Percentile of Put vs Call Skew Spread for S&P 500 Companies
By Wendy Soong -
2013-01-07T13:00:59Z
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 Jan. 4 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 01/04 12/28
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COCA-COLA CO/THE 22.98 13.11 9.87 98.81 54.98
CROWN CASTLE INT 29.59 18.09 11.50 98.81 94.42
HESS CORP 35.68 26.16 9.52 98.02 95.62
CAMPBELL SOUP CO 23.08 13.69 9.39 96.83 90.84
CONOCOPHILLIPS 25.62 13.95 11.68 96.41 99.60
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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GAMESTOP CORP-A 45.35 37.90 7.45 96.03 98.41
INTUIT INC 25.44 16.63 8.81 96.03 99.20
CONAGRA FOODS 22.73 13.11 9.63 96.03 83.67
NETAPP INC 42.95 37.52 5.43 94.84 94.42
CONSTELLATION-A 46.11 35.12 10.99 94.44 94.82
NIKE INC -CL B 26.09 16.13 9.96 94.44 99.60
Lowest Skew Percentiles
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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APACHE CORP 27.51 25.22 2.29 0.00 9.16
DIRECTV 27.75 24.75 2.99 0.00 4.38
LIMITED BRANDS 31.39 25.51 5.88 0.00 20.32
MARRIOTT INTL-A 28.40 21.43 6.97 0.40 54.58
ZIONS BANCORP 29.78 24.52 5.27 0.40 45.42
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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TEXAS INSTRUMENT 29.13 22.81 6.31 0.40 33.87
EXPRESS SCRIPTS 27.12 24.83 2.28 0.79 0.00
NORFOLK SOUTHERN 23.56 19.28 4.27 1.19 42.63
FAMILY DOLLAR ST 24.78 25.09 -0.31 1.98 61.36
PULTEGROUP INC 45.78 40.61 5.17 1.98 6.38
HARTFORD FINL SV 32.57 29.38 3.19 1.98 61.36
DANAHER CORP 23.37 16.12 7.25 1.98 36.26
S&P 500 Highest to Lowest Skew Percentiles
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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COCA-COLA CO/THE 22.98 13.11 9.87 98.81 54.98
CROWN CASTLE INT 29.59 18.09 11.50 98.81 94.42
HESS CORP 35.68 26.16 9.52 98.02 95.62
CAMPBELL SOUP CO 23.08 13.69 9.39 96.83 90.84
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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CONOCOPHILLIPS 25.62 13.95 11.68 96.41 99.60
GAMESTOP CORP-A 45.35 37.90 7.45 96.03 98.41
INTUIT INC 25.44 16.63 8.81 96.03 99.20
CONAGRA FOODS 22.73 13.11 9.63 96.03 83.67
NETAPP INC 42.95 37.52 5.43 94.84 94.42
CONSTELLATION-A 46.11 35.12 10.99 94.44 94.82
NIKE INC -CL B 26.09 16.13 9.96 94.44 99.60
COGNIZANT TECH-A 35.52 25.12 10.40 94.05 75.30
ADOBE SYS INC 28.51 20.45 8.06 94.05 86.45
ELI LILLY & CO 25.13 17.03 8.10 93.65 95.62
PRICELINE.COM 31.65 24.76 6.89 93.25 77.29
AUTOZONE INC 25.95 17.23 8.72 92.06 79.28
WAL-MART STORES 22.56 13.67 8.89 92.06 60.16
AMERICAN ELECTRI 21.23 10.63 10.60 90.87 86.85
JOHNSON&JOHNSON 18.77 10.75 8.02 90.48 64.94
GENERAL DYNAMICS 28.94 17.14 11.80 89.68 85.66
PEPSICO INC 21.74 11.83 9.91 89.29 95.62
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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FOSSIL INC 57.28 48.86 8.42 89.29 55.38
AGILENT TECH INC 30.53 20.59 9.94 88.89 92.03
JDS UNIPHASE 47.32 39.31 8.00 87.70 93.23
NYSE EURONEXT 26.30 16.30 10.00 86.11 78.88
RANGE RESOURCES 32.65 28.62 4.03 85.32 88.45
XL GROUP PLC 29.63 18.99 10.64 84.52 81.67
GANNETT CO 36.91 27.30 9.61 84.52 66.14
CHEVRON CORP 24.09 13.04 11.05 84.52 99.60
ZIMMER HLDGS 25.08 17.14 7.95 83.33 71.71
RED HAT INC 32.15 26.55 5.59 82.94 70.12
CIGNA CORP 29.50 22.14 7.37 82.54 67.33
DUKE ENERGY CORP 19.63 11.73 7.90 82.47 94.00
PACCAR INC 32.95 22.40 10.54 81.35 92.03
ABERCROMBIE & FI 48.51 42.13 6.38 81.35 94.42
UNITED TECH CORP 26.33 14.76 11.56 81.35 72.51
EXXON MOBIL CORP 23.15 13.07 10.08 80.56 96.41
US BANCORP 27.65 15.81 11.84 80.56 63.75
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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ACCENTURE PLC-A 25.80 15.63 10.17 80.56 84.06
HALLIBURTON CO 31.89 23.77 8.11 80.16 89.24
PFIZER INC 22.94 13.83 9.10 80.16 91.24
LOCKHEED MARTIN 26.10 15.25 10.84 79.37 98.01
BMC SOFTWARE INC 30.14 24.91 5.23 78.97 88.45
LOWE’S COS INC 29.47 20.22 9.25 77.78 52.99
WELLPOINT INC 31.56 24.96 6.60 77.78 66.14
NORDSTROM INC 29.95 21.02 8.93 76.59 65.74
3M CO 24.27 13.41 10.87 76.19 98.01
BAKER HUGHES INC 33.74 24.98 8.76 76.19 84.46
BRISTOL-MYER SQB 23.58 14.20 9.38 75.79 39.04
ST JUDE MEDICAL 34.07 26.49 7.58 75.40 66.14
MONSTER BEVERAGE 44.51 35.73 8.79 75.00 95.62
MONSANTO CO 27.65 19.65 8.00 74.60 72.91
XEROX CORP 34.74 29.06 5.68 73.02 70.52
COSTCO WHOLESALE 23.19 14.81 8.38 72.22 52.99
VERIZON COMMUNIC 22.56 13.75 8.82 71.83 30.68
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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FORD MOTOR CO 34.07 29.36 4.71 71.43 88.05
UNITEDHEALTH GRP 28.72 20.30 8.42 70.64 64.54
MOTOROLA SOLUTIO 26.66 18.74 7.92 70.24 78.49
FRONTIER COMMUNI 44.60 38.23 6.37 69.84 37.45
CELGENE CORP 31.91 24.28 7.63 69.84 64.54
WESTERN DIGITAL 45.57 40.33 5.24 69.44 78.88
AETNA INC 29.34 23.28 6.06 69.44 48.21
LAM RESEARCH 35.26 27.72 7.53 69.05 74.10
DEERE & CO 27.54 19.01 8.53 68.65 88.85
REYNOLDS AMERICA 23.33 14.18 9.16 68.65 90.04
CA INC 29.34 21.50 7.84 68.65 86.45
EXPEDIA INC 49.78 43.51 6.27 67.86 60.56
ELECTRONIC ARTS 42.14 37.69 4.45 67.46 55.38
NORTHROP GRUMMAN 27.55 17.67 9.88 67.46 64.14
WHOLE FOODS MKT 33.09 26.54 6.55 67.06 66.93
ALTRIA GROUP INC 22.80 12.32 10.48 66.67 43.03
NORTHERN TRUST 25.17 16.48 8.69 65.08 47.81
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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CARNIVAL CORP 29.22 20.79 8.43 64.68 60.56
VERISIGN INC 38.25 30.89 7.36 64.29 27.09
MEAD JOHNSON 29.41 24.15 5.26 64.29 59.76
COLGATE-PALMOLIV 22.88 12.36 10.52 64.29 82.87
DENBURY RESOURCE 30.69 23.57 7.12 64.29 13.94
KOHLS CORP 30.69 23.20 7.49 64.29 42.23
ADT CORP/THE 26.82 23.73 3.08 64.06 88.33
WALGREEN CO 24.63 18.73 5.90 63.10 86.06
CERNER CORP 34.44 28.12 6.32 62.70 37.45
HEWLETT-PACKARD 43.30 36.83 6.46 62.30 72.11
BECTON DICKINSON 18.27 12.66 5.60 61.91 56.97
AMERICAN INTERNA 29.14 23.11 6.03 60.96 64.00
CLIFFS NATURAL R 49.98 43.20 6.77 60.71 70.92
MACY’S INC 31.33 23.23 8.10 60.71 92.83
AKAMAI TECHNOLOG 46.08 41.77 4.30 60.71 80.08
BOSTON SCIENTIFC 37.30 33.66 3.65 60.32 33.87
SCHWAB (CHARLES) 29.79 22.58 7.21 59.92 27.09
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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TERADATA CORP 39.64 32.93 6.72 59.92 22.71
CME GROUP INC 28.14 20.17 7.97 59.52 82.07
GENERAL MILLS IN 19.53 10.13 9.40 59.52 31.87
ORACLE CORP 24.88 16.08 8.80 59.13 85.26
JPMORGAN CHASE 28.69 20.13 8.57 59.13 38.65
JUNIPER NETWORKS 45.27 39.40 5.87 58.33 66.14
STANLEY BLACK & 31.44 21.73 9.71 58.33 47.81
PHILIP MORRIS IN 23.17 15.20 7.97 57.94 51.79
DIAMOND OFFSHORE 26.10 17.32 8.78 57.54 66.93
QUALCOMM INC 31.36 23.97 7.39 56.35 62.15
CHIPOTLE MEXICAN 44.82 37.15 7.66 56.35 25.90
TYCO INTL LTD 29.29 22.46 6.83 55.78 44.00
BERKSHIRE HATH-B 20.71 11.89 8.81 55.56 51.39
ROWAN COMPANIE-A 30.42 23.84 6.58 55.16 56.18
YAHOO! INC 30.07 27.59 2.48 54.76 81.28
ALEXION PHARM 38.13 32.85 5.28 53.97 51.00
GAP INC/THE 32.79 25.72 7.07 53.18 83.67
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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DISCOVER FINANCI 27.97 19.53 8.44 52.78 51.79
SEMPRA ENERGY 18.12 11.52 6.60 52.78 71.71
PRAXAIR INC 24.76 14.51 10.25 52.38 70.12
EOG RESOURCES 32.90 26.45 6.45 52.38 39.84
AT&T INC 22.63 14.74 7.90 52.38 58.96
NEWMONT MINING 29.85 26.47 3.38 51.19 18.73
GOODYEAR TIRE 38.59 31.73 6.86 51.19 45.42
TYSON FOODS-A 29.09 22.94 6.15 51.19 71.71
MICRON TECH 44.29 42.20 2.09 51.19 0.40
TE CONNECTIVITY 23.65 19.89 3.77 50.40 60.16
MURPHY OIL CORP 31.82 25.99 5.83 50.40 32.67
NABORS INDS LTD 37.82 33.27 4.55 50.40 27.09
LSI CORP 40.09 36.48 3.61 50.00 39.44
KINDER MORGAN IN 24.07 20.63 3.45 50.00 78.09
ALCOA INC 32.25 28.41 3.84 50.00 64.54
ANADARKO PETROLE 32.48 27.88 4.60 50.00 48.61
FIFTH THIRD BANC 27.21 18.05 9.15 50.00 34.66
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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AMERISOURCEBERGE 22.60 15.81 6.79 49.60 44.22
VISA INC-CLASS A 25.78 19.83 5.96 49.60 96.41
MCDONALDS CORP 21.17 15.89 5.28 49.21 50.60
BOSTON PROPERTIE 25.74 16.42 9.32 49.21 62.15
GOOGLE INC-CL A 30.72 26.04 4.68 49.21 84.86
WYNN RESORTS LTD 32.45 26.79 5.66 49.21 63.75
AMAZON.COM INC 40.51 33.75 6.76 48.81 86.85
METLIFE INC 31.31 24.41 6.90 48.41 48.21
NEWFIELD EXPLORA 33.09 27.70 5.39 48.41 21.51
JOY GLOBAL INC 34.51 28.70 5.82 48.41 66.93
AUTODESK INC 31.18 23.81 7.37 48.02 31.08
BANK NY MELLON 29.45 19.50 9.95 48.02 66.14
DAVITA HEALTHCAR 31.96 23.22 8.73 47.62 25.90
GENERAL ELECTRIC 27.96 20.41 7.55 47.62 78.09
CLOROX CO 18.31 11.79 6.52 47.22 51.00
STRYKER CORP 24.42 16.37 8.05 46.83 70.52
UNITED PARCEL-B 23.57 15.41 8.17 46.83 74.50
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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TARGET CORP 23.66 16.26 7.41 46.83 49.80
EXELON CORP 23.09 17.30 5.79 46.83 18.73
WESTERN UNION 31.35 26.97 4.38 46.83 58.96
LYONDELLBASELL-A 32.52 24.63 7.89 46.43 83.27
MARATHON PETROLE 32.50 26.98 5.52 46.43 52.59
STARBUCKS CORP 31.07 24.98 6.09 46.03 76.49
UNION PAC CORP 25.97 16.82 9.15 46.03 49.80
HUMANA INC 29.53 23.69 5.84 45.64 28.69
KIMBERLY-CLARK 19.70 11.95 7.76 44.84 63.35
ALTERA CORP 34.06 27.63 6.43 44.44 39.44
F5 NETWORKS 47.14 42.32 4.82 44.44 17.53
FASTENAL CO 32.76 24.93 7.83 44.44 19.52
SEAGATE TECHNOLO 47.03 41.96 5.08 44.44 40.64
RAYTHEON CO 24.47 15.26 9.21 44.44 90.44
INTUITIVE SURGIC 40.00 34.42 5.58 44.44 70.52
EASTMAN CHEMICAL 32.67 23.99 8.68 44.44 56.18
KELLOGG CO 16.48 12.54 3.94 44.05 96.02
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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LENNAR CORP-A 39.48 32.01 7.47 43.25 41.04
BEAM INC 26.77 24.01 2.76 43.25 51.00
PITNEY BOWES INC 40.01 30.87 9.14 43.25 27.49
SCHLUMBERGER LTD 29.05 21.03 8.02 43.25 49.00
BEST BUY CO INC 66.19 64.59 1.59 43.25 22.31
MOODY’S CORP 32.31 23.59 8.72 43.25 58.57
BLACKROCK INC 26.76 17.38 9.39 42.86 4.38
GARMIN LTD 32.59 26.99 5.59 42.46 90.04
CABLEVISION SY-A 30.51 28.97 1.53 42.46 34.26
DELPHI AUTOMOTIV 27.62 22.58 5.05 42.06 51.00
DOW CHEMICAL CO 31.00 20.86 10.14 41.67 60.16
MERCK & CO 25.64 18.73 6.91 41.67 61.75
HUNTINGTON BANC 30.95 26.52 4.43 41.67 72.51
JABIL CIRCUIT 32.82 26.80 6.02 40.87 28.69
CITIGROUP INC 32.30 25.34 6.96 40.08 63.35
COMERICA INC 28.90 20.54 8.36 40.08 8.37
MICROCHIP TECH 27.82 19.75 8.07 40.08 69.32
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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FEDEX CORP 24.41 16.20 8.21 39.29 35.06
MYLAN INC 25.97 18.06 7.91 39.29 68.92
AVALONBAY COMMUN 25.21 15.61 9.61 39.29 39.84
DU PONT (EI) 26.80 16.82 9.98 38.49 47.41
NUCOR CORP 28.37 18.94 9.43 38.10 31.87
SYMANTEC CORP 37.33 32.96 4.37 37.70 39.44
NEXTERA ENERGY 19.80 11.30 8.50 37.70 46.22
NRG ENERGY 31.22 24.86 6.36 37.70 39.04
CARDINAL HEALTH 22.90 15.08 7.83 37.70 31.47
REGIONS FINANCIA 32.84 25.59 7.25 37.70 55.78
PARKER HANNIFIN 30.67 22.45 8.22 37.30 76.49
CHUBB CORP 24.43 15.01 9.42 37.30 55.38
MICROSOFT CORP 26.77 21.93 4.84 36.91 58.96
SPRINT NEXTEL CO 23.78 21.36 2.43 36.51 85.26
WEYERHAEUSER CO 27.90 20.60 7.31 36.51 49.80
SOUTHWESTRN ENGY 31.84 27.83 4.01 36.51 47.81
PPL CORPORATION 14.44 11.80 2.64 36.11 67.33
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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SANDISK CORP 41.36 37.16 4.20 36.11 51.39
CF INDUSTRIES HO 31.93 26.89 5.04 36.11 31.08
STATE ST CORP 28.97 19.49 9.48 36.11 68.13
FOREST LABS INC 29.64 30.66 -1.02 35.71 28.69
HASBRO INC 34.03 28.80 5.22 35.71 35.06
NOBLE ENERGY INC 28.64 21.89 6.75 35.71 24.70
VF CORP 29.14 21.97 7.17 35.71 54.98
PRUDENTL FINL 29.75 21.41 8.34 35.71 20.72
EMC CORP/MA 31.85 25.37 6.48 35.32 35.06
HOSPIRA INC 30.14 27.32 2.82 34.92 2.79
SYSCO CORP 19.01 13.07 5.95 33.73 44.22
WALT DISNEY CO 25.73 18.08 7.65 33.33 61.36
IBM 24.32 17.83 6.48 32.94 85.66
GOLDMAN SACHS GP 30.45 24.26 6.19 32.94 74.50
EMERSON ELEC CO 26.37 16.26 10.10 32.94 82.07
AVON PRODUCTS 45.13 45.18 -0.05 32.94 0.40
VALERO ENERGY 34.82 30.23 4.59 32.54 72.91
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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ABBOTT LABS 23.13 17.54 5.59 32.27 9.56
MASCO CORP 42.72 35.65 7.08 32.14 60.56
SAFEWAY INC 31.89 29.53 2.36 32.14 9.16
EBAY INC 36.31 30.01 6.31 31.75 72.11
INTEL CORP 29.84 24.35 5.50 31.75 88.05
STARWOOD HOTELS 29.91 23.18 6.73 31.75 22.71
INTL GAME TECH 39.61 34.17 5.44 31.75 9.16
BANK OF AMERICA 35.85 32.70 3.15 31.35 17.13
INTERPUBLIC GRP 30.26 30.32 -0.06 31.35 37.45
HJ HEINZ CO 15.86 11.34 4.52 31.35 69.32
J.C. PENNEY CO 60.25 56.14 4.10 30.56 34.66
MARATHON OIL 30.37 22.60 7.77 30.16 42.63
CSX CORP 28.52 21.84 6.69 29.76 15.94
ALLERGAN INC 22.28 15.50 6.79 29.76 76.89
NEWS CORP-A 26.47 20.75 5.73 29.37 45.42
TESORO CORP 39.60 34.79 4.80 29.37 40.24
CONSOL ENERGY 40.07 33.38 6.70 29.37 43.03
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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WELLS FARGO & CO 26.74 18.79 7.95 29.37 73.31
BROADCOM CORP-A 35.24 29.60 5.65 28.97 35.06
HONEYWELL INTL 26.29 15.90 10.39 28.97 79.68
MORGAN STANLEY 36.06 30.57 5.49 28.97 58.17
ALLSTATE CORP 26.27 18.39 7.88 28.57 25.50
EATON CORP PLC 28.35 20.36 7.99 28.57 96.02
BOEING CO/THE 26.35 18.60 7.75 28.18 53.79
BB&T CORP 26.76 19.13 7.63 27.78 19.52
WATSON PHARM 27.31 23.76 3.56 27.78 46.22
CISCO SYSTEMS 30.46 25.61 4.85 27.38 78.88
CITRIX SYSTEMS 43.68 38.70 4.98 27.38 23.90
BAXTER INTL INC 26.35 19.93 6.41 27.38 12.35
PAYCHEX INC 20.39 13.20 7.19 25.79 86.85
TRAVELERS COS IN 21.97 14.53 7.45 25.40 67.73
DOLLAR TREE INC 31.08 26.91 4.17 25.40 24.30
FLUOR CORP 30.54 22.01 8.54 25.40 23.90
PROCTER & GAMBLE 22.49 16.00 6.49 25.00 74.90
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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PPG INDS INC 31.32 22.21 9.12 24.60 98.01
MATTEL INC 29.40 22.95 6.44 24.60 82.87
INVESCO LTD 25.01 19.48 5.53 24.60 48.21
QUANTA SERVICES 24.98 18.21 6.77 24.60 0.00
CABOT OIL & GAS 36.72 33.87 2.85 24.60 69.72
LEUCADIA NATL 22.79 19.74 3.05 24.21 40.24
LIFE TECHNOLOGIE 33.04 28.96 4.08 24.21 12.75
CAMERON INTERNAT 31.51 24.79 6.73 24.21 24.70
AFLAC INC 29.74 20.69 9.05 24.21 74.50
FIRSTENERGY CORP 18.22 14.14 4.09 23.81 39.44
MCKESSON CORP 22.77 15.87 6.90 23.81 77.29
HEALTH CARE REIT 19.73 13.92 5.80 23.41 41.43
O’REILLY AUTOMOT 31.00 26.94 4.06 23.41 12.35
LEGG MASON INC 30.59 24.19 6.39 22.62 23.51
DARDEN RESTAURAN 24.53 18.35 6.18 22.62 12.75
THERMO FISHER 25.91 18.87 7.04 22.62 79.68
CR BARD INC 25.89 21.37 4.52 22.62 8.37
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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E*TRADE FINANCIA 38.60 37.37 1.23 22.62 62.55
LINEAR TECH CORP 28.21 21.27 6.94 22.22 62.95
MOSAIC CO/THE 27.42 22.53 4.89 22.22 64.14
CUMMINS INC 34.83 28.20 6.63 21.83 36.26
MOLSON COORS-B 23.06 21.61 1.45 21.83 29.48
URBAN OUTFITTER 32.86 26.97 5.89 21.43 45.02
DELL INC 36.34 33.82 2.52 21.03 9.56
MONDELEZ INTER-A 19.74 14.35 5.39 20.72 28.00
INTERCONTINENTAL 28.47 21.49 6.98 20.64 11.95
COMPUTER SCIENCE 39.84 34.89 4.95 20.64 35.86
XILINX INC 30.16 22.67 7.49 20.24 24.30
SALESFORCE.COM 33.35 27.41 5.94 19.84 20.32
AMGEN INC 25.64 20.97 4.66 19.84 27.89
SHERWIN-WILLIAMS 30.71 22.70 8.01 19.84 29.08
WHIRLPOOL CORP 38.47 33.08 5.39 19.84 14.34
CVS CAREMARK COR 23.10 15.68 7.41 19.44 74.10
HARLEY-DAVIDSON 33.49 25.64 7.86 19.05 19.52
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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LORILLARD INC 29.90 22.85 7.05 19.05 52.59
CONS EDISON INC 15.91 12.02 3.89 19.05 22.71
ARCHER-DANIELS 26.94 23.67 3.27 19.05 27.09
APPLIED MATERIAL 29.80 23.19 6.61 19.05 13.55
ENSCO PLC-CL A 27.80 21.40 6.40 18.65 59.76
OWENS-ILLINOIS 30.87 25.78 5.08 17.86 25.10
PHILLIPS 66 36.95 35.19 1.76 17.54 17.37
PIONEER NATURAL 37.02 34.29 2.73 17.46 18.33
SLM CORP 32.52 24.54 7.98 17.46 62.95
NETFLIX INC 67.70 66.62 1.08 17.46 2.79
US STEEL CORP 46.46 42.79 3.67 17.06 8.77
MASTERCARD INC-A 27.61 22.73 4.88 17.06 99.20
PEABODY ENERGY 43.52 37.57 5.96 17.06 27.49
VIACOM INC-B 25.26 20.14 5.13 16.67 24.70
BIOGEN IDEC INC 28.45 24.86 3.59 16.27 19.12
ACE LTD 23.19 14.34 8.85 16.27 69.32
SIMON PROPERTY 22.44 12.76 9.69 16.27 60.56
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Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
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OCCIDENTAL PETE 28.20 21.06 7.14 16.27 22.71
HOST HOTELS & RE 27.73 22.97 4.77 16.27 29.08
ILLINOIS TOOL WO 24.77 15.80 8.97 16.27 70.52
CENTERPOINT ENER 13.79 14.05 -0.26 15.87 64.94
COCA-COLA ENTER 26.56 21.35 5.21 15.87 45.42
GENWORTH FINANCI 48.52 45.18 3.33 15.48 16.34
SUNTRUST BANKS 33.41 25.36 8.05 15.48 59.36
INGERSOLL-RAND 28.99 22.00 6.99 15.48 73.31
EXPEDITORS INTL 23.64 17.53 6.10 15.08 25.90
COMCAST CORP-A 26.07 18.53 7.54 15.08 66.53
AIR PRODS & CHEM 22.04 14.62 7.41 15.08 77.69
CHESAPEAKE ENERG 37.35 34.15 3.20 14.68 3.98
H&R BLOCK INC 21.49 16.78 4.72 14.68 37.85
JOHNSON CONTROLS 31.16 23.43 7.74 14.68 22.31
EDWARDS LIFE 32.17 28.22 3.95 14.68 24.70
CENTURYLINK INC 21.88 13.51 8.37 14.29 69.32
BIG LOTS INC 36.23 32.81 3.43 14.29 12.75
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
===========================================================================
GILEAD SCIENCES 30.04 25.48 4.56 14.29 23.90
ANALOG DEVICES 26.78 19.92 6.86 13.89 25.90
AUTOMATIC DATA 20.58 13.43 7.15 13.49 62.55
DOMINION RES/VA 15.25 11.21 4.04 13.10 70.52
INTL PAPER CO 30.22 22.95 7.27 13.10 1.99
HOME DEPOT INC 25.12 18.37 6.76 12.70 31.47
BED BATH &BEYOND 25.78 21.55 4.23 12.70 7.97
DEVON ENERGY CO 27.25 22.80 4.45 12.70 14.34
DOLLAR GENERAL C 28.19 24.37 3.83 12.70 3.98
RALPH LAUREN COR 37.13 30.64 6.50 12.70 5.58
CBS CORP-B 31.84 27.32 4.52 12.70 18.33
CH ROBINSON 29.76 23.70 6.06 12.30 73.31
KROGER CO 19.80 16.15 3.65 12.30 39.84
CAPITAL ONE FINA 30.46 23.34 7.12 12.30 77.29
FREEPORT-MCMORAN 31.09 27.02 4.07 11.91 13.94
NASDAQ OMX GROUP 26.97 22.25 4.71 11.91 25.90
MCGRAW-HILL COS 23.89 19.61 4.28 11.91 56.18
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
===========================================================================
KLA-TENCOR CORP 29.88 24.07 5.81 11.51 56.18
NATL OILWELL VAR 30.73 24.72 6.01 11.11 12.75
APPLE INC 39.52 37.15 2.37 11.11 44.62
TRIPADVISOR INC 50.76 48.81 1.95 11.11 9.56
NVIDIA CORP 38.23 38.64 -0.42 10.71 11.16
PNC FINANCIAL SE 26.34 19.31 7.03 10.71 27.89
TIME WARNER INC 26.94 18.76 8.18 10.71 38.65
AMERICAN EXPRESS 26.02 19.35 6.67 10.32 70.12
LINCOLN NATL CRP 33.89 26.31 7.58 10.32 48.61
DR HORTON INC 36.97 32.15 4.83 9.92 28.29
ESTEE LAUDER 30.39 24.84 5.55 9.52 43.03
TJX COS INC 24.56 18.04 6.52 9.13 81.67
WINDSTREAM CORP 28.14 26.57 1.57 8.73 38.25
SOUTHERN CO 19.88 12.36 7.52 8.33 15.94
DEAN FOODS CO 36.70 33.08 3.62 7.94 63.35
WASTE MANAGEMENT 19.65 13.25 6.41 7.94 57.37
AMERICAN TOWER C 22.23 13.20 9.04 7.54 43.83
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
===========================================================================
YUM! BRANDS INC 28.21 22.99 5.22 7.54 6.77
ADV MICRO DEVICE 67.93 69.85 -1.92 7.54 19.92
MEDTRONIC INC 24.58 20.20 4.38 7.14 39.84
STAPLES INC 29.09 30.37 -1.28 6.75 22.31
ROSS STORES INC 28.76 24.02 4.73 6.75 15.94
CARMAX INC 28.57 22.89 5.67 6.35 23.90
KRAFT FOODS GROU 17.40 15.67 1.73 6.25 93.33
TIME WARNER CABL 25.09 20.22 4.87 5.95 9.56
KEYCORP 29.36 25.27 4.10 5.56 45.82
SOUTHWEST AIR 23.25 23.37 -0.12 5.56 55.38
METROPCS COMMUNI 36.83 45.83 -9.01 5.56 10.36
COVIDIEN PLC 23.58 16.69 6.89 5.56 17.93
APOLLO GROUP-A 59.82 55.25 4.57 5.56 13.15
ALLEGHENY TECH 39.35 34.78 4.57 5.56 15.14
CORNING INC 31.45 28.48 2.96 5.16 29.48
TEXTRON INC 32.05 27.13 4.92 5.16 55.38
HELMERICH & PAYN 33.41 28.20 5.20 4.76 76.49
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
===========================================================================
CATERPILLAR INC 28.27 23.23 5.05 4.76 67.73
WILLIAMS COS INC 27.15 27.11 0.03 4.37 7.60
NOBLE CORP 32.78 28.32 4.46 3.97 11.95
TIFFANY & CO 33.26 29.43 3.83 3.18 26.69
SPECTRA ENERG 20.44 19.89 0.55 2.38 71.71
COACH INC 38.05 33.90 4.14 2.38 13.94
FIRST SOLAR INC 62.31 60.69 1.62 2.38 17.93
FAMILY DOLLAR ST 24.78 25.09 -0.31 1.98 61.36
DANAHER CORP 23.37 16.12 7.25 1.98 36.26
PULTEGROUP INC 45.78 40.61 5.17 1.98 6.38
HARTFORD FINL SV 32.57 29.38 3.19 1.98 61.36
NORFOLK SOUTHERN 23.56 19.28 4.27 1.19 42.63
EXPRESS SCRIPTS 27.12 24.83 2.28 0.79 0.00
TEXAS INSTRUMENT 29.13 22.81 6.31 0.40 33.87
ZIONS BANCORP 29.78 24.52 5.27 0.40 45.42
MARRIOTT INTL-A 28.40 21.43 6.97 0.40 54.58
APACHE CORP 27.51 25.22 2.29 0.00 9.16
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 01/04 12/28
===========================================================================
DIRECTV 27.75 24.75 2.99 0.00 4.38
LIMITED BRANDS 31.39 25.51 5.88 0.00 20.32
==============================================================================
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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