Percentile of Call vs Put Skew Spread for S&P 500 Companies
By Wendy Soong -
2012-12-03T15:25:36Z
The following table shows the percentile rank over the past year for the 90%-110% skew spread, a measure of how expensive puts, or bearish bets, are relative to calls. The data was calculated using 30-day implied volatility of S&P 500 companies. The stocks in the screen had a daily average of more than 500 contracts trading in the past 20 days and an open interest of more than 10,000 options, according to data as of Nov. 30 compiled by Bloomberg. To see the skew data from the Bloomberg Function: {IBM US <EQUITY> GV <GO>}, or use the attached screen for selections {97 <GO>}.
Highest Skew Percentiles
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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GAMESTOP CORP-A 42.19 35.42 6.77 97.22 76.10
PPG INDS INC 29.65 17.72 11.93 97.22 51.79
CLOROX CO 19.35 9.77 9.58 96.43 16.34
COLGATE-PALMOLIV 22.72 10.20 12.52 96.43 96.81
LOCKHEED MARTIN 26.84 15.05 11.79 96.03 46.22
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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MEAD JOHNSON 26.26 18.27 7.99 96.03 98.81
COGNIZANT TECH-A 30.71 19.83 10.88 94.44 47.01
GAP INC/THE 31.93 22.17 9.76 93.25 95.22
WALGREEN CO 27.20 19.09 8.11 92.06 98.81
HERSHEY CO/THE 22.54 13.67 8.87 91.67 94.42
Lowest Skew Percentiles
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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INGERSOLL-RAND 25.53 20.84 4.69 0.00 30.28
NYSE EURONEXT 27.64 26.66 0.98 0.00 11.16
BIOGEN IDEC INC 28.78 29.28 -0.50 0.00 0.40
CARMAX INC 39.60 34.88 4.72 0.00 6.38
VERISIGN INC 34.87 32.14 2.73 0.40 98.41
MERCK & CO 21.44 20.48 0.97 0.40 0.40
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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INTEL CORP 29.68 26.67 3.01 0.40 8.37
HUNTINGTON BANC 26.58 30.39 -3.80 0.40 81.28
APACHE CORP 27.94 24.37 3.57 0.40 6.77
WILLIAMS COS INC 27.36 29.35 -1.99 0.40 1.60
S&P 500 Highest to Lowest Skew Percentiles
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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GAMESTOP CORP-A 42.19 35.42 6.77 97.22 76.10
PPG INDS INC 29.65 17.72 11.93 97.22 51.79
CLOROX CO 19.35 9.77 9.58 96.43 16.34
COLGATE-PALMOLIV 22.72 10.20 12.52 96.43 96.81
LOCKHEED MARTIN 26.84 15.05 11.79 96.03 46.22
MEAD JOHNSON 26.26 18.27 7.99 96.03 98.81
COGNIZANT TECH-A 30.71 19.83 10.88 94.44 47.01
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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GAP INC/THE 31.93 22.17 9.76 93.25 95.22
WALGREEN CO 27.20 19.09 8.11 92.06 98.81
HERSHEY CO/THE 22.54 13.67 8.87 91.67 94.42
LYONDELLBASELL-A 36.24 26.17 10.07 91.27 82.87
GOODYEAR TIRE 39.60 30.06 9.55 91.27 0.40
ABERCROMBIE & FI 42.82 35.77 7.05 90.48 99.20
AUTOZONE INC 30.71 22.24 8.48 89.68 64.54
PROCTER & GAMBLE 23.32 12.63 10.69 88.49 98.01
UNION PAC CORP 28.38 16.60 11.78 87.70 68.13
TITANIUM METALS 22.35 14.79 7.55 87.30 1.59
KIMBERLY-CLARK 19.89 10.10 9.79 86.11 37.45
JDS UNIPHASE 43.52 35.89 7.64 86.11 97.61
FIFTH THIRD BANC 33.24 21.49 11.75 85.71 35.06
CINTAS CORP 28.28 19.72 8.55 84.92 50.60
COCA-COLA CO/THE 22.80 14.22 8.58 84.92 84.06
GENERAL MILLS IN 21.78 11.15 10.63 82.94 86.45
CISCO SYSTEMS 25.95 17.85 8.09 82.94 88.45
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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RANGE RESOURCES 32.86 29.24 3.62 82.94 99.60
LAM RESEARCH 33.55 25.62 7.93 82.54 93.23
BAKER HUGHES INC 32.05 23.31 8.74 80.16 64.94
CH ROBINSON 25.35 16.47 8.88 80.16 80.88
EATON CORP 29.94 19.87 10.07 80.16 57.37
TENET HEALTHCARE 37.32 30.84 6.48 78.88 82.80
NIKE INC -CL B 31.64 23.77 7.86 76.59 99.20
KINDER MORGAN IN 26.73 21.63 5.10 76.59 43.83
CONAGRA FOODS 23.88 17.00 6.88 75.79 72.91
CONSTELLATION-A 40.99 34.31 6.69 75.40 86.06
EXXON MOBIL CORP 23.84 13.99 9.85 75.40 93.63
CONOCOPHILLIPS 24.84 15.54 9.31 75.30 89.20
HARTFORD FINL SV 34.34 25.35 8.99 75.00 76.89
TARGET CORP 24.30 15.43 8.87 73.81 82.87
ELI LILLY & CO 23.92 18.35 5.57 73.41 92.03
ADT CORP/THE 25.39 23.23 2.16 73.17 5.56
CABOT OIL & GAS 34.84 29.91 4.93 73.02 72.91
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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MICROCHIP TECH 30.43 20.78 9.65 72.22 61.36
MONSTER BEVERAGE 47.52 39.59 7.93 72.22 98.01
STATE ST CORP 30.03 18.58 11.45 72.22 75.30
JOHNSON&JOHNSON 18.04 11.37 6.67 71.43 84.86
WATSON PHARM 23.57 16.77 6.80 71.43 89.24
EXPEDIA INC 35.18 28.83 6.35 70.52 47.60
MYLAN INC 27.87 18.50 9.37 70.24 59.76
VULCAN MATERIALS 38.37 29.27 9.10 69.84 91.63
SOUTHWESTRN ENGY 34.38 28.78 5.60 69.84 94.82
EASTMAN CHEMICAL 34.19 24.82 9.37 69.84 99.60
3M CO 24.30 13.62 10.67 68.25 82.87
XEROX CORP 36.11 30.98 5.13 68.25 85.66
BOSTON SCIENTIFC 36.06 31.50 4.55 67.46 71.32
RED HAT INC 43.79 38.80 4.98 67.06 80.48
VISA INC-CLASS A 25.54 18.92 6.62 65.48 84.06
BANK OF AMERICA 36.86 31.20 5.65 65.48 67.33
DOVER CORP 27.42 17.94 9.48 64.68 39.44
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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MOSAIC CO/THE 33.45 26.62 6.83 64.29 53.39
CME GROUP INC 26.97 18.60 8.37 63.89 64.14
FASTENAL CO 32.56 23.51 9.05 63.89 66.53
WELLS FARGO & CO 27.35 17.58 9.77 63.49 35.06
AFLAC INC 29.34 17.99 11.36 63.10 93.63
AMGEN INC 22.45 15.73 6.72 63.10 71.71
MCKESSON CORP 21.59 13.01 8.59 61.51 64.94
SUNTRUST BANKS 34.30 24.15 10.15 60.71 71.32
BECTON DICKINSON 19.12 13.33 5.79 59.52 0.00
DIAMOND OFFSHORE 26.86 18.10 8.75 59.52 70.92
MORGAN STANLEY 39.26 31.67 7.59 58.73 68.92
HASBRO INC 27.83 21.51 6.32 58.73 46.61
QUALCOMM INC 24.85 17.21 7.64 58.33 58.57
DUKE ENERGY CORP 17.92 11.98 5.94 57.37 90.80
BLACKROCK INC 27.46 16.97 10.49 56.75 22.31
AMAZON.COM INC 32.32 25.37 6.95 56.75 92.03
HELMERICH & PAYN 37.17 30.14 7.03 56.35 74.90
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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CVS CAREMARK COR 23.83 15.31 8.52 56.35 80.08
TERADATA CORP 34.83 28.04 6.79 56.35 65.34
CARNIVAL CORP 31.99 23.79 8.20 56.35 44.22
KEYCORP 33.91 25.25 8.66 55.95 74.50
REYNOLDS AMERICA 21.37 12.83 8.53 55.56 45.02
UNITED PARCEL-B 22.45 13.72 8.73 55.16 46.22
NETAPP INC 36.60 33.64 2.96 54.76 52.19
MOODY’S CORP 30.09 20.84 9.25 54.37 90.84
PEPSICO INC 19.66 11.96 7.70 52.78 75.70
CATERPILLAR INC 27.62 19.75 7.87 52.78 45.82
ALTERA CORP 31.18 24.27 6.91 52.38 41.83
BORGWARNER INC 34.63 27.21 7.43 52.38 42.23
COMERICA INC 29.17 20.02 9.15 52.38 57.37
NORTHROP GRUMMAN 25.57 16.07 9.50 51.98 4.38
PFIZER INC 20.36 12.94 7.42 51.59 11.55
SPRINT NEXTEL CO 21.75 18.23 3.52 51.59 95.62
SLM CORP 34.39 24.28 10.12 50.79 62.15
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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BERKSHIRE HATH-B 22.88 14.28 8.60 50.79 54.58
STARBUCKS CORP 32.34 26.03 6.31 50.40 80.88
HJ HEINZ CO 18.47 12.04 6.43 50.00 21.91
LIFE TECHNOLOGIE 28.19 22.65 5.54 50.00 66.93
WESTERN DIGITAL 37.65 33.20 4.45 49.60 64.14
DEERE & CO 25.82 17.76 8.06 49.60 51.00
DARDEN RESTAURAN 28.47 21.33 7.13 49.21 37.05
BRISTOL-MYER SQB 24.04 15.71 8.33 49.21 71.32
CHUBB CORP 23.53 13.32 10.21 48.81 56.57
SCHWAB (CHARLES) 29.30 22.44 6.86 48.81 80.48
ALLERGAN INC 22.56 14.69 7.87 48.81 80.08
EMERSON ELEC CO 26.60 15.76 10.85 48.02 15.54
AMERICAN INTERNA 31.46 26.10 5.36 47.41 62.80
VALERO ENERGY 35.62 30.39 5.23 47.22 54.18
HALLIBURTON CO 31.23 24.81 6.42 47.22 70.12
TEXTRON INC 33.23 26.02 7.21 47.22 90.84
FRONTIER COMMUNI 33.33 31.33 2.00 46.43 37.05
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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BALL CORP 22.97 16.35 6.62 46.03 38.25
MOTOROLA SOLUTIO 25.60 18.51 7.09 46.03 91.24
EDISON INTL 19.86 14.03 5.83 45.64 78.49
GOOGLE INC-CL A 28.21 23.67 4.54 45.24 59.76
BOEING CO/THE 25.75 16.78 8.96 45.24 45.02
TYSON FOODS-A 28.21 22.56 5.66 44.84 41.04
SOUTHWEST AIR 27.63 24.73 2.90 44.84 23.51
AT&T INC 24.02 16.49 7.54 44.84 83.27
FAMILY DOLLAR ST 28.10 23.68 4.41 44.44 78.49
BROADCOM CORP-A 31.53 25.04 6.49 44.05 13.55
CIGNA CORP 28.93 22.83 6.10 43.65 49.40
CONSOL ENERGY 41.64 34.49 7.16 42.86 64.94
MCDONALDS CORP 21.76 16.48 5.28 42.86 3.98
ADOBE SYS INC 31.92 26.38 5.54 42.86 68.92
F5 NETWORKS 38.94 34.08 4.86 42.06 62.55
FOREST LABS INC 24.38 24.59 -0.21 41.67 74.90
LIMITED BRANDS 29.21 21.04 8.17 40.87 49.00
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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SEALED AIR CORP 34.99 32.57 2.41 40.87 19.92
ANADARKO PETROLE 30.95 26.95 4.00 40.48 34.66
MONSANTO CO 27.47 20.83 6.64 40.48 61.75
INTERCONTINENTAL 23.78 15.78 7.99 40.08 59.76
REGIONS FINANCIA 37.27 29.65 7.62 39.68 91.24
CERNER CORP 29.96 24.44 5.52 39.29 48.21
US BANCORP 26.57 16.20 10.37 38.89 68.92
ZIMMER HLDGS 23.77 17.94 5.83 38.89 26.69
PRECISION CASTPT 24.90 16.47 8.42 38.49 47.81
PRICELINE.COM 31.18 26.84 4.34 38.49 26.30
BOSTON PROPERTIE 24.38 15.47 8.91 38.10 86.06
CF INDUSTRIES HO 30.52 25.20 5.31 38.10 72.91
DAVITA HEALTHCAR 31.32 23.06 8.26 38.10 57.37
SIMON PROPERTY 23.12 11.74 11.38 37.70 30.28
FREEPORT-MCMORAN 34.91 27.74 7.16 35.71 63.35
BMC SOFTWARE INC 21.13 18.51 2.62 35.71 49.80
GOLDMAN SACHS GP 30.91 24.64 6.27 35.32 54.18
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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SHERWIN-WILLIAMS 29.18 20.47 8.71 34.92 29.88
PLUM CREEK TIMBR 23.86 14.02 9.84 34.92 79.68
SAFEWAY INC 34.91 31.89 3.02 34.52 32.27
LEUCADIA NATL 27.79 23.50 4.29 34.52 15.94
LORILLARD INC 27.70 18.86 8.84 34.52 29.48
VENTAS INC 19.81 13.78 6.02 34.13 31.47
TRIPADVISOR INC 35.28 32.07 3.21 33.76 87.50
US STEEL CORP 44.10 39.22 4.89 33.73 73.71
WYNN RESORTS LTD 30.84 26.08 4.75 33.73 51.00
CONS EDISON INC 17.04 12.51 4.52 33.73 7.57
AMERICAN EXPRESS 25.87 17.62 8.25 33.73 58.96
MURPHY OIL CORP 32.38 26.99 5.39 33.73 25.10
WYNDHAM WORLDWID 29.09 21.06 8.03 33.33 41.83
LINCOLN NATL CRP 34.92 26.16 8.76 33.33 91.63
AETNA INC 25.52 20.88 4.63 32.94 45.42
WHOLE FOODS MKT 26.65 21.28 5.37 32.54 50.60
J.C. PENNEY CO 58.18 53.32 4.86 32.54 52.19
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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CHEVRON CORP 25.26 17.64 7.62 32.14 33.87
TESORO CORP 38.63 33.52 5.11 32.14 32.67
METLIFE INC 30.48 24.66 5.81 31.75 31.87
GANNETT CO 31.17 25.49 5.68 31.75 18.33
CORNING INC 29.48 24.56 4.92 31.35 54.98
HESS CORP 33.94 28.51 5.43 30.95 38.25
MCGRAW-HILL COS 24.13 18.37 5.76 30.95 67.73
NOBLE ENERGY INC 28.26 21.54 6.72 30.56 86.06
FIRST SOLAR INC 69.01 64.64 4.37 30.16 54.98
CSX CORP 28.06 20.71 7.35 30.16 22.31
ALEXION PHARM 31.60 27.56 4.04 29.76 20.32
APOLLO GROUP-A 53.37 46.49 6.87 29.76 43.83
DOW CHEMICAL CO 30.81 21.74 9.08 28.97 28.29
DISCOVER FINANCI 33.85 26.45 7.40 28.97 49.40
GENERAL DYNAMICS 26.93 17.52 9.40 28.97 14.74
TEXAS INSTRUMENT 30.23 21.55 8.68 28.97 6.38
CA INC 21.72 15.95 5.77 28.57 9.16
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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COSTCO WHOLESALE 24.44 17.94 6.50 28.18 33.47
VERIZON COMMUNIC 23.65 16.70 6.95 28.18 66.53
BEST BUY CO INC 89.69 90.09 -0.40 27.38 14.74
WAL-MART STORES 20.93 15.08 5.85 26.98 14.34
ESTEE LAUDER 26.53 19.82 6.71 26.98 19.52
SANDISK CORP 35.73 31.64 4.09 26.59 52.99
PHILLIPS 66 35.47 32.07 3.40 26.35 25.18
ABBOTT LABS 21.04 15.31 5.73 26.19 68.13
WW GRAINGER INC 26.19 18.35 7.85 26.19 45.82
TIME WARNER INC 25.24 15.76 9.47 26.19 20.32
AMERISOURCEBERGE 19.99 13.75 6.24 25.00 0.00
ROWAN COMPANIE-A 33.78 28.20 5.58 25.00 28.69
INTUITIVE SURGIC 28.47 23.64 4.82 25.00 45.02
PEABODY ENERGY 45.92 39.48 6.44 24.60 45.82
PULTEGROUP INC 51.23 44.82 6.41 24.60 9.56
RR DONNELLEY & S 41.96 35.99 5.97 24.60 62.55
PPL CORPORATION 12.99 10.76 2.22 24.21 16.34
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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DOMINION RES/VA 17.02 11.80 5.23 24.21 55.78
INTL GAME TECH 41.28 36.13 5.15 23.81 23.51
CITIGROUP INC 36.85 30.43 6.41 23.41 85.66
EBAY INC 31.83 25.76 6.07 23.41 74.10
MASCO CORP 39.40 32.97 6.43 23.02 69.72
NORFOLK SOUTHERN 26.42 18.61 7.81 22.62 21.51
EMC CORP/MA 30.53 24.76 5.77 22.62 74.10
BB&T CORP 29.07 21.04 8.03 21.83 15.14
AVON PRODUCTS 40.80 41.11 -0.30 21.83 79.68
NABORS INDS LTD 39.44 36.64 2.80 20.64 12.35
AIR PRODS & CHEM 22.46 14.28 8.19 20.64 23.90
CAPITAL ONE FINA 29.77 22.02 7.75 20.64 70.52
AGILENT TECH INC 29.60 21.85 7.75 20.64 56.97
AMERICAN TOWER C 25.47 15.15 10.33 20.24 38.25
NETFLIX INC 53.73 51.52 2.21 20.24 16.73
E*TRADE FINANCIA 35.49 34.26 1.22 20.24 41.43
HOME DEPOT INC 24.38 17.21 7.17 20.24 12.35
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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MICRON TECH 45.69 45.31 0.37 19.84 39.84
SCHLUMBERGER LTD 30.17 22.75 7.43 19.84 21.91
INTERPUBLIC GRP 31.84 33.06 -1.23 19.84 17.53
NVIDIA CORP 34.62 34.19 0.43 19.84 39.04
FOSSIL INC 39.07 34.81 4.26 19.44 18.73
NASDAQ OMX GROUP 23.31 17.22 6.09 19.44 31.47
FEDEX CORP 27.93 20.60 7.33 19.05 51.79
TJX COS INC 27.56 20.47 7.09 19.05 25.90
UNITED TECH CORP 25.39 16.24 9.15 19.05 38.65
HARLEY-DAVIDSON 30.96 22.86 8.10 19.05 14.74
ANALOG DEVICES 24.18 16.89 7.29 18.65 43.03
PITNEY BOWES INC 38.32 30.90 7.42 18.65 32.27
WALT DISNEY CO 23.10 16.90 6.20 18.65 31.87
BED BATH &BEYOND 37.22 32.50 4.72 18.25 11.16
M&T BANK CORP 25.06 17.24 7.81 18.25 54.98
EQUITY RESIDENTI 24.11 16.06 8.05 17.86 15.54
BANK NY MELLON 30.60 21.76 8.84 17.86 50.20
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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ALTRIA GROUP INC 20.69 13.45 7.24 17.46 27.09
PRUDENTL FINL 30.18 22.99 7.19 17.46 17.53
APPLE INC 32.46 29.72 2.74 17.06 42.63
EXPEDITORS INTL 25.55 19.32 6.24 16.67 1.59
JPMORGAN CHASE 28.98 22.61 6.38 16.27 20.32
CLIFFS NATURAL R 53.64 49.53 4.11 16.27 41.04
ACCENTURE PLC-A 30.97 23.20 7.77 16.27 68.92
EXELON CORP 22.80 18.69 4.11 15.87 76.10
TRAVELERS COS IN 21.47 14.33 7.14 15.87 12.35
MARATHON PETROLE 31.99 28.11 3.88 15.87 39.44
GENWORTH FINANCI 44.55 40.30 4.25 15.08 52.99
DOLLAR TREE INC 28.91 25.17 3.74 14.68 11.16
AUTODESK INC 30.19 24.94 5.25 14.68 42.23
ENSCO PLC-CL A 31.04 24.76 6.28 14.68 27.09
GILEAD SCIENCES 28.00 22.90 5.10 14.68 14.74
YAHOO! INC 27.58 28.41 -0.83 14.68 33.87
CAMPBELL SOUP CO 14.22 11.82 2.41 14.68 67.33
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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KRAFT FOODS GROU 16.61 14.00 2.61 14.63 30.56
HEALTH CARE REIT 19.28 13.91 5.37 14.29 75.30
DEAN FOODS CO 37.15 32.71 4.44 14.29 80.88
ORACLE CORP 30.06 23.82 6.23 13.89 49.40
CUMMINS INC 30.89 24.55 6.34 13.89 10.76
CAMERON INTERNAT 32.08 25.85 6.23 13.89 23.51
ENTERGY CORP 17.33 13.23 4.10 13.49 22.31
LENNAR CORP-A 42.31 36.33 5.98 13.49 14.74
AKAMAI TECHNOLOG 30.10 27.16 2.95 13.10 25.10
KROGER CO 20.29 16.56 3.73 13.10 47.41
WHIRLPOOL CORP 35.39 30.65 4.74 13.10 14.34
INTUIT INC 20.50 15.14 5.36 12.70 1.20
NORDSTROM INC 31.65 24.56 7.10 12.70 74.50
SOUTHERN CO 22.04 13.35 8.69 12.30 9.16
TIFFANY & CO 31.24 26.71 4.53 12.30 82.87
ZIONS BANCORP 31.13 23.75 7.39 12.30 49.40
URBAN OUTFITTER 31.30 25.87 5.43 12.30 38.65
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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FIRSTENERGY CORP 17.36 13.82 3.55 12.30 10.36
ALLSTATE CORP 27.19 20.27 6.92 11.91 27.89
MARATHON OIL 29.83 22.91 6.92 11.91 3.98
PUBLIC STORAGE 23.79 15.23 8.56 11.91 29.48
WEYERHAEUSER CO 24.84 19.06 5.79 11.91 73.71
JOHNSON CONTROLS 30.12 21.90 8.22 11.51 9.56
AMERICAN ELECTRI 16.92 11.11 5.81 11.51 43.43
EOG RESOURCES 31.04 26.31 4.73 11.11 35.46
LOWE’S COS INC 29.55 23.00 6.55 10.71 14.74
CELGENE CORP 27.80 23.37 4.43 10.71 8.77
ALCOA INC 29.84 27.91 1.93 10.71 6.77
CITRIX SYSTEMS 36.85 33.18 3.67 10.71 10.76
HEWLETT-PACKARD 40.25 36.80 3.46 10.32 28.29
HOST HOTELS & RE 28.52 23.98 4.53 10.32 1.99
DU PONT (EI) 26.22 17.63 8.59 10.32 34.26
ELECTRONIC ARTS 35.61 34.77 0.84 10.32 34.26
PAYCHEX INC 21.83 16.20 5.63 10.32 21.12
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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STAPLES INC 33.31 34.20 -0.89 9.92 11.16
AUTOMATIC DATA 19.33 12.37 6.96 9.92 2.39
NEXTERA ENERGY 17.25 11.09 6.16 9.92 40.64
IBM 22.25 16.74 5.52 9.52 68.53
DENBURY RESOURCE 34.11 29.93 4.18 9.52 74.10
SALESFORCE.COM 33.82 28.08 5.74 9.52 50.60
WASTE MANAGEMENT 18.75 11.90 6.85 9.52 0.00
NEWS CORP-A 24.83 20.12 4.70 9.13 36.65
UNITEDHEALTH GRP 25.45 20.15 5.29 9.13 37.05
CARDINAL HEALTH 19.01 13.23 5.78 8.73 25.90
CHIPOTLE MEXICAN 36.04 30.50 5.54 8.73 8.37
RAYTHEON CO 24.68 17.96 6.71 8.73 5.98
PETSMART INC 21.19 17.19 4.01 8.33 2.39
TIME WARNER CABL 22.68 16.08 6.60 8.33 5.98
HUMANA INC 28.18 25.30 2.88 8.33 8.37
KLA-TENCOR CORP 29.08 23.38 5.70 8.33 4.78
LSI CORP 36.58 36.31 0.27 8.33 8.77
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Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
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JUNIPER NETWORKS 40.17 36.60 3.57 7.94 22.71
MICROSOFT CORP 25.39 21.93 3.47 7.94 52.19
MACY’S INC 33.37 27.38 5.99 7.94 18.33
KOHLS CORP 31.92 27.75 4.17 7.94 40.64
H&R BLOCK INC 29.54 25.53 4.02 7.54 21.12
SEAGATE TECHNOLO 39.97 37.96 2.01 7.54 22.71
NEWMONT MINING 30.51 28.89 1.62 7.54 33.47
JOY GLOBAL INC 45.78 42.10 3.68 7.14 16.34
XILINX INC 27.56 20.48 7.08 7.14 7.17
WELLPOINT INC 25.96 22.16 3.80 6.75 12.35
MATTEL INC 20.88 16.00 4.88 6.75 5.18
MASTERCARD INC-A 26.49 22.25 4.23 6.75 31.08
VF CORP 25.68 19.63 6.05 6.75 19.92
CENTERPOINT ENER 13.98 15.13 -1.15 6.75 49.00
DANAHER CORP 22.79 14.55 8.24 6.35 14.34
ALLEGHENY TECH 40.36 35.31 5.05 6.35 4.78
CBS CORP-B 29.28 25.12 4.16 5.95 6.77
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
===========================================================================
BIG LOTS INC 49.37 46.39 2.98 5.95 19.92
CENTURYLINK INC 21.92 14.37 7.55 5.95 23.90
WINDSTREAM CORP 28.59 27.90 0.68 5.95 29.88
ST JUDE MEDICAL 36.55 31.68 4.87 5.95 6.38
MEDTRONIC INC 25.53 20.76 4.77 5.95 12.35
ROSS STORES INC 27.38 22.32 5.06 5.56 30.68
ACE LTD 20.69 12.69 7.99 5.56 17.13
KELLOGG CO 12.31 10.39 1.91 5.56 3.98
NATL OILWELL VAR 31.36 25.51 5.85 5.16 13.55
AVALONBAY COMMUN 24.97 17.83 7.14 5.16 7.97
DIRECTV 25.08 19.65 5.43 5.16 61.36
COVIDIEN PLC 21.61 14.67 6.94 5.16 7.17
CABLEVISION SY-A 33.71 34.97 -1.26 5.16 21.51
APPLIED MATERIAL 28.93 23.30 5.62 5.16 9.96
STANLEY BLACK & 29.39 21.57 7.82 4.76 6.38
CAREFUSION CORP 19.79 16.88 2.91 4.76 67.33
INTL PAPER CO 30.12 23.35 6.77 4.76 5.58
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
===========================================================================
WESTERN UNION 26.48 25.50 0.98 4.37 32.27
EXPRESS SCRIPTS 27.04 23.14 3.90 4.37 4.78
SIGMA-ALDRICH 18.79 14.51 4.28 4.37 0.00
LINEAR TECH CORP 24.68 18.85 5.84 4.37 33.47
RALPH LAUREN COR 29.27 23.46 5.81 4.37 9.96
LEGG MASON INC 27.29 22.51 4.78 3.97 17.93
SPECTRA ENERG 16.45 14.35 2.10 3.97 9.96
HONEYWELL INTL 25.51 17.86 7.65 3.97 24.30
VIACOM INC-B 24.95 21.06 3.89 3.57 25.50
ILLINOIS TOOL WO 24.15 15.89 8.26 3.57 3.98
PACCAR INC 29.49 21.86 7.63 3.57 34.26
HOSPIRA INC 21.91 22.75 -0.84 3.57 18.73
PHILIP MORRIS IN 22.16 16.62 5.53 3.57 32.27
PNC FINANCIAL SE 27.75 21.43 6.32 3.57 28.69
NRG ENERGY 33.40 31.52 1.87 3.57 9.16
PIONEER NATURAL 33.00 32.13 0.86 3.57 2.39
NEWFIELD EXPLORA 36.11 34.38 1.73 3.57 26.30
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
===========================================================================
FLOWSERVE CORP 29.22 21.78 7.44 3.57 3.19
STARWOOD HOTELS 26.82 23.16 3.66 3.18 0.00
MONDELEZ INTER-A 18.70 15.78 2.92 2.79 1.60
TYCO INTL LTD 28.69 26.10 2.59 2.79 11.60
ARCHER-DANIELS 24.39 22.87 1.52 2.78 4.38
GENERAL ELECTRIC 26.36 21.98 4.38 2.78 1.99
SYSCO CORP 13.40 10.49 2.91 2.78 8.37
MOLSON COORS-B 17.96 23.96 -5.99 2.78 0.80
O’REILLY AUTOMOT 27.69 28.13 -0.44 2.38 0.00
STRYKER CORP 23.48 18.35 5.13 2.38 41.83
SYMANTEC CORP 31.51 29.92 1.59 2.38 34.26
PARKER HANNIFIN 29.86 24.43 5.43 2.38 10.36
OCCIDENTAL PETE 28.12 22.91 5.22 2.38 3.19
COMCAST CORP-A 24.18 17.81 6.38 2.38 24.70
CHESAPEAKE ENERG 38.22 36.53 1.69 1.98 26.30
DR HORTON INC 39.83 35.62 4.20 1.98 1.99
EDWARDS LIFE 34.04 31.41 2.63 1.98 13.94
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
===========================================================================
JABIL CIRCUIT 38.16 35.50 2.66 1.98 3.59
COACH INC 32.29 27.64 4.65 1.59 9.56
NOBLE CORP 32.82 28.47 4.35 1.59 2.79
BAXTER INTL INC 22.91 19.25 3.66 1.59 9.56
COCA-COLA ENTER 26.27 22.87 3.40 1.59 24.70
DELL INC 34.39 33.86 0.53 1.59 1.99
FLUOR CORP 30.11 24.00 6.11 1.59 4.78
METROPCS COMMUNI 48.96 58.26 -9.30 1.19 6.77
JACOBS ENGIN GRP 26.04 19.47 6.57 1.19 84.06
MARRIOTT INTL-A 28.55 21.30 7.25 1.19 50.60
DEVON ENERGY CO 27.98 24.81 3.17 1.19 3.19
ADV MICRO DEVICE 74.05 78.39 -4.33 0.79 7.17
FORD MOTOR CO 30.27 30.79 -0.52 0.79 50.60
YUM! BRANDS INC 28.77 23.10 5.67 0.79 74.10
COMPUTER SCIENCE 28.57 26.22 2.34 0.79 25.90
QUANTA SERVICES 25.72 21.54 4.18 0.79 47.41
NUCOR CORP 26.90 19.20 7.70 0.79 11.16
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 11/30 11/23
===========================================================================
WILLIAMS COS INC 27.36 29.35 -1.99 0.40 1.60
MERCK & CO 21.44 20.48 0.97 0.40 0.40
HUNTINGTON BANC 26.58 30.39 -3.80 0.40 81.28
INTEL CORP 29.68 26.67 3.01 0.40 8.37
APACHE CORP 27.94 24.37 3.57 0.40 6.77
VERISIGN INC 34.87 32.14 2.73 0.40 98.41
NYSE EURONEXT 27.64 26.66 0.98 0.00 11.16
CARMAX INC 39.60 34.88 4.72 0.00 6.38
BIOGEN IDEC INC 28.78 29.28 -0.50 0.00 0.40
INGERSOLL-RAND 25.53 20.84 4.69 0.00 30.28
==============================================================================
SOURCE: Bloomberg
Definition: 90%-110% Skew Spread: Calculated as the difference of 90% and 110% moneyness options for 30-day implied volatility data, using the Black-Scholes model. The implied volatility value is computed across expirations using the Hermite spline interpolation method and across strikes using the quadratic fitting interpolation technique.
Criteria: All companies shown in this table had an average daily options volume of at least 500 contracts for the past 20 days and an open interest of more than 10,000 as of the last trading day.
-- With assistance from Cecile Vannccui and Timothy Mazzella.
To contact the reporter on this story: Wendy Soong in New York at at csoong@Bloomberg.net.
To contact the editor responsible for this story: Alex Tanzi at at atanzi@Bloomberg.net
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