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 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

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