Percentile of Put vs Call Skew Spread for S&P 500 Companies
By Wendy Soong -
2013-01-02T13:55:08Z
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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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
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Skew Percentile
Company IV90% IV110% Spread 12/28 12/21
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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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