Percentile of Put vs Call 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. 14 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    12/14       12/07     
===========================================================================
CONSTELLATION-A        52.39     41.35     11.04     99.21       98.81
SPRINT NEXTEL CO       34.46     22.07     12.39     98.81       78.57
NIKE INC -CL B         35.23     24.24     11.00     98.81       96.43
TYSON FOODS-A          30.74     21.46      9.28     98.41       72.22
ADT CORP/THE           32.58     27.98      4.60     98.04       89.13
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================

GAMESTOP CORP-A        43.09     35.82      7.26     98.02       98.02
CROWN CASTLE INT       28.35     17.07     11.28     98.02       67.46
CONAGRA FOODS          26.39     16.85      9.53     97.22       90.08
FRONTIER COMMUNI       49.18     35.64     13.54     96.83       81.75
MEAD JOHNSON           27.15     18.98      8.17     95.64       92.86

Lowest Skew Percentiles

NUCOR CORP             28.82     22.41      6.40      0.00        9.13
FIFTH THIRD BANC       27.10     24.99      2.11      0.00       44.44
COMERICA INC           31.57     26.16      5.42      0.40       17.46
US BANCORP             25.48     18.28      7.20      0.40       22.62
JOHNSON CONTROLS       31.59     25.62      5.97      0.40        4.37
SALESFORCE.COM         34.54     29.71      4.84      0.79        3.57

SOUTHERN CO            21.03     14.67      6.37      0.79       29.37
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
THERMO FISHER          20.64     18.17      2.48      0.79        9.52
COACH INC              33.88     29.44      4.43      0.79        3.97
AMGEN INC              22.28     19.78      2.50      0.79       36.11
GENWORTH FINANCI       50.18     50.72     -0.54      0.79       12.30

S&P 500 Highest to Lowest Skew Percentiles

CONSTELLATION-A        52.39     41.35     11.04     99.21       98.81
SPRINT NEXTEL CO       34.46     22.07     12.39     98.81       78.57
NIKE INC -CL B         35.23     24.24     11.00     98.81       96.43
TYSON FOODS-A          30.74     21.46      9.28     98.41       72.22
ADT CORP/THE           32.58     27.98      4.60     98.04       89.13
GAMESTOP CORP-A        43.09     35.82      7.26     98.02       98.02

CROWN CASTLE INT       28.35     17.07     11.28     98.02       67.46
CONAGRA FOODS          26.39     16.85      9.53     97.22       90.08
FRONTIER COMMUNI       49.18     35.64     13.54     96.83       81.75
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
MEAD JOHNSON           27.15     18.98      8.17     95.64       92.86
CISCO SYSTEMS          26.61     17.79      8.82     93.25       96.03
CAMPBELL SOUP CO       19.96     12.11      7.85     91.27       74.21
CLOROX CO              19.20     10.11      9.09     91.27       35.71
RANGE RESOURCES        36.09     31.68      4.41     90.87       89.29
REYNOLDS AMERICA       25.32     14.42     10.90     88.49       39.29
ADOBE SYS INC          30.08     22.59      7.49     88.10       73.41
HERSHEY CO/THE         20.30     11.67      8.62     87.30       99.60
LOCKHEED MARTIN        28.21     17.08     11.13     86.51       95.24
ABERCROMBIE & FI       45.62     38.73      6.89     86.51       96.03
STAPLES INC            35.87     28.83      7.04     86.11       15.87
TENET HEALTHCARE       38.28     30.59      7.69     85.66       85.66
BECTON DICKINSON       20.52     13.27      7.25     85.32       35.32
ZIMMER HLDGS           23.94     16.12      7.81     83.33       44.05

MONSTER BEVERAGE       48.94     39.62      9.32     82.94       78.18
COLGATE-PALMOLIV       23.19     11.80     11.39     82.14       97.22
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
OWENS-ILLINOIS         33.81     25.94      7.87     82.14       35.32
KELLOGG CO             16.46     10.74      5.72     82.14       30.95
DOVER CORP             28.95     18.76     10.19     81.35       52.78
PRICELINE.COM          34.89     29.08      5.80     81.35       73.02
PEPSICO INC            20.64     11.52      9.12     80.56       96.43
BOSTON SCIENTIFC       36.88     31.30      5.57     80.56       46.83
INTUIT INC             24.52     16.78      7.74     79.76       87.70
SPECTRA ENERG          23.52     14.99      8.53     77.78       25.40
COGNIZANT TECH-A       29.88     20.27      9.61     77.78       92.46
KIMBERLY-CLARK         19.62     10.42      9.20     77.78       63.49
CH ROBINSON            27.24     18.73      8.51     77.38       55.95
BAKER HUGHES INC       34.12     25.51      8.60     77.38       82.94
NETAPP INC             37.37     33.44      3.92     76.98       55.56
MOSAIC CO/THE          36.23     28.47      7.76     75.00       75.40
WEYERHAEUSER CO        29.71     21.05      8.67     75.00       30.56

AUTOZONE INC           25.62     17.84      7.78     75.00       82.94
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
LAM RESEARCH           33.22     25.62      7.61     74.60       84.92
GANNETT CO             34.02     25.04      8.98     73.81       55.56
ELI LILLY & CO         25.02     19.54      5.48     73.41       78.18
HARTFORD FINL SV       35.70     26.93      8.77     72.62       73.41
LINEAR TECH CORP       29.92     21.46      8.47     72.22       23.02
ILLINOIS TOOL WO       28.46     17.23     11.24     72.22        6.75
CORNING INC            33.86     26.92      6.94     71.83       69.05
MORGAN STANLEY         41.81     33.82      7.99     71.43       40.48
AMAZON.COM INC         33.57     26.11      7.46     71.03       73.02
GAP INC/THE            37.03     29.34      7.68     70.64       88.10
WALGREEN CO            27.82     21.71      6.11     69.05       88.10
DIAMOND OFFSHORE       28.99     19.83      9.16     68.65       73.81
CONOCOPHILLIPS         24.57     15.72      8.85     68.53       84.86
VENTAS INC             23.83     14.98      8.85     68.25       28.57
HALLIBURTON CO         32.48     25.33      7.14     66.67       61.91
ACCENTURE PLC-A        29.67     20.06      9.61     66.67       29.37

===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
STATE ST CORP          30.75     19.69     11.06     65.87       46.83
AMERISOURCEBERGE       22.94     15.65      7.29     65.48       10.71
JDS UNIPHASE           44.20     37.88      6.32     64.68       75.00
LYONDELLBASELL-A       35.19     26.56      8.63     64.68       69.44
VISA INC-CLASS A       26.10     19.62      6.49     64.68       76.59
KINDER MORGAN IN       26.29     22.10      4.19     64.68       89.68
DUKE ENERGY CORP       19.96     13.64      6.32     64.54       80.48
XL GROUP PLC           29.48     19.85      9.63     64.29       69.05
F5 NETWORKS            42.69     37.12      5.57     64.29       86.91
AFLAC INC              31.11     19.83     11.28     63.49       77.78
CA INC                 25.28     17.75      7.53     63.49        9.13
EXXON MOBIL CORP       24.17     15.04      9.13     62.70       90.87
EXPEDITORS INTL        28.56     19.93      8.63     62.30       20.64
DARDEN RESTAURAN       30.57     23.19      7.38     60.32       29.37
TRAVELERS COS IN       23.21     13.72      9.49     60.32       43.25
EATON CORP PLC         30.45     21.23      9.23     60.32       79.37
SYSCO CORP             19.51     11.74      7.77     59.92       38.89
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================

COCA-COLA CO/THE       23.14     16.36      6.78     59.52       70.24
CENTURYLINK INC        22.76     12.32     10.45     59.13       32.14
KRAFT FOODS GROU       19.72     15.03      4.69     58.82       41.30
VF CORP                28.87     21.19      7.68     58.33       51.98
EASTMAN CHEMICAL       33.11     24.05      9.06     57.94       50.79
QUALCOMM INC           31.96     24.43      7.53     57.94       69.44
MOTOROLA SOLUTIO       26.34     18.91      7.44     56.75       42.06
ROWAN COMPANIE-A       35.86     29.10      6.76     56.75       24.21
HESS CORP              36.56     29.32      7.24     56.75       38.89
FOREST LABS INC        27.14     26.37      0.78     56.35       15.87
AMERICAN ELECTRI       20.17     11.99      8.18     55.95       30.16
PRINCIPAL FINL         29.40     20.41      8.99     55.56        3.57
GOLDMAN SACHS GP       30.40     23.70      6.70     53.97       49.21
WYNN RESORTS LTD       32.73     26.85      5.88     53.57       62.30
BLACKROCK INC          27.55     17.40     10.15     53.57       57.94
VALERO ENERGY          36.73     31.34      5.39     53.57       67.86
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
CHEVRON CORP           25.71     16.86      8.85     53.18       50.00

AUTOMATIC DATA         22.90     13.38      9.52     51.98       11.91
BMC SOFTWARE INC       26.70     23.03      3.67     51.98       30.16
BOSTON PROPERTIE       24.87     15.42      9.45     50.79       47.62
LINCOLN NATL CRP       35.09     25.61      9.47     50.40       62.70
HEWLETT-PACKARD        44.23     38.41      5.82     49.60       20.24
MASTERCARD INC-A       27.48     21.34      6.14     49.60       38.49
WAL-MART STORES        23.77     16.96      6.80     49.21       69.44
CARNIVAL CORP          32.94     25.35      7.59     49.21       62.30
STARBUCKS CORP         29.59     23.35      6.24     48.81       61.91
CITIGROUP INC          36.38     29.18      7.20     48.81       19.84
CIGNA CORP             27.10     20.96      6.14     47.22       52.38
CONS EDISON INC        17.20     12.19      5.01     47.22       17.06
NORTHROP GRUMMAN       27.14     17.94      9.20     46.43       34.13
DEAN FOODS CO          38.89     32.07      6.82     45.64       27.38
BEAM INC               24.90     21.93      2.97     45.24       18.65
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
ANALOG DEVICES         26.05     17.85      8.20     44.84       23.81
CABLEVISION SY-A       35.24     33.38      1.86     44.84       29.76

SYMANTEC CORP          36.29     31.67      4.61     44.44       21.43
STANLEY BLACK &        30.46     21.25      9.20     43.65       57.14
CABOT OIL & GAS        37.62     33.84      3.78     43.65       43.65
MCDONALDS CORP         21.42     16.25      5.17     43.65       20.64
BERKSHIRE HATH-B       21.35     13.49      7.86     42.86       56.75
SEALED AIR CORP        34.92     32.33      2.60     42.46        5.95
BEST BUY CO INC        72.26     70.24      2.02     42.06       28.57
INTUITIVE SURGIC       28.16     22.72      5.44     42.06       61.51
AT&T INC               24.32     17.02      7.30     41.67       62.70
LIMITED BRANDS         31.61     23.46      8.15     40.08       64.29
PULTEGROUP INC         48.04     41.18      6.86     40.08       61.51
MONSANTO CO            29.03     22.45      6.58     39.68       64.29
COSTCO WHOLESALE       25.68     18.57      7.11     39.68       56.75
HELMERICH & PAYN       37.06     30.53      6.53     39.29       38.49
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
CLIFFS NATURAL R       55.37     49.55      5.82     38.89       37.30
TESORO CORP            41.84     36.31      5.53     38.49       40.08
APOLLO GROUP-A         61.28     54.17      7.11     38.10       19.44

ANADARKO PETROLE       32.88     29.47      3.41     37.70        1.59
BROWN-FORMAN -B        17.64     14.97      2.67     37.35       67.20
DEERE & CO             26.54     19.23      7.30     36.51       57.14
CME GROUP INC          29.22     21.99      7.23     36.51        0.00
NEXTERA ENERGY         20.09     11.57      8.52     36.11       13.10
CELGENE CORP           30.08     23.93      6.15     36.11       27.38
DOMINION RES/VA        18.63     12.47      6.16     36.11       63.10
PFIZER INC             22.35     15.76      6.58     36.11       48.41
HJ HEINZ CO            17.38     12.40      4.98     36.11       21.03
PACCAR INC             31.36     22.24      9.12     36.11        7.94
CF INDUSTRIES HO       32.66     27.58      5.09     35.71       37.30
DENBURY RESOURCE       34.76     28.81      5.95     35.32       36.91
3M CO                  23.84     14.21      9.63     35.32       58.33
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
MOODY’S CORP           31.40     23.03      8.37     35.32       45.24
JOHNSON&JOHNSON        17.46     13.50      3.96     35.32       35.32
UNITEDHEALTH GRP       27.40     20.66      6.74     34.92       60.71
HOME DEPOT INC         26.59     18.58      8.01     34.52       31.75

TIME WARNER INC        26.64     16.80      9.84     34.52       38.89
BOEING CO/THE          27.70     19.45      8.25     34.13       38.10
MCGRAW-HILL COS        26.78     20.96      5.82     34.13        7.14
UNION PAC CORP         27.02     18.57      8.45     33.73       84.92
TJX COS INC            29.67     21.88      7.79     33.73       46.03
WALT DISNEY CO         25.94     18.33      7.61     32.94       49.60
PAYCHEX INC            22.93     15.13      7.80     32.94       49.60
YAHOO! INC             27.58     26.73      0.85     32.54       29.37
MASCO CORP             43.36     36.40      6.96     32.54       56.35
ALCOA INC              33.53     30.53      3.00     32.54       78.57
AUTODESK INC           31.22     24.86      6.35     32.54       39.29
TEXTRON INC            32.33     25.71      6.62     32.14       47.62
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
SIMON PROPERTY         23.31     12.39     10.92     32.14       25.79
ENSCO PLC-CL A         30.78     23.90      6.88     32.14        6.75
REGIONS FINANCIA       36.50     29.55      6.95     31.75       42.46
WHOLE FOODS MKT        28.68     23.49      5.18     31.75       53.57
WATSON PHARM           20.88     17.02      3.86     31.35       63.89

MURPHY OIL CORP        29.99     24.92      5.06     30.56       40.48
GOOGLE INC-CL A        29.34     25.38      3.96     29.76       77.78
MICRON TECH            50.24     49.08      1.16     29.76       21.43
SAFEWAY INC            39.54     37.17      2.36     29.76        2.78
UNITED PARCEL-B        22.77     15.33      7.44     29.37       69.05
NRG ENERGY             35.06     29.84      5.22     29.37       22.62
LORILLARD INC          29.85     21.72      8.13     29.37       30.95
FASTENAL CO            33.12     25.94      7.18     29.37       46.83
LOWE’S COS INC         29.89     22.46      7.42     28.97       65.08
METLIFE INC            33.68     28.51      5.17     28.97       20.64
TERADATA CORP          35.03     29.41      5.62     28.97       14.29
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
NEWS CORP-A            26.98     21.05      5.93     28.97       23.81
EBAY INC               36.34     30.10      6.24     28.97       33.33
INGERSOLL-RAND         29.15     21.48      7.67     28.57        0.40
SOUTHWEST AIR          26.02     24.87      1.15     28.57       32.14
E*TRADE FINANCIA       37.49     35.40      2.08     28.57       19.05
FIRST SOLAR INC        75.91     71.75      4.16     28.57       11.51

NOBLE ENERGY INC       28.73     22.25      6.48     28.18       58.33
AMERICAN INTERNA       31.90     28.14      3.76     27.89       31.87
URBAN OUTFITTER        36.09     29.91      6.17     27.78       13.10
PHILIP MORRIS IN       23.59     16.52      7.07     27.38        9.92
ALLSTATE CORP          27.03     19.08      7.95     26.98       36.51
PPG INDS INC           34.40     25.08      9.32     26.59       69.05
GENERAL MILLS IN       21.91     14.48      7.43     26.19       59.52
CHUBB CORP             23.36     14.54      8.83     25.79       15.48
CERNER CORP            29.07     24.19      4.88     25.40       23.41
JOY GLOBAL INC         40.25     35.86      4.40     25.00       19.05
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
BANK NY MELLON         30.29     21.17      9.12     24.60       59.52
SUNTRUST BANKS         36.16     27.76      8.39     24.60       42.86
PRUDENTL FINL          31.15     23.40      7.75     24.21       15.87
COCA-COLA ENTER        31.78     26.01      5.77     24.21       15.87
GENERAL DYNAMICS       29.67     20.56      9.11     23.81        8.33
APPLE INC              42.67     39.63      3.03     23.81       58.33
COVIDIEN PLC           24.12     15.90      8.22     23.02       18.25

MACY’S INC             32.63     25.84      6.79     23.02        7.94
MYLAN INC              26.57     19.77      6.81     23.02       70.64
WESTERN DIGITAL        38.23     34.90      3.33     23.02       15.48
WELLS FARGO & CO       27.39     19.77      7.62     22.62       39.68
DANAHER CORP           25.46     15.93      9.53     22.62       31.75
EMERSON ELEC CO        27.03     17.30      9.73     22.62       36.51
ALTERA CORP            32.42     26.48      5.94     22.62       50.79
INTERPUBLIC GRP        33.69     34.65     -0.97     22.22       22.22
EXELON CORP            23.31     18.69      4.62     22.22       30.16
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
MARATHON OIL           31.13     23.67      7.45     22.22       28.18
LIFE TECHNOLOGIE       28.57     24.48      4.10     22.22       95.64
KROGER CO              22.34     18.10      4.24     22.22       15.08
NEWMONT MINING         32.49     30.05      2.44     21.03       22.62
EOG RESOURCES          32.56     27.37      5.18     21.03       16.67
HUNTINGTON BANC        30.53     28.42      2.11     20.64        5.95
BROADCOM CORP-A        35.80     30.67      5.13     20.64       14.68
PROCTER & GAMBLE       22.69     16.87      5.82     20.64       96.83

RED HAT INC            43.98     40.61      3.37     20.64       29.76
SEAGATE TECHNOLO       42.01     38.02      3.99     20.64       15.87
SLM CORP               34.86     26.61      8.25     20.24       73.02
PROLOGIS INC           27.15     18.35      8.80     20.24        0.00
CAREFUSION CORP        21.38     17.17      4.21     20.24        3.97
ACE LTD                23.42     14.24      9.18     20.24        5.56
CENTERPOINT ENER       17.25     17.25      0.00     20.24        1.19
AMERICAN EXPRESS       26.56     19.35      7.21     19.84       44.05
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
CAMERON INTERNAT       32.97     26.33      6.64     19.84       15.48
WELLPOINT INC          26.43     22.15      4.29     19.84       33.73
MATTEL INC             23.57     17.66      5.91     19.84        9.13
LENNAR CORP-A          42.10     35.92      6.18     19.05       36.51
INTL GAME TECH         39.98     35.29      4.70     19.05       54.37
SANDISK CORP           39.22     35.37      3.85     18.65       14.68
SOUTHWESTRN ENGY       36.36     33.67      2.69     18.65       57.14
PHILLIPS 66            35.66     33.50      2.16     18.35        7.19
AETNA INC              26.75     22.96      3.79     18.25       29.76

DISCOVER FINANCI       34.96     28.31      6.65     17.86       43.65
DOW CHEMICAL CO        29.83     22.11      7.72     17.86       28.18
KLA-TENCOR CORP        31.22     25.11      6.11     17.46       28.18
MICROSOFT CORP         26.20     22.34      3.86     17.46       12.30
EXPEDIA INC            35.72     31.07      4.65     17.13       35.46
IBM                    22.33     16.39      5.93     17.06       14.29
LEGG MASON INC         29.86     23.82      6.05     17.06        8.33
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
EMC CORP/MA            29.90     24.50      5.41     17.06       73.02
TIFFANY & CO           31.24     26.66      4.58     17.06       22.22
ESTEE LAUDER           27.52     21.40      6.12     16.67       24.60
COMCAST CORP-A         26.58     18.94      7.64     16.67       25.40
TARGET CORP            24.20     17.90      6.30     16.27       62.30
CVS CAREMARK COR       22.67     15.45      7.22     16.27       72.62
VERIZON COMMUNIC       22.76     16.90      5.86     16.27       12.30
BANK OF AMERICA        35.16     32.90      2.26     15.87       38.10
ORACLE CORP            29.98     23.72      6.26     15.87       22.22
EQUITY RESIDENTI       23.85     16.23      7.63     15.87        3.57

M&T BANK CORP          25.48     17.99      7.49     15.48       25.79
ABBOTT LABS            22.69     18.12      4.57     15.48       26.59
NORDSTROM INC          31.46     24.37      7.10     15.48       11.11
JPMORGAN CHASE         29.63     23.57      6.06     15.48       17.06
PEABODY ENERGY         47.98     42.25      5.73     15.08       26.19
WASTE MANAGEMENT       24.31     16.68      7.63     15.08       21.03
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
TYCO INTL LTD          28.67     24.61      4.07     14.74       37.45
DOLLAR TREE INC        32.48     29.01      3.47     14.68        0.79
BAXTER INTL INC        23.87     18.29      5.57     14.68       26.59
PPL CORPORATION        13.41     11.99      1.43     14.29       14.68
FAMILY DOLLAR ST       31.77     29.09      2.68     14.29       84.52
MOLSON COORS-B         20.69     20.33      0.36     13.89        7.54
FOSSIL INC             42.93     39.31      3.62     13.49       28.57
KOHLS CORP             30.09     25.26      4.82     13.49       13.49
ARCHER-DANIELS         26.05     23.59      2.46     13.49       11.11
ELECTRONIC ARTS        37.54     35.88      1.67     13.10       13.49
MARATHON PETROLE       36.50     32.94      3.56     13.10       16.67

HONEYWELL INTL         26.63     17.33      9.30     12.70       31.35
MCKESSON CORP          20.29     13.87      6.41     12.70       10.71
LEUCADIA NATL          25.79     23.80      1.99     12.70        9.52
CSX CORP               28.33     23.28      5.05     12.70       14.29
OCCIDENTAL PETE        28.98     22.23      6.75     12.70        7.94
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
BIOGEN IDEC INC        32.26     29.07      3.19     12.30        3.97
WYNDHAM WORLDWID       28.31     21.63      6.68     12.30        1.98
VERISIGN INC           40.17     35.41      4.76     12.30       11.51
SHERWIN-WILLIAMS       29.43     21.75      7.68     11.91       51.98
INTEL CORP             31.71     27.63      4.08     11.91        0.40
NEWFIELD EXPLORA       36.57     34.29      2.27     11.91        8.73
NORFOLK SOUTHERN       26.27     20.12      6.15     11.91       17.06
HEALTH CARE REIT       19.10     14.25      4.85     11.51       27.38
APPLIED MATERIAL       31.38     25.20      6.18     11.51        9.52
FEDEX CORP             27.35     20.61      6.74     11.51       14.29
STRYKER CORP           23.25     16.83      6.42     11.51        9.92
GILEAD SCIENCES        29.40     25.16      4.24     11.51       23.81

CITRIX SYSTEMS         37.10     33.78      3.32     11.11        0.00
MARRIOTT INTL-A        29.60     21.10      8.50     11.11        1.98
COMPUTER SCIENCE       31.59     27.21      4.38     11.11        2.78
CONSOL ENERGY          42.19     36.33      5.86     11.11       44.44
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
INTL PAPER CO          30.89     23.27      7.62     11.11       11.91
GOODYEAR TIRE          37.92     33.83      4.08     11.11       27.78
WESTERN UNION          27.68     26.13      1.55     11.11       21.43
AIR PRODS & CHEM       21.76     14.64      7.12     11.11       21.03
MERCK & CO             23.19     19.29      3.90     11.11        3.57
CBS CORP-B             30.87     26.15      4.73     11.11        8.73
BED BATH &BEYOND       35.82     31.55      4.27     10.71       16.67
FLOWSERVE CORP         29.30     21.05      8.25     10.71       19.05
PIONEER NATURAL        36.51     35.09      1.42     10.32        7.94
H&R BLOCK INC          21.98     17.72      4.26     10.32        5.95
CATERPILLAR INC        28.96     23.06      5.91      9.92       24.60
DELL INC               38.70     37.01      1.69      9.92       13.10
AMERICAN TOWER C       24.15     14.97      9.18      9.92        4.76

GENERAL ELECTRIC       27.66     22.73      4.93      9.52        8.33
PNC FINANCIAL SE       28.81     21.68      7.13      9.52       16.27
EDWARDS LIFE           29.57     25.89      3.68      9.52       10.32
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
J.C. PENNEY CO         71.28     68.27      3.01      9.52        7.54
SCHWAB (CHARLES)       26.94     23.82      3.13      9.52        1.98
QUANTA SERVICES        27.11     21.26      5.85      9.52        5.95
JUNIPER NETWORKS       40.40     36.88      3.52      9.13       13.89
NATL OILWELL VAR       32.43     26.46      5.96      9.13        7.94
PITNEY BOWES INC       38.11     33.50      4.60      9.13       13.49
ROSS STORES INC        29.97     24.60      5.38      9.13        1.98
HASBRO INC             28.41     25.02      3.38      8.73       13.89
DR HORTON INC          39.74     35.08      4.67      8.73        4.37
RALPH LAUREN COR       33.23     26.93      6.30      8.33       41.27
ST JUDE MEDICAL        33.65     28.57      5.08      8.33       31.75
O’REILLY AUTOMOT       27.21     25.95      1.26      8.33        3.97
DU PONT (EI)           27.10     18.90      8.20      8.33       34.92
HOST HOTELS & RE       28.69     24.55      4.14      7.94        1.59

DEVON ENERGY CO        28.68     25.16      3.51      7.94        0.40
DAVITA HEALTHCAR       28.98     23.23      5.75      7.94       39.29
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
WILLIAMS COS INC       30.75     28.41      2.34      7.57        6.38
TIME WARNER CABL       22.97     17.85      5.12      7.54        7.14
HUMANA INC             27.77     25.14      2.62      7.54       10.32
UNITED TECH CORP       26.82     18.77      8.05      7.14       23.41
ADV MICRO DEVICE       74.81     76.55     -1.74      7.14        1.98
ALEXION PHARM          32.46     29.76      2.70      7.14       34.92
BRISTOL-MYER SQB       22.80     17.41      5.38      7.14       20.24
TRIPADVISOR INC        39.58     38.13      1.45      6.88       16.53
WHIRLPOOL CORP         35.89     31.93      3.96      6.75       15.87
CUMMINS INC            33.41     27.70      5.72      6.75       10.32
NOBLE CORP             34.61     29.79      4.82      6.35        4.76
STARWOOD HOTELS        29.50     25.58      3.92      6.35        0.00
MEDTRONIC INC          24.50     20.09      4.41      6.35        0.00
WINDSTREAM CORP        29.72     29.12      0.60      5.95        6.35
SCHLUMBERGER LTD       30.99     24.58      6.42      5.95       12.70

FREEPORT-MCMORAN       36.81     33.41      3.40      5.95       11.91
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
CAPITAL ONE FINA       30.72     24.01      6.71      5.95       32.94
FIRSTENERGY CORP       18.51     15.43      3.08      5.95        9.92
LSI CORP               36.32     36.32      0.00      5.56        3.18
AGILENT TECH INC       31.68     24.73      6.96      5.56       30.56
ALLEGHENY TECH         40.98     36.25      4.73      5.56       15.48
XEROX CORP             32.56     32.54      0.02      5.16       37.70
CHIPOTLE MEXICAN       37.29     32.20      5.09      5.16        1.98
METROPCS COMMUNI       37.73     46.44     -8.71      5.16        0.79
VIACOM INC-B           28.00     24.20      3.80      5.16        2.78
ZIONS BANCORP          30.47     24.12      6.35      5.16        0.79
NABORS INDS LTD        40.07     38.99      1.09      4.76       13.49
TE CONNECTIVITY        21.79     21.79      0.00      4.76        2.38
TEXAS INSTRUMENT       30.87     23.54      7.33      4.76       70.64
CHESAPEAKE ENERG       43.15     40.97      2.18      4.76       11.51
JABIL CIRCUIT          41.38     38.45      2.92      4.76       11.51
CARDINAL HEALTH        17.24     12.56      4.68      4.76       46.83

===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
FORD MOTOR CO          31.38     30.96      0.42      4.37       10.32
MONDELEZ INTER-A       20.21     16.71      3.50      3.98        9.56
CARMAX INC             39.73     34.34      5.38      3.97        1.19
HOSPIRA INC            24.04     25.48     -1.44      3.97        0.40
BB&T CORP              28.76     23.35      5.40      3.97        4.76
ALTRIA GROUP INC       20.61     15.53      5.08      3.57       17.46
NYSE EURONEXT          28.77     29.33     -0.55      3.57        0.00
HARLEY-DAVIDSON        31.71     25.88      5.82      3.57       20.64
BIG LOTS INC           40.19     37.96      2.23      3.57       29.37
YUM! BRANDS INC        27.00     22.90      4.09      3.18        1.19
AVON PRODUCTS          42.68     47.60     -4.92      3.18        3.97
XILINX INC             31.01     24.51      6.50      3.18        5.56
FLUOR CORP             31.64     25.46      6.19      3.18        5.16
NVIDIA CORP            39.92     41.21     -1.29      3.18       32.54
DOLLAR GENERAL C       28.01     25.24      2.78      2.78       29.76
EDISON INTL            16.78     14.68      2.10      2.78       67.06
APACHE CORP            28.52     24.61      3.91      2.78        3.57
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================

AKAMAI TECHNOLOG       34.31     32.35      1.97      2.78       15.87
TITANIUM METALS         5.48      5.48      0.00      2.39        2.38
SIGMA-ALDRICH          17.96     14.62      3.34      2.38       11.51
MICROCHIP TECH         27.00     21.56      5.45      2.38       36.91
US STEEL CORP          44.12     41.45      2.67      2.38       35.32
KEYCORP                31.12     29.39      1.73      1.98        0.40
NETFLIX INC            57.86     58.27     -0.41      1.59        1.59
AVALONBAY COMMUN       24.76     18.76      6.00      1.59        0.79
RAYTHEON CO            24.09     18.54      5.55      1.59       15.48
DIRECTV                25.82     21.61      4.21      1.19        4.76
EXPRESS SCRIPTS        27.86     24.90      2.96      1.19       10.32
THERMO FISHER          20.64     18.17      2.48      0.79        9.52
AMGEN INC              22.28     19.78      2.50      0.79       36.11
GENWORTH FINANCI       50.18     50.72     -0.54      0.79       12.30
SOUTHERN CO            21.03     14.67      6.37      0.79       29.37
SALESFORCE.COM         34.54     29.71      4.84      0.79        3.57
===========================================================================
                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================
COACH INC              33.88     29.44      4.43      0.79        3.97

US BANCORP             25.48     18.28      7.20      0.40       22.62
COMERICA INC           31.57     26.16      5.42      0.40       17.46
JOHNSON CONTROLS       31.59     25.62      5.97      0.40        4.37
NUCOR CORP             28.82     22.41      6.40      0.00        9.13
FIFTH THIRD BANC       27.10     24.99      2.11      0.00       44.44

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

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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