Percentile of Call vs Put Skew Spread for S&P 500 Companies

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 Dec. 7 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
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
HERSHEY CO/THE         22.18     11.67     10.51     99.60       91.67
CONSTELLATION-A        47.99     37.35     10.64     98.81       75.40
GAMESTOP CORP-A        41.48     34.37      7.11     98.02       97.22
COLGATE-PALMOLIV       22.93     10.20     12.73     97.22       96.43
PROCTER & GAMBLE       23.83     12.35     11.48     96.83       88.49
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
NIKE INC -CL B         33.50     24.16      9.34     96.43       76.59
PEPSICO INC            21.35     11.23     10.12     96.43       52.78
CISCO SYSTEMS          26.57     17.29      9.28     96.03       82.94
ABERCROMBIE & FI       44.89     37.35      7.54     96.03       90.48
LIFE TECHNOLOGIE       31.28     20.98     10.30     95.64       50.00

Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CITRIX SYSTEMS         38.36     37.15      1.21      0.00       10.71
MEDTRONIC INC          24.85     21.91      2.95      0.00        5.95
NYSE EURONEXT          27.42     31.71     -4.29      0.00        0.00
CME GROUP INC          24.25     20.94      3.31      0.00       63.89
STARWOOD HOTELS        27.67     27.82     -0.15      0.00        3.18
INGERSOLL-RAND         26.63     21.20      5.43      0.40        0.00
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
INTEL CORP             30.28     27.85      2.43      0.40        0.40
HOSPIRA INC            22.30     26.47     -4.17      0.40        3.57
KEYCORP                28.25     27.68      0.57      0.40       55.95
DEVON ENERGY CO        27.82     25.70      2.11      0.40        1.19

S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
HERSHEY CO/THE         22.18     11.67     10.51     99.60       91.67
CONSTELLATION-A        47.99     37.35     10.64     98.81       75.40
GAMESTOP CORP-A        41.48     34.37      7.11     98.02       97.22
COLGATE-PALMOLIV       22.93     10.20     12.73     97.22       96.43
PROCTER & GAMBLE       23.83     12.35     11.48     96.83       88.49
NIKE INC -CL B         33.50     24.16      9.34     96.43       76.59
PEPSICO INC            21.35     11.23     10.12     96.43       52.78
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CISCO SYSTEMS          26.57     17.29      9.28     96.03       82.94
ABERCROMBIE & FI       44.89     37.35      7.54     96.03       90.48
LIFE TECHNOLOGIE       31.28     20.98     10.30     95.64       50.00
LOCKHEED MARTIN        27.60     15.96     11.64     95.24       96.03
MEAD JOHNSON           26.47     18.68      7.79     92.86       96.03
COGNIZANT TECH-A       30.15     19.57     10.57     92.46       94.44
EXXON MOBIL CORP       24.34     13.43     10.91     90.87       75.40
CONAGRA FOODS          25.96     17.32      8.64     90.08       75.79
KINDER MORGAN IN       28.84     21.78      7.06     89.68       76.59
RANGE RESOURCES        33.08     28.77      4.31     89.29       82.94
ADT CORP/THE           28.66     24.94      3.73     89.13       73.17
GAP INC/THE            35.68     26.53      9.14     88.10       93.25
WALGREEN CO            28.52     20.77      7.76     88.10       92.06
INTUIT INC             25.02     16.95      8.07     87.70       12.70
F5 NETWORKS            41.58     35.20      6.38     86.91       42.06
TENET HEALTHCARE       39.62     31.82      7.80     85.66       78.88
LAM RESEARCH           34.57     26.48      8.09     84.92       82.54
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
UNION PAC CORP         28.81     17.31     11.50     84.92       87.70
CONOCOPHILLIPS         25.13     15.35      9.77     84.86       75.30
FAMILY DOLLAR ST       29.60     23.33      6.27     84.52       44.44
BAKER HUGHES INC       33.17     24.32      8.85     82.94       80.16
AUTOZONE INC           25.98     17.80      8.18     82.94       89.68
FRONTIER COMMUNI       45.44     37.34      8.10     81.75       46.43
DUKE ENERGY CORP       19.15     11.83      7.32     80.48       57.37
EATON CORP PLC         29.30     19.43      9.87     79.37       80.16
ALCOA INC              34.37     28.88      5.50     78.57       10.71
SPRINT NEXTEL CO       25.24     19.24      6.00     78.57       51.59
MONSTER BEVERAGE       47.43     38.70      8.73     78.18       72.22
ELI LILLY & CO         23.79     17.79      6.00     78.18       73.41
GOOGLE INC-CL A        29.97     24.00      5.97     77.78       45.24
AFLAC INC              29.96     17.87     12.09     77.78       63.10
VISA INC-CLASS A       25.98     18.84      7.14     76.59       65.48
MOSAIC CO/THE          36.84     29.18      7.66     75.40       64.29
JDS UNIPHASE           46.21     39.29      6.92     75.00       86.11
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CAMPBELL SOUP CO       17.78     12.12      5.66     74.21       14.68
DIAMOND OFFSHORE       28.42     19.11      9.31     73.81       59.52
ADOBE SYS INC          36.29     29.59      6.70     73.41       42.86
HARTFORD FINL SV       34.44     25.54      8.90     73.41       75.00
PRICELINE.COM          32.21     26.78      5.43     73.02       38.49
SLM CORP               34.49     23.40     11.09     73.02       50.79
AMAZON.COM INC         32.94     25.39      7.56     73.02       56.75
EMC CORP/MA            31.56     23.92      7.65     73.02       22.62
CVS CAREMARK COR       24.43     15.12      9.32     72.62       56.35
TYSON FOODS-A          30.48     23.36      7.11     72.22       44.84
MYLAN INC              26.96     17.49      9.47     70.64       70.24
TEXAS INSTRUMENT       31.15     21.34      9.81     70.64       28.97
COCA-COLA CO/THE       22.69     15.21      7.47     70.24       84.92
RR DONNELLEY & S       44.26     35.03      9.23     69.84       24.60
QUALCOMM INC           25.96     17.77      8.19     69.44       58.33
LYONDELLBASELL-A       33.44     24.60      8.83     69.44       91.27
WAL-MART STORES        21.32     13.62      7.70     69.44       26.98
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
PPG INDS INC           31.23     20.72     10.51     69.05       97.22
UNITED PARCEL-B        22.76     13.34      9.42     69.05       55.16
CORNING INC            31.88     25.07      6.81     69.05       31.35
VALERO ENERGY          37.45     31.41      6.04     67.86       47.22
EDISON INTL            21.73     14.46      7.27     67.06       45.64
LOWE’S COS INC         30.39     21.62      8.77     65.08       10.71
MONSANTO CO            29.36     22.12      7.24     64.29       40.48
LIMITED BRANDS         33.86     25.11      8.76     64.29       40.87
WATSON PHARM           21.74     15.63      6.11     63.89       71.43
KIMBERLY-CLARK         18.70     10.06      8.64     63.49       86.11
DOMINION RES/VA        19.96     12.23      7.73     63.10       24.21
AT&T INC               23.97     15.50      8.47     62.70       44.84
LINCOLN NATL CRP       34.32     24.30     10.02     62.70       33.33
TARGET CORP            24.65     16.48      8.17     62.30       73.81
WYNN RESORTS LTD       33.55     27.14      6.42     62.30       33.73
CARNIVAL CORP          32.54     24.03      8.51     62.30       56.35
HALLIBURTON CO         32.73     25.72      7.01     61.91       47.22
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
STARBUCKS CORP         31.41     24.55      6.85     61.91       50.40
PULTEGROUP INC         50.84     43.29      7.55     61.51       24.60
INTUITIVE SURGIC       30.59     24.61      5.98     61.51       25.00
UNITEDHEALTH GRP       27.42     19.29      8.13     60.71        9.13
GENERAL MILLS IN       22.62     13.21      9.41     59.52       82.94
BANK NY MELLON         31.16     20.59     10.57     59.52       17.86
3M CO                  24.21     13.85     10.36     58.33       68.25
APPLE INC              41.71     37.28      4.43     58.33       17.06
NOBLE ENERGY INC       27.63     19.80      7.83     58.33       30.56
BLACKROCK INC          28.35     17.83     10.52     57.94       56.75
SOUTHWESTRN ENGY       36.05     30.86      5.19     57.14       69.84
STANLEY BLACK &        31.04     21.41      9.63     57.14        4.76
DEERE & CO             26.71     18.37      8.34     57.14       49.60
COSTCO WHOLESALE       27.14     19.11      8.03     56.75       28.18
BERKSHIRE HATH-B       23.15     14.13      9.02     56.75       50.79
MASCO CORP             43.93     35.75      8.18     56.35       23.02
CH ROBINSON            26.29     18.58      7.71     55.95       80.16
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
GANNETT CO             33.06     25.72      7.35     55.56       31.75
NETAPP INC             36.26     33.29      2.96     55.56       54.76
INTL GAME TECH         42.28     35.43      6.85     54.37       23.81
WHOLE FOODS MKT        27.52     21.52      6.00     53.57       32.54
DOVER CORP             28.92     19.95      8.97     52.78       64.68
CIGNA CORP             27.84     21.55      6.29     52.38       43.65
SHERWIN-WILLIAMS       31.14     21.88      9.26     51.98       34.92
VF CORP                28.77     21.22      7.55     51.98        6.75
EASTMAN CHEMICAL       33.43     24.64      8.79     50.79       69.84
ALTERA CORP            31.85     25.02      6.83     50.79       52.38
CHEVRON CORP           26.01     17.19      8.82     50.00       32.14
WALT DISNEY CO         25.49     16.77      8.72     49.60       18.65
PAYCHEX INC            24.21     15.44      8.76     49.60       10.32
WW GRAINGER INC        27.38     18.70      8.68     49.60       26.19
GOLDMAN SACHS GP       31.75     25.19      6.56     49.21       35.32
PFIZER INC             22.91     15.70      7.21     48.41       51.59
TEXTRON INC            32.59     25.34      7.25     47.62       47.22
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
BOSTON PROPERTIE       25.22     15.89      9.34     47.62       38.10
EQT CORP               30.89     24.01      6.88     47.22       17.46
FASTENAL CO            34.14     26.03      8.11     46.83       63.89
CARDINAL HEALTH        21.57     13.02      8.55     46.83        8.73
BOSTON SCIENTIFC       35.56     33.43      2.12     46.83       67.46
STATE ST CORP          30.62     20.62     10.01     46.83       72.22
TJX COS INC            29.11     20.75      8.35     46.03       19.05
MOODY’S CORP           30.49     21.58      8.90     45.24       54.37
FIFTH THIRD BANC       31.89     22.94      8.95     44.44       85.71
CONSOL ENERGY          42.81     35.60      7.20     44.44       42.86
AMERICAN EXPRESS       27.02     18.33      8.69     44.05       33.73
DISCOVER FINANCI       33.62     25.47      8.15     43.65       28.97
CABOT OIL & GAS        36.28     32.43      3.85     43.65       73.02
TRAVELERS COS IN       24.11     15.51      8.60     43.25       15.87
SUNTRUST BANKS         34.64     25.28      9.36     42.86       60.71
REGIONS FINANCIA       36.34     28.63      7.71     42.46       39.68
KRAFT FOODS GROU       19.90     15.87      4.03     41.30       14.63
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
RALPH LAUREN COR       32.41     24.27      8.14     41.27        4.37
MURPHY OIL CORP        32.90     27.28      5.62     40.48       33.73
MORGAN STANLEY         38.77     32.10      6.67     40.48       58.73
TESORO CORP            40.83     34.70      6.13     40.08       32.14
WELLS FARGO & CO       27.32     18.85      8.47     39.68       63.49
REYNOLDS AMERICA       24.17     16.69      7.48     39.29       55.56
DAVITA HEALTHCAR       31.18     22.86      8.32     39.29       38.10
AUTODESK INC           30.62     23.59      7.03     39.29       14.68
HESS CORP              35.85     29.91      5.95     38.89       30.95
TIME WARNER INC        26.73     16.47     10.26     38.89       26.19
SYSCO CORP             17.16     10.84      6.32     38.89        2.78
MASTERCARD INC-A       27.95     22.31      5.64     38.49        6.75
HELMERICH & PAYN       36.69     30.16      6.54     38.49       56.35
BOEING CO/THE          26.54     18.02      8.52     38.10       45.24
BANK OF AMERICA        35.87     31.95      3.92     38.10       65.48
XEROX CORP             34.55     31.07      3.48     37.70       68.25
TYCO INTL LTD          30.01     24.59      5.41     37.45        2.79
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CLIFFS NATURAL R       56.66     50.93      5.73     37.30       16.27
CF INDUSTRIES HO       31.34     26.16      5.18     37.30       38.10
MICROCHIP TECH         28.21     20.05      8.16     36.91       72.22
DENBURY RESOURCE       34.52     28.47      6.05     36.91        9.52
ALLSTATE CORP          26.67     17.91      8.76     36.51       11.91
LENNAR CORP-A          43.54     36.10      7.44     36.51       13.49
EMERSON ELEC CO        27.35     16.97     10.39     36.51       48.02
AMGEN INC              23.34     17.81      5.53     36.11       63.10
CLOROX CO              16.89     10.97      5.92     35.71       96.43
EXPEDIA INC            35.72     30.26      5.46     35.46       70.52
JOHNSON&JOHNSON        17.66     13.65      4.01     35.32       71.43
BECTON DICKINSON       17.79     13.16      4.63     35.32       59.52
US STEEL CORP          45.74     40.79      4.95     35.32       33.73
OWENS-ILLINOIS         31.84     25.69      6.15     35.32       62.70
DU PONT (EI)           27.77     17.74     10.02     34.92       10.32
ALEXION PHARM          32.76     28.54      4.22     34.92       29.76
NORTHROP GRUMMAN       25.70     16.95      8.75     34.13       51.98
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
WELLPOINT INC          27.10     22.24      4.87     33.73        6.75
EBAY INC               34.28     27.72      6.55     33.33       23.41
CAPITAL ONE FINA       31.54     23.38      8.16     32.94       20.64
NVIDIA CORP            37.55     36.24      1.30     32.54       19.84
CENTURYLINK INC        23.63     14.11      9.51     32.14        5.95
PARKER HANNIFIN        31.95     23.78      8.16     32.14        2.38
SOUTHWEST AIR          24.90     23.09      1.82     32.14       44.84
AMERICAN INTERNA       31.54     27.53      4.01     31.87       47.41
DANAHER CORP           25.03     14.92     10.12     31.75        6.35
HOME DEPOT INC         25.62     17.66      7.95     31.75       20.24
ST JUDE MEDICAL        34.47     28.15      6.32     31.75        5.95
HONEYWELL INTL         26.90     16.29     10.60     31.35        3.97
LORILLARD INC          28.61     20.08      8.53     30.95       34.52
KELLOGG CO             13.46     10.31      3.15     30.95        5.56
AGILENT TECH INC       30.90     22.80      8.10     30.56       20.64
WEYERHAEUSER CO        27.23     20.45      6.78     30.56       11.91
AMERICAN ELECTRI       18.85     12.04      6.81     30.16       11.51
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
EXELON CORP            23.53     18.26      5.27     30.16       15.87
BMC SOFTWARE INC       23.65     21.55      2.09     30.16       35.71
RED HAT INC            47.42     43.65      3.76     29.76       67.06
AETNA INC              25.81     21.37      4.44     29.76       32.94
CABLEVISION SY-A       34.24     33.28      0.97     29.76        5.16
BIG LOTS INC           39.46     34.40      5.06     29.37        5.95
DARDEN RESTAURAN       31.88     25.40      6.48     29.37       49.21
YAHOO! INC             29.32     28.70      0.62     29.37       14.68
ACCENTURE PLC-A        30.35     21.93      8.43     29.37       16.27
SOUTHERN CO            22.20     12.93      9.27     29.37       12.30
VENTAS INC             19.51     13.98      5.54     28.57       34.13
BEST BUY CO INC        93.06     93.31     -0.26     28.57       27.38
FOSSIL INC             42.44     37.82      4.62     28.57       19.44
KLA-TENCOR CORP        31.40     24.66      6.74     28.18        8.33
MARATHON OIL           30.55     22.76      7.80     28.18       11.91
DOW CHEMICAL CO        31.86     22.85      9.01     28.18       28.97
GOODYEAR TIRE          37.79     32.13      5.66     27.78       91.27
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
PRECISION CASTPT       25.28     17.43      7.85     27.78       38.49
CELGENE CORP           29.28     23.66      5.62     27.38       10.71
DEAN FOODS CO          36.90     31.27      5.63     27.38       14.29
HEALTH CARE REIT       19.20     12.84      6.36     27.38       14.29
BAXTER INTL INC        24.06     17.30      6.76     26.59        1.59
ABBOTT LABS            20.70     14.99      5.71     26.59       26.19
PEABODY ENERGY         47.98     41.48      6.50     26.19       24.60
SIMON PROPERTY         22.08     11.45     10.63     25.79       37.70
M&T BANK CORP          25.54     17.51      8.04     25.79       18.25
SPECTRA ENERG          19.95     14.81      5.14     25.40        3.97
COMCAST CORP-A         25.29     17.20      8.09     25.40        2.38
ESTEE LAUDER           26.19     19.67      6.53     24.60       26.98
CATERPILLAR INC        29.25     22.28      6.97     24.60       52.78
ROWAN COMPANIE-A       33.86     28.40      5.46     24.21       25.00
ANALOG DEVICES         24.43     16.95      7.47     23.81       18.65
NEWS CORP-A            25.69     20.08      5.61     23.81        9.13
GILEAD SCIENCES        28.64     22.71      5.93     23.81       14.68
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CERNER CORP            28.38     23.60      4.79     23.41       39.29
PETSMART INC           21.07     15.98      5.09     23.41        8.33
UNITED TECH CORP       27.15     17.92      9.23     23.41       19.05
LINEAR TECH CORP       26.88     19.86      7.02     23.02        4.37
NRG ENERGY             34.28     29.79      4.49     22.62        3.57
US BANCORP             25.79     16.35      9.45     22.62       38.89
NEWMONT MINING         33.39     30.83      2.55     22.62        7.54
TIFFANY & CO           30.78     25.91      4.87     22.22       12.30
ORACLE CORP            30.58     23.70      6.87     22.22       13.89
INTERPUBLIC GRP        33.16     34.01     -0.84     22.22       19.84
MICRON TECH            49.74     49.07      0.67     21.43       19.84
WESTERN UNION          27.70     24.80      2.90     21.43        4.37
SYMANTEC CORP          36.43     32.70      3.73     21.43        2.38
HJ HEINZ CO            15.64     11.98      3.66     21.03       50.00
AIR PRODS & CHEM       23.15     15.06      8.09     21.03       20.64
WASTE MANAGEMENT       20.51     12.36      8.15     21.03        9.52
EXPEDITORS INTL        26.13     19.58      6.54     20.64       16.67
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
MCDONALDS CORP         22.63     18.27      4.36     20.64       42.86
METLIFE INC            31.96     27.30      4.65     20.64       31.75
HARLEY-DAVIDSON        31.41     23.31      8.10     20.64       19.05
BRISTOL-MYER SQB       24.58     18.02      6.57     20.24       49.21
HEWLETT-PACKARD        42.10     37.94      4.16     20.24       10.32
CITIGROUP INC          36.26     30.02      6.23     19.84       23.41
APOLLO GROUP-A         58.58     52.29      6.30     19.44       29.76
FLOWSERVE CORP         29.41     20.84      8.57     19.05        3.57
JOY GLOBAL INC         46.17     41.95      4.21     19.05        7.14
E*TRADE FINANCIA       36.49     35.46      1.02     19.05       20.24
COVIDIEN PLC           23.22     15.17      8.05     18.25        5.16
PLUM CREEK TIMBR       23.51     15.14      8.37     18.25       34.92
COMERICA INC           30.04     22.35      7.69     17.46       52.38
ALTRIA GROUP INC       20.92     14.09      6.83     17.46       17.46
JPMORGAN CHASE         29.59     23.22      6.37     17.06       16.27
NORFOLK SOUTHERN       25.64     18.51      7.13     17.06       22.62
CONS EDISON INC        15.53     11.76      3.77     17.06       33.73
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
BED BATH &BEYOND       38.35     33.72      4.62     16.67       18.25
MARATHON PETROLE       33.74     29.89      3.85     16.67       15.87
EOG RESOURCES          32.36     27.36      4.99     16.67       11.11
TRIPADVISOR INC        34.38     31.77      2.61     16.53       33.76
PNC FINANCIAL SE       29.45     21.71      7.75     16.27        3.57
FOREST LABS INC        24.57     27.32     -2.74     15.87       41.67
AKAMAI TECHNOLOG       30.06     27.05      3.01     15.87       13.10
STAPLES INC            33.07     32.55      0.52     15.87        9.92
WHIRLPOOL CORP         35.36     30.44      4.92     15.87       13.10
SEAGATE TECHNOLO       43.46     40.18      3.28     15.87        7.54
PRUDENTL FINL          30.25     23.27      6.98     15.87       17.46
COCA-COLA ENTER        32.62     27.21      5.41     15.87        1.59
ALLEGHENY TECH         41.88     35.94      5.93     15.48        6.35
WESTERN DIGITAL        36.78     34.08      2.70     15.48       49.60
CHUBB CORP             22.75     14.47      8.28     15.48       48.81
RAYTHEON CO            24.27     16.79      7.47     15.48        8.73
CAMERON INTERNAT       31.05     24.62      6.43     15.48       13.89
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
KROGER CO              21.85     18.04      3.81     15.08       13.10
BROADCOM CORP-A        30.63     26.06      4.57     14.68       44.05
PPL CORPORATION        12.65     11.16      1.49     14.68       24.21
SANDISK CORP           36.70     33.10      3.60     14.68       26.59
FEDEX CORP             28.16     21.15      7.01     14.29       19.05
IBM                    22.82     16.98      5.84     14.29        9.52
CSX CORP               26.56     21.09      5.47     14.29       30.16
TERADATA CORP          34.99     29.95      5.04     14.29       56.35
JUNIPER NETWORKS       40.06     36.28      3.78     13.89        7.94
HASBRO INC             27.98     24.09      3.90     13.89       58.73
KOHLS CORP             31.39     26.56      4.83     13.49        7.94
ELECTRONIC ARTS        37.99     36.14      1.85     13.49       10.32
NABORS INDS LTD        40.00     37.65      2.35     13.49       20.64
PITNEY BOWES INC       39.21     32.97      6.24     13.49       18.65
DELL INC               39.09     36.69      2.40     13.10        1.59
URBAN OUTFITTER        34.34     28.93      5.42     13.10       12.30
NEXTERA ENERGY         18.34     11.69      6.65     13.10        9.92
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
SCHLUMBERGER LTD       30.87     23.77      7.10     12.70       19.84
VERIZON COMMUNIC       23.31     17.60      5.71     12.30       28.18
MICROSOFT CORP         26.09     22.42      3.67     12.30        7.94
GENWORTH FINANCI       47.52     43.77      3.75     12.30       15.08
INTL PAPER CO          31.22     23.23      7.98     11.91        4.76
FREEPORT-MCMORAN       41.96     37.04      4.92     11.91       35.71
AUTOMATIC DATA         20.09     13.05      7.05     11.91        9.92
SIGMA-ALDRICH          20.32     14.41      5.91     11.51        4.37
CHESAPEAKE ENERG       40.19     37.05      3.14     11.51        1.98
JABIL CIRCUIT          40.74     36.78      3.97     11.51        1.98
FIRST SOLAR INC        77.70     74.72      2.99     11.51       30.16
VERISIGN INC           37.79     32.95      4.84     11.51        0.40
ARCHER-DANIELS         25.60     23.58      2.03     11.11        2.78
NORDSTROM INC          32.07     25.07      6.99     11.11       12.70
AMERISOURCEBERGE       20.57     15.42      5.15     10.71       25.00
MCKESSON CORP          21.20     14.95      6.25     10.71       61.51
CUMMINS INC            32.07     26.03      6.05     10.32       13.89
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
FORD MOTOR CO          31.60     30.04      1.56     10.32        0.79
EXPRESS SCRIPTS        28.60     23.11      5.49     10.32        4.37
EDWARDS LIFE           29.82     25.76      4.05     10.32        1.98
HUMANA INC             26.95     24.05      2.89     10.32        8.33
PHILIP MORRIS IN       23.52     17.27      6.25      9.92        3.57
STRYKER CORP           24.87     18.58      6.29      9.92        2.38
FIRSTENERGY CORP       18.42     15.05      3.37      9.92       12.30
MONDELEZ INTER-A       19.98     15.63      4.34      9.56        2.79
LEUCADIA NATL          27.56     25.68      1.88      9.52       34.52
APPLIED MATERIAL       30.27     24.28      5.99      9.52        5.16
CA INC                 20.05     16.31      3.75      9.13       28.57
NUCOR CORP             28.96     20.72      8.24      9.13        0.79
MATTEL INC             22.93     17.78      5.15      9.13        6.75
CBS CORP-B             29.85     25.47      4.38      8.73        5.95
NEWFIELD EXPLORA       34.69     32.57      2.11      8.73        3.57
GENERAL ELECTRIC       27.32     22.38      4.95      8.33        2.78
GENERAL DYNAMICS       28.03     19.38      8.65      8.33       28.97
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
LEGG MASON INC         26.46     21.26      5.20      8.33        3.97
PIONEER NATURAL        34.62     33.41      1.21      7.94        3.57
PACCAR INC             30.03     21.89      8.14      7.94        3.57
MACY’S INC             32.15     26.18      5.97      7.94        7.94
NATL OILWELL VAR       31.71     25.74      5.97      7.94        5.16
OCCIDENTAL PETE        29.19     23.46      5.74      7.94        2.38
MOLSON COORS-B         21.04     21.77     -0.73      7.54        2.78
J.C. PENNEY CO         62.97     60.06      2.91      7.54       32.54
PHILLIPS 66            37.51     36.52      0.99      7.19       26.35
MCGRAW-HILL COS        23.42     19.46      3.96      7.14       30.95
TIME WARNER CABL       22.43     17.08      5.35      7.14        8.33
ENSCO PLC-CL A         31.27     25.45      5.83      6.75       14.68
ILLINOIS TOOL WO       26.53     17.99      8.55      6.75        3.57
WILLIAMS COS INC       30.69     28.63      2.06      6.38        0.40
WINDSTREAM CORP        30.01     29.34      0.68      6.35        5.95
H&R BLOCK INC          19.76     16.54      3.22      5.95        7.54
HUNTINGTON BANC        29.11     29.19     -0.08      5.95        0.40
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
SEALED AIR CORP        33.39     33.96     -0.57      5.95       40.87
XILINX INC             28.98     22.10      6.87      5.56        7.14
ACE LTD                20.12     12.26      7.86      5.56        5.56
FLUOR CORP             31.04     24.15      6.89      5.16        1.59
AMERICAN TOWER C       23.82     15.02      8.80      4.76       20.24
DIRECTV                25.83     20.54      5.29      4.76        5.16
BB&T CORP              28.67     23.07      5.60      4.76       21.83
NOBLE CORP             35.29     30.54      4.75      4.76        1.59
JOHNSON CONTROLS       30.25     22.88      7.37      4.37       11.51
DR HORTON INC          38.92     34.44      4.48      4.37        1.98
CAREFUSION CORP        19.70     17.40      2.29      3.97        4.76
BIOGEN IDEC INC        30.83     29.32      1.51      3.97        0.00
O’REILLY AUTOMOT       25.22     25.33     -0.11      3.97        2.38
AVON PRODUCTS          42.59     46.43     -3.84      3.97       21.83
COACH INC              33.29     28.36      4.93      3.97        1.59
SALESFORCE.COM         33.93     28.62      5.31      3.57        9.52
APACHE CORP            29.29     25.05      4.24      3.57        0.40
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
EQUITY RESIDENTI       23.25     17.18      6.07      3.57       17.86
MERCK & CO             21.42     19.55      1.88      3.57        0.40
COMPUTER SCIENCE       31.17     28.13      3.04      2.78        0.79
VIACOM INC-B           24.99     21.48      3.51      2.78        3.57
SAFEWAY INC            40.59     42.17     -1.58      2.78       34.52
TITANIUM METALS         5.16      5.16      0.00      2.38       87.30
ROSS STORES INC        27.96     23.44      4.52      1.98        5.56
WYNDHAM WORLDWID       26.92     21.72      5.20      1.98       33.33
ADV MICRO DEVICE       75.33     80.22     -4.89      1.98        0.79
SCHWAB (CHARLES)       26.64     24.83      1.80      1.98       48.81
CHIPOTLE MEXICAN       37.84     33.08      4.77      1.98        8.73
MARRIOTT INTL-A        29.75     22.41      7.34      1.98        1.19
NETFLIX INC            56.24     56.56     -0.31      1.59       20.24
HOST HOTELS & RE       26.74     24.11      2.63      1.59       10.32
ANADARKO PETROLE       31.96     30.97      0.99      1.59       40.48
CARMAX INC             40.64     35.68      4.96      1.19        0.00
YUM! BRANDS INC        27.71     23.66      4.05      1.19        0.79
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/07       11/30
===========================================================================
CENTERPOINT ENER       13.20     15.30     -2.09      1.19        6.75
METROPCS COMMUNI       40.85     50.88    -10.03      0.79        1.19
ZIONS BANCORP          32.31     26.66      5.65      0.79       12.30
AVALONBAY COMMUN       24.99     18.91      6.08      0.79        5.16
DOLLAR TREE INC        28.49     27.09      1.40      0.79       14.68
HOSPIRA INC            22.30     26.47     -4.17      0.40        3.57
DEVON ENERGY CO        27.82     25.70      2.11      0.40        1.19
INTEL CORP             30.28     27.85      2.43      0.40        0.40
INGERSOLL-RAND         26.63     21.20      5.43      0.40        0.00
KEYCORP                28.25     27.68      0.57      0.40       55.95
NYSE EURONEXT          27.42     31.71     -4.29      0.00        0.00
MEDTRONIC INC          24.85     21.91      2.95      0.00        5.95
CITRIX SYSTEMS         38.36     37.15      1.21      0.00       10.71
CME GROUP INC          24.25     20.94      3.31      0.00       63.89
STARWOOD HOTELS        27.67     27.82     -0.15      0.00        3.18

==============================================================================

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 Vannucci 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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