Percentile of Put vs Call Skew Spread for S&P 500 Companies
By Wendy Soong -
2013-02-11T13:28:56Z
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 Feb. 8 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 02/08 02/01
===========================================================================
GOOGLE INC-CL A 25.95 16.05 9.91 99.21 96.43
KIMBERLY-CLARK 22.02 10.04 11.98 98.81 98.41
LORILLARD INC 38.62 24.23 14.39 98.81 60.32
MCDONALDS CORP 19.62 11.24 8.38 98.02 53.97
CONAGRA FOODS 22.77 12.04 10.73 97.62 66.67
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
WALGREEN CO 28.95 18.60 10.35 96.83 98.81
INTUITIVE SURGIC 25.86 18.38 7.48 95.24 29.37
AVON PRODUCTS 41.64 37.40 4.24 94.84 94.84
ELECTRONIC ARTS 39.10 33.66 5.44 94.44 99.60
MONSTER BEVERAGE 61.57 49.79 11.79 93.65 98.81
FOREST LABS INC 26.03 20.84 5.18 93.65 88.49
Lowest Skew Percentiles
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
TERADATA CORP 32.97 29.51 3.46 0.00 70.64
BAXTER INTL INC 20.97 19.21 1.76 0.00 8.33
DIRECTV 27.66 25.56 2.11 0.00 9.52
DELL INC 12.02 18.04 -6.02 0.00 92.06
MICROCHIP TECH 22.14 16.79 5.35 0.40 7.54
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
QUEST DIAGNOSTIC 18.80 20.56 -1.76 0.40 1.59
LOCKHEED MARTIN 25.09 18.51 6.59 0.40 43.25
EATON CORP PLC 26.36 22.00 4.35 0.40 33.33
SEAGATE TECHNOLO 38.65 38.24 0.41 0.40 87.30
TRAVELERS COS IN 18.11 13.62 4.49 0.40 5.16
NATL OILWELL VAR 27.85 26.30 1.55 0.40 0.40
S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
GOOGLE INC-CL A 25.95 16.05 9.91 99.21 96.43
KIMBERLY-CLARK 22.02 10.04 11.98 98.81 98.41
LORILLARD INC 38.62 24.23 14.39 98.81 60.32
MCDONALDS CORP 19.62 11.24 8.38 98.02 53.97
CONAGRA FOODS 22.77 12.04 10.73 97.62 66.67
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
WALGREEN CO 28.95 18.60 10.35 96.83 98.81
INTUITIVE SURGIC 25.86 18.38 7.48 95.24 29.37
AVON PRODUCTS 41.64 37.40 4.24 94.84 94.84
ELECTRONIC ARTS 39.10 33.66 5.44 94.44 99.60
MONSTER BEVERAGE 61.57 49.79 11.79 93.65 98.81
FOREST LABS INC 26.03 20.84 5.18 93.65 88.49
IBM 22.57 13.08 9.49 93.25 91.67
NETAPP INC 46.13 40.28 5.85 92.86 99.21
WESTERN UNION 40.41 31.83 8.58 92.86 93.65
AT&T INC 23.03 12.65 10.38 92.06 96.43
ACTAVIS INC 27.58 18.27 9.31 92.06 71.83
PHILIP MORRIS IN 21.90 12.12 9.78 91.67 96.83
JUNIPER NETWORKS 37.10 29.88 7.22 91.67 87.30
CLIFFS NATURAL R 48.73 41.21 7.52 91.67 50.00
WESTERN DIGITAL 39.17 32.64 6.53 91.67 99.60
PROCTER & GAMBLE 22.07 10.86 11.20 90.48 84.13
CME GROUP INC 26.31 17.00 9.31 90.48 55.16
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
CVS CAREMARK COR 24.23 14.30 9.93 90.08 61.91
SIGMA-ALDRICH 20.93 10.21 10.72 89.68 37.30
TRIPADVISOR INC 55.33 49.68 5.65 89.68 71.83
JOHNSON&JOHNSON 17.04 9.61 7.43 88.49 90.87
WELLPOINT INC 25.59 18.61 6.98 88.10 89.29
HEALTH CARE REIT 21.70 11.45 10.25 88.10 67.86
DUN & BRADSTREET 35.61 27.75 7.86 87.30 74.60
GOODYEAR TIRE 40.54 31.56 8.98 86.91 46.03
ELI LILLY & CO 22.31 15.42 6.89 86.51 90.48
ST JUDE MEDICAL 31.18 23.18 7.99 85.71 98.02
HOSPIRA INC 35.76 29.11 6.65 85.71 93.25
MICRON TECH 41.02 36.94 4.08 84.52 86.91
NIKE INC -CL B 27.36 18.14 9.22 83.73 96.43
CAMPBELL SOUP CO 20.27 12.84 7.43 83.33 62.30
QUANTA SERVICES 38.14 28.77 9.37 82.14 85.32
MOODY’S CORP 57.04 46.68 10.37 80.16 15.48
INTUIT INC 27.43 19.74 7.69 79.37 46.03
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
DELPHI AUTOMOTIV 28.44 21.75 6.69 78.97 83.73
REGIONS FINANCIA 33.11 23.48 9.63 78.18 74.21
ORACLE CORP 26.07 16.62 9.45 77.78 82.14
VORNADO RLTY TST 22.27 12.51 9.76 77.78 9.52
STAPLES INC 41.24 35.25 5.99 77.38 30.95
TENET HEALTHCARE 42.18 34.81 7.37 77.29 77.69
DUKE ENERGY CORP 17.71 10.24 7.46 76.89 62.95
EBAY INC 29.52 21.66 7.86 76.59 75.79
TARGET CORP 27.04 17.92 9.12 76.59 92.86
PETSMART INC 34.08 26.25 7.84 75.79 48.02
XEROX CORP 30.59 24.80 5.79 74.60 49.60
ABBOTT LABS 23.31 15.06 8.25 74.50 52.59
BORGWARNER INC 34.15 26.29 7.86 74.21 79.76
SOUTHERN CO 21.69 10.35 11.35 73.81 59.52
GENERAL MILLS IN 19.71 9.50 10.21 73.81 65.48
COLGATE-PALMOLIV 21.23 10.38 10.85 73.41 80.56
AETNA INC 25.95 20.21 5.73 73.02 71.43
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
CARDINAL HEALTH 21.59 12.32 9.28 72.62 39.29
AIR PRODS & CHEM 22.43 12.35 10.09 72.22 45.24
SEALED AIR CORP 33.33 28.56 4.77 72.22 84.52
BOSTON SCIENTIFC 30.97 26.77 4.20 71.83 68.25
WELLS FARGO & CO 24.19 14.42 9.78 71.43 82.94
VISA INC-CLASS A 25.18 18.37 6.81 71.03 59.52
PEPSICO INC 21.40 12.41 8.99 70.24 84.92
PPL CORPORATION 14.40 10.49 3.91 68.25 25.00
TIFFANY & CO 30.82 24.46 6.36 68.25 93.25
NEWELL RUBBERMAI 23.68 17.72 5.96 68.25 40.08
ENTERGY CORP 20.35 13.06 7.29 67.86 12.70
HJ HEINZ CO 21.26 14.51 6.75 66.67 61.51
VERIZON COMMUNIC 21.81 13.09 8.72 65.87 77.78
AGILENT TECH INC 31.46 22.40 9.06 65.48 34.13
SYMANTEC CORP 29.64 24.23 5.41 65.48 86.11
E*TRADE FINANCIA 32.57 28.09 4.48 63.10 77.38
NEWS CORP-A 25.63 17.97 7.66 62.30 61.11
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
ALEXION PHARM 42.40 36.84 5.56 62.30 93.65
IRON MOUNTAIN 30.59 27.07 3.52 62.15 78.09
BMC SOFTWARE INC 23.23 18.59 4.63 61.51 80.16
NEWFIELD EXPLORA 38.88 33.14 5.74 61.51 52.78
EXELON CORP 24.81 18.59 6.22 61.11 96.43
EXXON MOBIL CORP 23.12 13.80 9.31 61.11 46.03
MASTERCARD INC-A 24.48 18.16 6.32 60.71 30.95
AUTOMATIC DATA 20.04 10.27 9.76 59.92 51.98
PUBLIC STORAGE 21.22 11.04 10.18 59.13 5.56
CARNIVAL CORP 29.23 21.43 7.80 58.73 15.87
BRISTOL-MYER SQB 23.09 14.68 8.41 58.73 74.21
MCKESSON CORP 21.47 13.42 8.05 58.33 21.43
SANDISK CORP 31.40 26.64 4.76 57.94 57.94
DEAN FOODS CO 40.31 32.89 7.42 57.94 47.22
NRG ENERGY 31.57 23.84 7.73 56.75 32.14
CA INC 23.17 16.19 6.98 56.35 32.54
ADOBE SYS INC 24.74 18.24 6.50 56.35 21.03
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
FORD MOTOR CO 30.55 26.75 3.80 55.95 65.48
WEYERHAEUSER CO 29.47 21.70 7.77 55.16 40.08
NVIDIA CORP 37.95 36.18 1.77 55.16 25.79
J.C. PENNEY CO 80.85 75.37 5.48 54.76 44.44
BOSTON PROPERTIE 22.02 12.66 9.36 53.97 15.87
PNC FINANCIAL SE 25.42 15.57 9.85 53.97 68.65
CF INDUSTRIES HO 31.32 25.57 5.75 53.57 50.40
MOTOROLA SOLUTIO 22.66 15.34 7.31 53.57 97.62
BEST BUY CO INC 67.22 63.73 3.49 53.18 64.68
AMGEN INC 25.72 19.88 5.84 53.18 16.27
EMC CORP/MA 27.68 20.70 6.98 53.18 20.24
ANADARKO PETROLE 34.13 30.06 4.07 53.18 29.37
HUMANA INC 23.76 17.92 5.84 52.78 49.21
FEDEX CORP 24.97 16.29 8.67 52.38 42.46
CSX CORP 25.60 17.97 7.62 51.59 24.21
UNITED PARCEL-B 21.19 12.82 8.37 51.19 38.10
ALTRIA GROUP INC 20.35 11.38 8.97 51.19 53.57
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
ACCENTURE PLC-A 23.58 14.43 9.15 50.79 70.64
KROGER CO 24.98 19.69 5.30 50.00 25.00
PERRIGO CO 20.28 16.13 4.15 49.60 92.86
ALCOA INC 25.30 21.72 3.58 49.60 18.65
SCHLUMBERGER LTD 27.79 19.46 8.32 49.21 73.02
GARMIN LTD 37.52 31.73 5.80 48.41 65.87
JPMORGAN CHASE 26.90 19.07 7.83 48.41 75.00
MONSANTO CO 24.46 17.52 6.94 48.41 72.22
CIGNA CORP 24.51 18.46 6.05 48.02 35.71
CINTAS CORP 18.41 12.93 5.48 48.02 2.38
GAP INC/THE 37.77 30.78 6.98 47.62 92.46
BIG LOTS INC 49.22 43.44 5.77 47.62 10.32
PRECISION CASTPT 24.79 16.22 8.56 47.62 53.57
BANK OF AMERICA 33.53 29.65 3.88 47.62 51.98
ALLERGAN INC 25.48 17.99 7.49 46.83 67.46
BB&T CORP 25.50 16.34 9.16 46.83 34.52
ARCHER-DANIELS 24.86 19.25 5.61 46.83 40.08
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
INTEL CORP 25.14 19.33 5.81 46.43 15.48
FASTENAL CO 26.95 19.26 7.69 46.43 38.89
ROWAN COMPANIE-A 33.61 27.39 6.22 46.43 30.95
NEWMONT MINING 30.35 27.28 3.07 46.43 54.37
XL GROUP PLC 24.03 15.40 8.63 46.43 79.37
BAKER HUGHES INC 29.86 22.43 7.43 46.43 65.48
METLIFE INC 31.89 25.80 6.09 46.03 17.46
FIRST HORIZON NA 28.15 23.98 4.18 46.03 40.08
PFIZER INC 21.47 14.69 6.77 46.03 16.27
BANK NY MELLON 27.27 17.59 9.68 45.64 82.94
HOME DEPOT INC 27.20 19.17 8.02 45.24 32.54
YUM! BRANDS INC 26.94 19.65 7.29 44.84 40.48
EXPEDIA INC 34.57 28.74 5.83 44.84 99.21
ABBVIE INC 27.24 24.49 2.75 44.44 27.27
MORGAN STANLEY 33.78 27.16 6.62 44.44 69.44
ADT CORP/THE 24.87 22.81 2.06 44.32 19.28
BLACKROCK INC 23.84 14.66 9.18 44.05 32.14
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
CLOROX CO 16.72 10.37 6.34 44.05 28.18
MONDELEZ INTER-A 22.08 14.21 7.86 43.83 52.99
CABLEVISION SY-A 39.77 38.52 1.25 43.65 9.52
COCA-COLA CO/THE 22.20 16.17 6.02 43.25 95.24
US BANCORP 22.98 12.72 10.27 43.25 78.18
QUALCOMM INC 24.24 17.44 6.80 42.86 74.21
EXPRESS SCRIPTS 34.50 27.47 7.03 42.46 30.95
MASCO CORP 39.04 31.74 7.30 42.06 13.89
GENWORTH FINANCI 39.20 33.72 5.48 41.67 13.10
PRAXAIR INC 22.27 12.51 9.76 41.27 37.30
MERCK & CO 23.94 17.17 6.76 41.27 36.11
REYNOLDS AMERICA 20.93 13.43 7.51 40.87 13.10
SUNTRUST BANKS 30.46 21.42 9.04 40.87 69.44
GENERAL ELECTRIC 23.31 16.11 7.20 40.48 88.49
WAL-MART STORES 20.81 14.36 6.45 40.48 55.16
NOBLE ENERGY INC 24.67 17.68 7.00 40.48 29.37
3M CO 22.38 12.64 9.74 40.08 73.81
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
JDS UNIPHASE 39.10 33.69 5.40 38.89 77.78
UNITEDHEALTH GRP 24.44 17.67 6.77 38.89 77.78
RANGE RESOURCES 33.59 31.82 1.77 38.89 40.08
SOUTHWESTRN ENGY 35.38 31.19 4.19 38.49 27.78
MOSAIC CO/THE 27.64 21.85 5.79 38.49 13.89
WYNN RESORTS LTD 29.71 25.16 4.54 38.10 22.22
DOLLAR GENERAL C 25.30 20.40 4.90 38.10 28.57
AON PLC 20.19 13.62 6.57 38.10 1.59
O’REILLY AUTOMOT 25.39 20.91 4.48 37.70 13.49
SHERWIN-WILLIAMS 25.50 17.09 8.42 37.70 8.33
AMERICAN EXPRESS 24.27 16.29 7.98 37.70 61.11
PPG INDS INC 29.73 20.09 9.64 37.70 26.19
ACE LTD 22.01 12.14 9.87 36.91 16.67
PROLOGIS INC 25.74 16.21 9.53 36.91 44.44
NETFLIX INC 59.16 56.43 2.72 36.51 31.75
DENBURY RESOURCE 34.25 28.82 5.43 36.11 27.38
STRYKER CORP 21.19 13.70 7.49 35.71 36.91
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
H&R BLOCK INC 34.16 27.24 6.92 35.71 27.38
TYCO INTL LTD 25.73 20.57 5.16 35.46 45.82
WALT DISNEY CO 24.02 16.64 7.38 34.52 44.05
ALLEGHENY TECH 38.53 32.32 6.20 34.52 21.43
RAYTHEON CO 23.89 15.61 8.28 34.13 4.76
CHEVRON CORP 22.22 14.51 7.71 33.33 17.06
STATE ST CORP 26.74 17.69 9.04 33.33 33.33
UNION PAC CORP 23.90 15.77 8.13 33.33 52.38
COSTCO WHOLESALE 22.85 16.25 6.60 33.33 53.18
US STEEL CORP 43.61 39.28 4.34 33.33 11.11
PACCAR INC 28.01 18.96 9.05 33.33 49.21
WPX ENERGY 38.37 36.10 2.27 32.94 22.22
NORFOLK SOUTHERN 24.18 16.68 7.50 32.94 34.13
LINEAR TECH CORP 22.12 14.87 7.25 32.94 21.83
ZIMMER HLDGS 19.93 14.33 5.60 32.54 52.38
BIOGEN IDEC INC 26.95 21.11 5.84 32.54 38.10
AMERICAN ELECTRI 15.78 9.18 6.60 32.14 1.98
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
DIAMOND OFFSHORE 24.81 17.08 7.73 32.14 43.25
DOMINION RES/VA 15.31 9.77 5.54 32.14 19.84
CHIPOTLE MEXICAN 30.65 24.66 5.99 32.14 54.76
FREEPORT-MCMORAN 30.06 24.57 5.49 31.75 23.41
VIACOM INC-B 27.03 21.00 6.03 31.75 41.67
CABOT OIL & GAS 34.82 31.73 3.09 31.75 41.27
MCGRAW-HILL COS 49.56 44.29 5.27 31.35 45.24
CATERPILLAR INC 26.26 19.45 6.81 31.35 1.19
CITRIX SYSTEMS 33.68 28.63 5.05 30.95 34.13
COMPUTER SCIENCE 26.32 20.89 5.43 30.95 77.38
FOSSIL INC 57.31 52.36 4.95 30.56 49.60
HASBRO INC 26.34 21.87 4.47 30.56 20.64
DU PONT (EI) 22.79 13.24 9.55 30.16 24.60
HERSHEY CO/THE 18.76 12.92 5.84 29.76 29.37
ILLINOIS TOOL WO 24.01 14.79 9.22 29.37 13.10
COCA-COLA ENTER 21.48 15.66 5.82 28.97 41.67
ABERCROMBIE & FI 61.07 57.27 3.79 28.97 72.22
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
THERMO FISHER 27.57 20.23 7.34 28.97 6.75
WHIRLPOOL CORP 32.18 26.69 5.49 28.97 6.35
SPECTRA ENERG 21.68 17.24 4.43 28.97 60.71
KINDER MORGAN IN 22.61 21.52 1.09 28.97 75.79
MICROSOFT CORP 24.08 20.07 4.01 28.97 14.29
CBS CORP-B 32.99 26.30 6.69 28.57 30.16
COMERICA INC 25.47 17.90 7.58 28.57 38.49
FIFTH THIRD BANC 27.11 19.56 7.55 28.57 28.97
LIMITED BRANDS 32.36 24.77 7.60 28.57 0.79
NEXTERA ENERGY 18.10 10.54 7.56 28.57 8.73
UNITED TECH CORP 23.17 13.84 9.34 28.18 21.43
GILEAD SCIENCES 28.09 22.82 5.27 27.78 9.13
AMAZON.COM INC 32.92 26.84 6.08 27.38 34.52
STARWOOD HOTELS 26.68 20.42 6.27 27.38 67.46
EMERSON ELEC CO 23.92 14.38 9.54 27.38 21.03
VF CORP 31.91 25.24 6.68 27.38 1.59
EASTMAN CHEMICAL 27.06 19.08 7.98 26.98 9.13
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
HARMAN INTL 30.58 24.42 6.16 26.59 28.97
BOEING CO/THE 26.54 19.07 7.47 26.59 40.87
CENTURYLINK INC 20.92 12.10 8.82 26.19 20.64
DANAHER CORP 23.71 14.63 9.08 26.19 17.46
KRAFT FOODS GROU 16.80 13.42 3.38 26.14 75.90
JOY GLOBAL INC 38.92 34.77 4.14 25.79 8.73
VERISIGN INC 26.11 20.67 5.44 25.79 72.22
BEAM INC 26.10 25.19 0.91 25.40 29.37
ROSS STORES INC 27.25 21.49 5.76 25.00 8.73
STARBUCKS CORP 24.51 20.17 4.33 25.00 27.38
PARKER HANNIFIN 24.23 16.65 7.58 25.00 36.51
MARATHON OIL 28.32 20.96 7.36 24.60 63.89
REPUBLIC SVCS 18.02 18.02 0.00 24.21 13.89
NUCOR CORP 27.11 18.67 8.44 23.41 36.11
SOUTHWEST AIR 25.78 25.61 0.17 23.02 34.13
SCHWAB (CHARLES) 25.52 21.64 3.88 22.22 47.62
NORTHERN TRUST 18.22 13.26 4.95 22.22 27.78
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
EXPEDITORS INTL 33.72 27.40 6.33 22.22 47.62
EOG RESOURCES 35.93 30.84 5.08 21.43 0.00
JOHNSON CONTROLS 24.27 16.58 7.69 21.43 17.46
HEWLETT-PACKARD 42.61 38.49 4.13 21.43 74.60
CENTERPOINT ENER 19.73 19.73 0.00 21.43 13.89
PIONEER NATURAL 39.21 36.81 2.40 21.03 18.25
COMCAST CORP-A 29.70 22.11 7.60 21.03 71.03
WINDSTREAM CORP 30.44 25.93 4.50 20.24 30.56
ENSCO PLC-CL A 30.07 23.82 6.25 20.24 5.16
SLM CORP 27.26 19.59 7.67 20.24 15.87
PEABODY ENERGY 41.04 35.15 5.89 20.24 18.65
ADV MICRO DEVICE 61.79 61.56 0.22 20.24 28.97
COVIDIEN PLC 21.03 13.28 7.75 20.24 3.97
LAM RESEARCH 30.99 24.86 6.14 19.84 34.13
CH ROBINSON 26.43 19.87 6.56 19.84 86.11
WILLIAMS COS INC 27.78 25.41 2.37 19.84 13.89
CISCO SYSTEMS 29.80 25.38 4.42 19.84 55.56
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
XILINX INC 25.16 17.91 7.25 19.84 11.91
CAMERON INTERNAT 31.15 24.80 6.36 19.84 50.40
CITIGROUP INC 29.35 23.18 6.16 19.84 63.49
PAYCHEX INC 18.45 11.89 6.55 19.84 72.22
KLA-TENCOR CORP 28.00 22.02 5.98 19.44 30.56
LYONDELLBASELL-A 30.14 23.38 6.76 19.44 1.59
RYDER SYSTEM INC 27.19 20.64 6.55 19.44 16.67
ANALOG DEVICES 25.04 18.26 6.78 19.05 13.89
CORNING INC 25.99 22.23 3.76 19.05 6.35
ZIONS BANCORP 28.59 21.80 6.78 18.65 9.13
NYSE EURONEXT 23.72 17.70 6.02 18.25 84.92
DR HORTON INC 34.02 28.83 5.19 18.25 19.84
FAMILY DOLLAR ST 24.30 22.24 2.06 18.25 14.29
MURPHY OIL CORP 26.00 21.80 4.20 18.25 17.86
PHILLIPS 66 34.16 32.55 1.61 17.95 23.16
YAHOO! INC 27.69 27.84 -0.15 17.86 10.71
APACHE CORP 28.40 23.72 4.68 17.86 21.03
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
ALLSTATE CORP 24.02 17.12 6.89 17.86 16.27
URBAN OUTFITTER 38.97 33.23 5.75 17.86 25.79
AUTOZONE INC 25.84 20.35 5.49 17.06 73.81
SIMON PROPERTY 19.28 10.15 9.13 17.06 9.92
PRICELINE.COM 39.50 35.88 3.62 16.67 10.71
AVALONBAY COMMUN 23.53 15.91 7.62 16.67 8.33
LIFE TECHNOLOGIE 39.31 35.95 3.36 16.27 1.59
INTL PAPER CO 26.14 19.14 7.00 16.27 14.68
SPRINT NEXTEL CO 19.63 19.63 0.00 16.27 5.16
NABORS INDS LTD 37.58 35.21 2.37 15.87 12.70
GAMESTOP CORP-A 47.11 48.09 -0.99 15.87 86.51
AMERICAN TOWER C 24.11 14.87 9.24 15.87 4.76
DOLLAR TREE INC 33.53 30.19 3.34 15.87 37.70
MARRIOTT INTL-A 27.55 19.22 8.33 15.48 6.75
HALLIBURTON CO 27.61 22.70 4.91 15.48 48.81
FIRSTENERGY CORP 18.48 15.14 3.34 15.08 5.16
NORTHROP GRUMMAN 24.93 17.23 7.69 15.08 20.24
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
WHOLE FOODS MKT 32.62 28.24 4.38 14.68 29.37
CONSOL ENERGY 37.19 31.18 6.01 14.68 10.71
LINCOLN NATL CRP 31.21 23.70 7.51 14.29 14.29
HARTFORD FINL SV 31.08 26.74 4.34 13.89 3.57
FRONTIER COMMUNI 30.16 30.16 0.00 13.49 42.06
MYLAN INC 28.19 21.81 6.38 13.49 75.79
TESORO CORP 38.51 35.84 2.67 13.10 3.18
GANNETT CO 33.17 29.35 3.81 13.10 36.91
KEYCORP 26.77 22.29 4.49 13.10 1.19
JACOBS ENGIN GRP 26.91 19.63 7.28 13.10 12.70
JABIL CIRCUIT 30.22 26.48 3.74 12.70 23.41
HONEYWELL INTL 23.85 15.18 8.67 12.70 21.03
PLUM CREEK TIMBR 19.78 12.42 7.37 12.30 7.54
DEERE & CO 27.01 20.90 6.11 11.91 1.19
CERNER CORP 24.46 20.34 4.12 11.51 48.02
INTERCONTINENTAL 25.77 19.25 6.52 11.51 40.48
BED BATH &BEYOND 27.31 23.17 4.14 11.51 36.51
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
FLUOR CORP 33.25 26.03 7.22 11.51 34.92
APPLIED MATERIAL 29.72 23.96 5.76 11.11 24.60
EDWARDS LIFE 25.40 21.90 3.50 11.11 30.16
APOLLO GROUP-A 42.22 37.32 4.90 11.11 17.86
PRUDENTL FINL 26.36 20.33 6.03 10.71 5.56
CELGENE CORP 32.17 28.03 4.14 10.71 13.89
HARLEY-DAVIDSON 29.18 22.53 6.65 10.71 7.14
AMERISOURCEBERGE 18.89 13.80 5.09 10.71 15.08
BROADCOM CORP-A 28.34 24.39 3.95 10.32 23.41
SAIC INC 19.97 19.97 0.00 10.32 24.60
LENNAR CORP-A 34.53 28.91 5.63 10.32 6.35
TYSON FOODS-A 23.09 19.33 3.76 10.32 6.35
AUTODESK INC 37.73 32.82 4.91 9.92 4.76
HUNTINGTON BANC 18.84 18.84 0.00 9.92 3.97
AMERICAN INTERNA 29.35 28.13 1.22 9.56 15.54
PITNEY BOWES INC 32.12 27.79 4.33 9.52 12.30
CHUBB CORP 18.90 11.93 6.96 9.13 2.38
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
TIME WARNER CABL 22.34 17.36 4.98 9.13 1.59
TJX COS INC 25.12 18.98 6.14 9.13 17.06
MOLSON COORS-B 26.67 27.89 -1.22 9.13 5.95
PULTEGROUP INC 42.07 36.66 5.41 9.13 0.40
OCCIDENTAL PETE 25.26 19.64 5.62 8.73 2.38
INGERSOLL-RAND 25.22 18.96 6.26 8.33 0.40
TERADYNE INC 28.50 24.87 3.62 7.94 0.40
WASTE MANAGEMENT 22.14 16.62 5.51 7.94 19.44
MATTEL INC 21.70 16.88 4.83 7.54 29.37
KOHLS CORP 31.46 27.70 3.76 7.54 5.95
M&T BANK CORP 19.69 13.54 6.15 7.54 9.13
CAPITAL ONE FINA 26.94 20.84 6.10 7.54 3.18
COGNIZANT TECH-A 27.63 20.18 7.45 7.14 25.40
APPLE INC 29.48 28.33 1.15 6.75 6.35
VALERO ENERGY 32.82 30.19 2.63 6.75 6.75
GOLDMAN SACHS GP 26.16 21.68 4.48 6.35 29.76
OWENS-ILLINOIS 24.65 20.96 3.70 6.35 28.97
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
SALESFORCE.COM 42.44 37.27 5.17 6.35 14.29
LEGG MASON INC 28.41 23.79 4.62 6.35 33.33
ESTEE LAUDER 25.20 20.11 5.09 6.35 59.52
F5 NETWORKS 32.10 28.58 3.52 6.35 18.25
MEAD JOHNSON 25.43 23.57 1.86 5.95 0.00
CUMMINS INC 28.56 23.30 5.26 5.95 2.78
DISCOVER FINANCI 28.75 23.57 5.18 5.56 36.11
AFLAC INC 25.54 19.26 6.28 5.56 21.03
MACY’S INC 30.54 24.73 5.81 5.56 42.06
ALTERA CORP 28.43 23.62 4.82 5.16 1.59
MEDTRONIC INC 26.45 22.56 3.88 5.16 30.95
LABORATORY CP 22.83 21.01 1.83 5.16 1.98
CONOCOPHILLIPS 21.48 15.82 5.66 4.78 9.16
CBRE GROUP INC-A 27.59 23.98 3.61 4.76 64.29
BECTON DICKINSON 14.03 11.64 2.38 4.76 76.19
CARMAX INC 27.72 22.74 4.98 4.76 11.11
TEXTRON INC 26.51 21.64 4.87 4.37 27.38
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
DEVON ENERGY CO 30.51 28.08 2.43 4.37 0.00
DARDEN RESTAURAN 22.43 17.60 4.83 4.37 9.13
NOBLE CORP 33.91 32.56 1.35 4.37 0.00
FIRST SOLAR INC 62.64 61.54 1.10 3.97 15.48
HELMERICH & PAYN 29.02 23.94 5.08 3.97 0.40
BERKSHIRE HATH-B 21.14 17.17 3.96 3.97 45.24
AKAMAI TECHNOLOG 32.46 30.21 2.24 3.97 42.06
COACH INC 29.89 27.05 2.84 3.97 2.78
SAFEWAY INC 46.47 48.53 -2.06 3.57 5.56
NORDSTROM INC 28.77 23.15 5.62 3.57 7.94
DOW CHEMICAL CO 27.24 21.70 5.55 3.57 0.79
FLOWSERVE CORP 28.33 22.28 6.05 3.18 0.79
TIME WARNER INC 25.63 19.14 6.49 3.18 15.48
DAVITA HEALTHCAR 24.63 19.80 4.84 2.78 46.83
CHESAPEAKE ENERG 38.12 37.35 0.77 2.78 1.19
SYSCO CORP 13.84 10.94 2.91 2.78 9.92
LOWE’S COS INC 37.04 31.84 5.20 2.38 3.18
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
HESS CORP 31.44 28.90 2.54 2.38 0.79
METROPCS COMMUNI 34.73 45.57 -10.84 2.38 2.38
MARATHON PETROLE 32.17 31.20 0.97 1.98 1.59
TEXAS INSTRUMENT 25.14 18.74 6.40 1.98 23.41
CONSTELLATION-A 52.22 55.08 -2.86 1.98 0.00
INTL GAME TECH 38.93 37.86 1.07 1.98 6.35
FRANKLIN RES INC 22.67 14.22 8.45 1.59 11.51
EQUITY RESIDENTI 21.85 16.79 5.05 1.59 0.40
LEUCADIA NATL 24.59 24.59 0.00 1.59 38.49
WYNDHAM WORLDWID 22.39 17.70 4.69 1.59 8.33
GENERAL DYNAMICS 26.15 19.36 6.80 1.59 0.00
STANLEY BLACK & 25.64 18.35 7.29 1.19 0.00
KELLOGG CO 10.78 10.30 0.48 0.79 57.54
CONS EDISON INC 10.85 9.32 1.53 0.79 33.33
LSI CORP 33.63 36.63 -3.00 0.79 5.95
RALPH LAUREN COR 27.33 22.95 4.37 0.79 0.00
RED HAT INC 28.31 26.68 1.63 0.79 8.33
===========================================================================
Skew Percentile
Company IV90% IV110% Spread 02/08 02/01
===========================================================================
EATON CORP PLC 26.36 22.00 4.35 0.40 33.33
LOCKHEED MARTIN 25.09 18.51 6.59 0.40 43.25
QUEST DIAGNOSTIC 18.80 20.56 -1.76 0.40 1.59
TRAVELERS COS IN 18.11 13.62 4.49 0.40 5.16
SEAGATE TECHNOLO 38.65 38.24 0.41 0.40 87.30
NATL OILWELL VAR 27.85 26.30 1.55 0.40 0.40
MICROCHIP TECH 22.14 16.79 5.35 0.40 7.54
DIRECTV 27.66 25.56 2.11 0.00 9.52
TERADATA CORP 32.97 29.51 3.46 0.00 70.64
DELL INC 12.02 18.04 -6.02 0.00 92.06
BAXTER INTL INC 20.97 19.21 1.76 0.00 8.33
==============================================================================
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
Sponsored Link
Rate this Page
Bloomberg moderates all comments. Comments that are abusive or off-topic will not be posted to the site. Excessively long comments may be moderated as well. Bloomberg cannot facilitate requests to remove comments or explain individual moderation decisions.