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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. 28 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    12/28       12/21
===========================================================================
NIKE INC -CL B         33.35     20.53     12.83     99.60       92.86
CHEVRON CORP           30.79     17.28     13.51     99.60       82.94
CONOCOPHILLIPS         30.72     17.77     12.96     99.60       99.60
MASTERCARD INC-A       33.85     24.12      9.73     99.20       80.56
INTUIT INC             27.92     18.28      9.64     99.20       99.60
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
GAMESTOP CORP-A        47.29     39.23      8.07     98.41       98.41
3M CO                  28.34     16.09     12.25     98.01       98.02
PPG INDS INC           37.70     24.13     13.56     98.01       98.81
LOCKHEED MARTIN        32.77     20.06     12.71     98.01       98.81
VISA INC-CLASS A       30.93     21.36      9.57     96.41       86.51
EXXON MOBIL CORP       29.40     17.34     12.06     96.41       99.60

Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
EXPRESS SCRIPTS        30.80     28.63      2.18      0.00        2.38
QUANTA SERVICES        28.47     24.52      3.95      0.00        5.95
AVON PRODUCTS          44.11     52.55     -8.44      0.40        0.40
MICRON TECH            48.13     50.96     -2.83      0.40        5.95
INTL PAPER CO          33.29     27.29      6.00      1.99        0.79
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
HOSPIRA INC            29.47     31.69     -2.22      2.79        8.33
NETFLIX INC            66.33     66.68     -0.35      2.79        2.38
CHESAPEAKE ENERG       42.51     40.66      1.85      3.98        4.37
DOLLAR GENERAL C       30.55     27.80      2.75      3.98        3.18
BLACKROCK INC          27.26     21.17      6.09      4.38        8.73
DIRECTV                30.74     25.98      4.76      4.38        1.98

S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
NIKE INC -CL B         33.35     20.53     12.83     99.60       92.86
CHEVRON CORP           30.79     17.28     13.51     99.60       82.94
CONOCOPHILLIPS         30.72     17.77     12.96     99.60       99.60
MASTERCARD INC-A       33.85     24.12      9.73     99.20       80.56
INTUIT INC             27.92     18.28      9.64     99.20       99.60
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
GAMESTOP CORP-A        47.29     39.23      8.07     98.41       98.41
3M CO                  28.34     16.09     12.25     98.01       98.02
PPG INDS INC           37.70     24.13     13.56     98.01       98.81
LOCKHEED MARTIN        32.77     20.06     12.71     98.01       98.81
VISA INC-CLASS A       30.93     21.36      9.57     96.41       86.51
EXXON MOBIL CORP       29.40     17.34     12.06     96.41       99.60
EATON CORP PLC         33.32     22.03     11.28     96.02       90.87
KELLOGG CO             20.14     13.04      7.10     96.02       86.51
PEPSICO INC            24.15     13.42     10.73     95.62       99.21
HESS CORP              42.38     33.17      9.21     95.62       99.60
ELI LILLY & CO         28.75     20.31      8.44     95.62       99.60
MONSTER BEVERAGE       49.82     38.88     10.94     95.62       80.56
CONSTELLATION-A        53.67     43.09     10.58     94.82       98.81
ABERCROMBIE & FI       52.56     45.12      7.44     94.42       90.48
NETAPP INC             43.20     38.07      5.13     94.42       99.21
DUKE ENERGY CORP       23.15     13.64      9.51     94.00       97.61
KRAFT FOODS GROU       22.46     16.41      6.05     93.33       30.36
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
JDS UNIPHASE           50.20     41.72      8.48     93.23       57.14
MACY’S INC             40.68     30.75      9.93     92.83       55.16
AGILENT TECH INC       36.50     26.44     10.06     92.03       14.68
PACCAR INC             36.16     24.71     11.45     92.03       92.46
PFIZER INC             25.67     15.28     10.39     91.24       74.21
CAMPBELL SOUP CO       22.54     14.32      8.23     90.84       91.67
RAYTHEON CO            29.86     18.31     11.55     90.44       58.73
REYNOLDS AMERICA       27.87     16.79     11.08     90.04       99.60
GARMIN LTD             36.05     28.23      7.82     90.04       86.51
HALLIBURTON CO         38.16     29.17      8.99     89.24       91.27
DEERE & CO             32.11     21.61     10.50     88.85       59.92
RANGE RESOURCES        36.52     32.32      4.20     88.45       81.35
BMC SOFTWARE INC       33.05     27.04      6.01     88.45       21.03
ADT CORP/THE           31.91     27.48      4.43     88.33       85.71
FORD MOTOR CO          41.12     34.93      6.19     88.05       74.60
INTEL CORP             35.17     26.93      8.24     88.05       70.24
PAYCHEX INC            27.26     16.71     10.55     86.85       21.83
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
AMAZON.COM INC         41.33     32.86      8.47     86.85       79.37
AMERICAN ELECTRI       23.22     13.08     10.14     86.85       87.70
ADOBE SYS INC          31.84     24.24      7.60     86.45       84.13
CA INC                 30.01     21.05      8.96     86.45       72.62
WALGREEN CO            28.53     20.94      7.58     86.06       96.83
IBM                    26.64     18.03      8.61     85.66       91.67
GENERAL DYNAMICS       34.53     22.93     11.60     85.66       93.25
ORACLE CORP            28.89     19.20      9.69     85.26       32.54
SPRINT NEXTEL CO       32.90     24.54      8.35     85.26       93.25
GOOGLE INC-CL A        33.32     26.87      6.45     84.86       82.54
BAKER HUGHES INC       39.55     30.45      9.11     84.46       89.29
ACCENTURE PLC-A        31.00     20.73     10.26     84.06       96.83
CONAGRA FOODS          23.09     15.47      7.62     83.67       97.62
GAP INC/THE            40.30     32.10      8.19     83.67       73.81
LYONDELLBASELL-A       36.97     27.66      9.32     83.27       54.76
MATTEL INC             30.84     21.58      9.27     82.87       43.65
COLGATE-PALMOLIV       25.60     14.17     11.43     82.87       98.41
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
CME GROUP INC          32.16     23.31      8.85     82.07       39.68
EMERSON ELEC CO        30.09     18.24     11.86     82.07       60.32
XL GROUP PLC           32.44     21.96     10.48     81.67       69.05
TJX COS INC            33.07     23.40      9.66     81.67       63.89
YAHOO! INC             33.55     28.84      4.71     81.28       42.06
AKAMAI TECHNOLOG       44.69     39.77      4.92     80.08       47.22
THERMO FISHER          29.80     19.80     10.00     79.68       70.64
HONEYWELL INTL         31.56     19.59     11.97     79.68       19.44
AUTOZONE INC           28.50     20.44      8.06     79.28       73.02
NYSE EURONEXT          30.98     21.89      9.09     78.88       67.06
CISCO SYSTEMS          33.82     25.97      7.85     78.88       80.95
WESTERN DIGITAL        47.28     41.29      6.00     78.88       43.25
MOTOROLA SOLUTIO       28.61     20.43      8.17     78.49       63.89
KINDER MORGAN IN       25.89     20.43      5.46     78.09       88.10
GENERAL ELECTRIC       33.81     24.59      9.23     78.09       66.27
AIR PRODS & CHEM       27.20     16.75     10.45     77.69       35.32
CAPITAL ONE FINA       37.94     27.95      9.99     77.29        9.13
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
MCKESSON CORP          25.90     16.55      9.35     77.29       53.57
PRICELINE.COM          35.90     30.30      5.60     77.29       76.59
ALLERGAN INC           26.54     17.34      9.20     76.89       69.44
HELMERICH & PAYN       38.93     31.64      7.29     76.49       57.14
STARBUCKS CORP         34.75     27.35      7.39     76.49       69.05
COGNIZANT TECH-A       35.97     26.44      9.53     75.30       93.25
PROCTER & GAMBLE       25.35     15.92      9.43     74.90       75.00
UNITED PARCEL-B        26.90     17.27      9.63     74.50       30.16
GOLDMAN SACHS GP       39.29     31.50      7.79     74.50       68.65
AFLAC INC              36.44     24.66     11.78     74.50       76.19
LAM RESEARCH           37.03     29.35      7.68     74.10       91.67
CVS CAREMARK COR       27.22     17.81      9.40     74.10       69.44
INGERSOLL-RAND         33.62     24.28      9.34     73.31       47.22
WELLS FARGO & CO       32.97     23.03      9.94     73.31       54.37
CH ROBINSON            30.97     22.73      8.24     73.31       71.83
MONSANTO CO            31.25     23.35      7.90     72.91       59.52
VALERO ENERGY          40.50     34.23      6.26     72.91       63.89
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
HUNTINGTON BANC        38.86     29.78      9.08     72.51       30.16
UNITED TECH CORP       29.38     18.26     11.12     72.51       30.95
HEWLETT-PACKARD        47.48     40.36      7.13     72.11       88.49
EBAY INC               41.21     33.03      8.18     72.11       47.62
ZIMMER HLDGS           27.38     20.03      7.35     71.71       90.08
TYSON FOODS-A          32.92     25.79      7.13     71.71        1.19
SPECTRA ENERG          26.22     18.49      7.72     71.71       35.32
CLIFFS NATURAL R       57.07     50.00      7.07     70.92       65.48
INTUITIVE SURGIC       41.62     35.31      6.31     70.52       74.21
STRYKER CORP           26.62     17.88      8.74     70.52       67.06
ILLINOIS TOOL WO       30.41     19.25     11.16     70.52       73.41
XEROX CORP             39.57     34.12      5.45     70.52       15.48
DOMINION RES/VA        21.99     13.62      8.37     70.52       65.87
AMERICAN EXPRESS       32.21     22.19     10.03     70.12       39.68
RED HAT INC            35.64     30.73      4.91     70.12       70.24
CABOT OIL & GAS        39.33     34.78      4.55     69.72       32.94
ACE LTD                28.00     16.44     11.56     69.32       35.32
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
HJ HEINZ CO            20.73     12.92      7.81     69.32       44.84
MICROCHIP TECH         31.02     21.88      9.14     69.32       65.08
CENTURYLINK INC        26.37     15.27     11.09     69.32       90.48
MYLAN INC              31.17     21.97      9.20     68.92       55.56
STATE ST CORP          36.41     25.16     11.25     68.13       76.19
TRAVELERS COS IN       27.23     17.38      9.84     67.73       67.06
CATERPILLAR INC        33.37     24.98      8.38     67.73       74.21
PPL CORPORATION        17.36     13.20      4.17     67.33       23.41
CIGNA CORP             31.67     24.96      6.71     67.33       74.60
DIAMOND OFFSHORE       30.56     21.41      9.15     66.93        2.78
JOY GLOBAL INC         39.43     32.89      6.53     66.93       68.65
WHOLE FOODS MKT        34.65     28.11      6.54     66.93       44.44
COMCAST CORP-A         31.35     21.55      9.79     66.53       49.21
WELLPOINT INC          32.35     26.34      6.01     66.14       36.91
JUNIPER NETWORKS       47.93     41.88      6.05     66.14       44.84
GANNETT CO             40.74     32.76      7.98     66.14        1.59
ST JUDE MEDICAL        36.13     28.94      7.19     66.14       68.25
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
BANK NY MELLON         35.57     24.90     10.67     66.14       27.38
NORDSTROM INC          36.38     27.80      8.59     65.74       66.27
CENTERPOINT ENER       19.37     17.21      2.17     64.94       55.16
JOHNSON&JOHNSON        20.76     14.56      6.19     64.94       70.64
UNITEDHEALTH GRP       31.01     22.85      8.16     64.54       76.98
CELGENE CORP           33.53     26.19      7.34     64.54       57.54
ALCOA INC              36.12     31.57      4.56     64.54       45.64
NORTHROP GRUMMAN       33.01     23.21      9.81     64.14       65.48
MOSAIC CO/THE          37.31     30.14      7.17     64.14       66.27
AMERICAN INTERNA       36.10     29.75      6.35     64.00       51.39
US BANCORP             32.01     20.94     11.07     63.75       19.05
WYNN RESORTS LTD       36.22     29.96      6.26     63.75       75.00
KIMBERLY-CLARK         21.79     13.13      8.66     63.35       98.02
CITIGROUP INC          41.94     34.15      7.79     63.35       63.49
DEAN FOODS CO          45.34     37.29      8.05     63.35       58.33
LINEAR TECH CORP       32.23     24.05      8.18     62.95       60.71
SLM CORP               37.67     27.00     10.67     62.95       73.81
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
AUTOMATIC DATA         26.36     16.43      9.93     62.55       67.06
E*TRADE FINANCIA       41.77     36.97      4.80     62.55        0.40
QUALCOMM INC           33.89     26.26      7.63     62.15       74.21
BOSTON PROPERTIE       27.30     17.16     10.15     62.15       62.70
MERCK & CO             28.95     20.67      8.28     61.75       46.43
HARTFORD FINL SV       39.60     31.80      7.81     61.36       79.37
FAMILY DOLLAR ST       33.37     28.45      4.92     61.36       15.08
WALT DISNEY CO         30.49     20.90      9.59     61.36       50.00
CARNIVAL CORP          32.60     24.36      8.25     60.56       72.62
SIMON PROPERTY         26.79     14.83     11.96     60.56       59.52
EXPEDIA INC            50.93     44.81      6.12     60.56       42.63
MASCO CORP             47.12     38.53      8.58     60.56       60.32
WAL-MART STORES        24.75     17.45      7.30     60.16       90.08
TE CONNECTIVITY        27.92     23.46      4.46     60.16       62.70
DOW CHEMICAL CO        37.08     25.85     11.23     60.16       59.52
ENSCO PLC-CL A         32.92     25.34      7.58     59.76       47.22
MEAD JOHNSON           28.93     24.01      4.92     59.76       90.87
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
SUNTRUST BANKS         40.90     30.90     10.00     59.36       32.14
AT&T INC               25.83     17.59      8.24     58.96       78.97
WESTERN UNION          33.20     27.96      5.24     58.96       17.06
MICROSOFT CORP         29.72     24.07      5.65     58.96       38.89
MOODY’S CORP           36.89     27.41      9.48     58.57       75.79
MORGAN STANLEY         45.65     38.27      7.38     58.17       50.40
WASTE MANAGEMENT       26.95     16.14     10.81     57.37       32.54
BECTON DICKINSON       19.97     14.61      5.36     56.97       15.87
MCGRAW-HILL COS        28.03     20.55      7.48     56.18       53.57
EASTMAN CHEMICAL       36.20     27.16      9.05     56.18       72.22
KLA-TENCOR CORP        33.11     25.67      7.45     56.18       41.27
REGIONS FINANCIA       38.43     30.10      8.33     55.78       19.84
CHUBB CORP             28.28     17.99     10.29     55.38       77.78
SOUTHWEST AIR          29.89     26.61      3.28     55.38       69.05
FOSSIL INC             53.77     47.71      6.05     55.38       52.78
ELECTRONIC ARTS        45.22     41.08      4.14     55.38       34.52
TEXTRON INC            36.05     28.33      7.72     55.38       10.71
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
COCA-COLA CO/THE       25.03     18.52      6.51     54.98       68.25
VF CORP                32.64     25.08      7.57     54.98       42.06
MARRIOTT INTL-A        33.95     24.13      9.82     54.58       18.25
BOEING CO/THE          29.83     20.76      9.07     53.79       36.91
COSTCO WHOLESALE       27.46     19.73      7.73     52.99       72.62
LOWE’S COS INC         33.43     25.02      8.40     52.99       43.65
LORILLARD INC          33.50     23.21     10.30     52.59       46.43
MARATHON PETROLE       38.74     32.91      5.83     52.59       38.10
PHILIP MORRIS IN       27.35     19.55      7.80     51.79       25.00
DISCOVER FINANCI       33.83     25.45      8.38     51.79       14.68
SANDISK CORP           43.86     39.28      4.58     51.39       21.83
BERKSHIRE HATH-B       24.02     15.53      8.49     51.39       81.35
ALEXION PHARM          41.02     35.99      5.03     51.00       62.30
BEAM INC               28.01     24.64      3.37     51.00       58.73
CLOROX CO              20.57     13.91      6.66     51.00       74.60
MCDONALDS CORP         23.83     18.39      5.44     50.60       65.08
WEYERHAEUSER CO        31.57     23.85      7.72     49.80       44.44
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
TARGET CORP            27.02     19.41      7.60     49.80       44.44
UNION PAC CORP         29.51     19.98      9.53     49.80       22.62
SCHLUMBERGER LTD       34.90     26.70      8.20     49.00       62.70
LINCOLN NATL CRP       39.47     30.11      9.36     48.61       25.40
ANADARKO PETROLE       37.81     33.30      4.52     48.61       51.98
METLIFE INC            37.97     31.11      6.86     48.21       31.35
AETNA INC              32.04     27.03      5.01     48.21       55.95
SOUTHWESTRN ENGY       36.64     32.11      4.53     47.81       24.60
STANLEY BLACK &        33.93     24.59      9.35     47.81       21.83
DU PONT (EI)           30.63     20.14     10.50     47.41       26.59
NEXTERA ENERGY         23.46     14.59      8.86     46.22       34.13
KEYCORP                37.60     29.74      7.86     45.82       43.25
COCA-COLA ENTER        31.00     24.23      6.78     45.42       40.08
ZIONS BANCORP          37.69     29.18      8.51     45.42        1.59
NEWS CORP-A            30.58     23.64      6.94     45.42       16.67
GOODYEAR TIRE          42.56     35.95      6.61     45.42       33.33
URBAN OUTFITTER        38.15     31.24      6.91     45.02       35.32
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
APPLE INC              43.07     39.19      3.88     44.62       59.52
AMERISOURCEBERGE       23.94     17.27      6.67     44.22       31.75
SYSCO CORP             20.98     14.50      6.48     44.22       18.65
TYCO INTL LTD          32.36     26.68      5.68     44.00       43.83
AMERICAN TOWER C       25.82     14.79     11.03     43.83       15.48
ALTRIA GROUP INC       26.06     17.47      8.60     43.03       64.29
ESTEE LAUDER           33.21     26.12      7.08     43.03       43.65
CONSOL ENERGY          46.56     39.40      7.16     43.03       70.64
MARATHON OIL           35.74     27.30      8.43     42.63       33.33
NORFOLK SOUTHERN       29.48     20.81      8.67     42.63       24.21
KOHLS CORP             35.87     29.48      6.39     42.23       25.00
HEALTH CARE REIT       21.95     14.79      7.15     41.43       10.71
LENNAR CORP-A          45.06     37.72      7.35     41.04       25.79
SEAGATE TECHNOLO       49.27     44.29      4.97     40.64       17.46
TESORO CORP            44.09     38.53      5.56     40.24       42.06
LEUCADIA NATL          29.91     25.55      4.36     40.24       23.41
AVALONBAY COMMUN       27.39     17.48      9.91     39.84        1.98
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
EOG RESOURCES          37.72     31.84      5.88     39.84       56.75
MEDTRONIC INC          28.94     22.63      6.31     39.84       17.86
KROGER CO              24.48     19.34      5.14     39.84       65.08
FIRSTENERGY CORP       20.19     15.07      5.12     39.44        4.37
SYMANTEC CORP          38.11     33.67      4.44     39.44       53.18
LSI CORP               40.75     37.79      2.95     39.44       14.29
ALTERA CORP            36.12     29.82      6.30     39.44        9.92
BRISTOL-MYER SQB       25.91     18.34      7.57     39.04       46.43
NRG ENERGY             36.29     29.70      6.59     39.04       41.27
JPMORGAN CHASE         35.85     28.26      7.59     38.65       32.14
TIME WARNER INC        30.84     20.86      9.97     38.65       40.48
WINDSTREAM CORP        36.10     28.19      7.90     38.25       51.19
H&R BLOCK INC          27.72     19.44      8.28     37.85        5.95
CERNER CORP            36.00     30.66      5.34     37.45       40.87
INTERPUBLIC GRP        32.29     31.41      0.88     37.45       17.86
FRONTIER COMMUNI       47.32     45.73      1.59     37.45       49.60
DANAHER CORP           28.93     18.80     10.13     36.26        5.56
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
CUMMINS INC            38.65     31.30      7.35     36.26       32.54
COMPUTER SCIENCE       39.80     33.82      5.98     35.86       21.03
EMC CORP/MA            33.93     27.49      6.44     35.06       54.37
FEDEX CORP             28.69     20.82      7.86     35.06       11.11
BROADCOM CORP-A        38.78     32.69      6.09     35.06       40.48
HASBRO INC             30.64     25.53      5.11     35.06       15.08
J.C. PENNEY CO         74.82     70.41      4.41     34.66       19.84
FIFTH THIRD BANC       34.25     26.15      8.10     34.66        3.97
BOSTON SCIENTIFC       34.23     33.67      0.55     33.87       73.02
TEXAS INSTRUMENT       34.21     25.49      8.72     33.87       21.03
MURPHY OIL CORP        34.09     28.99      5.10     32.67       22.22
GENERAL MILLS IN       23.26     15.20      8.06     31.87       62.30
NUCOR CORP             33.26     24.09      9.17     31.87        1.59
HOME DEPOT INC         29.92     22.09      7.83     31.47       57.54
CARDINAL HEALTH        24.47     17.08      7.39     31.47        6.35
AUTODESK INC           33.89     27.76      6.13     31.08       22.22
CF INDUSTRIES HO       35.86     31.08      4.78     31.08       31.75
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
VERIZON COMMUNIC       25.22     18.41      6.81     30.68        4.76
CORNING INC            35.25     30.40      4.85     29.48       34.92
MOLSON COORS-B         24.42     22.24      2.18     29.48        7.54
HOST HOTELS & RE       30.77     24.66      6.10     29.08        4.37
SHERWIN-WILLIAMS       32.39     24.04      8.36     29.08       12.30
JABIL CIRCUIT          37.75     32.33      5.42     28.69        1.19
HUMANA INC             31.40     26.80      4.60     28.69       23.02
FOREST LABS INC        28.48     29.89     -1.41     28.69       60.32
DR HORTON INC          41.87     35.40      6.46     28.29       11.51
MONDELEZ INTER-A       25.34     18.77      6.57     28.00        4.38
AMGEN INC              27.50     22.46      5.04     27.89       15.08
PNC FINANCIAL SE       32.72     24.48      8.24     27.89       12.70
PITNEY BOWES INC       44.19     36.53      7.66     27.49        5.16
PEABODY ENERGY         51.46     45.02      6.44     27.49       39.29
NABORS INDS LTD        44.33     41.36      2.97     27.09        7.14
VERISIGN INC           40.85     35.37      5.48     27.09       33.33
SCHWAB (CHARLES)       29.95     25.43      4.52     27.09        5.95
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
ARCHER-DANIELS         30.20     25.45      4.76     27.09       24.60
TIFFANY & CO           35.86     30.88      4.98     26.69       31.35
CHIPOTLE MEXICAN       42.41     36.52      5.89     25.90        0.40
ANALOG DEVICES         28.36     20.88      7.48     25.90       15.87
EXPEDITORS INTL        28.80     22.07      6.73     25.90       12.70
DAVITA HEALTHCAR       32.04     24.62      7.42     25.90       19.44
NASDAQ OMX GROUP       30.90     24.56      6.34     25.90        8.73
ALLSTATE CORP          31.16     23.48      7.68     25.50       25.00
OWENS-ILLINOIS         34.07     28.30      5.77     25.10        9.92
NOBLE ENERGY INC       32.68     26.44      6.24     24.70       39.68
VIACOM INC-B           29.69     23.91      5.78     24.70        1.98
CAMERON INTERNAT       36.52     29.66      6.86     24.70       32.94
EDWARDS LIFE           33.27     28.74      4.53     24.70        4.37
XILINX INC             33.04     25.35      7.69     24.30        5.16
DOLLAR TREE INC        33.29     29.17      4.12     24.30       17.86
CARMAX INC             33.51     27.02      6.49     23.90       28.18
GILEAD SCIENCES        33.17     27.66      5.50     23.90       26.19
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
CITRIX SYSTEMS         43.54     38.90      4.63     23.90       12.30
FLUOR CORP             34.21     25.79      8.42     23.90       14.29
LEGG MASON INC         33.42     26.67      6.75     23.51       27.38
STARWOOD HOTELS        33.11     27.06      6.04     22.71       13.89
TERADATA CORP          37.95     32.58      5.36     22.71       27.78
CONS EDISON INC        19.20     15.14      4.07     22.71       30.16
OCCIDENTAL PETE        33.55     25.59      7.96     22.71       24.21
BEST BUY CO INC        66.72     68.49     -1.78     22.31       30.95
JOHNSON CONTROLS       33.62     25.14      8.48     22.31        6.75
STAPLES INC            33.84     32.39      1.46     22.31       44.44
NEWFIELD EXPLORA       38.69     35.58      3.10     21.51       34.52
PRUDENTL FINL          35.63     28.30      7.33     20.72       34.13
LIMITED BRANDS         36.19     28.57      7.63     20.32       44.44
SALESFORCE.COM         36.51     30.57      5.94     20.32       24.21
ADV MICRO DEVICE       73.80     72.93      0.87     19.92       91.67
BB&T CORP              31.48     24.57      6.91     19.52        7.54
FASTENAL CO            34.44     27.99      6.46     19.52       13.89
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
HARLEY-DAVIDSON        35.90     28.01      7.89     19.52        6.35
BIOGEN IDEC INC        35.72     31.53      4.19     19.12       22.22
NEWMONT MINING         33.92     31.62      2.30     18.73       44.44
EXELON CORP            24.59     20.57      4.02     18.73       58.73
PIONEER NATURAL        41.53     38.04      3.50     18.33       15.48
CBS CORP-B             35.12     29.15      5.96     18.33        5.95
COVIDIEN PLC           27.25     19.27      7.98     17.93       88.89
FIRST SOLAR INC        72.72     69.37      3.35     17.93        6.35
F5 NETWORKS            45.95     41.94      4.01     17.53        3.18
PHILLIPS 66            37.87     36.02      1.85     17.37       11.04
BANK OF AMERICA        44.14     41.98      2.16     17.13        8.73
GENWORTH FINANCI       55.24     51.66      3.58     16.34        1.98
CSX CORP               30.91     25.62      5.29     15.94       26.19
ROSS STORES INC        33.00     27.33      5.67     15.94        4.37
SOUTHERN CO            23.37     14.94      8.43     15.94        5.16
ALLEGHENY TECH         44.46     38.98      5.48     15.14        7.54
DEVON ENERGY CO        33.27     28.50      4.77     14.34       12.30
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
WHIRLPOOL CORP         41.03     36.28      4.75     14.34       11.91
DENBURY RESOURCE       34.99     30.73      4.26     13.94        6.35
COACH INC              40.89     35.58      5.31     13.94        1.59
FREEPORT-MCMORAN       36.26     31.78      4.48     13.94        9.52
APPLIED MATERIAL       34.79     28.56      6.23     13.55       46.03
APOLLO GROUP-A         66.24     60.30      5.94     13.15       25.00
DARDEN RESTAURAN       28.46     22.84      5.62     12.75       46.03
NATL OILWELL VAR       36.29     30.04      6.24     12.75       17.46
LIFE TECHNOLOGIE       34.39     30.99      3.40     12.75       23.41
BIG LOTS INC           42.09     38.82      3.26     12.75        3.18
O’REILLY AUTOMOT       30.98     28.37      2.61     12.35       13.49
BAXTER INTL INC        28.26     22.82      5.44     12.35       19.05
INTERCONTINENTAL       33.10     26.56      6.55     11.95        0.00
NOBLE CORP             37.23     32.05      5.18     11.95       14.68
NVIDIA CORP            40.70     41.06     -0.37     11.16        6.75
METROPCS COMMUNI       39.33     45.80     -6.47     10.36       12.70
ABBOTT LABS            24.30     20.97      3.33      9.56       24.60
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
DELL INC               38.50     37.17      1.32      9.56       11.51
TRIPADVISOR INC        50.06     48.28      1.78      9.56       13.49
INTL GAME TECH         42.64     38.81      3.83      9.16       23.81
APACHE CORP            31.85     27.31      4.54      9.16        2.38
SAFEWAY INC            35.33     34.97      0.36      9.16       30.16
US STEEL CORP          49.55     46.45      3.10      8.77        1.59
COMERICA INC           35.08     28.38      6.70      8.37        6.35
BED BATH &BEYOND       29.14     25.32      3.82      7.97        4.37
WILLIAMS COS INC       32.75     31.51      1.24      7.60        5.58
YUM! BRANDS INC        31.74     26.38      5.36      6.77        3.97
PULTEGROUP INC         49.87     44.12      5.75      6.38       34.13
RALPH LAUREN COR       39.19     33.35      5.84      5.58       16.27
BLACKROCK INC          27.26     21.17      6.09      4.38        8.73
DIRECTV                30.74     25.98      4.76      4.38        1.98
CHESAPEAKE ENERG       42.51     40.66      1.85      3.98        4.37
DOLLAR GENERAL C       30.55     27.80      2.75      3.98        3.18
HOSPIRA INC            29.47     31.69     -2.22      2.79        8.33
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    12/28       12/21
===========================================================================
NETFLIX INC            66.33     66.68     -0.35      2.79        2.38
INTL PAPER CO          33.29     27.29      6.00      1.99        0.79
MICRON TECH            48.13     50.96     -2.83      0.40        5.95
AVON PRODUCTS          44.11     52.55     -8.44      0.40        0.40
QUANTA SERVICES        28.47     24.52      3.95      0.00        5.95
EXPRESS SCRIPTS        30.80     28.63      2.18      0.00        2.38

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

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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