Equity ALFA LAVAL AB Industrials 120.80 3.31% 29.04.2013 30.75 28.80 26.99 28.31 30.57 -0.247 -0.209 -0.190 -0.147 -0.059 0.040 0.015 0.011 0.003 0.000 BVI FP Equity BUREAU VERITAS SA Industrials 81.95 1.77% 11.06.2013 14.62 14.55 14.51 14.38 14.57 14.30 -0.180 -0.122 -0.076 0.008 0.012 0.014 0.012 0.007 0.005 0.000 0.000 0.000 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend 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 BAB LN Equity BABCOCK INTL GROUP PLC Industrials 975.00 2.56% 12.12.2012 LUPE SS Equity LUNDIN PETROLEUM AB Energy 155.50 31.34 30.50 28.57 31.38 32.85 -0.012 -0.026 -0.039 -0.008 0.101 0.023 0.008 0.006 0.002 0.001 AC FP Equity ACCOR SA Consumer Discretionary 25.85 2.63% 11.06.2013 34.73 32.70 32.44 32.36 33.81 32.98 -0.183 -0.188 -0.185 -0.162 -0.121 -0.133 0.009 0.003 0.002 0.002 0.001 0.002 TEL2B SS Equity TELE2 AB-B SHS Telecommunication Services 119.50 5.65% 14.05.2013 20.67 19.76 19.80 21.80 23.98 -0.242 -0.252 -0.216 -0.141 0.075 0.052 0.021 0.010 0.002 -0.001 FER SQ Equity FERROVIAL SA Industrials 10.31 4.46% 15.11.2012 36.60 34.05 33.16 32.49 31.40 30.61 30.68 -0.270 -0.008 0.051 0.018 0.024 0.066 0.097 -0.001 -0.003 -0.004 -0.003 -0.003 -0.003 -0.004 SCVB SS Equity SCANIA AB-B SHS Industrials 118.50 4.22% 06.05.2013 30.97 30.44 29.68 31.19 34.72 -0.271 -0.275 -0.243 -0.165 -0.120 0.035 0.012 0.006 0.001 -0.001 G1A GY Equity GEA GROUP AG Industrials 24.83 2.46% 25.04.2013 28.59 29.14 29.87 31.15 32.13 33.95 34.82 -0.271 -0.221 -0.198 -0.150 -0.100 -0.147 -0.157 0.021 0.009 0.006 0.001 0.001 0.002 0.002 GKN LN Equity GKN PLC Consumer Discretionary 204.00 3.73% 24.04.2013 HMSO LN Equity HAMMERSON PLC Financials 474.80 3.70% 13.03.2013 ELN ID Equity ELAN CORP PLC Health Care 8.61 43.69 43.92 43.75 43.40 44.56 44.46 -0.113 -0.158 -0.166 -0.139 -0.141 -0.149 0.010 0.002 0.002 0.001 0.002 0.001 ITV LN Equity ITV PLC Consumer Discretionary 91.85 2.61% 01.05.2013 28.27 28.27 28.14 27.97 -0.044 -0.044 -0.046 -0.065 0.007 0.007 0.005 0.002 REE SQ Equity RED ELECTRICA CORPORACION SA Utilities 37.60 6.33% 02.01.2013 25.61 24.06 23.32 20.86 16.95 16.77 16.15 -0.203 -0.210 -0.198 -0.158 -0.046 -0.056 -0.046 0.001 0.002 0.002 0.001 0.001 0.001 0.000 OMV AV Equity OMV AG Energy 28.29 4.07% 13.05.2013 19.54 19.65 19.80 19.75 20.90 13.07 -0.541 -0.151 -0.092 -0.138 0.287 0.556 0.070 0.024 0.011 0.004 0.008 0.009 EDEN FP Equity EDENRED Industrials 22.50 3.38% 27.05.2013 27.38 24.75 24.31 24.20 24.67 22.73 -0.175 -0.180 -0.200 -0.180 -0.113 -0.088 0.008 0.004 0.003 0.002 0.002 0.002 TATE LN Equity TATE & LYLE PLC Consumer Staples 697.50 3.76% 28.11.2012 13.66 13.66 13.82 14.55 -0.137 -0.137 -0.100 -0.020 0.008 0.008 0.006 0.002 HEXAB SS Equity HEXAGON AB-B SHS Information Technology 145.80 1.42% 10.05.2013 35.79 32.35 31.24 32.18 -0.281 -0.194 -0.209 -0.164 0.035 0.013 0.005 0.002 SOON VX Equity SONOVA HOLDING AG-REG Health Care 98.80 1.42% 24.06.2013 25.43 24.02 23.43 23.30 23.67 23.79 -0.257 -0.232 -0.204 -0.162 -0.084 -0.076 0.014 0.007 0.005 0.003 0.001 0.001 CRDA LN Equity CRODA INTERNATIONAL PLC Materials 2295.00 2.71% 01.05.2013 EKTAB SS Equity ELEKTA AB-B SHS Health Care 92.75 1.51% 05.09.2013 23.48 23.48 23.48 23.48 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 ATL IM Equity ATLANTIA SPA Industrials 12.28 6.11% 19.11.2012 26.90 25.84 25.42 25.02 24.06 24.06 -0.302 -0.254 -0.234 -0.200 -0.129 -0.129 0.017 0.008 0.006 0.003 0.001 0.001 HEIO NA Equity HEINEKEN HOLDING NV Consumer Staples 39.91 2.33% 23.04.2013 GA FP Equity CIE GENERALE DE GEOPHYSIQUE Energy 25.00 44.07 38.28 38.06 40.35 40.43 40.58 -0.139 -0.105 -0.107 -0.153 -0.148 -0.142 0.003 0.004 0.004 0.002 0.002 0.001 NRE1V FH Equity NOKIAN RENKAAT OYJ Consumer Discretionary 29.59 4.90% 15.04.2013 32.82 32.33 32.58 -0.143 -0.098 -0.075 0.007 0.003 0.002 FRES LN Equity FRESNILLO PLC Materials 1932.00 1.80% 24.04.2013 GRF SQ Equity GRIFOLS SA Health Care 25.79 0.85% 01.07.2013 37.43 34.42 32.59 28.64 24.59 23.23 23.54 -0.108 -0.130 -0.130 -0.119 -0.130 -0.135 -0.106 0.002 0.002 0.002 0.002 0.001 0.002 0.001 MGGT LN Equity MEGGITT PLC Industrials 402.40 2.94% 13.03.2013 TRN IM Equity TERNA SPA Utilities 2.95 6.44% 19.11.2012 17.38 17.82 17.90 18.41 18.28 18.28 -0.364 -0.281 -0.236 -0.189 -0.310 -0.310 0.024 0.011 0.008 0.002 0.004 0.004 COLOB DC Equity COLOPLAST-B Health Care 1279.00 1.37% 12.12.2012 CO FP Equity CASINO GUICHARD PERRACHON Consumer Staples 67.61 4.88% 21.05.2013 24.56 23.09 23.07 22.97 23.25 23.20 23.17 -0.311 -0.287 -0.253 -0.155 -0.102 -0.084 -0.057 0.023 0.008 0.005 0.003 0.002 0.000 -0.001 SCR FP Equity SCOR SE Financials 21.29 5.40% 22.05.2013 20.95 20.95 21.44 22.76 25.05 25.05 -0.230 -0.230 -0.227 -0.188 -0.115 -0.115 0.007 0.007 0.006 0.002 0.001 0.001 FUR NA Equity FUGRO NV-CVA Energy 52.68 3.04% 13.05.2013 24.60 24.66 24.93 25.22 25.87 25.87 25.87 -0.252 -0.318 -0.308 -0.220 -0.124 -0.124 -0.124 0.017 0.008 0.006 0.003 0.001 0.001 0.001 MRO LN Equity MELROSE PLC Industrials 237.20 3.50% 03.04.2013 GAS SQ Equity GAS NATURAL SDG SA Utilities 11.80 7.54% 09.01.2013 38.26 36.00 35.01 29.65 27.71 24.22 24.62 -0.136 -0.104 -0.056 0.066 0.052 0.205 0.175 0.003 0.001 0.001 0.002 0.001 0.002 0.001 MEO1V FH Equity METSO OYJ Industrials 27.50 6.18% 28.03.2013 34.76 35.27 35.62 -0.026 -0.090 -0.086 0.012 0.001 -0.001 F IM Equity FIAT SPA Consumer Discretionary 4.21 2.85% 22.04.2013 44.43 43.94 43.65 42.46 42.94 43.75 44.76 -0.199 -0.183 -0.185 -0.141 -0.023 0.011 0.028 0.013 0.004 0.003 0.002 0.000 -0.001 -0.001 WG/ LN Equity WOOD GROUP (JOHN) PLC Energy 845.50 1.34% 10.04.2013 VK FP Equity VALLOUREC Industrials 31.83 2.51% 05.06.2013 42.61 41.65 41.38 41.00 41.12 40.38 40.45 -0.190 -0.205 -0.196 -0.150 -0.114 -0.139 -0.141 0.012 0.006 0.004 0.002 0.001 0.001 0.001 KINVB SS Equity INVESTMENT AB KINNEVIK-B SHS Financials 136.60 4.03% 17.05.2013 18.88 17.06 17.42 19.35 0.047 -0.032 -0.068 -0.113 0.028 0.014 0.009 0.001 BOL SS Equity BOLIDEN AB Materials 114.10 4.16% 06.05.2013 32.10 32.08 31.44 32.63 33.49 -0.186 -0.269 -0.284 -0.123 0.071 0.042 0.013 0.006 0.004 0.000 IMI LN Equity IMI PLC Industrials 900.50 3.78% 10.04.2013 SRP LN Equity SERCO GROUP PLC Industrials 575.50 1.63% 06.03.2013 ARYN SE Equity ARYZTA AG Consumer Staples 46.05 1.33% 29.01.2014 13.99 15.24 15.73 16.36 16.47 16.39 -0.146 -0.149 -0.145 -0.095 -0.076 -0.070 0.007 0.004 0.004 0.001 0.001 0.001 SPSN VX Equity SWISS PRIME SITE-REG Financials 76.75 4.69% 22.04.2013 10.83 10.39 10.10 9.53 10.08 9.95 -0.044 -0.040 -0.046 -0.008 0.072 0.111 0.019 0.006 0.004 0.005 0.002 0.003 VIE FP Equity VEOLIA ENVIRONNEMENT Utilities 8.25 8.48% 22.05.2013 31.67 32.59 32.67 31.15 32.33 30.75 30.95 -0.086 -0.133 -0.151 -0.107 0.056 0.098 0.224 0.016 0.005 0.004 0.003 0.000 0.001 0.006 EEEK GA Equity COCA-COLA HELLENIC BOTTLING Consumer Staples 17.55 1.37% 25.06.2013 SIK VX Equity SIKA AG-BR Materials 1913.00 2.35% 15.04.2013 18.87 19.19 19.53 20.55 22.82 22.35 -0.254 -0.211 -0.196 -0.152 -0.080 -0.115 0.004 0.001 0.001 0.001 0.000 0.001 ANDR AV Equity ANDRITZ AG Industrials 46.07 2.78% 25.03.2013 37.40 34.83 33.72 32.94 30.69 38.12 -0.375 -0.164 -0.123 -0.086 0.497 0.654 0.018 0.005 0.003 0.000 0.001 -0.004 MTX GY Equity MTU AERO ENGINES HOLDING AG Industrials 64.92 2.08% 03.05.2013 25.14 23.94 23.91 24.48 25.82 25.94 26.39 -0.251 -0.210 -0.188 -0.140 -0.099 -0.080 -0.067 0.014 0.005 0.004 0.002 0.001 0.001 0.001 TPK LN Equity TRAVIS PERKINS PLC Industrials 1111.00 2.37% 01.05.2013 HNR1 GY Equity HANNOVER RUECKVERSICHERU-REG Financials 55.33 3.97% 06.05.2013 23.40 22.45 22.21 21.69 21.80 21.12 21.52 -0.244 -0.216 -0.222 -0.216 -0.152 -0.154 -0.148 0.012 0.009 0.007 0.003 0.002 0.002 0.003 QIA GY Equity QIAGEN N.V. Health Care 14.10 20.04 20.24 20.45 21.26 23.27 23.93 24.01 0.018 -0.128 -0.163 -0.158 -0.124 -0.101 -0.102 0.022 0.007 0.005 0.003 0.002 0.002 0.002 NHY NO Equity NORSK HYDRO ASA Materials 26.64 2.63% 09.05.2013 44.16 42.17 40.31 42.90 -0.324 -0.425 -0.260 -0.205 0.056 0.033 0.016 0.005 ETL FP Equity EUTELSAT COMMUNICATIONS Consumer Discretionary 25.42 3.93% 14.11.2013 20.25 20.62 20.53 20.57 20.76 21.72 0.075 0.052 0.027 0.003 0.002 -0.016 0.016 0.003 0.001 0.000 0.000 0.000 VPK NA Equity VOPAK Industrials 55.20 1.67% 26.04.2013 19.00 18.44 18.72 19.87 20.36 20.36 -0.211 -0.193 -0.180 -0.125 -0.095 -0.095 0.017 0.008 0.006 0.003 0.002 0.002 BALN VX Equity BALOISE HOLDING AG - REG Financials 78.80 5.71% 03.05.2013 15.36 16.60 17.49 18.50 19.54 18.64 19.58 -0.366 -0.332 -0.305 -0.223 -0.107 -0.100 -0.100 0.035 0.015 0.009 0.005 0.003 0.004 0.004 Stoxx 600 Index PNN LN Equity PENNON GROUP PLC Utilities 717.00 3.95% 30.01.2013 ISAT LN Equity INMARSAT PLC Telecommunication Services 570.00 5.02% 15.05.2013 DSV DC Equity DSV A/S Industrials 125.00 1.00% 18.03.2013 31.50 28.99 28.39 28.37 -0.322 -0.223 -0.176 -0.092 0.017 0.005 0.003 0.002 TNTE NA Equity TNT EXPRESS NV Industrials 8.19 1.77% 11.04.2013 37.51 39.13 39.44 39.44 39.44 39.44 39.44 -0.677 -0.771 -0.774 -0.774 -0.774 -0.774 -0.774 0.016 0.007 0.006 0.006 0.006 0.006 0.006 STM IM Equity STMICROELECTRONICS NV Information Technology 4.69 6.54% 24.06.2013 48.28 45.19 43.58 43.16 40.91 42.29 41.71 -0.120 -0.111 -0.113 -0.185 -0.079 0.035 0.188 0.011 0.003 0.003 0.001 0.002 0.000 -0.001 BELG BB Equity BELGACOM SA Telecommunication Services 22.49 9.70% 04.12.2012 18.28 15.80 15.73 16.07 15.80 15.80 0.012 -0.098 -0.129 -0.111 0.064 0.064 0.023 0.014 0.010 0.003 0.000 0.000 LISN SE Equity LINDT & SPRUENGLI AG-REG Consumer Staples 34095.00 1.64% 30.04.2013 18.46 18.50 18.52 18.52 18.58 18.53 -0.049 0.006 0.009 0.012 0.017 0.022 0.003 0.000 0.000 0.000 0.000 0.000 INF LN Equity INFORMA PLC Consumer Discretionary 408.30 4.68% 24.04.2013 MNDI LN Equity MONDI PLC Materials 666.00 3.38% 10.04.2013 JMT PL Equity JERONIMO MARTINS Consumer Staples 14.02 2.28% 30.04.2013 SY1 GY Equity SYMRISE AG Materials 26.96 2.60% 16.05.2013 26.68 25.87 25.74 26.21 27.45 28.00 28.60 -0.137 -0.112 -0.104 -0.078 -0.051 -0.064 -0.068 0.015 0.007 0.005 0.001 0.001 0.001 0.001 PRY IM Equity PRYSMIAN SPA Industrials 14.84 1.79% 22.04.2013 26.82 27.80 28.05 28.06 28.32 28.32 -0.221 -0.192 -0.169 -0.172 -0.152 -0.152 0.018 0.003 0.001 0.001 0.001 0.001 WMH LN Equity WILLIAM HILL PLC Consumer Discretionary 340.30 3.20% 01.05.2013 17.54 17.54 18.05 19.66 -0.139 -0.139 -0.136 -0.106 0.009 0.009 0.007 0.002 ZC FP Equity ZODIAC AEROSPACE Industrials 77.85 1.93% 14.01.2013 28.36 28.08 27.98 28.50 29.72 30.44 -0.201 -0.260 -0.259 -0.193 -0.169 -0.167 0.006 0.003 0.003 0.002 0.001 0.000 ADM LN Equity ADMIRAL GROUP PLC Financials 1170.00 7.45% 15.05.2013 GBF GY Equity BILFINGER SE Industrials 75.62 3.70% 19.04.2013 21.97 21.13 21.31 22.31 24.48 26.13 26.83 -0.517 -0.352 -0.297 -0.213 -0.137 -0.144 -0.147 0.019 0.013 0.010 0.004 0.002 0.002 0.002 PSN LN Equity PERSIMMON PLC Consumer Discretionary 776.50 9.66% 08.05.2013 COB LN Equity COBHAM PLC Industrials 217.50 4.05% 01.05.2013 DELB BB Equity DELHAIZE GROUP Consumer Staples 28.50 6.04% 29.05.2013 32.07 30.14 29.29 27.53 27.62 27.62 -0.193 -0.218 -0.206 -0.127 -0.048 -0.048 0.009 0.004 0.004 0.003 0.001 0.001 CABK SQ Equity CAIXABANK Financials 3.00 7.70% 24.12.2012 24.39 22.86 23.14 23.92 24.12 26.79 26.86 -0.309 -0.382 -0.362 -0.158 -0.199 -0.346 -0.217 0.003 0.004 0.004 0.002 0.003 0.004 0.000 PGS NO Equity PETROLEUM GEO-SERVICES Energy 97.60 1.45% 06.05.2013 42.06 42.06 42.09 42.15 -0.166 -0.166 -0.168 -0.176 0.001 0.001 0.002 0.003 DIA SQ Equity DISTRIBUIDORA INTERNACIONAL Consumer Staples 4.64 2.59% 16.07.2013 34.74 33.19 32.14 30.71 27.91 27.37 27.09 -0.123 -0.131 -0.138 -0.196 -0.104 -0.107 -0.090 0.004 0.002 0.002 0.003 0.002 0.002 0.002 UBI IM Equity UBI BANCA SCPA Financials 3.15 2.23% 20.05.2013 40.18 42.31 42.91 42.83 43.49 43.49 -0.346 -0.266 -0.266 -0.227 -0.158 -0.158 0.015 0.003 0.001 0.001 0.001 0.001 IIA AV Equity IMMOFINANZ AG Financials 2.95 5.09% 08.10.2013 28.10 24.72 24.66 25.82 28.74 21.37 -0.395 -0.250 -0.151 0.022 0.312 0.627 0.036 0.019 0.013 0.005 0.001 0.000 TGS NO Equity TGS NOPEC GEOPHYSICAL CO ASA Energy 197.80 3.29% 05.06.2013 35.10 35.10 35.05 34.89 -0.276 -0.276 -0.264 -0.229 0.003 0.003 0.002 0.000 LI FP Equity KLEPIERRE Financials 29.02 5.34% 22.04.2013 17.09 17.04 16.97 16.74 17.53 16.74 -0.234 -0.117 -0.069 0.005 0.021 0.012 0.024 0.009 0.005 0.000 0.001 0.001 ATO FP Equity ATOS Information Technology 51.37 1.17% 13.06.2013 27.86 27.86 28.03 28.63 29.91 29.91 -0.224 -0.224 -0.215 -0.178 -0.127 -0.127 0.004 0.004 0.003 0.002 0.001 0.001 ENG SQ Equity ENAGAS SA Utilities 15.43 6.96% 21.12.2012 24.23 23.32 23.30 22.37 20.33 20.35 20.28 -0.078 -0.109 -0.078 0.024 0.133 0.118 0.112 0.000 0.001 0.001 0.001 0.000 0.000 -0.001 KBC BB Equity KBC GROEP NV Financials 19.43 1.80% 10.05.2013 45.04 44.38 44.19 43.46 43.00 43.00 -0.233 -0.247 -0.231 -0.150 -0.081 -0.081 0.013 0.005 0.004 0.002 0.001 0.001 PSPN SE Equity PSP SWISS PROPERTY AG-REG Financials 85.95 3.49% 20.06.2013 8.60 10.92 11.34 10.75 10.85 10.69 -0.147 -0.122 -0.113 -0.069 -0.041 -0.028 0.014 0.011 0.009 0.002 0.002 0.002 SLHN VX Equity SWISS LIFE HOLDING AG-REG Financials 120.90 3.72% 24.04.2013 26.97 26.17 25.91 25.54 27.00 26.69 27.59 -0.247 -0.211 -0.195 -0.141 -0.078 -0.069 -0.067 0.019 0.009 0.006 0.003 0.001 0.001 0.001 STERV FH Equity STORA ENSO OYJ-R SHS Materials 4.74 6.32% 25.04.2013 30.60 29.19 28.88 28.83 -0.069 -0.056 -0.066 -0.096 0.024 0.003 0.000 0.001 HO FP Equity THALES SA Industrials 28.21 3.19% 28.05.2013 22.51 21.93 22.05 22.26 22.72 20.91 20.42 -0.163 -0.229 -0.237 -0.180 -0.107 -0.077 -0.063 0.024 0.007 0.004 0.002 0.002 0.003 0.004 MAN GY Equity MAN SE Industrials 76.16 2.17% 22.04.2013 23.88 24.31 24.45 24.60 25.30 24.89 25.58 -0.103 -0.044 -0.036 -0.030 -0.034 -0.036 -0.034 0.008 0.001 0.001 0.001 0.001 0.001 0.001 PWL ID Equity PADDY POWER PLC Consumer Discretionary 57.55 2.10% 13.03.2013 COLR BB Equity COLRUYT SA Consumer Staples 33.53 2.92% 30.09.2013 22.09 22.29 22.25 22.15 22.23 22.23 -0.077 -0.137 -0.139 -0.095 -0.042 -0.042 0.018 0.009 0.007 0.002 -0.001 -0.001 GALP PL Equity GALP ENERGIA SGPS SA Energy 13.09 2.02% 21.05.2013 III LN Equity 3I GROUP PLC Financials 222.80 3.82% 12.12.2012 23.03 23.03 22.92 22.66 -0.017 -0.017 -0.045 -0.118 0.007 0.007 0.006 0.004 GET FP Equity GROUPE EUROTUNNEL SA - REGR Industrials 5.57 1.62% 21.05.2013 38.07 35.41 34.10 32.69 34.41 34.39 -0.265 -0.256 -0.250 -0.181 -0.085 -0.064 0.009 0.002 0.002 0.002 0.001 -0.001 ACS SQ Equity ACS ACTIVIDADES CONS Y SERV Industrials 17.15 6.71% 21.01.2013 34.57 34.31 34.20 34.10 31.50 28.76 24.58 -0.173 -0.170 -0.167 -0.173 -0.135 0.065 0.280 0.001 0.002 0.002 0.002 0.001 0.002 0.003 SUN VX Equity SULZER AG-REG Industrials 135.00 2.22% 18.04.2013 25.88 25.69 25.78 25.98 26.09 25.67 -0.162 -0.191 -0.178 -0.116 -0.096 -0.095 0.009 0.004 0.004 0.002 0.002 0.002 PTC PL Equity PORTUGAL TELECOM SGPS SA-REG Telecommunication Services 3.78 8.60% 28.12.2012 MEO GY Equity METRO AG Consumer Staples 20.32 6.74% 24.05.2013 32.01 30.97 30.86 29.84 30.04 27.89 28.13 -0.242 -0.198 -0.175 -0.105 -0.032 -0.025 -0.018 0.020 0.008 0.005 0.003 0.002 0.003 0.004 AKSO NO Equity AKER SOLUTIONS ASA Energy 115.40 3.03% 15.04.2013 40.55 40.55 40.32 39.68 -0.128 -0.128 -0.133 -0.146 0.000 0.000 0.001 0.001 BBY LN Equity BALFOUR BEATTY PLC Industrials 302.70 4.86% 24.04.2013 ILD FP Equity ILIAD SA Telecommunication Services 121.75 0.30% 04.06.2013 19.45 19.51 19.53 19.61 19.77 19.79 0.001 0.005 0.006 0.012 0.003 0.010 0.013 0.001 0.000 0.000 0.000 0.000 DLN LN Equity DERWENT LONDON PLC Financials 2019.00 1.66% 15.05.2013 BB FP Equity SOCIETE BIC SA Industrials 92.51 2.59% 21.05.2013 19.66 19.56 19.55 19.62 20.27 19.51 -0.073 -0.031 -0.010 0.012 0.032 0.032 0.008 0.001 0.000 0.000 0.000 0.000 CLN VX Equity CLARIANT AG-REG Materials 10.88 2.76% 28.06.2013 36.42 34.59 34.15 34.03 34.85 35.63 35.75 -0.324 -0.253 -0.221 -0.212 -0.138 -0.178 -0.154 0.011 0.006 0.005 0.002 0.002 0.001 0.001 CSCG LN Equity CAPITAL SHOPPING CENTRES GRO Financials 340.20 5.97% 29.05.2013 AGS LN Equity AEGIS GROUP PLC Consumer Discretionary 235.40 12.06.2013 LHA GY Equity DEUTSCHE LUFTHANSA-REG Industrials 10.93 2.29% 10.05.2013 23.81 23.96 24.11 24.82 26.33 24.85 25.04 -0.208 -0.224 -0.222 -0.174 -0.129 -0.104 -0.079 0.030 0.013 0.009 0.003 0.002 0.001 0.002 RAND NA Equity RANDSTAD HOLDING NV Industrials 25.45 4.91% 04.04.2013 28.23 27.18 27.17 29.04 29.36 29.36 29.36 -0.230 -0.284 -0.285 -0.220 -0.107 -0.107 -0.107 0.009 0.006 0.006 0.003 -0.001 -0.001 -0.001 ROR LN Equity ROTORK PLC Industrials 2338.00 1.87% 10.04.2013 AML LN Equity AMLIN PLC Financials 402.10 6.12% 03.04.2013 VOE AV Equity VOESTALPINE AG Materials 23.26 4.09% 08.07.2013 33.08 31.08 30.66 29.92 30.60 35.64 -0.241 -0.184 -0.173 -0.156 0.408 0.585 0.068 0.018 0.008 0.005 0.007 -0.002 SDR LN Equity SCHRODERS PLC Financials 1572.00 2.61% 27.03.2013 ELI1V FH Equity ELISA OYJ Telecommunication Services 17.80 7.30% 05.04.2013 17.92 17.31 17.73 20.65 -0.082 -0.244 -0.246 -0.125 0.013 0.005 0.003 0.001 FR FP Equity VALEO SA Consumer Discretionary 34.20 4.18% 27.06.2013 37.59 37.59 37.65 37.79 37.79 37.79 -0.248 -0.248 -0.227 -0.164 -0.098 -0.098 0.001 0.001 0.001 0.001 0.001 0.001 BKG LN Equity BERKELEY GROUP HOLDINGS Consumer Discretionary 1473.00 SCH NO Equity SCHIBSTED ASA Consumer Discretionary 226.70 1.76% 17.05.2013 DRX LN Equity DRAX GROUP PLC Utilities 534.50 3.72% 24.04.2013 TDC DC Equity TDC A/S Telecommunication Services 42.15 10.91% 08.03.2013 PMO LN Equity PREMIER OIL PLC Energy 368.70 PFG LN Equity PROVIDENT FINANCIAL PLC Financials 1412.00 5.31% 15.05.2013 CHR DC Equity CHR HANSEN HOLDING A/S Materials 172.40 2.10% 27.11.2012 TCY LN Equity TELECITY GROUP PLC Information Technology 956.00 0.78% 10.04.2013 FLS DC Equity FLSMIDTH & CO A/S Industrials 330.50 3.03% 02.04.2013 39.30 36.50 35.76 36.25 -0.284 -0.247 -0.205 -0.120 0.007 0.001 0.000 0.000 SMDS LN Equity DS SMITH PLC Materials 206.40 3.29% 19.12.2012 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend 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 INVP LN Equity INVESTEC PLC Financials 364.60 4.94% 05.12.2012 20.53 20.53 20.99 22.38 0.102 0.102 0.050 -0.061 0.009 0.009 0.007 0.000 SXS LN Equity SPECTRIS PLC Information Technology 1597.00 2.41% 29.05.2013 TW/ LN Equity TAYLOR WIMPEY PLC Consumer Discretionary 58.45 1.27% 17.04.2013 PGHN SE Equity PARTNERS GROUP HOLDING AG Financials 199.30 2.89% 06.05.2013 17.70 17.70 17.67 17.61 18.31 18.05 0.077 0.017 0.004 0.003 0.025 0.022 0.010 0.001 0.000 0.000 -0.001 0.000 OPHR LN Equity OPHIR ENERGY PLC Energy 576.50 CORA NA Equity CORIO NV Financials 34.65 8.14% 29.04.2013 19.67 19.89 20.30 20.06 20.09 20.09 20.09 -0.290 -0.240 -0.222 -0.162 -0.034 -0.034 -0.034 0.028 0.012 0.008 0.003 0.002 0.002 0.002 BP IM Equity BANCO POPOLARE SCARL Financials 1.27 1.96% 20.05.2013 39.65 41.77 42.50 43.13 48.68 48.68 -0.195 -0.248 -0.246 -0.256 -0.254 -0.254 0.020 0.006 0.005 0.003 0.001 0.001 SEV FP Equity SUEZ ENVIRONNEMENT CO Utilities 8.51 7.76% 27.05.2013 29.47 29.62 29.71 28.52 29.22 30.89 30.62 -0.190 -0.258 -0.264 -0.181 -0.064 -0.028 0.071 0.020 0.006 0.004 0.002 0.001 0.000 -0.003 ISYS LN Equity INVENSYS PLC Industrials 223.90 2.19% 21.11.2012 28.57 28.57 29.32 31.17 0.129 0.129 0.081 -0.032 0.008 0.008 0.007 0.003 KN FP Equity NATIXIS Financials 2.60 3.84% 03.06.2013 37.32 38.59 39.09 39.01 39.73 38.56 -0.571 -0.515 -0.430 -0.212 -0.162 -0.124 0.040 0.009 0.003 0.001 0.001 0.002 MB IM Equity MEDIOBANCA SPA Financials 4.38 1.14% 18.11.2013 39.74 40.73 40.71 40.60 40.95 40.95 -0.201 -0.262 -0.249 -0.208 -0.187 -0.187 0.016 0.004 0.003 0.003 0.003 0.003 UBM LN Equity UBM PLC Consumer Discretionary 733.50 3.95% 10.04.2013 BDEV LN Equity BARRATT DEVELOPMENTS PLC Consumer Discretionary 182.80 17.04.2013 RMV LN Equity RIGHTMOVE PLC Consumer Discretionary 1637.00 1.41% 08.05.2013 CGL LN Equity CATLIN GROUP LTD Financials 489.50 5.92% 13.02.2013 IAP LN Equity ICAP PLC Financials 318.00 7.08% 02.01.2013 22.92 22.92 23.87 25.24 -0.237 -0.237 -0.219 -0.138 0.005 0.005 0.004 0.001 INDUA SS Equity INDUSTRIVARDEN AB-A SHS Financials 97.40 4.88% 08.05.2013 AHT LN Equity ASHTEAD GROUP PLC Industrials 345.80 1.19% 16.01.2013 SGRO LN Equity SEGRO PLC Financials 233.70 6.38% 20.03.2013 CNE LN Equity CAIRN ENERGY PLC Energy 285.90 32.29 32.29 32.32 32.91 -0.224 -0.224 -0.202 -0.159 0.003 0.003 0.003 0.002 GALN SE Equity GALENICA AG-REG Health Care 567.50 1.59% 09.05.2013 39.98 36.99 35.90 34.54 36.82 36.54 -1.128 -0.729 -0.548 -0.194 0.000 0.001 0.011 0.006 0.005 0.003 0.001 0.001 ETE GA Equity NATIONAL BANK OF GREECE Financials 2.23 21.05.2013 77.22 77.22 77.22 77.22 0.114 0.114 0.114 0.114 0.001 0.001 0.001 0.001 DWNI GY Equity DEUTSCHE WOHNEN AG-BR Financials 14.48 1.80% 06.06.2013 37.31 37.17 37.14 36.83 36.78 36.28 36.86 -0.081 -0.072 -0.077 -0.055 -0.030 -0.030 -0.024 0.005 0.001 0.001 0.001 0.001 0.001 0.001 BOKA NA Equity BOSKALIS WESTMINSTER Industrials 29.16 4.25% 14.05.2013 20.99 21.23 21.77 23.04 -0.140 -0.198 -0.205 -0.161 0.024 0.009 0.007 0.004 EGPW IM Equity ENEL GREEN POWER SPA Utilities 1.37 2.08% 20.05.2013 32.75 33.33 33.50 33.18 32.95 32.95 -0.315 -0.131 -0.091 -0.113 -0.100 -0.100 0.039 0.013 0.005 0.001 0.001 0.001 GN DC Equity GN STORE NORD A/S Health Care 90.35 0.51% 25.03.2013 30.04 27.85 27.82 29.61 -0.346 -0.289 -0.238 -0.132 0.035 0.010 0.004 0.001 MMB FP Equity LAGARDERE S.C.A. Consumer Discretionary 20.63 6.30% 20.05.2013 29.17 29.17 29.35 29.36 30.83 30.35 -0.225 -0.225 -0.213 -0.157 -0.073 -0.057 0.009 0.009 0.007 0.002 0.001 0.001 RMS FP Equity HERMES INTERNATIONAL Consumer Discretionary 217.25 1.08% 27.02.2013 EMG LN Equity MAN GROUP PLC Financials 92.80 14.71% 24.04.2013 54.39 53.33 52.57 48.90 -0.034 -0.034 -0.033 -0.019 0.004 0.003 0.002 -0.001 LSE LN Equity LONDON STOCK EXCHANGE GROUP Financials 973.00 3.15% 05.12.2012 24.70 24.70 24.45 23.81 -0.162 -0.162 -0.182 -0.219 0.003 0.003 0.003 0.003 POH1S FH Equity POHJOLA BANK PLC-A SHS Financials 10.84 4.61% 28.03.2013 HL/ LN Equity HARGREAVES LANSDOWN PLC Financials 740.00 3.43% 13.03.2013 MF FP Equity WENDEL Financials 62.94 2.22% 07.06.2013 37.43 32.92 33.10 36.31 37.88 37.11 -0.180 -0.202 -0.201 -0.193 -0.167 -0.183 0.012 0.006 0.004 0.002 0.002 0.002 LAD LN Equity LADBROKES PLC Consumer Discretionary 177.80 4.61% 13.03.2013 18.75 18.75 19.20 21.36 -0.025 -0.025 -0.043 -0.095 0.006 0.006 0.005 0.002 IGG LN Equity IG GROUP HOLDINGS PLC Financials 456.50 5.26% 23.01.2013 POP SQ Equity BANCO POPULAR ESPANOL Financials 1.29 27.12.2012 70.88 71.34 68.54 59.53 51.77 50.76 51.06 0.018 -0.004 -0.119 -0.487 -0.771 -0.674 -0.685 0.000 0.000 0.003 0.010 0.012 0.010 0.009 DUFN SE Equity DUFRY AG-REG Consumer Discretionary 117.80 16.05.2013 35.14 35.04 34.91 34.61 34.42 34.13 -0.031 -0.010 -0.006 -0.012 -0.055 -0.029 0.005 0.000 0.000 0.000 0.001 0.001 GJF NO Equity GJENSIDIGE FORSIKRING ASA Financials 81.80 7.09% 26.04.2013 21.09 21.09 21.66 22.20 -0.180 -0.180 -0.175 -0.118 0.007 0.007 0.006 0.002 TNET BB Equity TELENET GROUP HOLDING NV Telecommunication Services 35.78 11.88% 27.08.2013 15.35 13.50 13.44 15.32 16.90 16.90 -0.375 -0.163 -0.120 -0.072 -0.078 -0.078 0.020 0.010 0.008 0.004 0.003 0.003 TRELB SS Equity TRELLEBORG AB-B SHS Industrials 70.85 3.88% 22.04.2013 33.47 30.72 28.70 29.31 30.02 -0.113 -0.202 -0.197 -0.123 0.076 0.025 0.010 0.006 0.002 0.001 RTO LN Equity RENTOKIL INITIAL PLC Industrials 88.50 2.56% 03.04.2013 24.82 24.82 24.14 22.69 -0.073 -0.073 -0.087 -0.111 0.005 0.005 0.004 0.002 HLMA LN Equity HALMA PLC Information Technology 417.30 2.50% 02.01.2013 PC IM Equity PIRELLI & C. Consumer Discretionary 8.32 4.09% 20.05.2013 31.77 32.08 32.02 31.29 31.74 31.74 -0.277 -0.272 -0.235 -0.168 -0.093 -0.093 0.023 0.006 0.003 0.002 0.001 0.001 SOW GY Equity SOFTWARE AG Information Technology 31.24 1.50% 06.05.2013 34.57 36.45 37.08 37.70 38.26 37.76 38.21 -0.335 -0.207 -0.172 -0.152 -0.157 -0.173 -0.183 0.012 0.005 0.004 0.002 0.002 0.002 0.003 ADP FP Equity ADP Industrials 61.00 3.05% 13.05.2013 18.65 18.71 18.69 18.53 18.86 18.72 0.015 0.015 0.006 0.009 0.016 0.007 0.016 0.002 0.000 0.000 0.000 0.000 AFR LN Equity AFREN PLC Energy 140.80 FPE3 GY Equity FUCHS PETROLUB AG -PREF Materials 53.11 2.01% 09.05.2013 22.20 22.54 23.08 24.00 24.23 24.95 25.46 -0.392 -0.300 -0.269 -0.192 -0.123 -0.145 -0.148 0.012 0.005 0.003 0.001 0.002 0.002 0.002 LONN VX Equity LONZA GROUP AG-REG Health Care 46.63 4.61% 15.04.2013 29.16 27.49 27.10 26.70 27.45 27.79 0.062 0.005 -0.033 -0.056 -0.001 -0.066 0.015 0.007 0.005 0.002 0.001 0.001 INCH LN Equity INCHCAPE PLC Consumer Discretionary 354.50 3.55% 15.05.2013 SZU GY Equity SUEDZUCKER AG Consumer Staples 28.83 2.78% 02.08.2013 19.56 20.75 21.52 22.82 23.93 23.78 23.78 -0.326 -0.194 -0.160 -0.135 -0.072 -0.065 -0.042 0.020 0.005 0.002 0.002 0.001 0.002 0.003 CAPC LN Equity CAPITAL & COUNTIES PROPERTIE Financials 231.00 0.67% 15.05.2013 KAZ LN Equity KAZAKHMYS PLC Materials 707.00 2.63% 17.04.2013 43.98 43.98 43.58 41.99 -0.220 -0.220 -0.208 -0.134 0.003 0.003 0.002 0.001 SPX LN Equity SPIRAX-SARCO ENGINEERING PLC Industrials 1941.00 2.86% 17.04.2013 WDI GY Equity WIRECARD AG Information Technology 17.88 0.67% 24.06.2013 30.99 30.73 31.39 33.35 33.58 33.67 33.91 -0.057 -0.053 -0.050 -0.048 -0.025 -0.033 -0.021 0.003 0.000 0.000 0.000 0.000 0.000 0.000 CPR IM Equity DAVIDE CAMPARI-MILANO SPA Consumer Staples 6.48 1.16% 20.05.2013 27.86 27.51 27.41 27.38 27.73 27.57 0.003 0.006 0.003 0.006 0.004 0.006 0.001 0.000 0.000 0.000 0.000 0.001 Stoxx 600 Index RHK GY Equity RHOEN-KLINIKUM AG Health Care 15.22 2.96% 13.06.2013 32.88 33.47 33.35 31.93 32.52 33.00 33.94 -0.036 -0.047 -0.040 -0.008 0.060 0.044 0.039 0.013 0.006 0.004 0.002 0.001 0.000 0.001 SBMO NA Equity SBM OFFSHORE NV Energy 10.71 6.07% 14.05.2013 40.04 38.70 38.18 37.36 39.48 31.64 31.20 -0.092 -0.111 -0.117 -0.004 0.288 0.347 0.454 0.013 0.005 0.004 0.002 -0.003 0.012 0.016 CKSN LN Equity COOKSON GROUP PLC Industrials 535.50 4.54% 01.05.2013 SECUB SS Equity SECURITAS AB-B SHS Industrials 49.56 6.56% 06.05.2013 25.41 24.09 22.98 24.71 28.68 -0.205 -0.182 -0.164 -0.111 0.115 0.056 0.026 0.015 0.005 -0.002 PSM GY Equity PROSIEBEN SAT.1 MEDIA AG-PRF Consumer Discretionary 21.98 6.19% 16.05.2013 28.02 28.45 28.47 28.32 31.40 27.80 31.44 -0.189 -0.051 -0.026 0.069 -0.027 0.086 0.034 0.012 0.001 0.000 -0.001 0.000 0.002 0.001 MEDAA SS Equity MEDA AB-A SHS Health Care 66.90 3.29% 06.05.2013 25.26 22.95 21.91 23.21 -0.550 -0.329 -0.226 -0.026 0.042 0.020 0.011 0.004 NUO NA Equity NUTRECO NV Consumer Staples 57.88 3.72% 02.04.2013 18.96 16.91 16.83 17.74 -0.219 -0.230 -0.221 -0.148 0.023 0.014 0.010 0.005 RCO FP Equity REMY COINTREAU Consumer Staples 86.50 1.62% 02.08.2013 25.73 25.70 25.66 25.57 26.42 26.29 -0.010 -0.013 -0.009 0.005 -0.005 0.002 0.003 0.000 0.000 0.000 0.000 0.000 MHG NO Equity MARINE HARVEST Consumer Staples 4.85 83.78 83.78 76.27 0.855 0.855 0.521 -0.002 -0.002 0.005 DCC ID Equity DCC PLC Industrials 21.50 3.99% 14.11.2012 19.87 19.79 19.92 19.88 20.16 17.93 0.207 0.061 -0.011 -0.098 -0.123 -0.019 0.015 0.003 0.002 0.001 0.002 0.005 BOSS GY Equity HUGO BOSS AG -ORD Consumer Discretionary 73.30 4.50% 06.05.2013 33.93 34.33 35.20 36.85 38.36 37.57 39.22 -0.269 -0.207 -0.189 -0.108 0.002 0.016 0.054 0.008 0.003 0.002 0.002 0.000 -0.001 -0.001 IAG LN Equity INTL CONSOLIDATED AIRLINE-DI Industrials 155.20 06.03.2013 33.62 33.47 33.10 32.61 -0.058 -0.092 -0.092 -0.068 0.002 0.003 0.002 0.000 GPOR LN Equity GREAT PORTLAND ESTATES PLC Financials 457.80 1.88% 21.11.2012 CAST SS Equity CASTELLUM AB Financials 88.30 4.42% 29.03.2013 GAM SE Equity GAM HOLDING AG Financials 12.45 4.18% 19.04.2013 24.33 25.08 25.64 26.37 27.94 27.14 -0.231 -0.220 -0.224 -0.199 -0.117 -0.095 0.025 0.011 0.007 0.003 0.003 0.003 DMGT LN Equity DAILY MAIL&GENERAL TST-A NV Consumer Discretionary 477.50 3.85% 28.11.2012 DEB LN Equity DEBENHAMS PLC Consumer Discretionary 111.00 2.88% 05.12.2012 IM NA Equity ROYAL IMTECH NV Industrials 20.77 3.76% 11.04.2013 26.07 25.15 25.01 26.04 -0.293 -0.304 -0.297 -0.221 0.014 0.010 0.009 0.005 ORNBV FH Equity ORION OYJ-CLASS B Health Care 18.07 6.64% 01.04.2013 ALU FP Equity ALCATEL-LUCENT Information Technology 0.75 10.06.2013 87.83 72.61 67.71 64.79 61.68 57.73 54.89 -0.654 -0.399 -0.267 -0.066 -0.165 -0.028 -0.013 0.018 0.015 0.014 0.002 0.001 -0.002 -0.001 MTGB SS Equity MODERN TIMES GROUP-B SHS Consumer Discretionary 281.50 3.41% 20.05.2013 30.28 60.53 65.54 61.37 0.069 0.009 0.000 0.000 0.001 0.000 0.000 0.000 BMPS IM Equity BANCA MONTE DEI PASCHI SIENA Financials 0.24 20.05.2013 50.24 50.68 50.97 52.84 55.69 51.25 49.82 -0.242 -0.179 -0.173 -0.276 -0.502 -0.950 -1.250 0.020 0.009 0.007 0.001 0.001 0.008 0.010 YTY1V FH Equity YIT OYJ Industrials 15.36 4.56% 14.03.2013 30.79 31.19 31.49 -0.199 -0.177 -0.142 0.007 0.003 0.002 FDR FP Equity FONCIERE DES REGIONS Financials 60.97 7.05% 13.05.2013 18.63 18.71 18.78 18.83 20.26 19.13 -0.072 -0.034 -0.021 0.003 0.006 -0.031 0.019 0.004 0.001 0.000 0.000 0.001 BOK LN Equity BOOKER GROUP PLC Consumer Staples 96.05 2.55% 31.10.2012 FGR FP Equity EIFFAGE Industrials 26.35 4.55% 26.04.2013 46.73 46.36 46.32 46.46 48.84 47.57 -0.024 -0.011 -0.007 0.005 0.004 -0.031 0.006 0.000 0.000 0.000 0.000 0.001 RXL FP Equity REXEL SA Industrials 15.51 4.51% 24.05.2013 AVV LN Equity AVEVA GROUP PLC Information Technology 2028.00 1.20% 02.01.2013 HELN SE Equity HELVETIA HOLDING AG-REG Financials 337.75 5.03% 09.05.2013 24.42 24.31 24.25 23.92 24.89 23.74 -0.095 -0.086 -0.088 -0.082 -0.066 -0.070 0.005 0.001 0.001 0.001 0.001 0.001 GFC FP Equity GECINA SA Financials 80.42 5.47% 19.04.2013 22.08 22.10 22.10 22.43 23.98 22.92 -0.030 0.003 0.008 0.000 -0.033 -0.076 0.006 0.000 0.000 0.000 0.000 0.002 DL NA Equity DELTA LLOYD NV Financials 12.67 8.52% 27.05.2013 24.43 24.29 24.75 25.54 26.04 26.04 -0.212 -0.284 -0.286 -0.200 -0.131 -0.131 0.028 0.009 0.006 0.004 0.003 0.003 SHB LN Equity SHAFTESBURY PLC Financials 538.00 2.33% 23.01.2013 BKIR ID Equity BANK OF IRELAND Financials 0.10 27.02.2013 46.24 48.50 48.60 46.58 44.21 43.66 -0.226 -0.168 -0.094 0.066 0.084 0.044 0.037 0.001 -0.006 -0.006 -0.002 0.001 FNC IM Equity FINMECCANICA SPA Industrials 4.24 20.05.2013 41.23 41.37 41.32 41.30 41.67 41.67 -0.071 -0.162 -0.166 -0.140 -0.127 -0.127 0.012 0.007 0.006 0.002 0.001 0.001 OTE1V FH Equity OUTOTEC OYJ Industrials 38.65 3.11% 26.03.2013 ASHM LN Equity ASHMORE GROUP PLC Financials 365.90 4.16% 06.03.2013 WDH DC Equity WILLIAM DEMANT HOLDING Health Care 524.00 JYSK DC Equity JYSKE BANK-REG Financials 170.00 GNK LN Equity GREENE KING PLC Consumer Discretionary 603.00 4.36% 19.12.2012 QQ/ LN Equity QINETIQ GROUP PLC Industrials 197.80 1.62% 16.01.2013 VIS SQ Equity VISCOFAN SA Consumer Staples 35.90 3.01% 24.12.2012 BARN SE Equity BARRY CALLEBAUT AG-REG Consumer Staples 899.50 1.72% 27.02.2013 19.02 18.67 18.52 18.66 18.59 18.72 -0.065 -0.059 -0.047 -0.022 -0.016 -0.010 0.002 0.002 0.002 0.001 0.001 0.002 HGG LN Equity HENDERSON GROUP PLC Financials 116.10 6.24% 01.05.2013 BPE IM Equity BANCA POPOL EMILIA ROMAGNA Financials 4.75 2.11% 20.05.2013 60.12 60.46 60.51 60.82 62.66 61.39 -0.009 0.001 0.003 -0.024 -0.074 -0.109 0.002 0.000 0.000 0.000 0.000 0.002 NDA GY Equity AURUBIS AG Materials 46.83 2.67% 01.03.2013 22.17 23.15 23.19 24.28 26.28 26.66 26.41 -0.220 -0.133 -0.128 -0.133 -0.118 -0.100 -0.077 0.010 0.002 0.002 0.002 0.003 0.003 0.003 ING FP Equity INGENICO Information Technology 38.75 1.29% 06.05.2013 FRA GY Equity FRAPORT AG Industrials 44.44 2.81% 03.06.2013 24.26 23.82 23.89 24.20 25.16 25.28 25.80 -0.358 -0.324 -0.301 -0.220 -0.146 -0.129 -0.129 0.010 0.007 0.006 0.003 0.002 0.002 0.002 CLLN LN Equity CARILLION PLC Industrials 293.00 6.01% 15.05.2013 TOP DC Equity TOPDANMARK A/S Financials 1163.00 HUSQB SS Equity HUSQVARNA AB-B SHS Consumer Discretionary 33.41 4.49% 06.05.2013 33.67 31.66 30.04 30.91 33.19 -0.650 -0.653 -0.857 -0.112 0.030 0.068 0.033 0.031 -0.001 0.000 CNP FP Equity CNP ASSURANCES Financials 10.78 7.14% 10.05.2013 29.19 29.19 29.15 28.96 29.44 29.44 -0.236 -0.236 -0.221 -0.164 -0.045 -0.045 0.003 0.003 0.003 0.002 0.000 0.000 RHM GY Equity RHEINMETALL AG Industrials 38.27 4.76% 15.05.2013 31.56 31.69 32.20 33.26 34.10 32.36 33.31 -0.235 -0.193 -0.199 -0.205 -0.195 -0.217 -0.229 0.006 0.002 0.002 0.002 0.002 0.003 0.004 ICAD FP Equity ICADE Financials 66.61 5.40% 18.04.2013 20.70 20.38 20.38 20.62 21.80 21.82 -0.211 -0.055 -0.017 0.001 -0.007 -0.038 0.013 0.002 0.000 0.000 0.000 0.000 CBG LN Equity CLOSE BROTHERS GROUP PLC Financials 866.00 8.26% 20.03.2013 FLTR LN Equity FILTRONA PLC Materials 555.00 2.31% 10.04.2013 ICP LN Equity INTERMEDIATE CAPITAL GROUP Financials 306.90 6.52% 05.12.2012 BES PL Equity BANCO ESPIRITO SANTO-REG Financials 0.68 08.04.2013 NK FP Equity IMERYS SA Materials 46.16 3.47% 06.05.2013 36.24 36.05 35.99 35.97 37.37 36.86 -0.028 0.004 0.005 0.000 0.011 -0.016 0.005 0.000 0.000 0.000 0.000 0.000 EZJ LN Equity EASYJET PLC Industrials 600.00 1.88% 28.02.2013 MAP SQ Equity MAPFRE SA Financials 2.16 6.95% 14.12.2012 45.70 40.84 38.44 36.76 29.15 29.00 28.44 -0.265 -0.228 -0.208 -0.256 -0.133 -0.147 -0.107 0.004 0.005 0.004 -0.001 -0.001 0.000 0.000 SGC LN Equity STAGECOACH GROUP PLC Industrials 280.10 3.03% 06.02.2013 KESBV FH Equity KESKO OYJ-B SHS Consumer Staples 22.19 6.08% 02.04.2013 GIB GY Equity GSW IMMOBILIEN AG Financials 31.18 2.89% 01.07.2013 25.76 25.68 25.78 25.83 25.87 25.82 26.13 -0.204 -0.092 -0.071 -0.080 -0.098 -0.092 -0.093 0.012 0.001 0.000 0.001 0.001 0.001 0.001 BTG LN Equity BTG PLC Health Care 365.00 NEO FP Equity NEOPOST SA Information Technology 42.51 9.18% 12.12.2012 36.38 37.45 37.42 37.62 39.46 40.22 0.020 -0.007 -0.006 0.007 -0.073 -0.095 0.002 0.000 0.000 0.000 0.001 0.002 VCT LN Equity VICTREX PLC Materials 1400.00 2.49% 06.02.2013 BWY LN Equity BELLWAY PLC Consumer Discretionary 968.50 2.20% 22.05.2013 PMI IM Equity BANCA POPOLARE DI MILANO Financials 0.45 20.05.2013 67.13 70.16 70.35 67.71 64.79 64.79 -0.289 -0.329 -0.303 -0.200 -0.185 -0.185 0.013 0.005 0.003 0.001 0.002 0.002 HTG LN Equity HUNTING PLC Energy 790.00 2.24% 05.06.2013 VED LN Equity VEDANTA RESOURCES PLC Materials 1092.00 3.24% 14.11.2012 49.97 49.97 49.41 47.92 -0.146 -0.146 -0.161 -0.184 0.001 0.001 0.001 0.002 AF FP Equity AIR FRANCE-KLM Industrials 5.67 16.07.2013 45.21 42.22 40.82 38.95 38.47 39.24 36.67 -0.231 -0.221 -0.216 -0.164 -0.140 -0.134 -0.188 0.014 0.008 0.006 0.003 0.003 0.004 0.008 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M UTDI GY Equity UNITED INTERNET AG-REG SHARE Information Technology 15.60 1.92% 03.06.2013 21.99 21.80 22.06 23.52 26.29 26.26 26.85 -0.010 -0.191 -0.224 -0.177 -0.126 -0.130 -0.129 0.013 0.008 0.007 0.002 0.001 0.001 0.001 PARG SE Equity PARGESA HOLDING SA-BR Financials 64.40 4.66% 09.05.2013 17.34 17.02 16.90 16.83 17.74 17.46 -0.281 -0.200 -0.186 -0.192 -0.206 -0.221 0.016 0.005 0.003 0.003 0.003 0.003 BPSO IM Equity BANCA POPOLARE DI SONDRIO Financials 4.60 3.26% 22.04.2013 44.69 44.94 44.89 45.25 47.67 45.86 -0.002 0.016 0.011 -0.034 -0.083 -0.133 0.003 0.000 0.000 0.000 0.000 0.002 ACKB BB Equity ACKERMANS & VAN HAAREN Financials 62.83 2.75% 31.05.2013 TKA AV Equity TELEKOM AUSTRIA AG Telecommunication Services 5.68 0.88% 23.05.2013 28.97 26.65 26.06 25.74 27.08 24.40 0.307 0.183 0.080 -0.071 0.366 0.476 0.044 0.019 0.012 0.002 -0.003 -0.002 RATOB SS Equity RATOS AB-B SHS Financials 57.55 9.56% 08.04.2013 UG FP Equity PEUGEOT SA Consumer Discretionary 5.80 05.06.2013 55.72 53.24 52.26 50.92 50.83 53.96 55.62 -0.227 -0.184 -0.160 -0.133 -0.189 -0.153 -0.397 0.018 0.008 0.006 0.003 0.001 -0.001 -0.007 ULE LN Equity ULTRA ELECTRONICS HLDGS PLC Industrials 1633.00 2.65% 10.04.2013 STB NO Equity STOREBRAND ASA Financials 29.78 3.69% 11.04.2013 53.68 53.68 53.62 53.45 -0.280 -0.280 -0.252 -0.175 0.008 0.008 0.005 -0.003 SK FP Equity SEB SA Consumer Discretionary 52.79 2.46% 15.05.2013 28.25 28.13 28.12 28.12 28.94 28.54 -0.011 0.009 0.009 0.007 0.003 0.001 0.006 -0.001 -0.001 0.000 0.000 0.000 SAZ GY Equity STADA ARZNEIMITTEL AG Health Care 23.28 2.79% 06.06.2013 36.22 34.25 33.43 31.98 33.15 32.65 33.89 0.032 0.015 -0.014 -0.060 -0.042 -0.021 0.005 0.015 0.008 0.007 0.003 0.001 0.000 0.000 SPR GY Equity AXEL SPRINGER AG Consumer Discretionary 33.30 5.26% 18.04.2013 21.78 21.57 21.33 20.88 22.32 22.85 24.14 0.049 -0.045 -0.062 -0.025 -0.034 -0.071 -0.089 0.014 0.003 0.001 0.000 0.000 0.000 0.000 AALB NA Equity AALBERTS INDUSTRIES NV Industrials 14.34 2.44% 29.04.2013 20.52 21.06 21.52 22.52 -0.240 -0.149 -0.132 -0.111 0.032 0.011 0.006 0.003 ZOT SQ Equity ZARDOYA OTIS SA Industrials 9.01 5.55% 12.12.2012 NES1V FH Equity NESTE OIL OYJ Energy 10.58 3.78% 15.04.2013 34.08 33.76 33.94 34.18 -0.235 -0.135 -0.116 -0.111 0.010 0.002 0.001 0.001 ELE SQ Equity ENDESA SA Utilities 16.10 6.40% 03.01.2013 30.57 29.41 29.72 28.40 28.35 28.07 29.13 -0.080 -0.055 -0.041 -0.028 -0.012 0.046 0.061 0.003 0.001 0.001 0.001 0.001 0.001 -0.002 DEQ GY Equity DEUTSCHE EUROSHOP AG Financials 30.81 3.57% 21.06.2013 21.47 21.83 21.94 20.70 22.25 21.17 21.79 -0.313 -0.221 -0.199 -0.127 -0.148 -0.084 -0.088 0.012 0.005 0.004 0.003 0.003 0.002 0.003 MPI LN Equity MICHAEL PAGE INTERNATIONAL Industrials 359.30 2.85% 01.05.2013 RBI AV Equity RAIFFEISEN BANK INTERNATIONA Financials 31.69 3.31% 03.07.2013 34.58 38.36 38.98 38.10 37.25 42.99 -0.692 -0.289 -0.186 -0.094 0.257 0.588 0.039 0.008 0.003 0.004 -0.011 -0.005 CFAO FP Equity CFAO Consumer Discretionary 37.24 MTO LN Equity MITIE GROUP PLC Industrials 296.70 3.45% 12.12.2012 COFB BB Equity COFINIMMO Financials 88.06 7.38% 29.04.2013 13.73 13.67 13.66 13.66 14.87 13.90 -0.065 -0.056 -0.051 -0.011 0.010 -0.013 0.010 0.009 0.007 0.000 0.000 0.001 TT/ LN Equity TUI TRAVEL PLC Consumer Discretionary 248.50 4.79% 06.03.2013 HIK LN Equity HIKMA PHARMACEUTICALS PLC Health Care 755.00 1.23% 17.04.2013 VIG AV Equity VIENNA INSURANCE GROUP AG Financials 33.56 3.58% 13.05.2013 24.13 25.68 26.30 26.40 27.15 30.96 -0.378 -0.199 -0.186 -0.113 0.455 0.626 0.072 0.026 0.014 0.006 0.000 -0.005 DLAR LN Equity DE LA RUE PLC Industrials 1050.00 4.03% 12.12.2012 FNTN GY Equity FREENET AG Telecommunication Services 12.86 9.33% 10.05.2013 16.18 17.34 17.95 18.86 20.92 17.66 18.27 -0.207 -0.197 -0.185 -0.112 -0.055 -0.039 -0.029 0.035 0.014 0.008 0.003 0.001 0.003 0.004 HAS LN Equity HAYS PLC Industrials 79.70 3.14% 27.02.2013 OERL SE Equity OC OERLIKON CORP AG-REG Industrials 9.11 32.68 32.25 32.13 32.86 34.41 34.45 -0.220 -0.165 -0.160 -0.177 -0.185 -0.226 0.017 0.005 0.004 0.001 -0.001 0.000 ELM LN Equity ELEMENTIS PLC Materials 228.00 2.16% 01.05.2013 TRYG DC Equity TRYG A/S Financials 381.80 3.54% 19.04.2013 22.57 21.27 21.34 22.77 -0.171 -0.057 -0.032 -0.001 0.007 0.001 0.001 0.000 RCF FP Equity TELEPERFORMANCE Industrials 23.61 2.33% 03.06.2013 26.63 26.59 26.57 26.19 26.31 26.63 -0.195 -0.018 0.012 0.020 0.048 0.061 0.011 0.001 0.000 0.000 0.000 0.000 JLT LN Equity JARDINE LLOYD THOMPSON GROUP Financials 775.50 3.38% 03.04.2013 PZC LN Equity PZ CUSSONS PLC Consumer Staples 317.80 2.30% 20.02.2013 PNL NA Equity POSTNL NV Industrials 2.83 11.97% 23.04.2013 42.13 43.26 43.37 39.61 34.21 34.21 34.21 -0.271 -0.189 -0.157 -0.025 0.169 0.169 0.169 0.031 0.012 0.008 0.005 0.004 0.004 0.004 EMSN SE Equity EMS-CHEMIE HOLDING AG-REG Materials 212.40 GCC ID Equity C&C GROUP PLC Consumer Staples 3.79 2.40% 31.10.2012 27.75 27.80 28.94 31.69 31.37 30.67 -0.184 -0.136 -0.158 -0.255 -0.230 -0.246 0.027 0.008 0.003 0.000 0.001 0.002 EBRO SQ Equity EBRO FOODS SA Consumer Staples 14.30 3.46% 11.01.2013 35.45 32.86 31.25 26.69 23.24 18.80 18.51 -0.116 -0.106 -0.100 -0.084 -0.029 0.093 0.124 0.001 0.002 0.002 0.002 0.001 0.001 0.001 SPT LN Equity SPIRENT COMMUNICATIONS PLC Information Technology 150.50 1.38% 06.03.2013 GXI GY Equity GERRESHEIMER AG Health Care 38.98 1.80% 19.04.2013 18.11 19.19 20.14 22.36 25.31 24.98 25.31 -0.028 -0.143 -0.180 -0.163 -0.117 -0.093 -0.080 0.019 0.006 0.005 0.003 0.002 0.002 0.002 AMEAS FH Equity AMER SPORTS OYJ Consumer Discretionary 10.27 3.89% 11.03.2013 SOF BB Equity SOFINA Financials 64.99 3.22% 29.04.2013 15.45 15.27 15.22 15.21 15.73 15.56 0.002 0.003 0.001 -0.002 0.001 -0.004 0.013 0.003 0.001 0.000 0.000 0.000 SZG GY Equity SALZGITTER AG Materials 31.59 1.42% 23.05.2013 38.15 36.98 36.65 36.16 36.57 37.25 38.14 -0.324 -0.268 -0.248 -0.202 -0.134 -0.103 -0.082 0.013 0.005 0.003 0.002 0.001 0.001 0.000 IMG LN Equity IMAGINATION TECH GROUP PLC Information Technology 477.80 BCVN SE Equity BANQUE CANTONALE VAUDOIS-REG Financials 499.75 4.40% 07.05.2013 23.87 23.91 23.93 23.84 24.76 23.99 -0.045 -0.005 -0.002 0.005 0.025 0.018 0.005 0.000 0.000 0.000 0.000 0.001 RF FP Equity EURAZEO Financials 35.76 3.36% 16.05.2013 35.30 35.19 35.14 35.04 36.42 35.56 -0.014 0.000 -0.002 -0.001 0.005 -0.015 0.007 0.000 0.000 0.000 0.000 0.001 KCR1V FH Equity KONECRANES OYJ Industrials 23.26 4.30% 05.04.2013 BME SQ Equity BOLSAS Y MERCADOS ESPANOLES Financials 16.77 15.50% 21.12.2012 33.36 31.14 31.15 25.59 15.38 34.01 40.67 -0.144 -0.257 -0.244 -0.034 0.615 -0.067 -0.103 0.000 0.005 0.005 0.002 -0.004 -0.003 -0.004 TRE SQ Equity TECNICAS REUNIDAS SA Energy 37.04 3.62% 21.01.2013 34.62 33.93 33.22 32.31 31.96 31.72 31.80 -0.144 -0.186 -0.168 -0.109 -0.091 -0.092 -0.087 0.000 0.000 -0.001 -0.002 -0.002 -0.002 -0.003 VATN SE Equity VALIANT HOLDING AG-REG Financials 88.85 3.60% 24.05.2013 26.45 26.52 26.53 26.57 27.68 27.57 -0.036 -0.001 0.000 -0.005 -0.009 -0.032 0.003 0.000 0.000 0.000 0.000 0.000 ANA SQ Equity ACCIONA SA Utilities 45.05 6.88% 21.01.2013 41.89 41.01 39.83 35.20 34.12 32.12 33.06 -0.236 -0.262 -0.242 -0.126 -0.088 -0.057 -0.114 0.000 0.000 0.001 0.002 0.002 0.002 0.003 CLS1 GY Equity CELESIO AG Health Care 14.95 2.48% 17.05.2013 23.54 23.73 24.44 26.43 28.67 29.11 29.52 -0.397 -0.280 -0.233 -0.184 -0.120 -0.092 -0.073 0.017 0.008 0.006 0.003 0.002 0.002 0.002 KABN SE Equity KABA HOLDING AG-REG B Industrials 365.25 2.46% 25.10.2013 13.02 14.15 14.66 15.15 15.06 14.45 0.008 -0.041 -0.043 0.000 0.006 0.042 0.013 0.005 0.003 0.002 0.003 0.005 FI/N SE Equity FISCHER (GEORG)-REG Industrials 339.25 4.13% 24.06.2013 23.14 21.69 22.22 23.84 21.90 22.29 -0.092 -0.029 -0.046 -0.179 -0.094 -0.081 0.004 0.001 0.001 0.001 0.002 0.002 ALLN SE Equity ALLREAL HOLDING AG-REG Financials 138.40 4.25% 04.04.2013 Stoxx 600 Index MS IM Equity MEDIASET SPA Consumer Discretionary 1.63 3.08% 20.05.2013 46.44 45.86 45.25 43.47 42.13 42.13 -0.253 -0.142 -0.167 -0.188 -0.229 -0.229 0.022 0.002 0.002 0.004 0.003 0.003 LOGN SE Equity LOGITECH INTERNATIONAL-REG Information Technology 8.16 47.99 44.42 42.69 40.17 48.16 47.48 -0.368 -0.328 -0.366 -0.511 -0.479 -0.421 0.010 0.005 0.006 0.007 -0.005 -0.005 ECM LN Equity ELECTROCOMPONENTS PLC Information Technology 210.70 5.70% 05.12.2012 CWC LN Equity CABLE & WIRELESS COMMUNICATI Telecommunication Services 36.21 6.85% 14.11.2012 25.69 25.69 25.87 25.23 0.126 0.126 0.082 -0.097 0.004 0.004 0.006 0.015 VER AV Equity VERBUND AG Utilities 17.09 3.63% 19.04.2013 27.28 25.01 24.23 23.13 23.94 17.92 -0.314 -0.191 -0.160 -0.095 0.399 0.585 0.061 0.026 0.016 0.004 0.010 0.006 HUFVA SS Equity HUFVUDSTADEN AB-A SHS Financials 82.60 3.09% 22.03.2013 DEC FP Equity JC DECAUX SA Consumer Discretionary 16.97 2.89% 17.05.2013 33.14 33.50 33.60 33.90 35.41 33.84 -0.002 0.007 0.014 0.023 0.061 0.064 0.006 0.000 0.000 0.000 -0.001 0.000 BKIA SQ Equity BANKIA SA Financials 1.03 HOLMB SS Equity HOLMEN AB-B SHARES Materials 183.30 3.82% 28.03.2013 18.34 18.58 19.16 21.46 -0.094 -0.112 -0.118 -0.112 0.042 0.019 0.012 0.003 EXO IM Equity EXOR SPA Financials 20.73 1.69% 24.06.2013 23.65 25.32 26.11 27.20 -0.156 -0.192 -0.141 -0.076 0.011 0.001 0.001 0.000 JM SS Equity JM AB Consumer Discretionary 115.50 5.89% 29.04.2013 EVR LN Equity EVRAZ PLC Materials 242.30 7.68% 05.06.2013 FGP LN Equity FIRSTGROUP PLC Industrials 186.00 13.62% 02.01.2013 NCCB SS Equity NCC AB-B SHS Industrials 122.40 8.17% 10.04.2013 MOBN SE Equity MOBIMO HOLDING AG-REG Financials 216.00 4.17% 08.04.2013 NEX LN Equity NATIONAL EXPRESS GROUP PLC Industrials 205.80 4.98% 24.04.2013 ASM NA Equity ASM INTERNATIONAL NV Information Technology 25.06 37.92 37.58 37.84 38.75 0.144 0.029 -0.005 -0.057 0.009 0.004 0.002 0.001 BVIC LN Equity BRITVIC PLC Consumer Staples 355.70 5.03% 05.12.2012 KRA1V FH Equity KEMIRA OYJ Materials 10.22 4.89% 25.03.2013 HOT GY Equity HOCHTIEF AG Industrials 37.57 3.46% 13.05.2013 36.32 36.53 36.75 37.13 38.35 37.17 38.60 -0.385 -0.309 -0.270 -0.197 -0.174 -0.186 -0.180 0.008 0.004 0.003 0.002 0.001 0.001 0.001 ORI SS Equity ORIFLAME COSMETICS SA-SDR Consumer Staples 218.80 7.11% 22.05.2013 109.24 109.24 109.24 109.24 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LUNDB SS Equity LUNDBERGS AB-B SHS Financials 227.40 1.87% 09.04.2013 POG LN Equity PETROPAVLOVSK PLC Materials 440.00 2.73% 26.06.2013 SYDB DC Equity SYDBANK A/S Financials 106.90 1.40% 15.03.2013 ECMPA NA Equity EUROCOMMERCIAL PROPERTIE-CV Financials 30.88 6.22% 31.10.2013 BPTY LN Equity BWIN.PARTY DIGITAL ENTERTAIN Consumer Discretionary 116.30 3.15% 08.05.2013 BIM FP Equity BIOMERIEUX Health Care 70.40 1.55% 03.06.2013 16.89 16.90 16.86 16.81 17.08 17.02 0.047 0.009 -0.001 0.004 0.002 0.007 0.017 0.003 0.000 0.000 0.000 0.000 HAV FP Equity HAVAS SA Consumer Discretionary 4.10 3.17% 15.05.2013 30.08 30.08 31.96 36.66 -0.020 -0.020 -0.015 -0.004 0.004 0.004 0.004 0.002 WHA NA Equity WERELDHAVE NV Financials 45.36 7.06% 15.04.2013 20.54 20.06 20.22 20.30 21.14 21.14 21.14 -0.383 -0.307 -0.273 -0.186 -0.032 -0.032 -0.032 0.023 0.011 0.008 0.004 0.003 0.003 0.003 ENRC LN Equity EURASIAN NATURAL RESOURCES Materials 325.60 2.29% 27.03.2013 49.08 49.08 48.92 48.31 -0.047 -0.047 -0.080 -0.172 0.001 0.001 0.002 0.004 MAU FP Equity MAUREL ET PROM Energy 11.28 3.55% 17.06.2013 30.08 30.56 30.55 30.45 32.13 30.46 0.003 -0.008 -0.010 -0.004 -0.021 0.007 0.010 -0.001 -0.001 0.000 -0.001 0.000 WIN GY Equity WINCOR NIXDORF AG Information Technology 31.64 3.32% 22.01.2013 31.00 31.40 31.54 32.86 32.33 31.51 31.31 -0.390 -0.302 -0.278 -0.267 -0.196 -0.189 -0.187 0.013 0.005 0.003 0.001 0.001 0.003 0.003 SSABA SS Equity SSAB AB-A SHARES Materials 46.74 4.28% 27.03.2013 37.21 35.29 33.83 36.59 37.12 -0.288 -0.185 -0.154 -0.098 0.058 0.036 0.011 0.007 0.003 0.001 LMI LN Equity LONMIN PLC Materials 489.50 09.01.2013 46.32 46.32 46.57 46.44 -0.050 -0.050 -0.096 -0.201 -0.001 -0.001 -0.001 -0.002 ACX SQ Equity ACERINOX SA Materials 8.24 6.07% 07.01.2013 36.48 35.11 34.61 32.72 31.10 30.53 29.95 -0.131 -0.159 -0.143 -0.072 0.007 0.050 0.081 0.000 -0.001 -0.001 0.001 0.000 0.000 0.000 NOBN SE Equity NOBEL BIOCARE HOLDING AG-REG Health Care 8.77 2.28% 02.04.2013 37.26 35.28 34.65 34.96 35.17 36.97 37.32 -0.175 -0.141 -0.125 -0.117 -0.071 -0.123 -0.160 0.005 0.001 0.002 0.001 0.001 0.000 -0.001 AIXA GY Equity AIXTRON SE Information Technology 9.56 16.05.2013 43.84 43.78 43.17 41.35 41.30 39.61 39.87 -0.234 -0.206 -0.188 -0.172 -0.157 -0.207 -0.247 0.016 0.005 0.004 0.003 0.002 0.005 0.005 OPAP GA Equity OPAP SA Consumer Discretionary 4.22 16.35% 14.12.2012 64.63 64.63 64.63 64.63 -0.356 -0.356 -0.356 -0.356 -0.007 -0.007 -0.007 -0.007 GBB FP Equity BOURBON SA Energy 21.29 4.23% 03.06.2013 SGL GY Equity SGL CARBON SE Industrials 30.81 0.65% 13.05.2013 26.60 25.22 25.92 29.08 29.37 26.18 26.35 -0.261 -0.206 -0.206 -0.266 -0.339 -0.324 -0.362 0.009 0.008 0.007 0.002 0.003 0.007 0.007 LEO GY Equity LEONI AG Consumer Discretionary 26.20 6.11% 17.05.2013 38.84 39.01 38.46 36.13 40.16 39.02 41.00 -0.179 -0.213 -0.216 -0.158 -0.066 -0.039 -0.005 0.008 0.004 0.004 0.002 0.000 0.000 -0.001 STMN SE Equity STRAUMANN HOLDING AG-REG Health Care 117.60 3.19% 22.03.2013 30.26 27.32 27.22 28.12 25.69 25.07 -0.110 -0.073 -0.064 -0.071 -0.049 -0.048 0.009 0.006 0.005 0.002 0.001 0.002 WCH GY Equity WACKER CHEMIE AG Materials 46.21 2.08% 17.05.2013 35.02 37.74 39.35 42.95 44.13 36.91 38.45 -0.062 -0.323 -0.403 -0.540 -0.719 -0.961 -1.149 0.002 0.001 0.001 -0.003 0.000 0.010 0.012 PUM GY Equity PUMA SE Consumer Discretionary 224.35 0.89% 25.04.2013 21.53 21.36 21.34 21.49 21.69 21.25 21.48 -0.065 -0.025 -0.020 -0.019 -0.029 -0.034 -0.035 0.008 0.000 0.000 0.000 0.000 0.000 0.000 TOD IM Equity TOD'S SPA Consumer Discretionary 88.60 3.10% 20.05.2013 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 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

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Stoxx 600 Index - Dividends and Implied Volatility Surfaces Parameters

  • 1.
    16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M NESN VX Equity NESTLE SA-REG Consumer Staples 62.00 3.39% 24.04.2013 12.09 11.44 11.60 12.41 14.70 14.31 14.55 -0.153 -0.198 -0.203 -0.168 -0.125 -0.090 -0.077 0.035 0.021 0.016 0.008 0.003 0.002 0.002 HSBA LN Equity HSBC HOLDINGS PLC Financials 610.00 4.58% 20.03.2013 17.99 18.35 18.92 20.48 21.56 23.26 23.64 -0.229 -0.304 -0.302 -0.241 -0.131 -0.111 -0.101 0.019 0.013 0.009 0.005 0.004 0.001 0.000 NOVN VX Equity NOVARTIS AG-REG Health Care 58.65 4.26% 26.02.2013 12.05 11.79 11.06 10.17 13.14 12.92 12.43 -0.289 -0.214 -0.163 -0.085 -0.078 -0.037 0.001 0.042 0.022 0.016 0.008 0.003 0.002 0.001 ROG VX Equity ROCHE HOLDING AG-GENUSSCHEIN Health Care 184.50 4.07% 07.03.2013 14.17 13.61 13.54 14.39 16.77 17.44 17.25 -0.244 -0.233 -0.197 -0.096 -0.066 -0.018 0.006 0.029 0.016 0.012 0.006 0.003 0.003 0.004 VOD LN Equity VODAFONE GROUP PLC Telecommunication Services 173.05 5.89% 21.11.2012 16.20 17.06 17.33 17.67 18.67 19.27 18.88 -0.146 -0.276 -0.281 -0.204 -0.077 -0.086 -0.090 0.006 0.008 0.007 0.004 0.000 0.000 0.002 BP/ LN Equity BP PLC Energy 433.95 5.00% 07.11.2012 21.24 22.08 22.34 22.96 24.11 25.25 24.79 -0.199 -0.217 -0.205 -0.154 -0.074 -0.109 -0.110 0.005 0.005 0.005 0.002 0.000 0.001 0.001 RDSA NA Equity ROYAL DUTCH SHELL PLC-A SHS Energy 26.72 5.05% 14.11.2012 13.27 14.11 14.57 15.33 16.18 17.12 17.16 0.074 -0.139 -0.172 -0.129 -0.112 -0.104 -0.077 0.030 0.020 0.016 0.006 0.003 0.002 0.002 GSK LN Equity GLAXOSMITHKLINE PLC Health Care 1439.00 5.35% 14.11.2012 13.93 14.55 14.87 15.78 17.12 17.59 17.25 -0.210 -0.265 -0.242 -0.154 -0.125 -0.124 -0.117 0.004 0.009 0.009 0.005 0.002 0.002 0.001 FP FP Equity TOTAL SA Energy 39.07 6.07% 18.03.2013 19.80 19.24 19.67 20.52 20.96 19.39 18.83 -0.124 -0.212 -0.239 -0.219 -0.142 -0.038 -0.119 0.021 0.013 0.011 0.004 0.003 0.000 0.002 SAN FP Equity SANOFI Health Care 68.83 4.04% 10.05.2013 21.38 20.90 20.77 20.48 21.57 19.65 19.62 -0.185 -0.263 -0.267 -0.201 -0.140 -0.118 -0.108 0.022 0.009 0.007 0.004 0.002 0.002 0.002 BATS LN Equity BRITISH AMERICAN TOBACCO PLC Consumer Staples 3233.00 4.32% 06.03.2013 16.59 16.71 16.68 17.56 -0.179 -0.206 -0.190 -0.132 0.004 0.005 0.004 0.001 SIE GY Equity SIEMENS AG-REG Industrials 77.30 3.95% 24.01.2013 20.62 20.08 19.57 19.57 20.54 21.02 20.78 -0.251 -0.249 -0.228 -0.171 -0.158 -0.123 -0.085 0.024 0.012 0.009 0.005 0.002 0.002 0.002 BAS GY Equity BASF SE Materials 65.72 3.96% 29.04.2013 23.81 23.20 23.39 23.80 24.39 24.34 25.22 -0.400 -0.338 -0.301 -0.216 -0.130 -0.071 -0.059 0.022 0.010 0.007 0.003 0.001 0.000 0.000 SAN SQ Equity BANCO SANTANDER SA Financials 6.04 12.39% 17.10.2012 38.86 38.94 38.02 36.90 33.37 31.65 27.22 -0.335 -0.328 -0.296 -0.209 -0.062 0.160 0.353 0.002 -0.001 -0.001 0.001 0.001 -0.001 -0.002 BAYN GY Equity BAYER AG-REG Health Care 70.00 2.57% 29.04.2013 25.06 24.26 24.21 24.41 25.19 24.70 24.72 -0.365 -0.328 -0.301 -0.225 -0.164 -0.140 -0.115 0.024 0.011 0.008 0.003 0.002 0.002 0.002 DGE LN Equity DIAGEO PLC Consumer Staples 1792.00 2.68% 27.02.2013 16.40 16.33 16.65 17.99 19.27 20.07 19.97 -0.353 -0.343 -0.312 -0.227 -0.154 -0.121 -0.115 0.012 0.011 0.009 0.005 0.003 0.003 0.003 BG/ LN Equity BG GROUP PLC Energy 1326.00 1.28% 10.04.2013 24.65 24.36 24.58 25.74 25.90 26.02 -0.207 -0.188 -0.179 -0.155 -0.128 -0.128 0.013 0.009 0.006 0.003 0.002 0.002 NOVOB DC Equity NOVO NORDISK A/S-B Health Care 956.50 1.67% 21.03.2013 33.46 29.09 26.96 24.26 -0.154 -0.091 -0.058 -0.002 0.000 0.000 0.000 0.000 SAP GY Equity SAP AG Information Technology 55.56 1.51% 24.05.2013 22.60 20.94 20.63 20.92 22.43 23.00 23.41 -0.295 -0.279 -0.269 -0.231 -0.199 -0.173 -0.136 0.021 0.011 0.009 0.004 0.003 0.002 0.001 BLT LN Equity BHP BILLITON PLC Materials 1942.50 3.90% 04.03.2013 26.86 27.11 27.38 28.59 29.78 32.67 33.38 -0.308 -0.276 -0.248 -0.186 -0.124 -0.117 -0.115 0.007 0.006 0.004 0.002 0.001 0.000 0.000 ABI BB Equity ANHEUSER-BUSCH INBEV NV Consumer Staples 67.71 2.70% 24.04.2013 20.82 20.44 20.58 21.14 21.93 21.93 -0.248 -0.266 -0.254 -0.198 -0.121 -0.121 0.020 0.009 0.006 0.003 0.001 0.001 ENI IM Equity ENI SPA Energy 17.77 6.13% 20.05.2013 23.96 24.27 24.25 23.49 24.05 22.88 23.15 -0.383 -0.363 -0.332 -0.237 -0.181 -0.143 -0.128 0.019 0.006 0.003 0.002 0.001 0.002 0.002 RIO LN Equity RIO TINTO PLC Materials 3033.50 3.54% 27.02.2013 32.41 31.60 31.79 33.14 34.20 35.08 34.87 -0.319 -0.253 -0.224 -0.171 -0.129 -0.100 -0.086 0.007 0.006 0.004 0.001 0.002 0.001 0.001 AZN LN Equity ASTRAZENECA PLC Health Care 2909.50 6.29% 13.02.2013 15.87 15.66 15.62 16.72 17.97 20.16 20.63 -0.396 -0.348 -0.291 -0.186 -0.120 -0.132 -0.140 0.013 0.012 0.010 0.005 0.002 0.001 0.001 UNA NA Equity UNILEVER NV-CVA Consumer Staples 28.45 3.50% 07.11.2012 17.03 16.41 16.13 16.08 16.41 16.14 15.85 -0.282 -0.260 -0.232 -0.173 -0.108 -0.097 -0.063 0.025 0.013 0.010 0.005 0.002 0.004 0.003 ALV GY Equity ALLIANZ SE-REG Financials 94.92 4.85% 10.05.2013 20.08 20.85 21.38 21.89 23.70 22.12 22.16 -0.195 -0.225 -0.228 -0.184 -0.090 -0.098 -0.025 0.020 0.008 0.006 0.003 0.001 0.003 0.003 BNP FP Equity BNP PARIBAS Financials 40.42 3.46% 30.05.2013 36.04 35.85 35.76 35.18 36.12 36.27 35.79 -0.305 -0.288 -0.279 -0.229 -0.142 -0.147 -0.140 0.012 0.004 0.003 0.002 0.001 0.001 0.001 TEF SQ Equity TELEFONICA SA Telecommunication Services 10.49 07.11.2013 29.48 29.84 29.80 29.77 30.09 29.26 27.65 -0.191 -0.202 -0.203 -0.243 -0.229 -0.089 0.096 0.007 0.002 0.001 0.002 0.002 0.001 0.000 ULVR LN Equity UNILEVER PLC Consumer Staples 2345.00 3.44% 07.11.2012 14.88 14.88 15.12 16.05 16.56 16.56 -0.248 -0.248 -0.237 -0.194 -0.159 -0.159 0.010 0.010 0.009 0.005 0.004 0.004 DAI GY Equity DAIMLER AG-REGISTERED SHARES Consumer Discretionary 38.11 5.77% 11.04.2013 31.23 30.34 30.15 31.20 30.03 31.65 30.42 -0.186 -0.164 -0.161 -0.149 -0.078 -0.038 0.005 0.013 0.005 0.004 0.002 0.001 0.001 0.001 EOAN GY Equity E.ON AG Utilities 18.38 5.99% 03.05.2013 18.03 18.18 18.95 20.60 21.20 20.23 21.30 -0.257 -0.282 -0.283 -0.233 -0.135 -0.060 -0.051 0.036 0.016 0.011 0.004 0.002 0.003 0.003 UBSN VX Equity UBS AG-REG Financials 12.30 1.63% 22.04.2013 28.74 28.15 28.08 27.98 29.09 28.47 29.07 -0.383 -0.275 -0.239 -0.191 -0.120 -0.092 -0.067 0.028 0.014 0.010 0.004 0.002 0.003 0.004 STAN LN Equity STANDARD CHARTERED PLC Financials 1472.50 3.62% 06.03.2013 26.31 26.50 26.39 26.72 27.09 27.09 -0.170 -0.227 -0.220 -0.154 -0.120 -0.120 0.007 0.007 0.006 0.002 0.001 0.001 ABBN VX Equity ABB LTD-REG Industrials 17.81 4.49% 29.04.2013 22.83 21.94 21.84 22.04 23.79 23.82 25.13 -0.329 -0.278 -0.253 -0.178 -0.084 -0.049 -0.011 0.020 0.010 0.008 0.004 0.001 0.000 -0.001 BBVA SQ Equity BANCO BILBAO VIZCAYA ARGENTA Financials 6.24 6.72% 10.01.2013 41.25 40.54 40.54 38.95 40.01 40.38 41.78 -0.330 -0.241 -0.220 -0.199 -0.062 0.088 0.202 0.002 -0.001 -0.002 -0.002 -0.004 -0.007 -0.009 SAB LN Equity SABMILLER PLC Consumer Staples 2682.00 2.35% 05.12.2012 18.34 18.34 18.62 19.61 -0.214 -0.214 -0.206 -0.174 0.007 0.007 0.007 0.004 MC FP Equity LVMH MOET HENNESSY LOUIS VUI Consumer Discretionary 124.10 2.42% 22.04.2013 28.36 26.32 25.91 25.81 26.35 23.42 22.60 -0.272 -0.226 -0.205 -0.165 -0.117 -0.109 -0.125 0.013 0.006 0.005 0.002 0.001 0.002 0.002 NG/ LN Equity NATIONAL GRID PLC Utilities 703.00 5.81% 28.11.2012 15.01 14.82 14.98 15.66 16.21 -0.137 -0.163 -0.143 -0.074 -0.045 0.007 0.011 0.009 0.002 0.002 BARC LN Equity BARCLAYS PLC Financials 244.85 2.65% 07.11.2012 38.05 37.74 37.50 37.28 38.33 38.14 37.44 -0.352 -0.299 -0.273 -0.221 -0.145 -0.106 -0.094 0.006 0.008 0.007 0.002 0.001 0.003 0.004 DBK GY Equity DEUTSCHE BANK AG-REGISTERED Financials 34.15 2.20% 03.06.2013 41.05 39.08 37.97 35.65 35.26 34.19 34.38 -0.368 -0.327 -0.304 -0.240 -0.151 -0.103 -0.042 0.016 0.006 0.004 0.003 0.001 0.001 0.000 AAL LN Equity ANGLO AMERICAN PLC Materials 1804.50 2.68% 27.03.2013 37.67 36.79 36.62 37.15 37.60 39.09 39.73 -0.278 -0.259 -0.241 -0.196 -0.120 -0.095 -0.073 0.006 0.005 0.004 0.002 -0.001 -0.001 -0.002 AI FP Equity AIR LIQUIDE SA Materials 95.47 2.62% 13.05.2013 21.57 21.38 21.35 21.18 21.90 21.73 21.41 -0.154 -0.222 -0.237 -0.211 -0.151 -0.157 -0.132 0.018 0.011 0.009 0.004 0.002 0.002 0.002 RB/ LN Equity RECKITT BENCKISER GROUP PLC Consumer Staples 3673.00 3.59% 20.02.2013 15.83 15.83 15.90 16.72 17.40 17.40 -0.281 -0.281 -0.250 -0.146 -0.086 -0.086 0.009 0.009 0.008 0.004 0.002 0.002 ZURN VX Equity ZURICH INSURANCE GROUP AG Financials 244.50 7.16% 04.04.2013 17.80 17.23 17.36 18.65 18.02 18.72 18.69 -0.285 -0.297 -0.290 -0.239 -0.124 -0.089 -0.056 0.032 0.015 0.010 0.005 0.004 0.003 0.004 BN FP Equity DANONE Consumer Staples 48.46 3.10% 07.05.2013 23.98 21.76 21.23 20.23 20.50 19.93 19.78 -0.167 -0.228 -0.227 -0.175 -0.127 -0.188 -0.193 0.016 0.008 0.006 0.003 0.002 0.003 0.003 TSCO LN Equity TESCO PLC Consumer Staples 307.45 4.84% 24.04.2013 17.99 18.07 18.45 19.33 20.64 20.58 20.69 -0.062 -0.182 -0.200 -0.160 -0.077 -0.075 -0.059 0.001 0.005 0.006 0.004 0.000 0.000 0.000 IMT LN Equity IMPERIAL TOBACCO GROUP PLC Consumer Staples 2295.00 4.72% 16.01.2013 20.05 20.05 20.00 20.76 -0.140 -0.140 -0.115 -0.047 0.003 0.003 0.003 0.002 PRU LN Equity PRUDENTIAL PLC Financials 866.50 3.12% 27.03.2013 23.60 23.81 24.06 25.13 26.41 27.00 26.52 -0.244 -0.352 -0.343 -0.235 -0.151 -0.160 -0.123 0.008 0.008 0.007 0.004 0.002 0.003 0.002 DTE GY Equity DEUTSCHE TELEKOM AG-REG Telecommunication Services 9.03 7.75% 24.05.2013 26.30 24.33 23.85 22.29 21.88 21.59 21.76 -0.459 -0.357 -0.297 -0.165 -0.057 -0.036 0.039 0.040 0.016 0.009 0.003 0.002 0.001 0.001 SYNN VX Equity SYNGENTA AG-REG Materials 346.50 2.48% 22.04.2013 19.60 19.26 19.39 19.76 20.61 20.73 20.97 -0.461 -0.369 -0.320 -0.221 -0.140 -0.116 -0.099 0.020 0.011 0.008 0.004 0.002 0.001 0.001 INGA NA Equity ING GROEP NV-CVA Financials 6.88 25.04.2013 38.16 38.02 37.85 37.73 38.78 38.57 38.93 -0.339 -0.303 -0.297 -0.285 -0.234 -0.214 -0.161 0.021 0.007 0.005 0.003 0.001 0.002 0.002 SU FP Equity SCHNEIDER ELECTRIC SA Industrials 48.11 3.74% 13.05.2013 37.18 36.66 36.34 35.54 36.21 35.96 36.59 -0.242 -0.249 -0.243 -0.191 -0.137 -0.124 -0.105 0.013 0.005 0.004 0.001 0.001 -0.001 -0.001 CFR VX Equity CIE FINANCIERE RICHEMON-BR A Consumer Discretionary 59.95 1.03% 09.09.2013 29.87 28.82 28.55 28.41 28.66 28.79 -0.217 -0.207 -0.199 -0.164 -0.115 -0.100 0.010 0.004 0.003 0.002 0.001 0.002 HMB SS Equity HENNES & MAURITZ AB-B SHS Consumer Discretionary 234.60 4.05% 03.05.2013 16.77 17.90 18.23 19.16 19.44 -0.280 -0.135 -0.116 -0.131 -0.086 0.069 0.030 0.016 0.005 0.003 LIN GY Equity LINDE AG Materials 134.65 2.01% 30.05.2013 20.17 19.85 20.00 20.50 21.08 21.15 21.79 -0.286 -0.283 -0.272 -0.222 -0.147 -0.109 -0.098 0.021 0.011 0.008 0.004 0.003 0.002 0.001 Stoxx 600 Index GSZ FP Equity GDF SUEZ Utilities 17.62 3.80% 01.05.2013 21.15 21.21 21.55 22.12 23.23 25.46 25.35 -0.163 -0.192 -0.201 -0.170 -0.109 -0.136 -0.107 0.028 0.012 0.008 0.004 0.001 0.000 -0.002 OR FP Equity L'OREAL Consumer Staples 99.59 2.21% 29.04.2013 20.73 20.14 20.06 20.18 20.83 20.75 20.80 -0.113 -0.218 -0.235 -0.193 -0.149 -0.152 -0.134 0.019 0.009 0.007 0.003 0.002 0.003 0.003 CS FP Equity AXA SA Financials 12.17 6.00% 06.05.2013 32.94 32.72 32.55 31.48 32.48 30.61 29.28 -0.243 -0.292 -0.306 -0.264 -0.172 -0.131 -0.142 0.017 0.006 0.005 0.003 0.001 0.003 0.004 CSGN VX Equity CREDIT SUISSE GROUP AG-REG Financials 21.76 3.45% 09.05.2013 32.73 31.59 31.03 30.19 31.57 30.25 30.98 -0.179 -0.209 -0.219 -0.194 -0.111 -0.084 -0.064 0.020 0.008 0.005 0.003 0.001 0.002 0.002 LLOY LN Equity LLOYDS BANKING GROUP PLC Financials 42.43 06.03.2013 35.18 35.13 35.35 36.21 37.41 39.14 39.12 -0.155 -0.240 -0.259 -0.256 -0.135 -0.138 -0.156 0.010 0.001 0.000 0.004 0.003 0.002 0.001 BT/A LN Equity BT GROUP PLC Telecommunication Services 218.90 4.34% 19.12.2012 25.64 22.58 22.55 24.04 24.44 25.84 25.74 -0.321 -0.266 -0.229 -0.179 -0.077 -0.092 -0.095 0.005 0.009 0.008 0.002 -0.001 0.000 -0.001 CNA LN Equity CENTRICA PLC Utilities 335.90 5.03% 24.04.2013 15.11 15.11 15.36 15.99 16.49 16.51 -0.055 -0.055 -0.077 -0.126 -0.112 -0.122 0.013 0.013 0.011 0.005 0.001 0.001 STL NO Equity STATOIL ASA Energy 146.70 4.64% 16.05.2013 24.51 23.05 22.46 22.67 22.67 22.67 -0.010 -0.142 -0.165 -0.185 -0.185 -0.185 0.030 0.025 0.004 0.001 0.001 0.001 VOW3 GY Equity VOLKSWAGEN AG-PREF Consumer Discretionary 146.35 2.56% 19.04.2013 30.71 29.94 29.76 29.40 30.81 30.57 30.97 -0.266 -0.228 -0.219 -0.190 -0.138 -0.104 -0.084 0.014 0.006 0.005 0.003 0.001 0.001 0.001 ITX SQ Equity INDITEX Consumer Discretionary 98.26 1.83% 02.05.2013 28.68 28.16 27.55 25.93 25.25 24.71 24.41 -0.153 -0.156 -0.163 -0.183 -0.191 -0.182 -0.170 0.002 0.002 0.001 0.001 0.001 0.001 0.000 ERICB SS Equity ERICSSON LM-B SHS Information Technology 58.75 4.60% 10.04.2013 34.78 30.55 27.88 29.89 30.46 30.46 30.46 -0.091 -0.346 -0.225 -0.128 0.073 0.073 0.073 0.016 0.016 0.008 0.003 -0.001 -0.001 -0.001 VIV FP Equity VIVENDI Telecommunication Services 15.87 6.30% 06.05.2013 31.36 29.56 28.86 27.17 26.98 26.63 26.23 -0.251 -0.200 -0.187 -0.133 -0.014 -0.010 0.003 0.021 0.004 0.002 0.003 0.001 0.003 0.003 RR/ LN Equity ROLLS-ROYCE HOLDINGS PLC Industrials 884.00 2.23% 24.04.2013 19.12 19.12 19.68 21.40 -0.321 -0.321 -0.273 -0.132 0.010 0.010 0.008 0.003 MUV2 GY Equity MUENCHENER RUECKVER AG-REG Financials 126.90 5.12% 26.04.2013 16.56 17.01 17.76 19.23 20.47 19.58 20.22 -0.256 -0.255 -0.251 -0.211 -0.150 -0.116 -0.092 0.025 0.013 0.010 0.004 0.002 0.003 0.003 XTA LN Equity XSTRATA PLC Materials 959.60 2.78% 01.05.2013 33.07 33.27 33.74 34.49 35.61 34.89 34.91 -0.165 -0.207 -0.220 -0.214 -0.070 -0.090 -0.076 0.012 0.007 0.004 0.001 -0.001 0.000 0.000 GLE FP Equity SOCIETE GENERALE Financials 25.16 1.99% 31.05.2013 44.74 43.92 43.37 41.67 41.46 40.66 41.07 -0.344 -0.299 -0.279 -0.231 -0.185 -0.153 -0.151 0.012 0.005 0.004 0.002 0.002 0.003 0.003 BMW GY Equity BAYERISCHE MOTOREN WERKE AG Consumer Discretionary 60.64 4.29% 15.05.2013 30.16 29.55 29.54 29.16 29.88 29.15 29.65 -0.271 -0.255 -0.240 -0.189 -0.141 -0.120 -0.095 0.016 0.007 0.005 0.002 0.001 0.001 0.002 UCG IM Equity UNICREDIT SPA Financials 3.60 2.09% 20.05.2013 43.89 44.53 44.33 43.30 43.46 43.60 44.66 -0.381 -0.358 -0.330 -0.287 -0.263 -0.389 -0.439 0.012 0.003 0.002 0.002 0.002 0.001 0.001 NDA SS Equity NORDEA BANK AB Financials 63.50 3.94% 25.03.2013 27.10 25.58 24.41 30.99 27.53 27.53 -0.460 -0.354 -0.380 -0.300 -0.073 -0.073 0.052 0.025 0.017 0.003 -0.001 -0.001 SREN VX Equity SWISS RE AG Financials 65.85 5.16% 17.04.2013 20.02 19.84 19.96 20.02 21.08 21.64 23.27 -0.335 -0.286 -0.262 -0.201 -0.131 -0.095 -0.067 0.028 0.015 0.012 0.005 0.003 0.002 0.001 ENEL IM Equity ENEL SPA Utilities 2.92 4.97% 24.06.2013 26.99 26.93 26.93 26.91 27.11 27.32 27.19 -0.319 -0.321 -0.298 -0.239 -0.158 -0.155 -0.147 0.028 0.008 0.005 0.002 0.001 0.001 0.001 ISP IM Equity INTESA SANPAOLO Financials 1.32 4.56% 24.06.2013 43.33 43.22 43.11 43.49 42.03 42.95 45.51 -0.348 -0.331 -0.300 -0.294 -0.144 -0.185 -0.118 0.012 0.002 0.001 0.001 0.001 0.001 0.002 RI FP Equity PERNOD-RICARD SA Consumer Staples 88.54 1.86% 02.07.2013 20.79 20.64 20.75 21.29 21.97 23.13 22.82 -0.194 -0.265 -0.275 -0.238 -0.165 -0.111 -0.088 0.018 0.011 0.009 0.003 0.003 0.002 0.002 FTE FP Equity FRANCE TELECOM SA Telecommunication Services 9.40 12.23% 10.06.2013 28.83 27.25 26.47 24.14 18.58 29.24 29.16 -0.114 -0.188 -0.204 -0.157 0.070 0.177 0.309 0.023 0.011 0.008 0.005 0.005 -0.010 -0.013 PHIA NA Equity KONINKLIJKE PHILIPS ELECTRON Industrials 18.83 3.98% 02.05.2013 27.53 25.79 25.42 25.25 25.91 24.90 25.47 -0.235 -0.282 -0.281 -0.206 -0.122 -0.116 -0.087 0.018 0.008 0.006 0.003 0.001 0.002 0.002 DG FP Equity VINCI SA Industrials 34.39 5.23% 21.05.2013 28.56 28.43 28.52 28.27 29.97 29.13 29.65 -0.251 -0.242 -0.229 -0.178 -0.096 -0.157 -0.162 0.019 0.006 0.004 0.002 0.000 0.000 0.000 ASML NA Equity ASML HOLDING NV Information Technology 41.22 23.49% 26.04.2013 33.89 28.63 35.53 47.00 46.98 34.67 31.09 -0.175 1.003 0.875 0.344 0.178 1.025 1.000 0.007 -0.006 -0.009 -0.009 -0.003 -0.017 -0.010 RWE GY Equity RWE AG Utilities 35.31 5.66% 19.04.2013 18.46 19.84 20.40 20.76 22.66 22.27 23.32 -0.231 -0.279 -0.283 -0.222 -0.140 -0.110 -0.080 0.028 0.011 0.007 0.003 0.002 0.001 0.001 SSE LN Equity SSE PLC Utilities 1447.00 5.82% 23.01.2013 14.60 14.60 14.54 14.97 -0.117 -0.117 -0.118 -0.131 0.003 0.003 0.003 0.003 G IM Equity ASSICURAZIONI GENERALI Financials 12.29 2.85% 20.05.2013 31.94 32.98 33.13 32.59 33.21 33.31 35.85 -0.427 -0.335 -0.310 -0.245 -0.131 -0.118 -0.081 0.018 0.004 0.002 0.001 0.001 0.000 -0.001 CPG LN Equity COMPASS GROUP PLC Consumer Discretionary 695.50 3.15% 23.01.2013 16.10 16.10 16.08 16.73 17.62 17.62 -0.164 -0.164 -0.168 -0.177 -0.169 -0.169 0.012 0.012 0.010 0.004 0.004 0.004 TLW LN Equity TULLOW OIL PLC Energy 1422.00 0.91% 17.04.2013 25.68 25.68 26.26 27.82 -0.154 -0.154 -0.143 -0.097 0.003 0.003 0.003 0.002 UL FP Equity UNIBAIL-RODAMCO SE Financials 171.55 4.84% 07.05.2013 17.66 17.55 17.75 18.07 19.64 19.64 19.64 -0.403 -0.326 -0.296 -0.220 -0.129 -0.129 -0.129 0.019 0.011 0.009 0.005 0.002 0.002 0.002 IBE SQ Equity IBERDROLA SA Utilities 3.92 8.57% 02.01.2013 36.85 35.47 35.80 33.42 31.80 34.20 34.92 -0.125 -0.123 -0.108 -0.079 0.015 0.206 0.417 0.007 0.004 0.003 0.002 0.000 0.001 0.000 EI FP Equity ESSILOR INTERNATIONAL Health Care 71.36 1.37% 24.05.2013 20.87 20.27 20.24 20.53 21.53 20.76 20.11 -0.309 -0.302 -0.280 -0.202 -0.138 -0.147 -0.135 0.024 0.011 0.008 0.004 0.002 0.002 0.003 VOLVB SS Equity VOLVO AB-B SHS Industrials 91.95 3.81% 05.04.2013 31.32 29.94 28.98 30.54 29.78 -0.320 -0.284 -0.259 -0.186 -0.078 0.027 0.011 0.006 0.003 0.003 ADS GY Equity ADIDAS AG Consumer Discretionary 67.32 1.86% 10.05.2013 24.00 23.12 22.93 23.23 24.54 24.88 25.62 -0.318 -0.306 -0.289 -0.229 -0.156 -0.113 -0.084 0.020 0.010 0.008 0.004 0.002 0.001 0.000 DPW GY Equity DEUTSCHE POST AG-REG Industrials 15.57 4.63% 10.05.2013 20.42 20.29 20.46 21.07 22.35 22.15 22.91 -0.223 -0.274 -0.270 -0.189 -0.127 -0.094 -0.080 0.033 0.014 0.010 0.004 0.002 0.001 0.001 EXPN LN Equity EXPERIAN PLC Industrials 1086.00 2.00% 19.12.2012 16.16 16.16 16.67 18.07 -0.221 -0.221 -0.209 -0.151 0.006 0.006 0.005 0.003 GLEN LN Equity GLENCORE INTERNATIONAL PLC Materials 339.30 2.91% 15.05.2013 30.82 31.13 31.44 33.31 31.59 30.98 32.31 -0.215 -0.194 -0.179 -0.088 -0.074 0.199 -0.009 0.005 0.006 0.005 -0.001 0.002 -0.001 0.000 SHBA SS Equity SVENSKA HANDELSBANKEN-A SHS Financials 242.50 4.23% 27.03.2013 20.30 19.16 18.63 20.98 21.73 -0.163 -0.281 -0.285 -0.233 0.045 0.039 0.017 0.012 0.005 -0.001 WPP LN Equity WPP PLC Consumer Discretionary 855.00 3.42% 05.06.2013 20.30 20.30 20.67 21.59 -0.281 -0.281 -0.253 -0.165 0.013 0.013 0.011 0.002 BA/ LN Equity BAE SYSTEMS PLC Industrials 329.90 5.94% 17.04.2013 25.62 24.51 24.02 23.16 23.37 23.37 0.062 0.019 -0.004 -0.034 -0.023 -0.023 0.007 0.007 0.006 0.002 0.001 0.001 SHP LN Equity SHIRE PLC Health Care 1829.00 0.59% 06.03.2013 28.94 28.32 27.80 27.21 0.064 0.043 0.031 0.014 0.007 0.009 0.008 0.004 FRE GY Equity FRESENIUS SE & CO KGAA Health Care 96.60 1.11% 14.05.2013 17.06 16.91 17.27 18.59 20.70 22.29 22.49 -0.424 -0.285 -0.234 -0.150 -0.106 -0.110 -0.105 0.017 0.009 0.007 0.004 0.002 0.001 0.001 SWEDA SS Equity SWEDBANK AB - A SHARES Financials 120.80 4.88% 28.03.2013 25.95 24.34 23.50 25.56 23.94 -0.332 -0.318 -0.327 -0.253 0.080 0.046 0.021 0.012 0.006 0.001 PSON LN Equity PEARSON PLC Consumer Discretionary 1239.00 3.68% 03.04.2013 17.59 17.59 17.70 18.41 -0.219 -0.219 -0.203 -0.147 0.004 0.004 0.004 0.003 AV/ LN Equity AVIVA PLC Financials 336.90 7.72% 20.03.2013 27.30 27.95 28.27 30.27 28.49 32.47 33.59 -0.329 -0.296 -0.278 -0.252 -0.054 -0.168 -0.204 0.005 0.007 0.006 0.002 0.001 0.000 0.000 FME GY Equity FRESENIUS MEDICAL CARE AG & Health Care 58.72 1.28% 13.05.2013 18.96 17.99 17.86 18.13 19.21 20.21 21.42 -0.204 -0.189 -0.187 -0.173 -0.125 -0.109 -0.095 0.027 0.012 0.009 0.004 0.002 0.001 0.001 REP SQ Equity REPSOL SA Energy 15.47 5.43% 03.01.2013 37.79 38.69 39.60 37.63 38.13 39.15 39.12 -0.226 -0.314 -0.306 -0.176 -0.170 -0.008 0.007 -0.002 0.000 0.001 0.001 0.001 -0.003 -0.003 SAMAS FH Equity SAMPO OYJ-A SHS Financials 24.93 5.01% 15.04.2013 22.42 20.75 20.33 19.74 -0.247 -0.248 -0.247 -0.205 0.022 0.010 0.008 0.004 HOLN VX Equity HOLCIM LTD-REG Materials 64.20 1.95% 09.05.2013 22.68 22.20 22.33 22.90 24.63 24.46 24.91 -0.443 -0.307 -0.267 -0.218 -0.139 -0.123 -0.122 0.016 0.009 0.007 0.003 0.002 0.002 0.002 SGO FP Equity COMPAGNIE DE SAINT-GOBAIN Industrials 26.59 4.89% 10.06.2013 37.04 36.01 35.67 34.50 34.72 35.44 36.73 -0.199 -0.217 -0.216 -0.157 -0.081 -0.094 -0.012 0.015 0.007 0.005 0.002 0.001 -0.001 -0.002 TLSN SS Equity TELIASONERA AB Telecommunication Services 45.98 7.07% 04.04.2013 20.66 18.49 17.07 20.88 21.56 21.56 21.56 -0.246 -0.187 -0.175 -0.159 0.140 0.140 0.140 0.068 0.038 0.021 0.007 -0.005 -0.005 -0.005 ATCOA SS Equity ATLAS COPCO AB-A SHS Industrials 153.80 3.41% 22.04.2013 31.02 29.81 28.67 28.94 27.89 -0.599 -0.364 -0.284 -0.201 -0.120 0.034 0.011 0.005 0.003 0.005 SAND SS Equity SANDVIK AB Industrials 89.00 4.27% 03.05.2013 30.35 29.66 29.28 31.61 34.14 -0.246 -0.261 -0.248 -0.137 0.069 0.033 0.012 0.006 0.001 -0.002 ML FP Equity MICHELIN (CGDE) Consumer Discretionary 62.38 3.69% 24.05.2013 29.17 29.10 29.35 29.78 30.69 31.21 -0.284 -0.276 -0.262 -0.202 -0.144 -0.116 0.016 0.007 0.006 0.003 0.002 0.001 HEN3 GY Equity HENKEL AG & CO KGAA VORZUG Consumer Staples 63.73 1.43% 16.04.2013 20.19 19.97 20.09 20.73 22.12 22.06 22.17 -0.249 -0.248 -0.249 -0.228 -0.157 -0.130 -0.120 0.022 0.011 0.009 0.004 0.002 0.002 0.001 KNEBV FH Equity KONE OYJ-B Industrials 57.75 2.51% 05.03.2013 SDRL NO Equity SEADRILL LTD Energy 227.40 8.68% 10.12.2012 20.11 20.11 22.06 -0.021 -0.021 0.022 0.005 0.005 0.004 MT NA Equity ARCELORMITTAL Materials 11.58 4.97% 15.02.2013 38.96 39.18 38.85 38.37 38.44 42.19 43.26 -0.181 -0.211 -0.192 -0.116 0.007 -0.005 -0.023 0.010 0.004 0.004 0.002 0.000 -0.003 -0.003 TEL NO Equity TELENOR ASA Telecommunication Services 108.90 5.33% 17.05.2013 22.65 22.69 23.48 28.40 -0.491 -0.401 -0.179 -0.141 0.047 0.023 0.005 0.002 OML LN Equity OLD MUTUAL PLC Financials 175.10 3.60% 17.04.2013 21.97 21.97 22.22 22.71 -0.228 -0.228 -0.216 -0.172 0.009 0.009 0.008 0.003 HEIA NA Equity HEINEKEN NV Consumer Staples 48.76 1.91% 23.04.2013 21.27 20.15 19.83 19.57 19.68 19.58 19.64 -0.417 -0.308 -0.269 -0.205 -0.135 -0.126 -0.110 0.023 0.013 0.010 0.005 0.003 0.002 0.003 AKZA NA Equity AKZO NOBEL Materials 43.22 3.47% 22.10.2012 31.30 28.26 27.46 26.11 25.83 25.34 25.52 -0.015 -0.146 -0.171 -0.161 -0.115 -0.102 -0.076 0.009 0.005 0.004 0.003 0.001 0.001 0.001 ARM LN Equity ARM HOLDINGS PLC Information Technology 592.50 0.76% 01.05.2013 28.48 28.48 29.12 31.15 -0.113 -0.113 -0.104 -0.072 0.006 0.006 0.005 0.001 CRH ID Equity CRH PLC Materials 13.83 4.54% 06.03.2013 36.19 34.22 33.88 34.86 33.47 33.84 -0.271 -0.318 -0.252 -0.084 -0.193 -0.213 0.010 0.002 0.001 -0.001 0.001 0.001 SEBA SS Equity SKANDINAVISKA ENSKILDA BAN-A Financials 55.70 3.32% 01.04.2013 29.25 26.78 25.39 26.86 26.43 -0.177 -0.231 -0.310 -0.212 -0.030 0.031 0.019 0.012 0.005 0.000 PP FP Equity PPR Consumer Discretionary 132.20 3.03% 02.05.2013 23.03 22.29 22.30 22.43 23.41 24.16 24.37 -0.169 -0.234 -0.226 -0.149 -0.108 -0.091 -0.060 0.017 0.006 0.004 0.003 0.001 0.001 0.001 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 2.
    16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - Ticker Name GICS_SECTOR_NAME ATM Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield 30D 60D 90D 6M 12M 18M 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M LGEN LN Equity LEGAL & GENERAL GROUP PLC Financials 136.20 5.54% 17.04.2013 20.56 20.37 21.03 22.62 23.53 23.53 -0.366 -0.326 -0.284 -0.210 -0.205 -0.205 0.011 0.011 0.009 0.003 0.002 0.002 CA FP Equity CARREFOUR SA Consumer Staples 16.38 4.03% 04.07.2013 34.20 32.74 32.45 32.50 31.88 31.92 32.28 -0.176 -0.213 -0.211 -0.170 -0.069 -0.063 -0.091 0.020 0.007 0.004 0.002 0.002 0.002 0.003 UHR VX Equity SWATCH GROUP AG/THE-BR Consumer Discretionary 381.90 1.75% 21.05.2013 23.52 22.80 23.15 24.13 25.52 26.07 26.38 -0.099 -0.200 -0.219 -0.183 -0.119 -0.098 -0.092 0.011 0.006 0.005 0.003 0.001 0.001 0.001 EAD FP Equity EADS NV Industrials 26.55 2.26% 04.06.2013 29.18 27.86 27.50 27.04 27.80 27.33 28.15 -0.129 -0.163 -0.165 -0.122 -0.075 -0.065 -0.053 0.013 0.005 0.004 0.002 0.001 0.001 0.001 REL LN Equity REED ELSEVIER PLC Consumer Discretionary 617.00 3.74% 24.04.2013 16.69 16.69 17.00 17.56 -0.211 -0.211 -0.209 -0.185 0.005 0.005 0.005 0.004 WOS LN Equity WOLSELEY PLC Industrials 2682.00 2.57% 03.04.2013 24.66 24.66 25.02 25.86 -0.114 -0.114 -0.105 -0.080 0.002 0.002 0.002 0.001 TEC FP Equity TECHNIP SA Energy 87.70 1.92% 09.05.2013 28.26 28.26 28.77 30.00 30.53 29.11 -0.259 -0.259 -0.237 -0.168 -0.131 -0.100 0.003 0.003 0.003 0.002 0.002 0.002 BSY LN Equity BRITISH SKY BROADCASTING GRO Consumer Discretionary 754.50 3.48% 27.03.2013 16.12 16.47 16.98 18.73 19.59 19.59 19.59 -0.188 -0.194 -0.175 -0.101 -0.029 -0.029 -0.029 0.003 0.007 0.006 0.003 0.004 0.004 0.004 AH NA Equity KONINKLIJKE AHOLD NV Consumer Staples 9.56 4.60% 26.04.2013 17.22 16.94 16.98 17.05 17.84 16.94 17.33 0.064 -0.161 -0.188 -0.113 -0.025 -0.044 -0.004 0.029 0.020 0.015 0.004 0.001 0.003 0.003 SGSN VX Equity SGS SA-REG Industrials 2012.00 1.49% 18.03.2013 17.10 17.19 17.55 18.88 20.25 21.22 -0.286 -0.292 -0.286 -0.234 -0.140 -0.138 0.007 0.010 0.010 0.005 0.002 0.001 DNB NO Equity DNB ASA Financials 73.60 2.72% 26.04.2013 29.28 28.03 30.33 32.44 -0.257 -0.135 -0.205 -0.274 0.060 0.022 0.007 0.000 SPM IM Equity SAIPEM SPA Energy 35.25 2.18% 20.05.2013 26.53 26.99 27.32 28.08 29.58 29.58 -0.367 -0.343 -0.293 -0.211 -0.098 -0.098 0.005 0.004 0.004 0.001 0.000 0.000 RRS LN Equity RANDGOLD RESOURCES LTD Materials 7685.00 0.52% 08.05.2013 37.36 37.36 37.27 36.99 0.003 0.003 -0.010 -0.045 0.001 0.001 0.000 -0.001 SAF FP Equity SAFRAN SA Industrials 30.18 2.58% 18.12.2012 24.49 24.49 25.40 27.90 29.50 29.50 -0.142 -0.142 -0.145 -0.149 -0.128 -0.128 0.006 0.006 0.005 0.003 0.001 0.001 SL/ LN Equity STANDARD LIFE PLC Financials 291.50 5.09% 20.03.2013 16.24 16.24 18.01 22.23 -0.279 -0.279 -0.292 -0.278 0.008 0.008 0.007 0.002 SCAB SS Equity SVENSKA CELLULOSA AB-B SHS Consumer Staples 119.50 3.85% 08.04.2013 24.56 21.83 21.06 23.31 23.91 -0.157 -0.104 -0.171 -0.099 0.065 0.032 0.017 0.012 0.004 -0.001 ASSAB SS Equity ASSA ABLOY AB-B Industrials 217.30 2.49% 02.05.2013 28.06 27.23 26.05 26.52 26.19 -0.252 -0.250 -0.229 -0.154 -0.084 0.030 0.011 0.006 0.002 0.002 LG FP Equity LAFARGE SA Materials 44.48 1.35% 03.07.2013 32.92 31.91 31.58 31.44 33.03 32.76 33.60 -0.319 -0.275 -0.253 -0.209 -0.130 -0.078 -0.023 0.017 0.007 0.005 0.003 0.001 0.000 -0.002 DANSKE DC EquityDANSKE BANK A/S Financials 105.70 1.42% 19.03.2013 24.29 24.70 25.62 28.32 -0.293 -0.240 -0.201 -0.122 0.046 0.012 0.004 0.002 KGF LN Equity KINGFISHER PLC Consumer Discretionary 279.70 3.48% 01.05.2013 19.40 20.48 20.99 21.83 -0.084 -0.196 -0.204 -0.139 -0.002 0.002 0.003 0.003 MRW LN Equity WM MORRISON SUPERMARKETS Consumer Staples 267.10 4.58% 15.05.2013 16.25 15.72 15.97 16.96 -0.178 -0.146 -0.134 -0.107 0.003 0.002 0.002 0.002 DB1 GY Equity DEUTSCHE BOERSE AG Financials 41.35 5.80% 16.05.2013 25.13 24.70 24.67 24.06 25.32 24.04 24.70 -0.300 -0.314 -0.300 -0.218 -0.130 -0.102 -0.088 0.020 0.009 0.006 0.003 0.001 0.002 0.002 TIT IM Equity TELECOM ITALIA SPA Telecommunication Services 0.76 5.63% 20.05.2013 36.45 36.13 35.92 34.90 37.36 34.11 33.77 -0.250 -0.275 -0.226 -0.122 0.070 -0.021 -0.077 0.026 0.008 0.005 0.002 -0.001 0.000 0.001 NOK1V FH Equity NOKIA OYJ Information Technology 2.10 03.05.2013 73.02 68.74 68.86 69.16 68.29 66.70 69.40 -0.055 -0.056 -0.081 -0.160 -0.211 -0.144 -0.070 0.007 0.003 0.002 0.002 0.003 0.002 0.001 LAND LN Equity LAND SECURITIES GROUP PLC Financials 805.50 3.77% 28.11.2012 13.46 14.21 14.71 16.07 -0.144 -0.199 -0.195 -0.153 0.003 0.005 0.005 0.003 MKS LN Equity MARKS & SPENCER GROUP PLC Consumer Discretionary 390.30 4.41% 14.11.2012 24.57 23.10 22.82 23.06 23.91 24.32 24.71 -0.015 -0.083 -0.100 -0.108 -0.070 -0.077 -0.083 0.005 0.009 0.008 0.003 0.002 0.002 0.002 INVEB SS Equity INVESTOR AB-B SHS Financials 145.80 4.12% 15.04.2013 18.48 17.55 17.37 19.45 21.21 -0.289 -0.257 -0.245 -0.166 0.075 0.049 0.026 0.016 0.003 0.000 PUB FP Equity PUBLICIS GROUPE Consumer Discretionary 43.05 1.97% 27.06.2013 22.81 21.73 21.75 22.38 23.04 23.52 23.77 -0.158 -0.209 -0.222 -0.198 -0.127 -0.102 -0.090 0.019 0.008 0.006 0.002 0.002 0.002 0.002 REN NA Equity REED ELSEVIER NV Consumer Discretionary 10.51 4.79% 25.04.2013 21.25 19.01 18.64 18.63 18.25 18.27 18.61 0.072 -0.152 -0.206 -0.154 -0.087 -0.054 -0.029 0.028 0.018 0.014 0.004 0.002 0.002 0.003 AGN NA Equity AEGON NV Financials 4.27 5.15% 16.05.2013 35.91 34.59 34.28 33.61 33.88 32.65 33.53 -0.189 -0.210 -0.226 -0.222 -0.096 -0.063 -0.024 0.025 0.010 0.007 0.002 0.001 0.002 0.001 AGK LN Equity AGGREKO PLC Industrials 2278.00 1.07% 17.04.2013 MAERSKB DC Equity MOELLER-MAERSK A/S-B AP Industrials 40680.00 2.46% 15.04.2013 29.23 27.37 27.16 27.27 -0.057 -0.080 -0.073 -0.044 0.006 0.002 0.001 0.000 PAH3 GY Equity PORSCHE AUTOMOBIL HLDG-PRF Consumer Discretionary 48.07 2.18% 24.06.2013 30.90 31.08 31.09 31.63 31.06 32.08 32.04 -0.257 -0.208 -0.173 -0.130 -0.073 -0.105 -0.079 0.013 0.005 0.004 0.001 0.002 0.001 0.001 NXT LN Equity NEXT PLC Consumer Discretionary 3610.00 2.77% 26.06.2013 18.03 18.03 18.53 20.08 -0.236 -0.236 -0.202 -0.102 0.009 0.009 0.007 0.002 SN/ LN Equity SMITH & NEPHEW PLC Health Care 668.00 2.48% 17.04.2013 16.96 16.96 17.23 18.09 -0.270 -0.270 -0.244 -0.153 0.007 0.007 0.006 0.004 RNO FP Equity RENAULT SA Consumer Discretionary 35.15 4.89% 10.05.2013 42.40 39.94 39.20 38.06 40.04 38.08 39.94 -0.252 -0.226 -0.216 -0.165 -0.064 -0.060 0.032 0.012 0.005 0.003 0.001 -0.001 -0.001 -0.006 CARLB DC Equity CARLSBERG AS-B Consumer Staples 520.00 1.15% 25.03.2013 24.62 23.07 23.18 24.80 -0.159 -0.118 -0.094 -0.055 0.004 0.001 0.000 0.000 LR FP Equity LEGRAND SA Industrials 29.15 3.29% 31.05.2013 26.64 26.64 26.96 27.45 27.21 27.21 -0.112 -0.112 -0.113 -0.101 -0.117 -0.117 0.003 0.003 0.002 0.001 0.002 0.002 YAR NO Equity YARA INTERNATIONAL ASA Materials 286.60 2.62% 10.05.2013 31.32 31.58 31.91 35.47 -0.179 -0.166 -0.118 -0.172 0.006 0.001 0.000 0.002 SCMN VX Equity SWISSCOM AG-REG Telecommunication Services 384.90 5.72% 12.04.2013 13.55 13.07 13.06 13.33 12.83 13.27 14.11 0.027 -0.143 -0.179 -0.147 -0.078 -0.072 -0.077 0.016 0.013 0.011 0.006 0.004 0.003 0.003 TEN IM Equity TENARIS SA Energy 15.17 2.48% 19.11.2012 27.83 27.34 27.43 28.00 -0.219 -0.243 -0.224 -0.143 0.010 0.003 0.003 0.002 ACA FP Equity CREDIT AGRICOLE SA Financials 6.30 0.79% 27.05.2013 47.33 45.39 44.63 43.31 41.95 39.95 40.17 -0.255 -0.273 -0.263 -0.214 -0.216 -0.168 -0.086 0.016 0.005 0.003 0.003 0.002 0.002 0.003 TKA GY Equity THYSSENKRUPP AG Materials 17.97 2.23% 21.01.2013 35.14 35.73 35.49 35.00 35.39 36.16 36.01 -0.272 -0.210 -0.173 -0.102 -0.083 -0.056 -0.036 0.019 0.006 0.004 0.002 0.001 0.000 -0.001 RBS LN Equity ROYAL BANK OF SCOTLAND GROUP Financials 276.90 27.02.2013 38.56 38.09 37.95 38.09 39.54 40.19 41.38 -0.229 -0.277 -0.254 -0.200 -0.141 -0.112 -0.014 0.014 0.007 0.005 0.003 0.002 0.000 -0.001 CBK GY Equity COMMERZBANK AG Financials 1.55 24.05.2013 39.52 42.64 43.64 44.67 44.18 43.56 43.33 -0.288 -0.124 -0.104 -0.132 -0.131 -0.095 -0.092 0.042 0.011 0.006 0.002 0.001 0.001 0.001 SESG FP Equity SES Consumer Discretionary 21.17 4.56% 19.04.2013 RYA ID Equity RYANAIR HOLDINGS PLC Industrials 4.55 21.86 22.58 22.37 21.46 22.01 21.91 -0.084 -0.145 -0.159 -0.167 -0.174 -0.161 0.038 0.016 0.009 0.001 0.002 0.001 GEBN VX Equity GEBERIT AG-REG Industrials 205.70 3.06% 22.04.2013 18.58 17.79 17.86 18.00 18.62 19.14 -0.213 -0.328 -0.333 -0.246 -0.162 -0.131 0.018 0.011 0.009 0.006 0.003 0.003 DSM NA Equity KONINKLIJKE DSM NV Materials 39.14 3.88% 15.05.2013 23.05 22.30 22.23 22.52 23.19 23.55 24.45 -0.277 -0.260 -0.237 -0.183 -0.129 -0.094 -0.063 0.020 0.011 0.008 0.003 0.002 0.001 0.000 MRK GY Equity MERCK KGAA Health Care 100.35 1.74% 29.04.2013 21.44 20.49 20.19 20.15 21.21 21.30 21.56 -0.265 -0.284 -0.270 -0.200 -0.120 -0.110 -0.110 0.019 0.010 0.008 0.004 0.001 0.001 0.001 FI IM Equity FIAT INDUSTRIAL Industrials 7.87 2.80% 22.04.2013 34.48 34.38 34.45 33.84 33.59 33.59 -0.236 -0.235 -0.233 -0.174 -0.043 -0.043 0.010 0.003 0.003 0.002 0.001 0.001 SDF GY Equity K+S AG-REG Materials 36.79 3.81% 10.05.2013 23.01 22.40 22.82 24.16 25.26 25.20 25.98 -0.180 -0.247 -0.253 -0.203 -0.138 -0.148 -0.153 0.013 0.008 0.007 0.003 0.001 0.001 0.001 SWMA SS Equity SWEDISH MATCH AB Consumer Staples 263.90 2.84% 03.05.2013 23.88 21.83 21.44 21.22 -0.193 -0.106 -0.067 0.005 0.015 0.005 0.003 0.001 SKFB SS Equity SKF AB-B SHARES Industrials 144.60 3.80% 24.04.2013 32.45 28.85 27.91 28.75 29.19 -0.198 -0.278 -0.262 -0.157 0.056 0.022 0.011 0.004 0.000 -0.001 BRBY LN Equity BURBERRY GROUP PLC Consumer Discretionary 1145.00 2.40% 19.12.2012 27.40 26.78 27.12 28.18 28.96 29.45 -0.174 -0.124 -0.107 -0.078 -0.079 -0.064 0.013 0.005 0.004 0.001 0.001 0.001 Stoxx 600 Index FUM1V FH Equity FORTUM OYJ Utilities 14.18 7.05% 01.04.2013 24.20 23.02 22.93 24.63 -0.088 -0.210 -0.241 -0.190 0.016 0.006 0.004 0.002 KPN NA Equity KONINKLIJKE KPN NV Telecommunication Services 5.95 5.89% 11.04.2013 33.82 30.16 28.90 28.80 27.99 27.72 29.62 -0.097 -0.061 -0.066 -0.066 0.002 0.045 0.092 0.024 0.012 0.009 0.003 0.001 0.000 -0.001 UU/ LN Equity UNITED UTILITIES GROUP PLC Utilities 730.50 4.70% 12.12.2012 26.57 26.57 25.81 23.37 0.230 0.230 0.196 0.087 -0.001 -0.001 -0.001 -0.001 SBRY LN Equity SAINSBURY (J) PLC Consumer Staples 356.70 4.65% 21.11.2012 17.64 17.54 17.68 18.31 18.99 18.99 0.049 0.024 -0.010 -0.083 -0.065 -0.065 0.011 0.005 0.003 0.005 0.003 0.003 ANTO LN Equity ANTOFAGASTA PLC Materials 1282.00 1.16% 08.05.2013 33.34 33.34 33.44 33.84 -0.261 -0.261 -0.242 -0.176 0.004 0.004 0.003 0.002 AMS SQ Equity AMADEUS IT HOLDING SA-A SHS Information Technology 19.02 2.21% 30.01.2013 27.28 26.16 25.30 23.71 22.16 21.49 21.52 -0.136 -0.155 -0.151 -0.132 -0.104 -0.107 -0.108 0.003 0.002 0.001 0.001 0.001 0.001 0.001 CPI LN Equity CAPITA PLC Industrials 735.00 3.29% 17.04.2013 ABF LN Equity ASSOCIATED BRITISH FOODS PLC Consumer Staples 1361.00 2.13% 05.12.2012 11.73 11.73 11.81 12.07 -0.176 -0.176 -0.133 -0.006 0.007 0.007 0.007 0.007 CON GY Equity CONTINENTAL AG Consumer Discretionary 75.56 2.65% 16.05.2013 29.63 29.81 29.86 30.10 32.29 32.18 32.71 -0.355 -0.318 -0.296 -0.227 -0.139 -0.116 -0.097 0.010 0.004 0.005 0.003 0.001 0.001 0.001 SW FP Equity SODEXO Consumer Discretionary 61.12 2.68% 01.02.2013 19.62 19.62 19.28 18.88 19.09 18.63 18.53 -0.231 -0.231 -0.213 -0.162 -0.117 -0.016 -0.007 0.006 0.006 0.005 0.003 0.002 0.003 0.003 BLND LN Equity BRITISH LAND CO PLC Financials 538.50 4.94% 09.01.2013 16.87 16.87 17.17 17.56 -0.208 -0.208 -0.166 -0.027 0.013 0.013 0.010 0.002 JMAT LN Equity JOHNSON MATTHEY PLC Materials 2285.00 2.65% 28.11.2012 SAB SQ Equity BANCO DE SABADELL SA Financials 2.00 2.00% 18.12.2012 34.50 36.57 36.50 34.83 34.02 34.13 33.76 0.091 -0.009 -0.026 -0.043 -0.133 -0.139 -0.039 -0.001 -0.002 -0.001 0.001 0.002 0.001 0.001 SRG IM Equity SNAM SPA Utilities 3.53 7.08% 20.05.2013 17.08 17.16 17.33 17.36 17.60 17.60 -0.191 -0.246 -0.245 -0.209 -0.270 -0.270 0.015 0.009 0.008 0.006 0.004 0.004 BEI GY Equity BEIERSDORF AG Consumer Staples 58.97 1.36% 29.04.2013 19.18 19.07 18.98 18.74 19.27 19.65 20.21 -0.249 -0.183 -0.166 -0.130 -0.087 -0.100 -0.098 0.012 0.010 0.009 0.004 0.002 0.001 0.001 BAER VX Equity JULIUS BAER GROUP LTD Financials 32.73 2.26% 12.04.2013 21.78 22.00 22.73 24.99 26.28 26.34 26.76 -0.251 -0.248 -0.233 -0.176 -0.103 -0.068 -0.048 0.015 0.007 0.005 0.003 0.002 0.002 0.003 KYG ID Equity KERRY GROUP PLC-A Consumer Staples 40.44 0.89% 10.04.2013 23.71 22.20 22.01 23.01 24.72 24.67 -0.086 -0.122 -0.131 -0.134 -0.111 -0.106 0.012 0.004 0.003 0.002 0.003 0.003 GIVN VX Equity GIVAUDAN-REG Materials 944.50 2.65% 26.03.2013 14.18 14.63 15.24 16.80 17.53 18.47 -0.424 -0.322 -0.282 -0.211 -0.117 -0.095 0.015 0.011 0.009 0.005 0.003 0.002 HEI GY Equity HEIDELBERGCEMENT AG Materials 40.24 1.37% 03.05.2013 32.31 32.14 32.36 32.92 34.08 33.75 33.95 -0.377 -0.365 -0.348 -0.269 -0.167 -0.159 -0.141 0.009 0.006 0.006 0.003 0.001 0.001 0.002 DE NA Equity DE MASTER BLENDERS1753 NV Consumer Staples 9.53 19.17 19.80 20.30 21.39 -0.050 -0.038 -0.036 -0.043 0.026 0.009 0.006 0.002 CDI FP Equity CHRISTIAN DIOR Consumer Discretionary 109.55 2.61% 22.04.2013 23.11 23.11 23.54 24.68 25.61 25.61 -0.317 -0.317 -0.287 -0.194 -0.213 -0.213 0.005 0.005 0.004 0.003 0.004 0.004 ALO FP Equity ALSTOM Industrials 27.33 3.48% 27.06.2013 35.07 33.97 33.82 34.31 35.56 36.17 36.74 -0.264 -0.264 -0.248 -0.194 -0.110 -0.095 -0.069 0.017 0.007 0.005 0.002 0.001 0.000 -0.001 SOLB BB Equity SOLVAY SA Materials 94.51 3.24% 17.01.2013 30.54 29.30 28.85 28.68 29.28 29.28 -0.297 -0.260 -0.231 -0.158 -0.071 -0.071 0.012 0.004 0.003 0.003 0.002 0.002 ITRK LN Equity INTERTEK GROUP PLC Industrials 2826.00 1.42% 05.06.2013 IFX GY Equity INFINEON TECHNOLOGIES AG Information Technology 5.13 2.34% 08.03.2013 44.81 42.35 40.40 37.77 38.51 39.80 39.83 -0.365 -0.333 -0.300 -0.227 -0.159 -0.156 -0.134 0.010 0.005 0.005 0.002 0.001 0.000 0.001 CCL LN Equity CARNIVAL PLC Consumer Discretionary 2410.00 2.57% 20.02.2013 18.55 18.55 19.07 21.17 -0.211 -0.211 -0.199 -0.153 0.008 0.008 0.007 0.002 IHG LN Equity INTERCONTINENTAL HOTELS GROU Consumer Discretionary 1594.00 2.53% 20.03.2013 21.34 21.34 21.89 23.80 -0.213 -0.213 -0.208 -0.165 0.003 0.003 0.003 0.002 NZYMB DC Equity NOVOZYMES A/S-B SHARES Materials 163.20 1.29% 28.02.2013 25.54 25.34 25.30 25.60 -0.094 -0.050 -0.028 0.001 0.010 0.001 0.000 0.000 DSY FP Equity DASSAULT SYSTEMES SA Information Technology 82.94 0.94% 14.06.2013 20.90 20.90 21.13 21.80 22.75 22.75 -0.260 -0.260 -0.242 -0.177 -0.126 -0.126 0.006 0.006 0.005 0.003 0.002 0.002 BNR GY Equity BRENNTAG AG Industrials 100.65 2.38% 20.06.2013 20.09 21.32 21.95 22.98 24.20 23.91 24.50 -0.080 -0.214 -0.238 -0.183 -0.150 -0.099 -0.097 0.013 0.005 0.004 0.002 0.001 0.000 0.000 GTO FP Equity GEMALTO Information Technology 68.07 0.50% 24.05.2013 25.25 25.15 25.10 25.01 25.13 25.11 -0.085 -0.009 0.007 0.006 0.003 0.001 0.009 0.001 0.000 0.000 0.000 0.000 WTB LN Equity WHITBREAD PLC Consumer Discretionary 2375.00 2.32% 31.10.2012 19.43 19.43 19.89 20.70 -0.182 -0.182 -0.142 -0.041 0.012 0.012 0.010 0.003 SMIN LN Equity SMITHS GROUP PLC Industrials 1056.00 3.66% 20.03.2013 ADEN VX Equity ADECCO SA-REG Industrials 47.74 3.98% 03.05.2013 40.76 38.17 36.72 33.36 32.19 31.89 33.08 -0.306 -0.252 -0.235 -0.181 -0.093 -0.087 -0.085 0.007 0.002 0.002 0.001 0.001 0.000 0.001 ORK NO Equity ORKLA ASA Industrials 46.74 5.88% 19.04.2013 28.07 24.36 24.45 21.83 -0.448 -0.302 -0.237 -0.213 0.069 0.040 0.018 0.014 PFC LN Equity PETROFAC LTD Energy 1619.00 2.55% 17.04.2013 23.07 23.07 23.80 26.12 -0.080 -0.080 -0.097 -0.127 0.006 0.006 0.005 0.002 CAP FP Equity CAP GEMINI Information Technology 32.34 3.09% 04.06.2013 36.67 35.16 34.58 33.93 34.48 35.35 35.48 -0.256 -0.224 -0.210 -0.169 -0.116 -0.120 -0.113 0.017 0.007 0.005 0.002 0.000 0.000 0.000 RSA LN Equity RSA INSURANCE GROUP PLC Financials 115.00 8.22% 27.03.2013 18.37 17.79 17.99 19.54 18.69 18.69 -0.090 -0.161 -0.174 -0.153 -0.096 -0.096 0.001 0.006 0.006 0.004 0.003 0.003 SUBC NO Equity SUBSEA 7 SA Energy 131.20 2.16% 25.06.2013 33.76 33.76 33.42 32.93 -0.286 -0.286 -0.274 -0.220 0.006 0.006 0.005 0.000 LXS GY Equity LANXESS AG Materials 59.90 1.59% 16.05.2013 34.44 33.25 32.96 32.89 33.91 34.32 34.57 -0.242 -0.189 -0.181 -0.163 -0.122 -0.117 -0.106 0.010 0.003 0.003 0.002 0.001 0.002 0.002 SVT LN Equity SEVERN TRENT PLC Utilities 1693.00 4.48% 05.12.2012 17.42 17.42 17.54 18.10 -0.050 -0.050 -0.056 -0.057 0.003 0.003 0.003 0.002 REX LN Equity REXAM PLC Materials 458.50 3.51% 08.05.2013 KNIN VX Equity KUEHNE & NAGEL INTL AG-REG Industrials 106.00 4.06% 10.05.2013 24.81 23.89 24.02 24.37 26.00 23.23 -0.176 -0.234 -0.239 -0.173 -0.079 -0.006 0.011 0.007 0.006 0.002 0.000 0.004 EDP PL Equity EDP-ENERGIAS DE PORTUGAL SA Utilities 2.10 8.80% 13.05.2013 EN FP Equity BOUYGUES SA Industrials 19.55 8.19% 30.04.2013 31.61 30.92 30.60 29.06 30.54 30.58 32.03 -0.191 -0.232 -0.226 -0.148 -0.059 -0.148 -0.104 0.016 0.007 0.006 0.002 0.000 0.000 -0.002 SKAB SS Equity SKANSKA AB-B SHS Industrials 103.40 6.04% 08.04.2013 22.00 20.84 20.26 22.73 22.14 -0.255 -0.213 -0.266 -0.178 0.072 0.056 0.028 0.012 0.004 0.000 EBS AV Equity ERSTE GROUP BANK AG Financials 19.09 2.10% 17.05.2013 34.41 34.49 34.50 34.54 35.03 41.74 -0.472 -0.193 -0.141 -0.109 0.442 0.558 0.043 0.013 0.007 0.003 -0.002 -0.006 ADN LN Equity ABERDEEN ASSET MGMT PLC Financials 334.90 3.40% 05.12.2012 SGE LN Equity SAGE GROUP PLC/THE Information Technology 309.30 3.46% 06.02.2013 21.48 21.48 21.45 22.15 -0.244 -0.244 -0.213 -0.136 0.008 0.008 0.007 0.004 EDF FP Equity EDF Utilities 16.79 7.15% 13.12.2012 21.85 21.45 21.63 22.62 24.34 27.49 27.03 -0.252 -0.219 -0.199 -0.154 -0.120 -0.118 -0.095 0.032 0.013 0.009 0.005 0.002 0.002 0.002 KD8 GY Equity KABEL DEUTSCHLAND HOLDING AG Consumer Discretionary 56.39 2.66% 14.10.2013 23.98 24.32 24.67 25.97 27.24 27.87 27.22 -0.140 -0.065 -0.085 -0.162 -0.082 -0.091 -0.087 0.007 0.000 0.001 0.002 0.001 0.001 0.001 SCHP VX Equity SCHINDLER HOLDING-PART CERT Industrials 120.40 2.08% 18.03.2013 16.94 16.91 16.97 16.53 14.68 14.60 -0.186 -0.083 -0.053 0.001 0.069 0.062 0.018 0.004 0.002 0.002 0.003 0.006 GBLB BB Equity GROUPE BRUXELLES LAMBERT SA Financials 57.66 4.74% 26.04.2013 15.65 15.70 15.99 16.23 16.14 16.14 -0.209 -0.283 -0.296 -0.239 -0.118 -0.118 0.031 0.019 0.014 0.005 0.002 0.002 GFS LN Equity G4S PLC Industrials 267.10 3.43% 08.05.2013 UPM1V FH Equity UPM-KYMMENE OYJ Materials 8.73 6.87% 08.04.2013 30.39 29.45 29.43 31.80 -0.093 -0.144 -0.155 -0.141 0.015 0.002 0.001 0.002 ATLN VX Equity ACTELION LTD-REG Health Care 47.63 1.68% 06.05.2013 33.62 33.19 32.98 32.39 32.37 32.08 -0.198 -0.115 -0.095 -0.053 -0.037 -0.033 0.009 0.006 0.005 0.001 0.001 0.001 WEIR LN Equity WEIR GROUP PLC/THE Industrials 1741.00 2.19% 01.05.2013 AGS BB Equity AGEAS Financials 19.83 4.79% 29.04.2013 33.09 33.36 33.41 32.69 34.33 34.07 34.95 -0.240 -0.226 -0.216 -0.131 -0.025 -0.024 -0.015 0.015 0.004 0.003 0.003 0.001 0.000 0.000 WRT1V FH Equity WARTSILA OYJ ABP Industrials 26.53 3.49% 04.03.2013 BNZL LN Equity BUNZL PLC Industrials 1110.00 2.53% 08.05.2013 WKL NA Equity WOLTERS KLUWER Consumer Discretionary 15.00 4.80% 29.04.2013 17.53 17.47 17.92 19.18 21.04 20.62 21.33 -0.350 -0.233 -0.223 -0.221 -0.128 -0.090 -0.067 0.028 0.015 0.011 0.005 0.002 0.002 0.003 ABE SQ Equity ABERTIS INFRAESTRUCTURAS SA Industrials 11.93 5.53% 31.10.2012 25.61 25.20 24.71 24.00 23.74 23.37 23.32 -0.213 -0.214 -0.204 -0.179 -0.132 -0.120 -0.132 0.006 0.001 0.000 0.002 0.002 0.002 0.002 GETIB SS Equity GETINGE AB-B SHS Health Care 196.20 2.04% 29.04.2013 22.09 20.43 20.89 22.36 -0.250 -0.281 -0.271 -0.195 0.036 0.018 0.012 0.002 ELUXB SS Equity ELECTROLUX AB-SER B Consumer Discretionary 162.70 4.00% 03.04.2013 32.80 30.10 28.56 31.03 31.42 -0.211 -0.262 -0.230 -0.166 0.059 0.018 0.008 0.004 0.001 0.000 LUX IM Equity LUXOTTICA GROUP SPA Consumer Discretionary 28.31 1.91% 20.05.2013 17.58 18.80 19.40 20.39 21.68 21.68 -0.314 -0.312 -0.279 -0.185 -0.099 -0.099 0.017 0.006 0.004 0.003 0.001 0.001 UMI BB Equity UMICORE Materials 39.29 2.93% 26.04.2013 26.81 27.15 27.16 26.81 27.07 27.07 -0.299 -0.274 -0.248 -0.164 -0.034 -0.034 0.017 0.007 0.005 0.002 -0.001 -0.001 UCB BB Equity UCB SA Health Care 44.88 2.30% 02.05.2013 21.58 21.60 22.16 23.76 25.16 25.16 -0.306 -0.212 -0.176 -0.112 -0.060 -0.060 0.020 0.009 0.007 0.004 0.002 0.002 AMEC LN Equity AMEC PLC Energy 1102.00 3.04% 28.11.2012 AKE FP Equity ARKEMA Materials 74.23 2.16% 29.05.2013 33.93 33.93 33.51 32.68 34.96 34.96 -0.147 -0.147 -0.143 -0.126 -0.089 -0.089 0.004 0.004 0.004 0.002 0.002 0.002 ALFA SS Equity ALFA LAVAL AB Industrials 120.80 3.31% 29.04.2013 30.75 28.80 26.99 28.31 30.57 -0.247 -0.209 -0.190 -0.147 -0.059 0.040 0.015 0.011 0.003 0.000 BVI FP Equity BUREAU VERITAS SA Industrials 81.95 1.77% 11.06.2013 14.62 14.55 14.51 14.38 14.57 14.30 -0.180 -0.122 -0.076 0.008 0.012 0.014 0.012 0.007 0.005 0.000 0.000 0.000 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 3.
    16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend 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 BAB LN Equity BABCOCK INTL GROUP PLC Industrials 975.00 2.56% 12.12.2012 LUPE SS Equity LUNDIN PETROLEUM AB Energy 155.50 31.34 30.50 28.57 31.38 32.85 -0.012 -0.026 -0.039 -0.008 0.101 0.023 0.008 0.006 0.002 0.001 AC FP Equity ACCOR SA Consumer Discretionary 25.85 2.63% 11.06.2013 34.73 32.70 32.44 32.36 33.81 32.98 -0.183 -0.188 -0.185 -0.162 -0.121 -0.133 0.009 0.003 0.002 0.002 0.001 0.002 TEL2B SS Equity TELE2 AB-B SHS Telecommunication Services 119.50 5.65% 14.05.2013 20.67 19.76 19.80 21.80 23.98 -0.242 -0.252 -0.216 -0.141 0.075 0.052 0.021 0.010 0.002 -0.001 FER SQ Equity FERROVIAL SA Industrials 10.31 4.46% 15.11.2012 36.60 34.05 33.16 32.49 31.40 30.61 30.68 -0.270 -0.008 0.051 0.018 0.024 0.066 0.097 -0.001 -0.003 -0.004 -0.003 -0.003 -0.003 -0.004 SCVB SS Equity SCANIA AB-B SHS Industrials 118.50 4.22% 06.05.2013 30.97 30.44 29.68 31.19 34.72 -0.271 -0.275 -0.243 -0.165 -0.120 0.035 0.012 0.006 0.001 -0.001 G1A GY Equity GEA GROUP AG Industrials 24.83 2.46% 25.04.2013 28.59 29.14 29.87 31.15 32.13 33.95 34.82 -0.271 -0.221 -0.198 -0.150 -0.100 -0.147 -0.157 0.021 0.009 0.006 0.001 0.001 0.002 0.002 GKN LN Equity GKN PLC Consumer Discretionary 204.00 3.73% 24.04.2013 HMSO LN Equity HAMMERSON PLC Financials 474.80 3.70% 13.03.2013 ELN ID Equity ELAN CORP PLC Health Care 8.61 43.69 43.92 43.75 43.40 44.56 44.46 -0.113 -0.158 -0.166 -0.139 -0.141 -0.149 0.010 0.002 0.002 0.001 0.002 0.001 ITV LN Equity ITV PLC Consumer Discretionary 91.85 2.61% 01.05.2013 28.27 28.27 28.14 27.97 -0.044 -0.044 -0.046 -0.065 0.007 0.007 0.005 0.002 REE SQ Equity RED ELECTRICA CORPORACION SA Utilities 37.60 6.33% 02.01.2013 25.61 24.06 23.32 20.86 16.95 16.77 16.15 -0.203 -0.210 -0.198 -0.158 -0.046 -0.056 -0.046 0.001 0.002 0.002 0.001 0.001 0.001 0.000 OMV AV Equity OMV AG Energy 28.29 4.07% 13.05.2013 19.54 19.65 19.80 19.75 20.90 13.07 -0.541 -0.151 -0.092 -0.138 0.287 0.556 0.070 0.024 0.011 0.004 0.008 0.009 EDEN FP Equity EDENRED Industrials 22.50 3.38% 27.05.2013 27.38 24.75 24.31 24.20 24.67 22.73 -0.175 -0.180 -0.200 -0.180 -0.113 -0.088 0.008 0.004 0.003 0.002 0.002 0.002 TATE LN Equity TATE & LYLE PLC Consumer Staples 697.50 3.76% 28.11.2012 13.66 13.66 13.82 14.55 -0.137 -0.137 -0.100 -0.020 0.008 0.008 0.006 0.002 HEXAB SS Equity HEXAGON AB-B SHS Information Technology 145.80 1.42% 10.05.2013 35.79 32.35 31.24 32.18 -0.281 -0.194 -0.209 -0.164 0.035 0.013 0.005 0.002 SOON VX Equity SONOVA HOLDING AG-REG Health Care 98.80 1.42% 24.06.2013 25.43 24.02 23.43 23.30 23.67 23.79 -0.257 -0.232 -0.204 -0.162 -0.084 -0.076 0.014 0.007 0.005 0.003 0.001 0.001 CRDA LN Equity CRODA INTERNATIONAL PLC Materials 2295.00 2.71% 01.05.2013 EKTAB SS Equity ELEKTA AB-B SHS Health Care 92.75 1.51% 05.09.2013 23.48 23.48 23.48 23.48 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 ATL IM Equity ATLANTIA SPA Industrials 12.28 6.11% 19.11.2012 26.90 25.84 25.42 25.02 24.06 24.06 -0.302 -0.254 -0.234 -0.200 -0.129 -0.129 0.017 0.008 0.006 0.003 0.001 0.001 HEIO NA Equity HEINEKEN HOLDING NV Consumer Staples 39.91 2.33% 23.04.2013 GA FP Equity CIE GENERALE DE GEOPHYSIQUE Energy 25.00 44.07 38.28 38.06 40.35 40.43 40.58 -0.139 -0.105 -0.107 -0.153 -0.148 -0.142 0.003 0.004 0.004 0.002 0.002 0.001 NRE1V FH Equity NOKIAN RENKAAT OYJ Consumer Discretionary 29.59 4.90% 15.04.2013 32.82 32.33 32.58 -0.143 -0.098 -0.075 0.007 0.003 0.002 FRES LN Equity FRESNILLO PLC Materials 1932.00 1.80% 24.04.2013 GRF SQ Equity GRIFOLS SA Health Care 25.79 0.85% 01.07.2013 37.43 34.42 32.59 28.64 24.59 23.23 23.54 -0.108 -0.130 -0.130 -0.119 -0.130 -0.135 -0.106 0.002 0.002 0.002 0.002 0.001 0.002 0.001 MGGT LN Equity MEGGITT PLC Industrials 402.40 2.94% 13.03.2013 TRN IM Equity TERNA SPA Utilities 2.95 6.44% 19.11.2012 17.38 17.82 17.90 18.41 18.28 18.28 -0.364 -0.281 -0.236 -0.189 -0.310 -0.310 0.024 0.011 0.008 0.002 0.004 0.004 COLOB DC Equity COLOPLAST-B Health Care 1279.00 1.37% 12.12.2012 CO FP Equity CASINO GUICHARD PERRACHON Consumer Staples 67.61 4.88% 21.05.2013 24.56 23.09 23.07 22.97 23.25 23.20 23.17 -0.311 -0.287 -0.253 -0.155 -0.102 -0.084 -0.057 0.023 0.008 0.005 0.003 0.002 0.000 -0.001 SCR FP Equity SCOR SE Financials 21.29 5.40% 22.05.2013 20.95 20.95 21.44 22.76 25.05 25.05 -0.230 -0.230 -0.227 -0.188 -0.115 -0.115 0.007 0.007 0.006 0.002 0.001 0.001 FUR NA Equity FUGRO NV-CVA Energy 52.68 3.04% 13.05.2013 24.60 24.66 24.93 25.22 25.87 25.87 25.87 -0.252 -0.318 -0.308 -0.220 -0.124 -0.124 -0.124 0.017 0.008 0.006 0.003 0.001 0.001 0.001 MRO LN Equity MELROSE PLC Industrials 237.20 3.50% 03.04.2013 GAS SQ Equity GAS NATURAL SDG SA Utilities 11.80 7.54% 09.01.2013 38.26 36.00 35.01 29.65 27.71 24.22 24.62 -0.136 -0.104 -0.056 0.066 0.052 0.205 0.175 0.003 0.001 0.001 0.002 0.001 0.002 0.001 MEO1V FH Equity METSO OYJ Industrials 27.50 6.18% 28.03.2013 34.76 35.27 35.62 -0.026 -0.090 -0.086 0.012 0.001 -0.001 F IM Equity FIAT SPA Consumer Discretionary 4.21 2.85% 22.04.2013 44.43 43.94 43.65 42.46 42.94 43.75 44.76 -0.199 -0.183 -0.185 -0.141 -0.023 0.011 0.028 0.013 0.004 0.003 0.002 0.000 -0.001 -0.001 WG/ LN Equity WOOD GROUP (JOHN) PLC Energy 845.50 1.34% 10.04.2013 VK FP Equity VALLOUREC Industrials 31.83 2.51% 05.06.2013 42.61 41.65 41.38 41.00 41.12 40.38 40.45 -0.190 -0.205 -0.196 -0.150 -0.114 -0.139 -0.141 0.012 0.006 0.004 0.002 0.001 0.001 0.001 KINVB SS Equity INVESTMENT AB KINNEVIK-B SHS Financials 136.60 4.03% 17.05.2013 18.88 17.06 17.42 19.35 0.047 -0.032 -0.068 -0.113 0.028 0.014 0.009 0.001 BOL SS Equity BOLIDEN AB Materials 114.10 4.16% 06.05.2013 32.10 32.08 31.44 32.63 33.49 -0.186 -0.269 -0.284 -0.123 0.071 0.042 0.013 0.006 0.004 0.000 IMI LN Equity IMI PLC Industrials 900.50 3.78% 10.04.2013 SRP LN Equity SERCO GROUP PLC Industrials 575.50 1.63% 06.03.2013 ARYN SE Equity ARYZTA AG Consumer Staples 46.05 1.33% 29.01.2014 13.99 15.24 15.73 16.36 16.47 16.39 -0.146 -0.149 -0.145 -0.095 -0.076 -0.070 0.007 0.004 0.004 0.001 0.001 0.001 SPSN VX Equity SWISS PRIME SITE-REG Financials 76.75 4.69% 22.04.2013 10.83 10.39 10.10 9.53 10.08 9.95 -0.044 -0.040 -0.046 -0.008 0.072 0.111 0.019 0.006 0.004 0.005 0.002 0.003 VIE FP Equity VEOLIA ENVIRONNEMENT Utilities 8.25 8.48% 22.05.2013 31.67 32.59 32.67 31.15 32.33 30.75 30.95 -0.086 -0.133 -0.151 -0.107 0.056 0.098 0.224 0.016 0.005 0.004 0.003 0.000 0.001 0.006 EEEK GA Equity COCA-COLA HELLENIC BOTTLING Consumer Staples 17.55 1.37% 25.06.2013 SIK VX Equity SIKA AG-BR Materials 1913.00 2.35% 15.04.2013 18.87 19.19 19.53 20.55 22.82 22.35 -0.254 -0.211 -0.196 -0.152 -0.080 -0.115 0.004 0.001 0.001 0.001 0.000 0.001 ANDR AV Equity ANDRITZ AG Industrials 46.07 2.78% 25.03.2013 37.40 34.83 33.72 32.94 30.69 38.12 -0.375 -0.164 -0.123 -0.086 0.497 0.654 0.018 0.005 0.003 0.000 0.001 -0.004 MTX GY Equity MTU AERO ENGINES HOLDING AG Industrials 64.92 2.08% 03.05.2013 25.14 23.94 23.91 24.48 25.82 25.94 26.39 -0.251 -0.210 -0.188 -0.140 -0.099 -0.080 -0.067 0.014 0.005 0.004 0.002 0.001 0.001 0.001 TPK LN Equity TRAVIS PERKINS PLC Industrials 1111.00 2.37% 01.05.2013 HNR1 GY Equity HANNOVER RUECKVERSICHERU-REG Financials 55.33 3.97% 06.05.2013 23.40 22.45 22.21 21.69 21.80 21.12 21.52 -0.244 -0.216 -0.222 -0.216 -0.152 -0.154 -0.148 0.012 0.009 0.007 0.003 0.002 0.002 0.003 QIA GY Equity QIAGEN N.V. Health Care 14.10 20.04 20.24 20.45 21.26 23.27 23.93 24.01 0.018 -0.128 -0.163 -0.158 -0.124 -0.101 -0.102 0.022 0.007 0.005 0.003 0.002 0.002 0.002 NHY NO Equity NORSK HYDRO ASA Materials 26.64 2.63% 09.05.2013 44.16 42.17 40.31 42.90 -0.324 -0.425 -0.260 -0.205 0.056 0.033 0.016 0.005 ETL FP Equity EUTELSAT COMMUNICATIONS Consumer Discretionary 25.42 3.93% 14.11.2013 20.25 20.62 20.53 20.57 20.76 21.72 0.075 0.052 0.027 0.003 0.002 -0.016 0.016 0.003 0.001 0.000 0.000 0.000 VPK NA Equity VOPAK Industrials 55.20 1.67% 26.04.2013 19.00 18.44 18.72 19.87 20.36 20.36 -0.211 -0.193 -0.180 -0.125 -0.095 -0.095 0.017 0.008 0.006 0.003 0.002 0.002 BALN VX Equity BALOISE HOLDING AG - REG Financials 78.80 5.71% 03.05.2013 15.36 16.60 17.49 18.50 19.54 18.64 19.58 -0.366 -0.332 -0.305 -0.223 -0.107 -0.100 -0.100 0.035 0.015 0.009 0.005 0.003 0.004 0.004 Stoxx 600 Index PNN LN Equity PENNON GROUP PLC Utilities 717.00 3.95% 30.01.2013 ISAT LN Equity INMARSAT PLC Telecommunication Services 570.00 5.02% 15.05.2013 DSV DC Equity DSV A/S Industrials 125.00 1.00% 18.03.2013 31.50 28.99 28.39 28.37 -0.322 -0.223 -0.176 -0.092 0.017 0.005 0.003 0.002 TNTE NA Equity TNT EXPRESS NV Industrials 8.19 1.77% 11.04.2013 37.51 39.13 39.44 39.44 39.44 39.44 39.44 -0.677 -0.771 -0.774 -0.774 -0.774 -0.774 -0.774 0.016 0.007 0.006 0.006 0.006 0.006 0.006 STM IM Equity STMICROELECTRONICS NV Information Technology 4.69 6.54% 24.06.2013 48.28 45.19 43.58 43.16 40.91 42.29 41.71 -0.120 -0.111 -0.113 -0.185 -0.079 0.035 0.188 0.011 0.003 0.003 0.001 0.002 0.000 -0.001 BELG BB Equity BELGACOM SA Telecommunication Services 22.49 9.70% 04.12.2012 18.28 15.80 15.73 16.07 15.80 15.80 0.012 -0.098 -0.129 -0.111 0.064 0.064 0.023 0.014 0.010 0.003 0.000 0.000 LISN SE Equity LINDT & SPRUENGLI AG-REG Consumer Staples 34095.00 1.64% 30.04.2013 18.46 18.50 18.52 18.52 18.58 18.53 -0.049 0.006 0.009 0.012 0.017 0.022 0.003 0.000 0.000 0.000 0.000 0.000 INF LN Equity INFORMA PLC Consumer Discretionary 408.30 4.68% 24.04.2013 MNDI LN Equity MONDI PLC Materials 666.00 3.38% 10.04.2013 JMT PL Equity JERONIMO MARTINS Consumer Staples 14.02 2.28% 30.04.2013 SY1 GY Equity SYMRISE AG Materials 26.96 2.60% 16.05.2013 26.68 25.87 25.74 26.21 27.45 28.00 28.60 -0.137 -0.112 -0.104 -0.078 -0.051 -0.064 -0.068 0.015 0.007 0.005 0.001 0.001 0.001 0.001 PRY IM Equity PRYSMIAN SPA Industrials 14.84 1.79% 22.04.2013 26.82 27.80 28.05 28.06 28.32 28.32 -0.221 -0.192 -0.169 -0.172 -0.152 -0.152 0.018 0.003 0.001 0.001 0.001 0.001 WMH LN Equity WILLIAM HILL PLC Consumer Discretionary 340.30 3.20% 01.05.2013 17.54 17.54 18.05 19.66 -0.139 -0.139 -0.136 -0.106 0.009 0.009 0.007 0.002 ZC FP Equity ZODIAC AEROSPACE Industrials 77.85 1.93% 14.01.2013 28.36 28.08 27.98 28.50 29.72 30.44 -0.201 -0.260 -0.259 -0.193 -0.169 -0.167 0.006 0.003 0.003 0.002 0.001 0.000 ADM LN Equity ADMIRAL GROUP PLC Financials 1170.00 7.45% 15.05.2013 GBF GY Equity BILFINGER SE Industrials 75.62 3.70% 19.04.2013 21.97 21.13 21.31 22.31 24.48 26.13 26.83 -0.517 -0.352 -0.297 -0.213 -0.137 -0.144 -0.147 0.019 0.013 0.010 0.004 0.002 0.002 0.002 PSN LN Equity PERSIMMON PLC Consumer Discretionary 776.50 9.66% 08.05.2013 COB LN Equity COBHAM PLC Industrials 217.50 4.05% 01.05.2013 DELB BB Equity DELHAIZE GROUP Consumer Staples 28.50 6.04% 29.05.2013 32.07 30.14 29.29 27.53 27.62 27.62 -0.193 -0.218 -0.206 -0.127 -0.048 -0.048 0.009 0.004 0.004 0.003 0.001 0.001 CABK SQ Equity CAIXABANK Financials 3.00 7.70% 24.12.2012 24.39 22.86 23.14 23.92 24.12 26.79 26.86 -0.309 -0.382 -0.362 -0.158 -0.199 -0.346 -0.217 0.003 0.004 0.004 0.002 0.003 0.004 0.000 PGS NO Equity PETROLEUM GEO-SERVICES Energy 97.60 1.45% 06.05.2013 42.06 42.06 42.09 42.15 -0.166 -0.166 -0.168 -0.176 0.001 0.001 0.002 0.003 DIA SQ Equity DISTRIBUIDORA INTERNACIONAL Consumer Staples 4.64 2.59% 16.07.2013 34.74 33.19 32.14 30.71 27.91 27.37 27.09 -0.123 -0.131 -0.138 -0.196 -0.104 -0.107 -0.090 0.004 0.002 0.002 0.003 0.002 0.002 0.002 UBI IM Equity UBI BANCA SCPA Financials 3.15 2.23% 20.05.2013 40.18 42.31 42.91 42.83 43.49 43.49 -0.346 -0.266 -0.266 -0.227 -0.158 -0.158 0.015 0.003 0.001 0.001 0.001 0.001 IIA AV Equity IMMOFINANZ AG Financials 2.95 5.09% 08.10.2013 28.10 24.72 24.66 25.82 28.74 21.37 -0.395 -0.250 -0.151 0.022 0.312 0.627 0.036 0.019 0.013 0.005 0.001 0.000 TGS NO Equity TGS NOPEC GEOPHYSICAL CO ASA Energy 197.80 3.29% 05.06.2013 35.10 35.10 35.05 34.89 -0.276 -0.276 -0.264 -0.229 0.003 0.003 0.002 0.000 LI FP Equity KLEPIERRE Financials 29.02 5.34% 22.04.2013 17.09 17.04 16.97 16.74 17.53 16.74 -0.234 -0.117 -0.069 0.005 0.021 0.012 0.024 0.009 0.005 0.000 0.001 0.001 ATO FP Equity ATOS Information Technology 51.37 1.17% 13.06.2013 27.86 27.86 28.03 28.63 29.91 29.91 -0.224 -0.224 -0.215 -0.178 -0.127 -0.127 0.004 0.004 0.003 0.002 0.001 0.001 ENG SQ Equity ENAGAS SA Utilities 15.43 6.96% 21.12.2012 24.23 23.32 23.30 22.37 20.33 20.35 20.28 -0.078 -0.109 -0.078 0.024 0.133 0.118 0.112 0.000 0.001 0.001 0.001 0.000 0.000 -0.001 KBC BB Equity KBC GROEP NV Financials 19.43 1.80% 10.05.2013 45.04 44.38 44.19 43.46 43.00 43.00 -0.233 -0.247 -0.231 -0.150 -0.081 -0.081 0.013 0.005 0.004 0.002 0.001 0.001 PSPN SE Equity PSP SWISS PROPERTY AG-REG Financials 85.95 3.49% 20.06.2013 8.60 10.92 11.34 10.75 10.85 10.69 -0.147 -0.122 -0.113 -0.069 -0.041 -0.028 0.014 0.011 0.009 0.002 0.002 0.002 SLHN VX Equity SWISS LIFE HOLDING AG-REG Financials 120.90 3.72% 24.04.2013 26.97 26.17 25.91 25.54 27.00 26.69 27.59 -0.247 -0.211 -0.195 -0.141 -0.078 -0.069 -0.067 0.019 0.009 0.006 0.003 0.001 0.001 0.001 STERV FH Equity STORA ENSO OYJ-R SHS Materials 4.74 6.32% 25.04.2013 30.60 29.19 28.88 28.83 -0.069 -0.056 -0.066 -0.096 0.024 0.003 0.000 0.001 HO FP Equity THALES SA Industrials 28.21 3.19% 28.05.2013 22.51 21.93 22.05 22.26 22.72 20.91 20.42 -0.163 -0.229 -0.237 -0.180 -0.107 -0.077 -0.063 0.024 0.007 0.004 0.002 0.002 0.003 0.004 MAN GY Equity MAN SE Industrials 76.16 2.17% 22.04.2013 23.88 24.31 24.45 24.60 25.30 24.89 25.58 -0.103 -0.044 -0.036 -0.030 -0.034 -0.036 -0.034 0.008 0.001 0.001 0.001 0.001 0.001 0.001 PWL ID Equity PADDY POWER PLC Consumer Discretionary 57.55 2.10% 13.03.2013 COLR BB Equity COLRUYT SA Consumer Staples 33.53 2.92% 30.09.2013 22.09 22.29 22.25 22.15 22.23 22.23 -0.077 -0.137 -0.139 -0.095 -0.042 -0.042 0.018 0.009 0.007 0.002 -0.001 -0.001 GALP PL Equity GALP ENERGIA SGPS SA Energy 13.09 2.02% 21.05.2013 III LN Equity 3I GROUP PLC Financials 222.80 3.82% 12.12.2012 23.03 23.03 22.92 22.66 -0.017 -0.017 -0.045 -0.118 0.007 0.007 0.006 0.004 GET FP Equity GROUPE EUROTUNNEL SA - REGR Industrials 5.57 1.62% 21.05.2013 38.07 35.41 34.10 32.69 34.41 34.39 -0.265 -0.256 -0.250 -0.181 -0.085 -0.064 0.009 0.002 0.002 0.002 0.001 -0.001 ACS SQ Equity ACS ACTIVIDADES CONS Y SERV Industrials 17.15 6.71% 21.01.2013 34.57 34.31 34.20 34.10 31.50 28.76 24.58 -0.173 -0.170 -0.167 -0.173 -0.135 0.065 0.280 0.001 0.002 0.002 0.002 0.001 0.002 0.003 SUN VX Equity SULZER AG-REG Industrials 135.00 2.22% 18.04.2013 25.88 25.69 25.78 25.98 26.09 25.67 -0.162 -0.191 -0.178 -0.116 -0.096 -0.095 0.009 0.004 0.004 0.002 0.002 0.002 PTC PL Equity PORTUGAL TELECOM SGPS SA-REG Telecommunication Services 3.78 8.60% 28.12.2012 MEO GY Equity METRO AG Consumer Staples 20.32 6.74% 24.05.2013 32.01 30.97 30.86 29.84 30.04 27.89 28.13 -0.242 -0.198 -0.175 -0.105 -0.032 -0.025 -0.018 0.020 0.008 0.005 0.003 0.002 0.003 0.004 AKSO NO Equity AKER SOLUTIONS ASA Energy 115.40 3.03% 15.04.2013 40.55 40.55 40.32 39.68 -0.128 -0.128 -0.133 -0.146 0.000 0.000 0.001 0.001 BBY LN Equity BALFOUR BEATTY PLC Industrials 302.70 4.86% 24.04.2013 ILD FP Equity ILIAD SA Telecommunication Services 121.75 0.30% 04.06.2013 19.45 19.51 19.53 19.61 19.77 19.79 0.001 0.005 0.006 0.012 0.003 0.010 0.013 0.001 0.000 0.000 0.000 0.000 DLN LN Equity DERWENT LONDON PLC Financials 2019.00 1.66% 15.05.2013 BB FP Equity SOCIETE BIC SA Industrials 92.51 2.59% 21.05.2013 19.66 19.56 19.55 19.62 20.27 19.51 -0.073 -0.031 -0.010 0.012 0.032 0.032 0.008 0.001 0.000 0.000 0.000 0.000 CLN VX Equity CLARIANT AG-REG Materials 10.88 2.76% 28.06.2013 36.42 34.59 34.15 34.03 34.85 35.63 35.75 -0.324 -0.253 -0.221 -0.212 -0.138 -0.178 -0.154 0.011 0.006 0.005 0.002 0.002 0.001 0.001 CSCG LN Equity CAPITAL SHOPPING CENTRES GRO Financials 340.20 5.97% 29.05.2013 AGS LN Equity AEGIS GROUP PLC Consumer Discretionary 235.40 12.06.2013 LHA GY Equity DEUTSCHE LUFTHANSA-REG Industrials 10.93 2.29% 10.05.2013 23.81 23.96 24.11 24.82 26.33 24.85 25.04 -0.208 -0.224 -0.222 -0.174 -0.129 -0.104 -0.079 0.030 0.013 0.009 0.003 0.002 0.001 0.002 RAND NA Equity RANDSTAD HOLDING NV Industrials 25.45 4.91% 04.04.2013 28.23 27.18 27.17 29.04 29.36 29.36 29.36 -0.230 -0.284 -0.285 -0.220 -0.107 -0.107 -0.107 0.009 0.006 0.006 0.003 -0.001 -0.001 -0.001 ROR LN Equity ROTORK PLC Industrials 2338.00 1.87% 10.04.2013 AML LN Equity AMLIN PLC Financials 402.10 6.12% 03.04.2013 VOE AV Equity VOESTALPINE AG Materials 23.26 4.09% 08.07.2013 33.08 31.08 30.66 29.92 30.60 35.64 -0.241 -0.184 -0.173 -0.156 0.408 0.585 0.068 0.018 0.008 0.005 0.007 -0.002 SDR LN Equity SCHRODERS PLC Financials 1572.00 2.61% 27.03.2013 ELI1V FH Equity ELISA OYJ Telecommunication Services 17.80 7.30% 05.04.2013 17.92 17.31 17.73 20.65 -0.082 -0.244 -0.246 -0.125 0.013 0.005 0.003 0.001 FR FP Equity VALEO SA Consumer Discretionary 34.20 4.18% 27.06.2013 37.59 37.59 37.65 37.79 37.79 37.79 -0.248 -0.248 -0.227 -0.164 -0.098 -0.098 0.001 0.001 0.001 0.001 0.001 0.001 BKG LN Equity BERKELEY GROUP HOLDINGS Consumer Discretionary 1473.00 SCH NO Equity SCHIBSTED ASA Consumer Discretionary 226.70 1.76% 17.05.2013 DRX LN Equity DRAX GROUP PLC Utilities 534.50 3.72% 24.04.2013 TDC DC Equity TDC A/S Telecommunication Services 42.15 10.91% 08.03.2013 PMO LN Equity PREMIER OIL PLC Energy 368.70 PFG LN Equity PROVIDENT FINANCIAL PLC Financials 1412.00 5.31% 15.05.2013 CHR DC Equity CHR HANSEN HOLDING A/S Materials 172.40 2.10% 27.11.2012 TCY LN Equity TELECITY GROUP PLC Information Technology 956.00 0.78% 10.04.2013 FLS DC Equity FLSMIDTH & CO A/S Industrials 330.50 3.03% 02.04.2013 39.30 36.50 35.76 36.25 -0.284 -0.247 -0.205 -0.120 0.007 0.001 0.000 0.000 SMDS LN Equity DS SMITH PLC Materials 206.40 3.29% 19.12.2012 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 4.
    16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms IVt = atx + btx2 + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend 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 INVP LN Equity INVESTEC PLC Financials 364.60 4.94% 05.12.2012 20.53 20.53 20.99 22.38 0.102 0.102 0.050 -0.061 0.009 0.009 0.007 0.000 SXS LN Equity SPECTRIS PLC Information Technology 1597.00 2.41% 29.05.2013 TW/ LN Equity TAYLOR WIMPEY PLC Consumer Discretionary 58.45 1.27% 17.04.2013 PGHN SE Equity PARTNERS GROUP HOLDING AG Financials 199.30 2.89% 06.05.2013 17.70 17.70 17.67 17.61 18.31 18.05 0.077 0.017 0.004 0.003 0.025 0.022 0.010 0.001 0.000 0.000 -0.001 0.000 OPHR LN Equity OPHIR ENERGY PLC Energy 576.50 CORA NA Equity CORIO NV Financials 34.65 8.14% 29.04.2013 19.67 19.89 20.30 20.06 20.09 20.09 20.09 -0.290 -0.240 -0.222 -0.162 -0.034 -0.034 -0.034 0.028 0.012 0.008 0.003 0.002 0.002 0.002 BP IM Equity BANCO POPOLARE SCARL Financials 1.27 1.96% 20.05.2013 39.65 41.77 42.50 43.13 48.68 48.68 -0.195 -0.248 -0.246 -0.256 -0.254 -0.254 0.020 0.006 0.005 0.003 0.001 0.001 SEV FP Equity SUEZ ENVIRONNEMENT CO Utilities 8.51 7.76% 27.05.2013 29.47 29.62 29.71 28.52 29.22 30.89 30.62 -0.190 -0.258 -0.264 -0.181 -0.064 -0.028 0.071 0.020 0.006 0.004 0.002 0.001 0.000 -0.003 ISYS LN Equity INVENSYS PLC Industrials 223.90 2.19% 21.11.2012 28.57 28.57 29.32 31.17 0.129 0.129 0.081 -0.032 0.008 0.008 0.007 0.003 KN FP Equity NATIXIS Financials 2.60 3.84% 03.06.2013 37.32 38.59 39.09 39.01 39.73 38.56 -0.571 -0.515 -0.430 -0.212 -0.162 -0.124 0.040 0.009 0.003 0.001 0.001 0.002 MB IM Equity MEDIOBANCA SPA Financials 4.38 1.14% 18.11.2013 39.74 40.73 40.71 40.60 40.95 40.95 -0.201 -0.262 -0.249 -0.208 -0.187 -0.187 0.016 0.004 0.003 0.003 0.003 0.003 UBM LN Equity UBM PLC Consumer Discretionary 733.50 3.95% 10.04.2013 BDEV LN Equity BARRATT DEVELOPMENTS PLC Consumer Discretionary 182.80 17.04.2013 RMV LN Equity RIGHTMOVE PLC Consumer Discretionary 1637.00 1.41% 08.05.2013 CGL LN Equity CATLIN GROUP LTD Financials 489.50 5.92% 13.02.2013 IAP LN Equity ICAP PLC Financials 318.00 7.08% 02.01.2013 22.92 22.92 23.87 25.24 -0.237 -0.237 -0.219 -0.138 0.005 0.005 0.004 0.001 INDUA SS Equity INDUSTRIVARDEN AB-A SHS Financials 97.40 4.88% 08.05.2013 AHT LN Equity ASHTEAD GROUP PLC Industrials 345.80 1.19% 16.01.2013 SGRO LN Equity SEGRO PLC Financials 233.70 6.38% 20.03.2013 CNE LN Equity CAIRN ENERGY PLC Energy 285.90 32.29 32.29 32.32 32.91 -0.224 -0.224 -0.202 -0.159 0.003 0.003 0.003 0.002 GALN SE Equity GALENICA AG-REG Health Care 567.50 1.59% 09.05.2013 39.98 36.99 35.90 34.54 36.82 36.54 -1.128 -0.729 -0.548 -0.194 0.000 0.001 0.011 0.006 0.005 0.003 0.001 0.001 ETE GA Equity NATIONAL BANK OF GREECE Financials 2.23 21.05.2013 77.22 77.22 77.22 77.22 0.114 0.114 0.114 0.114 0.001 0.001 0.001 0.001 DWNI GY Equity DEUTSCHE WOHNEN AG-BR Financials 14.48 1.80% 06.06.2013 37.31 37.17 37.14 36.83 36.78 36.28 36.86 -0.081 -0.072 -0.077 -0.055 -0.030 -0.030 -0.024 0.005 0.001 0.001 0.001 0.001 0.001 0.001 BOKA NA Equity BOSKALIS WESTMINSTER Industrials 29.16 4.25% 14.05.2013 20.99 21.23 21.77 23.04 -0.140 -0.198 -0.205 -0.161 0.024 0.009 0.007 0.004 EGPW IM Equity ENEL GREEN POWER SPA Utilities 1.37 2.08% 20.05.2013 32.75 33.33 33.50 33.18 32.95 32.95 -0.315 -0.131 -0.091 -0.113 -0.100 -0.100 0.039 0.013 0.005 0.001 0.001 0.001 GN DC Equity GN STORE NORD A/S Health Care 90.35 0.51% 25.03.2013 30.04 27.85 27.82 29.61 -0.346 -0.289 -0.238 -0.132 0.035 0.010 0.004 0.001 MMB FP Equity LAGARDERE S.C.A. Consumer Discretionary 20.63 6.30% 20.05.2013 29.17 29.17 29.35 29.36 30.83 30.35 -0.225 -0.225 -0.213 -0.157 -0.073 -0.057 0.009 0.009 0.007 0.002 0.001 0.001 RMS FP Equity HERMES INTERNATIONAL Consumer Discretionary 217.25 1.08% 27.02.2013 EMG LN Equity MAN GROUP PLC Financials 92.80 14.71% 24.04.2013 54.39 53.33 52.57 48.90 -0.034 -0.034 -0.033 -0.019 0.004 0.003 0.002 -0.001 LSE LN Equity LONDON STOCK EXCHANGE GROUP Financials 973.00 3.15% 05.12.2012 24.70 24.70 24.45 23.81 -0.162 -0.162 -0.182 -0.219 0.003 0.003 0.003 0.003 POH1S FH Equity POHJOLA BANK PLC-A SHS Financials 10.84 4.61% 28.03.2013 HL/ LN Equity HARGREAVES LANSDOWN PLC Financials 740.00 3.43% 13.03.2013 MF FP Equity WENDEL Financials 62.94 2.22% 07.06.2013 37.43 32.92 33.10 36.31 37.88 37.11 -0.180 -0.202 -0.201 -0.193 -0.167 -0.183 0.012 0.006 0.004 0.002 0.002 0.002 LAD LN Equity LADBROKES PLC Consumer Discretionary 177.80 4.61% 13.03.2013 18.75 18.75 19.20 21.36 -0.025 -0.025 -0.043 -0.095 0.006 0.006 0.005 0.002 IGG LN Equity IG GROUP HOLDINGS PLC Financials 456.50 5.26% 23.01.2013 POP SQ Equity BANCO POPULAR ESPANOL Financials 1.29 27.12.2012 70.88 71.34 68.54 59.53 51.77 50.76 51.06 0.018 -0.004 -0.119 -0.487 -0.771 -0.674 -0.685 0.000 0.000 0.003 0.010 0.012 0.010 0.009 DUFN SE Equity DUFRY AG-REG Consumer Discretionary 117.80 16.05.2013 35.14 35.04 34.91 34.61 34.42 34.13 -0.031 -0.010 -0.006 -0.012 -0.055 -0.029 0.005 0.000 0.000 0.000 0.001 0.001 GJF NO Equity GJENSIDIGE FORSIKRING ASA Financials 81.80 7.09% 26.04.2013 21.09 21.09 21.66 22.20 -0.180 -0.180 -0.175 -0.118 0.007 0.007 0.006 0.002 TNET BB Equity TELENET GROUP HOLDING NV Telecommunication Services 35.78 11.88% 27.08.2013 15.35 13.50 13.44 15.32 16.90 16.90 -0.375 -0.163 -0.120 -0.072 -0.078 -0.078 0.020 0.010 0.008 0.004 0.003 0.003 TRELB SS Equity TRELLEBORG AB-B SHS Industrials 70.85 3.88% 22.04.2013 33.47 30.72 28.70 29.31 30.02 -0.113 -0.202 -0.197 -0.123 0.076 0.025 0.010 0.006 0.002 0.001 RTO LN Equity RENTOKIL INITIAL PLC Industrials 88.50 2.56% 03.04.2013 24.82 24.82 24.14 22.69 -0.073 -0.073 -0.087 -0.111 0.005 0.005 0.004 0.002 HLMA LN Equity HALMA PLC Information Technology 417.30 2.50% 02.01.2013 PC IM Equity PIRELLI & C. Consumer Discretionary 8.32 4.09% 20.05.2013 31.77 32.08 32.02 31.29 31.74 31.74 -0.277 -0.272 -0.235 -0.168 -0.093 -0.093 0.023 0.006 0.003 0.002 0.001 0.001 SOW GY Equity SOFTWARE AG Information Technology 31.24 1.50% 06.05.2013 34.57 36.45 37.08 37.70 38.26 37.76 38.21 -0.335 -0.207 -0.172 -0.152 -0.157 -0.173 -0.183 0.012 0.005 0.004 0.002 0.002 0.002 0.003 ADP FP Equity ADP Industrials 61.00 3.05% 13.05.2013 18.65 18.71 18.69 18.53 18.86 18.72 0.015 0.015 0.006 0.009 0.016 0.007 0.016 0.002 0.000 0.000 0.000 0.000 AFR LN Equity AFREN PLC Energy 140.80 FPE3 GY Equity FUCHS PETROLUB AG -PREF Materials 53.11 2.01% 09.05.2013 22.20 22.54 23.08 24.00 24.23 24.95 25.46 -0.392 -0.300 -0.269 -0.192 -0.123 -0.145 -0.148 0.012 0.005 0.003 0.001 0.002 0.002 0.002 LONN VX Equity LONZA GROUP AG-REG Health Care 46.63 4.61% 15.04.2013 29.16 27.49 27.10 26.70 27.45 27.79 0.062 0.005 -0.033 -0.056 -0.001 -0.066 0.015 0.007 0.005 0.002 0.001 0.001 INCH LN Equity INCHCAPE PLC Consumer Discretionary 354.50 3.55% 15.05.2013 SZU GY Equity SUEDZUCKER AG Consumer Staples 28.83 2.78% 02.08.2013 19.56 20.75 21.52 22.82 23.93 23.78 23.78 -0.326 -0.194 -0.160 -0.135 -0.072 -0.065 -0.042 0.020 0.005 0.002 0.002 0.001 0.002 0.003 CAPC LN Equity CAPITAL & COUNTIES PROPERTIE Financials 231.00 0.67% 15.05.2013 KAZ LN Equity KAZAKHMYS PLC Materials 707.00 2.63% 17.04.2013 43.98 43.98 43.58 41.99 -0.220 -0.220 -0.208 -0.134 0.003 0.003 0.002 0.001 SPX LN Equity SPIRAX-SARCO ENGINEERING PLC Industrials 1941.00 2.86% 17.04.2013 WDI GY Equity WIRECARD AG Information Technology 17.88 0.67% 24.06.2013 30.99 30.73 31.39 33.35 33.58 33.67 33.91 -0.057 -0.053 -0.050 -0.048 -0.025 -0.033 -0.021 0.003 0.000 0.000 0.000 0.000 0.000 0.000 CPR IM Equity DAVIDE CAMPARI-MILANO SPA Consumer Staples 6.48 1.16% 20.05.2013 27.86 27.51 27.41 27.38 27.73 27.57 0.003 0.006 0.003 0.006 0.004 0.006 0.001 0.000 0.000 0.000 0.000 0.001 Stoxx 600 Index RHK GY Equity RHOEN-KLINIKUM AG Health Care 15.22 2.96% 13.06.2013 32.88 33.47 33.35 31.93 32.52 33.00 33.94 -0.036 -0.047 -0.040 -0.008 0.060 0.044 0.039 0.013 0.006 0.004 0.002 0.001 0.000 0.001 SBMO NA Equity SBM OFFSHORE NV Energy 10.71 6.07% 14.05.2013 40.04 38.70 38.18 37.36 39.48 31.64 31.20 -0.092 -0.111 -0.117 -0.004 0.288 0.347 0.454 0.013 0.005 0.004 0.002 -0.003 0.012 0.016 CKSN LN Equity COOKSON GROUP PLC Industrials 535.50 4.54% 01.05.2013 SECUB SS Equity SECURITAS AB-B SHS Industrials 49.56 6.56% 06.05.2013 25.41 24.09 22.98 24.71 28.68 -0.205 -0.182 -0.164 -0.111 0.115 0.056 0.026 0.015 0.005 -0.002 PSM GY Equity PROSIEBEN SAT.1 MEDIA AG-PRF Consumer Discretionary 21.98 6.19% 16.05.2013 28.02 28.45 28.47 28.32 31.40 27.80 31.44 -0.189 -0.051 -0.026 0.069 -0.027 0.086 0.034 0.012 0.001 0.000 -0.001 0.000 0.002 0.001 MEDAA SS Equity MEDA AB-A SHS Health Care 66.90 3.29% 06.05.2013 25.26 22.95 21.91 23.21 -0.550 -0.329 -0.226 -0.026 0.042 0.020 0.011 0.004 NUO NA Equity NUTRECO NV Consumer Staples 57.88 3.72% 02.04.2013 18.96 16.91 16.83 17.74 -0.219 -0.230 -0.221 -0.148 0.023 0.014 0.010 0.005 RCO FP Equity REMY COINTREAU Consumer Staples 86.50 1.62% 02.08.2013 25.73 25.70 25.66 25.57 26.42 26.29 -0.010 -0.013 -0.009 0.005 -0.005 0.002 0.003 0.000 0.000 0.000 0.000 0.000 MHG NO Equity MARINE HARVEST Consumer Staples 4.85 83.78 83.78 76.27 0.855 0.855 0.521 -0.002 -0.002 0.005 DCC ID Equity DCC PLC Industrials 21.50 3.99% 14.11.2012 19.87 19.79 19.92 19.88 20.16 17.93 0.207 0.061 -0.011 -0.098 -0.123 -0.019 0.015 0.003 0.002 0.001 0.002 0.005 BOSS GY Equity HUGO BOSS AG -ORD Consumer Discretionary 73.30 4.50% 06.05.2013 33.93 34.33 35.20 36.85 38.36 37.57 39.22 -0.269 -0.207 -0.189 -0.108 0.002 0.016 0.054 0.008 0.003 0.002 0.002 0.000 -0.001 -0.001 IAG LN Equity INTL CONSOLIDATED AIRLINE-DI Industrials 155.20 06.03.2013 33.62 33.47 33.10 32.61 -0.058 -0.092 -0.092 -0.068 0.002 0.003 0.002 0.000 GPOR LN Equity GREAT PORTLAND ESTATES PLC Financials 457.80 1.88% 21.11.2012 CAST SS Equity CASTELLUM AB Financials 88.30 4.42% 29.03.2013 GAM SE Equity GAM HOLDING AG Financials 12.45 4.18% 19.04.2013 24.33 25.08 25.64 26.37 27.94 27.14 -0.231 -0.220 -0.224 -0.199 -0.117 -0.095 0.025 0.011 0.007 0.003 0.003 0.003 DMGT LN Equity DAILY MAIL&GENERAL TST-A NV Consumer Discretionary 477.50 3.85% 28.11.2012 DEB LN Equity DEBENHAMS PLC Consumer Discretionary 111.00 2.88% 05.12.2012 IM NA Equity ROYAL IMTECH NV Industrials 20.77 3.76% 11.04.2013 26.07 25.15 25.01 26.04 -0.293 -0.304 -0.297 -0.221 0.014 0.010 0.009 0.005 ORNBV FH Equity ORION OYJ-CLASS B Health Care 18.07 6.64% 01.04.2013 ALU FP Equity ALCATEL-LUCENT Information Technology 0.75 10.06.2013 87.83 72.61 67.71 64.79 61.68 57.73 54.89 -0.654 -0.399 -0.267 -0.066 -0.165 -0.028 -0.013 0.018 0.015 0.014 0.002 0.001 -0.002 -0.001 MTGB SS Equity MODERN TIMES GROUP-B SHS Consumer Discretionary 281.50 3.41% 20.05.2013 30.28 60.53 65.54 61.37 0.069 0.009 0.000 0.000 0.001 0.000 0.000 0.000 BMPS IM Equity BANCA MONTE DEI PASCHI SIENA Financials 0.24 20.05.2013 50.24 50.68 50.97 52.84 55.69 51.25 49.82 -0.242 -0.179 -0.173 -0.276 -0.502 -0.950 -1.250 0.020 0.009 0.007 0.001 0.001 0.008 0.010 YTY1V FH Equity YIT OYJ Industrials 15.36 4.56% 14.03.2013 30.79 31.19 31.49 -0.199 -0.177 -0.142 0.007 0.003 0.002 FDR FP Equity FONCIERE DES REGIONS Financials 60.97 7.05% 13.05.2013 18.63 18.71 18.78 18.83 20.26 19.13 -0.072 -0.034 -0.021 0.003 0.006 -0.031 0.019 0.004 0.001 0.000 0.000 0.001 BOK LN Equity BOOKER GROUP PLC Consumer Staples 96.05 2.55% 31.10.2012 FGR FP Equity EIFFAGE Industrials 26.35 4.55% 26.04.2013 46.73 46.36 46.32 46.46 48.84 47.57 -0.024 -0.011 -0.007 0.005 0.004 -0.031 0.006 0.000 0.000 0.000 0.000 0.001 RXL FP Equity REXEL SA Industrials 15.51 4.51% 24.05.2013 AVV LN Equity AVEVA GROUP PLC Information Technology 2028.00 1.20% 02.01.2013 HELN SE Equity HELVETIA HOLDING AG-REG Financials 337.75 5.03% 09.05.2013 24.42 24.31 24.25 23.92 24.89 23.74 -0.095 -0.086 -0.088 -0.082 -0.066 -0.070 0.005 0.001 0.001 0.001 0.001 0.001 GFC FP Equity GECINA SA Financials 80.42 5.47% 19.04.2013 22.08 22.10 22.10 22.43 23.98 22.92 -0.030 0.003 0.008 0.000 -0.033 -0.076 0.006 0.000 0.000 0.000 0.000 0.002 DL NA Equity DELTA LLOYD NV Financials 12.67 8.52% 27.05.2013 24.43 24.29 24.75 25.54 26.04 26.04 -0.212 -0.284 -0.286 -0.200 -0.131 -0.131 0.028 0.009 0.006 0.004 0.003 0.003 SHB LN Equity SHAFTESBURY PLC Financials 538.00 2.33% 23.01.2013 BKIR ID Equity BANK OF IRELAND Financials 0.10 27.02.2013 46.24 48.50 48.60 46.58 44.21 43.66 -0.226 -0.168 -0.094 0.066 0.084 0.044 0.037 0.001 -0.006 -0.006 -0.002 0.001 FNC IM Equity FINMECCANICA SPA Industrials 4.24 20.05.2013 41.23 41.37 41.32 41.30 41.67 41.67 -0.071 -0.162 -0.166 -0.140 -0.127 -0.127 0.012 0.007 0.006 0.002 0.001 0.001 OTE1V FH Equity OUTOTEC OYJ Industrials 38.65 3.11% 26.03.2013 ASHM LN Equity ASHMORE GROUP PLC Financials 365.90 4.16% 06.03.2013 WDH DC Equity WILLIAM DEMANT HOLDING Health Care 524.00 JYSK DC Equity JYSKE BANK-REG Financials 170.00 GNK LN Equity GREENE KING PLC Consumer Discretionary 603.00 4.36% 19.12.2012 QQ/ LN Equity QINETIQ GROUP PLC Industrials 197.80 1.62% 16.01.2013 VIS SQ Equity VISCOFAN SA Consumer Staples 35.90 3.01% 24.12.2012 BARN SE Equity BARRY CALLEBAUT AG-REG Consumer Staples 899.50 1.72% 27.02.2013 19.02 18.67 18.52 18.66 18.59 18.72 -0.065 -0.059 -0.047 -0.022 -0.016 -0.010 0.002 0.002 0.002 0.001 0.001 0.002 HGG LN Equity HENDERSON GROUP PLC Financials 116.10 6.24% 01.05.2013 BPE IM Equity BANCA POPOL EMILIA ROMAGNA Financials 4.75 2.11% 20.05.2013 60.12 60.46 60.51 60.82 62.66 61.39 -0.009 0.001 0.003 -0.024 -0.074 -0.109 0.002 0.000 0.000 0.000 0.000 0.002 NDA GY Equity AURUBIS AG Materials 46.83 2.67% 01.03.2013 22.17 23.15 23.19 24.28 26.28 26.66 26.41 -0.220 -0.133 -0.128 -0.133 -0.118 -0.100 -0.077 0.010 0.002 0.002 0.002 0.003 0.003 0.003 ING FP Equity INGENICO Information Technology 38.75 1.29% 06.05.2013 FRA GY Equity FRAPORT AG Industrials 44.44 2.81% 03.06.2013 24.26 23.82 23.89 24.20 25.16 25.28 25.80 -0.358 -0.324 -0.301 -0.220 -0.146 -0.129 -0.129 0.010 0.007 0.006 0.003 0.002 0.002 0.002 CLLN LN Equity CARILLION PLC Industrials 293.00 6.01% 15.05.2013 TOP DC Equity TOPDANMARK A/S Financials 1163.00 HUSQB SS Equity HUSQVARNA AB-B SHS Consumer Discretionary 33.41 4.49% 06.05.2013 33.67 31.66 30.04 30.91 33.19 -0.650 -0.653 -0.857 -0.112 0.030 0.068 0.033 0.031 -0.001 0.000 CNP FP Equity CNP ASSURANCES Financials 10.78 7.14% 10.05.2013 29.19 29.19 29.15 28.96 29.44 29.44 -0.236 -0.236 -0.221 -0.164 -0.045 -0.045 0.003 0.003 0.003 0.002 0.000 0.000 RHM GY Equity RHEINMETALL AG Industrials 38.27 4.76% 15.05.2013 31.56 31.69 32.20 33.26 34.10 32.36 33.31 -0.235 -0.193 -0.199 -0.205 -0.195 -0.217 -0.229 0.006 0.002 0.002 0.002 0.002 0.003 0.004 ICAD FP Equity ICADE Financials 66.61 5.40% 18.04.2013 20.70 20.38 20.38 20.62 21.80 21.82 -0.211 -0.055 -0.017 0.001 -0.007 -0.038 0.013 0.002 0.000 0.000 0.000 0.000 CBG LN Equity CLOSE BROTHERS GROUP PLC Financials 866.00 8.26% 20.03.2013 FLTR LN Equity FILTRONA PLC Materials 555.00 2.31% 10.04.2013 ICP LN Equity INTERMEDIATE CAPITAL GROUP Financials 306.90 6.52% 05.12.2012 BES PL Equity BANCO ESPIRITO SANTO-REG Financials 0.68 08.04.2013 NK FP Equity IMERYS SA Materials 46.16 3.47% 06.05.2013 36.24 36.05 35.99 35.97 37.37 36.86 -0.028 0.004 0.005 0.000 0.011 -0.016 0.005 0.000 0.000 0.000 0.000 0.000 EZJ LN Equity EASYJET PLC Industrials 600.00 1.88% 28.02.2013 MAP SQ Equity MAPFRE SA Financials 2.16 6.95% 14.12.2012 45.70 40.84 38.44 36.76 29.15 29.00 28.44 -0.265 -0.228 -0.208 -0.256 -0.133 -0.147 -0.107 0.004 0.005 0.004 -0.001 -0.001 0.000 0.000 SGC LN Equity STAGECOACH GROUP PLC Industrials 280.10 3.03% 06.02.2013 KESBV FH Equity KESKO OYJ-B SHS Consumer Staples 22.19 6.08% 02.04.2013 GIB GY Equity GSW IMMOBILIEN AG Financials 31.18 2.89% 01.07.2013 25.76 25.68 25.78 25.83 25.87 25.82 26.13 -0.204 -0.092 -0.071 -0.080 -0.098 -0.092 -0.093 0.012 0.001 0.000 0.001 0.001 0.001 0.001 BTG LN Equity BTG PLC Health Care 365.00 NEO FP Equity NEOPOST SA Information Technology 42.51 9.18% 12.12.2012 36.38 37.45 37.42 37.62 39.46 40.22 0.020 -0.007 -0.006 0.007 -0.073 -0.095 0.002 0.000 0.000 0.000 0.001 0.002 VCT LN Equity VICTREX PLC Materials 1400.00 2.49% 06.02.2013 BWY LN Equity BELLWAY PLC Consumer Discretionary 968.50 2.20% 22.05.2013 PMI IM Equity BANCA POPOLARE DI MILANO Financials 0.45 20.05.2013 67.13 70.16 70.35 67.71 64.79 64.79 -0.289 -0.329 -0.303 -0.200 -0.185 -0.185 0.013 0.005 0.003 0.001 0.002 0.002 HTG LN Equity HUNTING PLC Energy 790.00 2.24% 05.06.2013 VED LN Equity VEDANTA RESOURCES PLC Materials 1092.00 3.24% 14.11.2012 49.97 49.97 49.41 47.92 -0.146 -0.146 -0.161 -0.184 0.001 0.001 0.001 0.002 AF FP Equity AIR FRANCE-KLM Industrials 5.67 16.07.2013 45.21 42.22 40.82 38.95 38.47 39.24 36.67 -0.231 -0.221 -0.216 -0.164 -0.140 -0.134 -0.188 0.014 0.008 0.006 0.003 0.003 0.004 0.008 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |
  • 5.
    16.10.2012 Option Implied Volatility Skew Parameters by Terms: At The Money Implied Volatilities by Terms 2 IVt = atx + btx + ct Next Ex- Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Dividend ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 ATM3 Ticker Name GICS_SECTOR_NAME ATM3 Ref Dividend (a) - (a) - (a) - (a) - (a) - (a) - (a) - (b) - (b) - (b) - (b) - (b) - (b) - (b) - Yield Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M Date 30D 60D 90D 6M 12M 18M 24M 30D 60D 90D 6M 12M 18M 24M UTDI GY Equity UNITED INTERNET AG-REG SHARE Information Technology 15.60 1.92% 03.06.2013 21.99 21.80 22.06 23.52 26.29 26.26 26.85 -0.010 -0.191 -0.224 -0.177 -0.126 -0.130 -0.129 0.013 0.008 0.007 0.002 0.001 0.001 0.001 PARG SE Equity PARGESA HOLDING SA-BR Financials 64.40 4.66% 09.05.2013 17.34 17.02 16.90 16.83 17.74 17.46 -0.281 -0.200 -0.186 -0.192 -0.206 -0.221 0.016 0.005 0.003 0.003 0.003 0.003 BPSO IM Equity BANCA POPOLARE DI SONDRIO Financials 4.60 3.26% 22.04.2013 44.69 44.94 44.89 45.25 47.67 45.86 -0.002 0.016 0.011 -0.034 -0.083 -0.133 0.003 0.000 0.000 0.000 0.000 0.002 ACKB BB Equity ACKERMANS & VAN HAAREN Financials 62.83 2.75% 31.05.2013 TKA AV Equity TELEKOM AUSTRIA AG Telecommunication Services 5.68 0.88% 23.05.2013 28.97 26.65 26.06 25.74 27.08 24.40 0.307 0.183 0.080 -0.071 0.366 0.476 0.044 0.019 0.012 0.002 -0.003 -0.002 RATOB SS Equity RATOS AB-B SHS Financials 57.55 9.56% 08.04.2013 UG FP Equity PEUGEOT SA Consumer Discretionary 5.80 05.06.2013 55.72 53.24 52.26 50.92 50.83 53.96 55.62 -0.227 -0.184 -0.160 -0.133 -0.189 -0.153 -0.397 0.018 0.008 0.006 0.003 0.001 -0.001 -0.007 ULE LN Equity ULTRA ELECTRONICS HLDGS PLC Industrials 1633.00 2.65% 10.04.2013 STB NO Equity STOREBRAND ASA Financials 29.78 3.69% 11.04.2013 53.68 53.68 53.62 53.45 -0.280 -0.280 -0.252 -0.175 0.008 0.008 0.005 -0.003 SK FP Equity SEB SA Consumer Discretionary 52.79 2.46% 15.05.2013 28.25 28.13 28.12 28.12 28.94 28.54 -0.011 0.009 0.009 0.007 0.003 0.001 0.006 -0.001 -0.001 0.000 0.000 0.000 SAZ GY Equity STADA ARZNEIMITTEL AG Health Care 23.28 2.79% 06.06.2013 36.22 34.25 33.43 31.98 33.15 32.65 33.89 0.032 0.015 -0.014 -0.060 -0.042 -0.021 0.005 0.015 0.008 0.007 0.003 0.001 0.000 0.000 SPR GY Equity AXEL SPRINGER AG Consumer Discretionary 33.30 5.26% 18.04.2013 21.78 21.57 21.33 20.88 22.32 22.85 24.14 0.049 -0.045 -0.062 -0.025 -0.034 -0.071 -0.089 0.014 0.003 0.001 0.000 0.000 0.000 0.000 AALB NA Equity AALBERTS INDUSTRIES NV Industrials 14.34 2.44% 29.04.2013 20.52 21.06 21.52 22.52 -0.240 -0.149 -0.132 -0.111 0.032 0.011 0.006 0.003 ZOT SQ Equity ZARDOYA OTIS SA Industrials 9.01 5.55% 12.12.2012 NES1V FH Equity NESTE OIL OYJ Energy 10.58 3.78% 15.04.2013 34.08 33.76 33.94 34.18 -0.235 -0.135 -0.116 -0.111 0.010 0.002 0.001 0.001 ELE SQ Equity ENDESA SA Utilities 16.10 6.40% 03.01.2013 30.57 29.41 29.72 28.40 28.35 28.07 29.13 -0.080 -0.055 -0.041 -0.028 -0.012 0.046 0.061 0.003 0.001 0.001 0.001 0.001 0.001 -0.002 DEQ GY Equity DEUTSCHE EUROSHOP AG Financials 30.81 3.57% 21.06.2013 21.47 21.83 21.94 20.70 22.25 21.17 21.79 -0.313 -0.221 -0.199 -0.127 -0.148 -0.084 -0.088 0.012 0.005 0.004 0.003 0.003 0.002 0.003 MPI LN Equity MICHAEL PAGE INTERNATIONAL Industrials 359.30 2.85% 01.05.2013 RBI AV Equity RAIFFEISEN BANK INTERNATIONA Financials 31.69 3.31% 03.07.2013 34.58 38.36 38.98 38.10 37.25 42.99 -0.692 -0.289 -0.186 -0.094 0.257 0.588 0.039 0.008 0.003 0.004 -0.011 -0.005 CFAO FP Equity CFAO Consumer Discretionary 37.24 MTO LN Equity MITIE GROUP PLC Industrials 296.70 3.45% 12.12.2012 COFB BB Equity COFINIMMO Financials 88.06 7.38% 29.04.2013 13.73 13.67 13.66 13.66 14.87 13.90 -0.065 -0.056 -0.051 -0.011 0.010 -0.013 0.010 0.009 0.007 0.000 0.000 0.001 TT/ LN Equity TUI TRAVEL PLC Consumer Discretionary 248.50 4.79% 06.03.2013 HIK LN Equity HIKMA PHARMACEUTICALS PLC Health Care 755.00 1.23% 17.04.2013 VIG AV Equity VIENNA INSURANCE GROUP AG Financials 33.56 3.58% 13.05.2013 24.13 25.68 26.30 26.40 27.15 30.96 -0.378 -0.199 -0.186 -0.113 0.455 0.626 0.072 0.026 0.014 0.006 0.000 -0.005 DLAR LN Equity DE LA RUE PLC Industrials 1050.00 4.03% 12.12.2012 FNTN GY Equity FREENET AG Telecommunication Services 12.86 9.33% 10.05.2013 16.18 17.34 17.95 18.86 20.92 17.66 18.27 -0.207 -0.197 -0.185 -0.112 -0.055 -0.039 -0.029 0.035 0.014 0.008 0.003 0.001 0.003 0.004 HAS LN Equity HAYS PLC Industrials 79.70 3.14% 27.02.2013 OERL SE Equity OC OERLIKON CORP AG-REG Industrials 9.11 32.68 32.25 32.13 32.86 34.41 34.45 -0.220 -0.165 -0.160 -0.177 -0.185 -0.226 0.017 0.005 0.004 0.001 -0.001 0.000 ELM LN Equity ELEMENTIS PLC Materials 228.00 2.16% 01.05.2013 TRYG DC Equity TRYG A/S Financials 381.80 3.54% 19.04.2013 22.57 21.27 21.34 22.77 -0.171 -0.057 -0.032 -0.001 0.007 0.001 0.001 0.000 RCF FP Equity TELEPERFORMANCE Industrials 23.61 2.33% 03.06.2013 26.63 26.59 26.57 26.19 26.31 26.63 -0.195 -0.018 0.012 0.020 0.048 0.061 0.011 0.001 0.000 0.000 0.000 0.000 JLT LN Equity JARDINE LLOYD THOMPSON GROUP Financials 775.50 3.38% 03.04.2013 PZC LN Equity PZ CUSSONS PLC Consumer Staples 317.80 2.30% 20.02.2013 PNL NA Equity POSTNL NV Industrials 2.83 11.97% 23.04.2013 42.13 43.26 43.37 39.61 34.21 34.21 34.21 -0.271 -0.189 -0.157 -0.025 0.169 0.169 0.169 0.031 0.012 0.008 0.005 0.004 0.004 0.004 EMSN SE Equity EMS-CHEMIE HOLDING AG-REG Materials 212.40 GCC ID Equity C&C GROUP PLC Consumer Staples 3.79 2.40% 31.10.2012 27.75 27.80 28.94 31.69 31.37 30.67 -0.184 -0.136 -0.158 -0.255 -0.230 -0.246 0.027 0.008 0.003 0.000 0.001 0.002 EBRO SQ Equity EBRO FOODS SA Consumer Staples 14.30 3.46% 11.01.2013 35.45 32.86 31.25 26.69 23.24 18.80 18.51 -0.116 -0.106 -0.100 -0.084 -0.029 0.093 0.124 0.001 0.002 0.002 0.002 0.001 0.001 0.001 SPT LN Equity SPIRENT COMMUNICATIONS PLC Information Technology 150.50 1.38% 06.03.2013 GXI GY Equity GERRESHEIMER AG Health Care 38.98 1.80% 19.04.2013 18.11 19.19 20.14 22.36 25.31 24.98 25.31 -0.028 -0.143 -0.180 -0.163 -0.117 -0.093 -0.080 0.019 0.006 0.005 0.003 0.002 0.002 0.002 AMEAS FH Equity AMER SPORTS OYJ Consumer Discretionary 10.27 3.89% 11.03.2013 SOF BB Equity SOFINA Financials 64.99 3.22% 29.04.2013 15.45 15.27 15.22 15.21 15.73 15.56 0.002 0.003 0.001 -0.002 0.001 -0.004 0.013 0.003 0.001 0.000 0.000 0.000 SZG GY Equity SALZGITTER AG Materials 31.59 1.42% 23.05.2013 38.15 36.98 36.65 36.16 36.57 37.25 38.14 -0.324 -0.268 -0.248 -0.202 -0.134 -0.103 -0.082 0.013 0.005 0.003 0.002 0.001 0.001 0.000 IMG LN Equity IMAGINATION TECH GROUP PLC Information Technology 477.80 BCVN SE Equity BANQUE CANTONALE VAUDOIS-REG Financials 499.75 4.40% 07.05.2013 23.87 23.91 23.93 23.84 24.76 23.99 -0.045 -0.005 -0.002 0.005 0.025 0.018 0.005 0.000 0.000 0.000 0.000 0.001 RF FP Equity EURAZEO Financials 35.76 3.36% 16.05.2013 35.30 35.19 35.14 35.04 36.42 35.56 -0.014 0.000 -0.002 -0.001 0.005 -0.015 0.007 0.000 0.000 0.000 0.000 0.001 KCR1V FH Equity KONECRANES OYJ Industrials 23.26 4.30% 05.04.2013 BME SQ Equity BOLSAS Y MERCADOS ESPANOLES Financials 16.77 15.50% 21.12.2012 33.36 31.14 31.15 25.59 15.38 34.01 40.67 -0.144 -0.257 -0.244 -0.034 0.615 -0.067 -0.103 0.000 0.005 0.005 0.002 -0.004 -0.003 -0.004 TRE SQ Equity TECNICAS REUNIDAS SA Energy 37.04 3.62% 21.01.2013 34.62 33.93 33.22 32.31 31.96 31.72 31.80 -0.144 -0.186 -0.168 -0.109 -0.091 -0.092 -0.087 0.000 0.000 -0.001 -0.002 -0.002 -0.002 -0.003 VATN SE Equity VALIANT HOLDING AG-REG Financials 88.85 3.60% 24.05.2013 26.45 26.52 26.53 26.57 27.68 27.57 -0.036 -0.001 0.000 -0.005 -0.009 -0.032 0.003 0.000 0.000 0.000 0.000 0.000 ANA SQ Equity ACCIONA SA Utilities 45.05 6.88% 21.01.2013 41.89 41.01 39.83 35.20 34.12 32.12 33.06 -0.236 -0.262 -0.242 -0.126 -0.088 -0.057 -0.114 0.000 0.000 0.001 0.002 0.002 0.002 0.003 CLS1 GY Equity CELESIO AG Health Care 14.95 2.48% 17.05.2013 23.54 23.73 24.44 26.43 28.67 29.11 29.52 -0.397 -0.280 -0.233 -0.184 -0.120 -0.092 -0.073 0.017 0.008 0.006 0.003 0.002 0.002 0.002 KABN SE Equity KABA HOLDING AG-REG B Industrials 365.25 2.46% 25.10.2013 13.02 14.15 14.66 15.15 15.06 14.45 0.008 -0.041 -0.043 0.000 0.006 0.042 0.013 0.005 0.003 0.002 0.003 0.005 FI/N SE Equity FISCHER (GEORG)-REG Industrials 339.25 4.13% 24.06.2013 23.14 21.69 22.22 23.84 21.90 22.29 -0.092 -0.029 -0.046 -0.179 -0.094 -0.081 0.004 0.001 0.001 0.001 0.002 0.002 ALLN SE Equity ALLREAL HOLDING AG-REG Financials 138.40 4.25% 04.04.2013 Stoxx 600 Index MS IM Equity MEDIASET SPA Consumer Discretionary 1.63 3.08% 20.05.2013 46.44 45.86 45.25 43.47 42.13 42.13 -0.253 -0.142 -0.167 -0.188 -0.229 -0.229 0.022 0.002 0.002 0.004 0.003 0.003 LOGN SE Equity LOGITECH INTERNATIONAL-REG Information Technology 8.16 47.99 44.42 42.69 40.17 48.16 47.48 -0.368 -0.328 -0.366 -0.511 -0.479 -0.421 0.010 0.005 0.006 0.007 -0.005 -0.005 ECM LN Equity ELECTROCOMPONENTS PLC Information Technology 210.70 5.70% 05.12.2012 CWC LN Equity CABLE & WIRELESS COMMUNICATI Telecommunication Services 36.21 6.85% 14.11.2012 25.69 25.69 25.87 25.23 0.126 0.126 0.082 -0.097 0.004 0.004 0.006 0.015 VER AV Equity VERBUND AG Utilities 17.09 3.63% 19.04.2013 27.28 25.01 24.23 23.13 23.94 17.92 -0.314 -0.191 -0.160 -0.095 0.399 0.585 0.061 0.026 0.016 0.004 0.010 0.006 HUFVA SS Equity HUFVUDSTADEN AB-A SHS Financials 82.60 3.09% 22.03.2013 DEC FP Equity JC DECAUX SA Consumer Discretionary 16.97 2.89% 17.05.2013 33.14 33.50 33.60 33.90 35.41 33.84 -0.002 0.007 0.014 0.023 0.061 0.064 0.006 0.000 0.000 0.000 -0.001 0.000 BKIA SQ Equity BANKIA SA Financials 1.03 HOLMB SS Equity HOLMEN AB-B SHARES Materials 183.30 3.82% 28.03.2013 18.34 18.58 19.16 21.46 -0.094 -0.112 -0.118 -0.112 0.042 0.019 0.012 0.003 EXO IM Equity EXOR SPA Financials 20.73 1.69% 24.06.2013 23.65 25.32 26.11 27.20 -0.156 -0.192 -0.141 -0.076 0.011 0.001 0.001 0.000 JM SS Equity JM AB Consumer Discretionary 115.50 5.89% 29.04.2013 EVR LN Equity EVRAZ PLC Materials 242.30 7.68% 05.06.2013 FGP LN Equity FIRSTGROUP PLC Industrials 186.00 13.62% 02.01.2013 NCCB SS Equity NCC AB-B SHS Industrials 122.40 8.17% 10.04.2013 MOBN SE Equity MOBIMO HOLDING AG-REG Financials 216.00 4.17% 08.04.2013 NEX LN Equity NATIONAL EXPRESS GROUP PLC Industrials 205.80 4.98% 24.04.2013 ASM NA Equity ASM INTERNATIONAL NV Information Technology 25.06 37.92 37.58 37.84 38.75 0.144 0.029 -0.005 -0.057 0.009 0.004 0.002 0.001 BVIC LN Equity BRITVIC PLC Consumer Staples 355.70 5.03% 05.12.2012 KRA1V FH Equity KEMIRA OYJ Materials 10.22 4.89% 25.03.2013 HOT GY Equity HOCHTIEF AG Industrials 37.57 3.46% 13.05.2013 36.32 36.53 36.75 37.13 38.35 37.17 38.60 -0.385 -0.309 -0.270 -0.197 -0.174 -0.186 -0.180 0.008 0.004 0.003 0.002 0.001 0.001 0.001 ORI SS Equity ORIFLAME COSMETICS SA-SDR Consumer Staples 218.80 7.11% 22.05.2013 109.24 109.24 109.24 109.24 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 LUNDB SS Equity LUNDBERGS AB-B SHS Financials 227.40 1.87% 09.04.2013 POG LN Equity PETROPAVLOVSK PLC Materials 440.00 2.73% 26.06.2013 SYDB DC Equity SYDBANK A/S Financials 106.90 1.40% 15.03.2013 ECMPA NA Equity EUROCOMMERCIAL PROPERTIE-CV Financials 30.88 6.22% 31.10.2013 BPTY LN Equity BWIN.PARTY DIGITAL ENTERTAIN Consumer Discretionary 116.30 3.15% 08.05.2013 BIM FP Equity BIOMERIEUX Health Care 70.40 1.55% 03.06.2013 16.89 16.90 16.86 16.81 17.08 17.02 0.047 0.009 -0.001 0.004 0.002 0.007 0.017 0.003 0.000 0.000 0.000 0.000 HAV FP Equity HAVAS SA Consumer Discretionary 4.10 3.17% 15.05.2013 30.08 30.08 31.96 36.66 -0.020 -0.020 -0.015 -0.004 0.004 0.004 0.004 0.002 WHA NA Equity WERELDHAVE NV Financials 45.36 7.06% 15.04.2013 20.54 20.06 20.22 20.30 21.14 21.14 21.14 -0.383 -0.307 -0.273 -0.186 -0.032 -0.032 -0.032 0.023 0.011 0.008 0.004 0.003 0.003 0.003 ENRC LN Equity EURASIAN NATURAL RESOURCES Materials 325.60 2.29% 27.03.2013 49.08 49.08 48.92 48.31 -0.047 -0.047 -0.080 -0.172 0.001 0.001 0.002 0.004 MAU FP Equity MAUREL ET PROM Energy 11.28 3.55% 17.06.2013 30.08 30.56 30.55 30.45 32.13 30.46 0.003 -0.008 -0.010 -0.004 -0.021 0.007 0.010 -0.001 -0.001 0.000 -0.001 0.000 WIN GY Equity WINCOR NIXDORF AG Information Technology 31.64 3.32% 22.01.2013 31.00 31.40 31.54 32.86 32.33 31.51 31.31 -0.390 -0.302 -0.278 -0.267 -0.196 -0.189 -0.187 0.013 0.005 0.003 0.001 0.001 0.003 0.003 SSABA SS Equity SSAB AB-A SHARES Materials 46.74 4.28% 27.03.2013 37.21 35.29 33.83 36.59 37.12 -0.288 -0.185 -0.154 -0.098 0.058 0.036 0.011 0.007 0.003 0.001 LMI LN Equity LONMIN PLC Materials 489.50 09.01.2013 46.32 46.32 46.57 46.44 -0.050 -0.050 -0.096 -0.201 -0.001 -0.001 -0.001 -0.002 ACX SQ Equity ACERINOX SA Materials 8.24 6.07% 07.01.2013 36.48 35.11 34.61 32.72 31.10 30.53 29.95 -0.131 -0.159 -0.143 -0.072 0.007 0.050 0.081 0.000 -0.001 -0.001 0.001 0.000 0.000 0.000 NOBN SE Equity NOBEL BIOCARE HOLDING AG-REG Health Care 8.77 2.28% 02.04.2013 37.26 35.28 34.65 34.96 35.17 36.97 37.32 -0.175 -0.141 -0.125 -0.117 -0.071 -0.123 -0.160 0.005 0.001 0.002 0.001 0.001 0.000 -0.001 AIXA GY Equity AIXTRON SE Information Technology 9.56 16.05.2013 43.84 43.78 43.17 41.35 41.30 39.61 39.87 -0.234 -0.206 -0.188 -0.172 -0.157 -0.207 -0.247 0.016 0.005 0.004 0.003 0.002 0.005 0.005 OPAP GA Equity OPAP SA Consumer Discretionary 4.22 16.35% 14.12.2012 64.63 64.63 64.63 64.63 -0.356 -0.356 -0.356 -0.356 -0.007 -0.007 -0.007 -0.007 GBB FP Equity BOURBON SA Energy 21.29 4.23% 03.06.2013 SGL GY Equity SGL CARBON SE Industrials 30.81 0.65% 13.05.2013 26.60 25.22 25.92 29.08 29.37 26.18 26.35 -0.261 -0.206 -0.206 -0.266 -0.339 -0.324 -0.362 0.009 0.008 0.007 0.002 0.003 0.007 0.007 LEO GY Equity LEONI AG Consumer Discretionary 26.20 6.11% 17.05.2013 38.84 39.01 38.46 36.13 40.16 39.02 41.00 -0.179 -0.213 -0.216 -0.158 -0.066 -0.039 -0.005 0.008 0.004 0.004 0.002 0.000 0.000 -0.001 STMN SE Equity STRAUMANN HOLDING AG-REG Health Care 117.60 3.19% 22.03.2013 30.26 27.32 27.22 28.12 25.69 25.07 -0.110 -0.073 -0.064 -0.071 -0.049 -0.048 0.009 0.006 0.005 0.002 0.001 0.002 WCH GY Equity WACKER CHEMIE AG Materials 46.21 2.08% 17.05.2013 35.02 37.74 39.35 42.95 44.13 36.91 38.45 -0.062 -0.323 -0.403 -0.540 -0.719 -0.961 -1.149 0.002 0.001 0.001 -0.003 0.000 0.010 0.012 PUM GY Equity PUMA SE Consumer Discretionary 224.35 0.89% 25.04.2013 21.53 21.36 21.34 21.49 21.69 21.25 21.48 -0.065 -0.025 -0.020 -0.019 -0.029 -0.034 -0.035 0.008 0.000 0.000 0.000 0.000 0.000 0.000 TOD IM Equity TOD'S SPA Consumer Discretionary 88.60 3.10% 20.05.2013 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 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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 Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |