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. 18 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    02/15       02/08
===========================================================================
PROCTER & GAMBLE       25.36     11.65     13.71     99.60       90.48
PHILIP MORRIS IN       23.31     11.96     11.35     99.60       91.67
CONSTELLATION-A        66.38     42.37     24.01     99.60        1.98
KIMBERLY-CLARK         27.11      9.97     17.13     99.60       98.81
BEST BUY CO INC        70.97     57.49     13.48     99.60       53.18
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
ELI LILLY & CO         23.34     13.13     10.21     99.60       86.51
WALGREEN CO            30.93     18.38     12.54     99.60       96.83
IBM                    23.46     12.24     11.22     98.81       93.25
ACTAVIS INC            28.60     18.08     10.52     97.62       92.06
CARDINAL HEALTH        23.08     11.54     11.54     96.83       72.62

Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
J.C. PENNEY CO         91.00     92.29     -1.29      0.00       54.76
GAP INC/THE            39.61     42.79     -3.18      0.00       47.62
AUTODESK INC           38.63     35.41      3.22      0.00        9.92
FRONTIER COMMUNI       41.09     48.67     -7.58      0.00       13.49
AON PLC                17.37     14.63      2.74      0.00       38.10
FLOWSERVE CORP         28.30     23.81      4.49      0.00        3.18
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
MARRIOTT INTL-A        26.18     20.09      6.08      0.00       15.48
MASCO CORP             29.68     27.31      2.37      0.00       42.06
JOHNSON CONTROLS       21.41     16.60      4.81      0.00       21.43
MICROCHIP TECH         21.73     17.25      4.47      0.00        0.40
TEXAS INSTRUMENT       25.71     19.85      5.87      0.00        1.98
CABLEVISION SY-A       38.78     43.22     -4.43      0.00       43.65
NASDAQ OMX GROUP       35.41     46.25    -10.84      0.00       75.00
TERADATA CORP          30.63     30.50      0.13      0.00        0.00

S&P 500 Highest to Lowest Skew Percentiles
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
PROCTER & GAMBLE       25.36     11.65     13.71     99.60       90.48
PHILIP MORRIS IN       23.31     11.96     11.35     99.60       91.67
CONSTELLATION-A        66.38     42.37     24.01     99.60        1.98
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
KIMBERLY-CLARK         27.11      9.97     17.13     99.60       98.81
BEST BUY CO INC        70.97     57.49     13.48     99.60       53.18
ELI LILLY & CO         23.34     13.13     10.21     99.60       86.51
WALGREEN CO            30.93     18.38     12.54     99.60       96.83
IBM                    23.46     12.24     11.22     98.81       93.25
ACTAVIS INC            28.60     18.08     10.52     97.62       92.06
CARDINAL HEALTH        23.08     11.54     11.54     96.83       72.62
JOHNSON&JOHNSON        17.42      8.85      8.57     96.43       88.49
MCDONALDS CORP         20.30     12.22      8.08     96.03       98.02
EDISON INTL            24.36     14.26     10.11     95.64       31.75
CVS CAREMARK COR       24.50     13.84     10.66     95.24       90.08
REGIONS FINANCIA       32.75     21.04     11.71     94.84       78.18
EXXON MOBIL CORP       24.21     12.02     12.18     94.05       61.11
XEROX CORP             31.48     23.86      7.63     94.05       74.60
3M CO                  23.56     11.85     11.71     92.86       40.08
MOTOROLA SOLUTIO       23.70     14.80      8.91     92.86       53.57
GOOGLE INC-CL A        25.97     17.39      8.59     92.46       99.21
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
WAL-MART STORES        25.58     16.53      9.05     92.46       40.48
INTUIT INC             28.74     20.49      8.25     90.08       79.37
BECTON DICKINSON       20.01     12.88      7.14     90.08        4.76
WESTERN UNION          30.15     22.04      8.11     89.29       92.86
QUALCOMM INC           26.14     17.12      9.02     89.29       42.86
HOSPIRA INC            39.71     32.76      6.95     88.89       85.71
PFIZER INC             22.74     13.16      9.58     88.49       46.03
FOREST LABS INC        26.42     21.85      4.57     88.10       93.65
VISA INC-CLASS A       26.35     18.10      8.24     87.30       71.03
NYSE EURONEXT          22.95     12.64     10.31     85.71       18.25
BMC SOFTWARE INC       25.21     19.15      6.05     85.71       61.51
MASTERCARD INC-A       27.67     19.92      7.75     85.32       60.71
KINDER MORGAN IN       23.75     17.32      6.43     85.32       28.97
CISCO SYSTEMS          25.81     17.76      8.05     84.92       19.84
ANADARKO PETROLE       34.48     28.21      6.27     84.13       53.18
STAPLES INC            42.89     36.35      6.54     84.13       77.38
VERIZON COMMUNIC       22.25     12.42      9.83     83.73       65.87
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
FIFTH THIRD BANC       30.35     18.96     11.39     83.33       28.57
EBAY INC               29.27     20.94      8.33     83.33       76.59
AT&T INC               23.43     13.51      9.92     83.33       92.06
ABBOTT LABS            24.44     15.65      8.79     83.27       74.50
MOODY’S CORP           43.40     32.83     10.57     82.14       80.16
COLGATE-PALMOLIV       22.15     10.89     11.26     81.75       73.41
PACCAR INC             28.54     17.97     10.57     81.75       33.33
ST JUDE MEDICAL        31.71     23.92      7.79     80.56       85.71
WESTERN DIGITAL        37.98     32.06      5.93     80.56       91.67
JUNIPER NETWORKS       35.05     28.53      6.52     78.18       91.67
COCA-COLA CO/THE       22.23     14.34      7.89     77.78       43.25
FORD MOTOR CO          28.97     23.96      5.02     77.78       55.95
AMGEN INC              26.39     19.24      7.15     75.79       53.18
ENTERGY CORP           22.55     14.60      7.95     75.40       67.86
WELLS FARGO & CO       24.54     14.42     10.12     75.40       71.43
ABBVIE INC             28.15     25.52      2.63     75.00       44.44
MONSTER BEVERAGE       64.68     55.17      9.51     73.02       93.65
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
AETNA INC              27.37     21.30      6.07     73.02       73.02
ADV MICRO DEVICE       62.80     58.74      4.06     72.22       20.24
QUANTA SERVICES        38.08     28.99      9.09     72.22       82.14
TARGET CORP            28.88     19.98      8.90     71.03       76.59
CHESAPEAKE ENERG       44.74     35.56      9.18     70.64        2.78
E*TRADE FINANCIA       32.35     27.33      5.02     70.64       63.10
BRISTOL-MYER SQB       23.90     15.01      8.89     70.24       58.73
TENET HEALTHCARE       40.60     33.76      6.84     70.12       77.29
UNITED PARCEL-B        21.43     12.12      9.31     69.44       51.19
MCKESSON CORP          22.78     14.39      8.39     69.05       58.33
WELLPOINT INC          27.47     21.53      5.94     69.05       88.10
DU PONT (EI)           24.44     13.15     11.30     69.05       30.16
ACCENTURE PLC-A        23.92     14.03      9.88     68.65       50.79
CME GROUP INC          25.33     16.87      8.45     67.86       90.48
WEYERHAEUSER CO        27.74     19.55      8.19     67.06       55.16
BOSTON SCIENTIFC       32.10     28.31      3.79     66.67       71.83
PRECISION CASTPT       25.62     16.17      9.45     65.87       47.62
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
JPMORGAN CHASE         27.76     19.30      8.45     65.48       48.41
NIKE INC -CL B         26.50     18.37      8.13     65.48       83.73
SUNTRUST BANKS         31.68     21.61     10.07     65.08       40.87
PETSMART INC           35.94     28.90      7.05     65.08       75.79
MONSANTO CO            24.75     17.09      7.66     64.68       48.41
NISOURCE INC           15.54     12.95      2.59     64.68       63.89
STRYKER CORP           22.23     13.69      8.55     64.29       35.71
AIR PRODS & CHEM       22.14     12.41      9.73     63.89       72.22
WYNN RESORTS LTD       30.28     24.39      5.89     63.89       38.10
FMC TECHNOLOGIES       27.79     19.71      8.09     63.10       19.84
MERCK & CO             23.86     15.94      7.92     63.10       41.27
BANK NY MELLON         27.24     16.94     10.29     63.10       45.64
PLUM CREEK TIMBR       22.61     12.08     10.54     62.30       12.30
FEDEX CORP             25.30     16.14      9.16     62.30       52.38
WALT DISNEY CO         24.49     15.24      9.26     61.91       34.52
HUMANA INC             27.57     21.29      6.28     61.51       52.78
BB&T CORP              26.54     15.84     10.70     61.11       46.83
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
SOUTHERN CO            19.99      9.26     10.74     60.32       73.81
UNION PAC CORP         23.80     14.36      9.43     59.92       33.33
CARNIVAL CORP          31.75     23.91      7.84     59.13       58.73
ORACLE CORP            26.51     17.57      8.94     58.33       77.78
PPG INDS INC           29.93     19.72     10.21     57.94       37.70
TIFFANY & CO           28.75     22.74      6.01     57.94       68.25
TRIPADVISOR INC        34.39     30.36      4.03     56.75       89.68
CABOT OIL & GAS        34.87     30.85      4.02     56.75       31.75
NVIDIA CORP            33.53     31.79      1.74     56.75       55.16
PNC FINANCIAL SE       25.72     15.75      9.97     56.35       53.97
ALTRIA GROUP INC       21.69     12.24      9.44     55.95       51.19
LORILLARD INC          30.66     20.34     10.32     55.56       98.81
US BANCORP             23.92     13.16     10.76     55.56       43.25
INTERCONTINENTAL       26.91     18.72      8.19     55.16       11.51
ALLERGAN INC           24.84     17.06      7.78     54.76       46.83
SIMON PROPERTY         21.31      9.71     11.61     54.76       17.06
MACY’S INC             30.91     23.16      7.75     54.76        5.56
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
STARWOOD HOTELS        27.63     19.95      7.68     54.37       27.38
REYNOLDS AMERICA       19.64     11.54      8.10     54.37       40.87
NEWFIELD EXPLORA       42.06     36.73      5.32     54.37       61.51
PUBLIC STORAGE         22.89     12.87     10.02     53.97       59.13
DOLLAR TREE INC        38.68     33.44      5.24     53.57       15.87
EATON CORP PLC         27.75     19.05      8.70     52.78        0.40
GENWORTH FINANCI       40.67     33.63      7.04     51.98       41.67
UNITED TECH CORP       23.92     13.61     10.30     51.98       28.18
JDS UNIPHASE           39.02     32.93      6.09     51.98       38.89
CENTERPOINT ENER       17.90     17.80      0.10     51.59       21.43
PARKER HANNIFIN        24.34     15.83      8.51     51.19       25.00
VERISIGN INC           26.85     20.23      6.62     51.19       25.79
ADT CORP/THE           24.49     21.77      2.72     50.54       44.32
EMERSON ELEC CO        25.37     14.93     10.44     50.00       27.38
NOBLE ENERGY INC       26.37     19.08      7.29     50.00       40.48
ESTEE LAUDER           24.42     17.44      6.97     49.60        6.35
SOUTHWEST AIR          24.74     22.31      2.43     48.81       23.02
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
CAMPBELL SOUP CO       17.97     13.45      4.52     48.41       83.33
EXELON CORP            23.81     18.09      5.72     48.02       61.11
EOG RESOURCES          31.53     25.46      6.07     47.22       21.43
XL GROUP PLC           25.18     16.56      8.63     46.43       46.43
CHEVRON CORP           23.42     14.69      8.73     46.03       33.33
FREEPORT-MCMORAN       31.80     25.26      6.54     46.03       31.75
METLIFE INC            28.64     22.61      6.03     45.64       46.03
BAKER HUGHES INC       30.47     23.01      7.45     45.64       46.43
STARBUCKS CORP         25.92     20.47      5.44     45.64       25.00
SCHWAB (CHARLES)       27.03     21.53      5.50     45.64       22.22
ALLEGHENY TECH         38.91     32.17      6.74     45.24       34.52
COMPUTER SCIENCE       24.75     18.69      6.06     45.24       30.95
MARATHON OIL           29.19     21.03      8.16     45.24       24.60
SHERWIN-WILLIAMS       25.16     16.46      8.70     45.24       37.70
MONDELEZ INTER-A       22.06     14.19      7.87     45.02       43.83
AGILENT TECH INC       27.20     18.47      8.72     44.84       65.48
COMCAST CORP-A         25.30     16.95      8.36     44.84       21.03
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
TJX COS INC            26.79     19.07      7.72     44.44        9.13
URBAN OUTFITTER        39.19     32.49      6.70     43.25       17.86
BANK OF AMERICA        32.24     28.79      3.45     42.86       47.62
BIOGEN IDEC INC        28.64     21.35      7.30     42.86       32.54
CATERPILLAR INC        26.46     19.25      7.21     42.86       31.35
VIACOM INC-B           26.81     19.69      7.11     42.86       31.75
MORGAN STANLEY         32.69     26.29      6.40     42.86       44.44
GAMESTOP CORP-A        48.61     47.38      1.23     42.46       15.87
BOEING CO/THE          26.83     18.64      8.19     42.46       26.59
COSTCO WHOLESALE       23.92     16.88      7.04     42.06       33.33
RANGE RESOURCES        31.38     29.36      2.01     41.27       38.89
CA INC                 22.13     15.84      6.29     40.87       56.35
DANAHER CORP           23.12     13.18      9.94     40.48       26.19
KLA-TENCOR CORP        29.23     22.42      6.81     40.48       19.44
INTL PAPER CO          26.70     17.49      9.20     40.08       16.27
CAMERON INTERNAT       31.16     23.84      7.32     39.68       19.84
YUM! BRANDS INC        27.02     19.96      7.06     38.89       44.84
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
ACE LTD                21.54     11.76      9.78     38.89       36.91
MYLAN INC              29.28     21.29      7.99     38.49       13.49
PEPSICO INC            18.21     10.72      7.49     38.10       70.24
CF INDUSTRIES HO       33.04     27.78      5.25     38.10       53.57
EXPEDIA INC            33.71     28.08      5.63     38.10       44.84
PITNEY BOWES INC       34.76     26.37      8.38     37.70        9.52
HALLIBURTON CO         29.08     22.93      6.15     37.70       15.48
APACHE CORP            31.11     24.53      6.58     37.30       17.86
CHIPOTLE MEXICAN       30.75     24.55      6.20     37.30       32.14
AVALONBAY COMMUN       22.80     13.89      8.91     36.91       16.67
ELECTRONIC ARTS        39.40     35.82      3.59     36.91       94.44
FIRST HORIZON NA       27.15     23.73      3.42     36.91       46.03
ZIONS BANCORP          28.85     21.09      7.76     36.51       18.65
CBS CORP-B             29.32     21.94      7.38     36.51       28.57
PHILLIPS 66            32.04     29.61      2.43     36.50       17.95
HOME DEPOT INC         28.09     20.41      7.68     36.11       45.24
ZIMMER HLDGS           20.67     14.89      5.77     36.11       32.54
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
NORFOLK SOUTHERN       24.95     17.28      7.66     35.71       32.94
CIGNA CORP             25.38     19.72      5.67     35.32       48.02
AFLAC INC              26.27     16.92      9.34     34.92        5.56
ROWAN COMPANIE-A       33.76     27.87      5.89     34.92       46.43
GOODYEAR TIRE          32.85     27.04      5.82     34.92       86.91
AUTOZONE INC           27.92     21.46      6.46     34.52       17.06
KRAFT FOODS GROU       16.21     12.36      3.85     34.41       26.14
MICRON TECH            39.42     38.33      1.09     34.13       84.52
INTUITIVE SURGIC       25.68     20.43      5.25     33.73       95.24
EXPRESS SCRIPTS        39.07     32.54      6.53     33.73       42.46
AMERICAN EXPRESS       24.52     16.61      7.91     33.33       37.70
THERMO FISHER          28.79     21.02      7.78     32.94       28.97
NEWELL RUBBERMAI       22.06     18.36      3.70     32.54       68.25
NETAPP INC             34.50     32.17      2.34     32.14       92.86
FAMILY DOLLAR ST       25.33     22.26      3.08     31.75       18.25
KROGER CO              27.45     22.95      4.50     31.75       50.00
HERSHEY CO/THE         18.76     12.72      6.04     31.75       29.76
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
LAM RESEARCH           31.20     24.69      6.51     31.35       19.84
MOLSON COORS-B         22.49     20.95      1.54     31.35        9.13
DELPHI AUTOMOTIV       24.68     20.12      4.56     30.95       78.97
CARMAX INC             28.54     22.22      6.32     30.56        4.76
ROSS STORES INC        27.36     21.43      5.93     30.56       25.00
CITIGROUP INC          29.57     23.03      6.55     30.16       19.84
INTEL CORP             24.37     19.54      4.83     30.16       46.43
BORGWARNER INC         28.51     21.73      6.77     29.76       74.21
RYDER SYSTEM INC       27.56     20.67      6.89     29.37       19.44
PERRIGO CO             18.99     15.86      3.13     29.37       49.60
NETFLIX INC            53.51     51.24      2.27     29.37       36.51
MOSAIC CO/THE          27.81     22.33      5.48     28.97       38.49
CONAGRA FOODS          17.00     12.70      4.30     28.97       97.62
CH ROBINSON            26.26     19.27      6.99     28.57       19.84
BEAM INC               26.88     25.80      1.07     27.78       25.40
EQUITY RESIDENTI       21.54     13.82      7.73     27.38        1.59
LINCOLN NATL CRP       30.54     22.43      8.11     27.38       14.29
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
AVON PRODUCTS          34.51     34.87     -0.36     27.38       94.84
NUCOR CORP             27.31     18.70      8.61     27.38       23.41
LENNAR CORP-A          34.21     28.06      6.15     26.98       10.32
NRG ENERGY             27.83     23.22      4.62     26.98       56.75
WHIRLPOOL CORP         30.59     25.43      5.16     26.59       28.97
BROADCOM CORP-A        28.39     23.25      5.14     26.59       10.32
FIRSTENERGY CORP       17.65     13.80      3.85     26.30       15.08
PIONEER NATURAL        29.67     26.63      3.05     26.19       21.03
MATTEL INC             22.18     16.25      5.93     25.79        7.54
FASTENAL CO            24.91     18.17      6.75     24.60       46.43
REPUBLIC SVCS          15.62     15.66     -0.04     24.21       24.21
DIRECTV                27.52     22.07      5.44     24.21        0.00
STATE ST CORP          27.68     19.21      8.46     24.21       33.33
CITRIX SYSTEMS         33.80     29.59      4.21     23.81       30.95
O’REILLY AUTOMOT       24.12     20.56      3.56     23.41       37.70
DAVITA HEALTHCAR       23.80     16.71      7.10     23.02        2.78
ANALOG DEVICES         27.03     20.08      6.95     23.02       19.05
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
H&R BLOCK INC          36.36     30.89      5.47     22.62       35.71
HARMAN INTL            27.70     21.92      5.77     22.22       26.59
PAYCHEX INC            17.19     10.41      6.78     22.22       19.84
MURPHY OIL CORP        26.25     21.78      4.47     21.43       18.25
HASBRO INC             23.86     20.00      3.87     21.43       30.56
MCGRAW-HILL COS        37.25     32.62      4.63     21.43       31.35
GENERAL ELECTRIC       23.34     17.30      6.05     21.03       40.48
HUNTINGTON BANC        20.10     19.09      1.00     21.03        9.92
BLACKROCK INC          22.68     14.73      7.95     21.03       44.05
COMERICA INC           26.65     19.54      7.11     20.24       28.57
JACOBS ENGIN GRP       26.78     19.13      7.65     20.24       13.10
DUN & BRADSTREET       25.55     23.79      1.77     20.24       87.30
HEALTH CARE REIT       15.67     10.36      5.31     20.24       88.10
SCHLUMBERGER LTD       28.43     21.13      7.29     19.84       49.21
PRAXAIR INC            21.78     12.82      8.97     19.84       41.27
SPRINT NEXTEL CO       19.34     19.05      0.29     19.44       16.27
HONEYWELL INTL         24.41     15.33      9.08     19.44       12.70
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
ABERCROMBIE & FI       60.17     57.48      2.69     18.65       28.97
DUKE ENERGY CORP       13.87      9.39      4.48     17.93       76.89
MEAD JOHNSON           26.88     23.67      3.21     17.86        5.95
US STEEL CORP          42.82     39.52      3.29     17.86       33.33
JABIL CIRCUIT          30.60     26.58      4.01     17.86       12.70
SYMANTEC CORP          28.74     25.53      3.20     16.67       65.48
GENERAL MILLS IN       19.69     13.20      6.48     16.67       73.81
EMC CORP/MA            27.34     21.60      5.73     16.67       53.18
INGERSOLL-RAND         24.87     18.26      6.61     16.67        8.33
NABORS INDS LTD        39.70     37.35      2.34     16.27       15.87
SEAGATE TECHNOLO       37.88     34.38      3.50     16.27        0.40
WPX ENERGY             39.99     39.62      0.38     16.27       32.94
ARCHER-DANIELS         27.91     25.05      2.87     15.87       46.83
CORNING INC            26.71     23.20      3.51     15.87       19.05
EDWARDS LIFE           27.08     23.36      3.71     15.48       11.11
CLIFFS NATURAL R       47.05     43.07      3.98     15.08       91.67
DR HORTON INC          33.86     28.99      4.87     14.29       18.25
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
WYNDHAM WORLDWID       22.82     16.55      6.27     13.89        1.59
CSX CORP               25.85     20.82      5.03     13.10       51.59
GARMIN LTD             39.03     35.11      3.92     13.10       48.41
CONSOL ENERGY          38.20     32.34      5.86     13.10       14.68
ALEXION PHARM          33.36     30.30      3.06     13.10       62.30
WILLIAMS COS INC       29.84     28.47      1.38     13.10       19.84
APOLLO GROUP-A         43.69     38.77      4.92     12.70       11.11
MARATHON PETROLE       32.31     29.22      3.09     12.70        1.98
MICROSOFT CORP         22.98     19.58      3.40     12.30       28.97
ALLSTATE CORP          23.27     16.69      6.58     11.51       17.86
SAFEWAY INC            49.73     50.28     -0.55     11.51        3.57
BED BATH &BEYOND       26.03     21.94      4.09     11.51       11.51
WINDSTREAM CORP        41.65     39.90      1.75     11.51       20.24
FOSSIL INC             37.95     34.21      3.73     11.11       30.56
AMAZON.COM INC         30.70     25.55      5.15     11.11       27.38
YAHOO! INC             26.60     27.57     -0.97     10.71       17.86
CAPITAL ONE FINA       29.45     22.97      6.49     10.71        7.54
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
DOMINION RES/VA        12.61      9.18      3.43     10.71       32.14
DEERE & CO             25.71     19.68      6.03     10.71       11.91
DISCOVER FINANCI       29.52     23.71      5.81     10.71        5.56
HARTFORD FINL SV       29.79     25.95      3.85     10.71       13.89
TEXTRON INC            26.84     21.44      5.40     10.32        4.37
KELLOGG CO             11.89      9.82      2.08     10.32        0.79
GILEAD SCIENCES        26.99     23.32      3.66     10.32       27.78
ADOBE SYS INC          26.63     21.91      4.72     10.32       56.35
FLUOR CORP             34.47     27.50      6.97      9.92       11.51
LOWE’S COS INC         38.83     32.84      5.99      9.92        2.38
HJ HEINZ CO             9.65      8.58      1.07      9.92       66.67
CELGENE CORP           31.61     27.62      3.99      9.13       10.71
SOUTHWESTRN ENGY       36.59     34.56      2.03      9.13       38.49
CONS EDISON INC        11.86      9.15      2.71      9.13        0.79
APPLIED MATERIAL       27.69     22.14      5.55      9.13       11.11
SLM CORP               27.99     21.52      6.47      9.13       20.24
UNITEDHEALTH GRP       24.79     19.60      5.20      8.73       38.89
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
PROLOGIS INC           24.48     16.80      7.68      8.73       36.91
AMERICAN ELECTRI       14.49      9.49      5.00      8.33       32.14
AMERICAN TOWER C       24.45     16.45      8.01      7.94       15.87
TERADYNE INC           27.59     24.17      3.42      7.94        7.94
DELL INC               24.81     23.88      0.93      7.94        0.00
LSI CORP               32.90     33.14     -0.25      7.94        0.79
PRUDENTL FINL          26.17     20.71      5.46      7.54       10.71
OMNICOM GROUP          18.13     14.56      3.57      7.54       32.14
TYSON FOODS-A          21.98     18.71      3.28      7.14       10.32
BERKSHIRE HATH-B       22.03     17.78      4.25      7.14        3.97
CERNER CORP            25.32     21.73      3.59      6.75       11.51
PRICELINE.COM          39.37     36.22      3.15      6.75       16.67
CLOROX CO              14.62     10.40      4.22      6.75       44.05
SANDISK CORP           31.31     27.85      3.47      6.75       57.94
AMERICAN INTERNA       27.98     27.98      0.01      6.38        9.56
NOBLE CORP             32.20     30.42      1.77      6.35        4.37
BOSTON PROPERTIE       18.43     12.39      6.04      6.35       53.97
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
LIFE TECHNOLOGIE       37.13     35.05      2.08      6.35       16.27
LEUCADIA NATL          25.14     24.46      0.68      6.35        1.59
GOLDMAN SACHS GP       26.16     21.74      4.42      6.35        6.35
DEVON ENERGY CO        34.57     31.98      2.59      6.35        4.37
VORNADO RLTY TST       18.44     13.16      5.28      6.35       77.78
ALTERA CORP            28.22     23.38      4.83      6.35        5.16
NEWS CORP-A            22.34     18.50      3.83      5.95       62.30
COACH INC              28.71     25.84      2.87      5.95        3.97
KOHLS CORP             32.80     29.34      3.46      5.95        7.54
NEWMONT MINING         32.64     31.15      1.48      5.95       46.43
RAYTHEON CO            22.06     15.87      6.19      5.95       34.13
EASTMAN CHEMICAL       26.41     19.66      6.75      5.56       26.98
LINEAR TECH CORP       22.08     16.43      5.65      5.16       32.94
MEDTRONIC INC          33.46     29.67      3.79      5.16        5.16
PPL CORPORATION        10.40      9.67      0.73      5.16       68.25
DARDEN RESTAURAN       24.37     19.35      5.02      5.16        4.37
RED HAT INC            28.81     26.50      2.30      5.16        0.79
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
COGNIZANT TECH-A       26.24     19.01      7.23      5.16        7.14
TESORO CORP            38.86     36.92      1.94      4.76       13.10
NORDSTROM INC          28.90     23.25      5.65      4.76        3.57
SALESFORCE.COM         42.75     37.78      4.97      4.37        6.35
PEABODY ENERGY         41.20     36.86      4.35      4.37       20.24
QUEST DIAGNOSTIC       19.03     17.99      1.04      3.97        0.40
DIAMOND OFFSHORE       23.46     17.93      5.53      3.97       32.14
AUTOMATIC DATA         15.82     10.32      5.51      3.97       59.92
NORTHROP GRUMMAN       24.21     17.64      6.57      3.57       15.08
TIME WARNER CABL       22.08     19.23      2.85      3.18        9.13
SPECTRA ENERG          20.89     21.82     -0.93      3.18       28.97
METROPCS COMMUNI       38.03     48.84    -10.80      3.18        2.38
CBRE GROUP INC-A       24.97     22.47      2.50      3.18        4.76
TYCO INTL LTD          25.87     23.42      2.44      2.79       35.46
LEGG MASON INC         27.05     23.40      3.65      2.78        6.35
BAXTER INTL INC        22.17     19.66      2.51      2.78        0.00
CROWN CASTLE INT       28.74     25.09      3.65      2.78       76.19
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
LYONDELLBASELL-A       31.29     25.81      5.48      2.78       19.44
HARLEY-DAVIDSON        28.50     23.00      5.50      2.78       10.71
STANLEY BLACK &        23.88     16.67      7.22      2.38        1.19
RALPH LAUREN COR       25.86     20.97      4.89      2.38        0.79
NATL OILWELL VAR       27.52     25.74      1.78      2.38        0.40
EXPEDITORS INTL        36.14     32.15      3.99      2.38       22.22
WASTE MANAGEMENT       21.43     17.57      3.86      2.38        7.94
APPLE INC              28.21     27.90      0.31      1.98        6.75
COVIDIEN PLC           17.35     12.36      4.99      1.98       20.24
DOW CHEMICAL CO        27.51     22.26      5.25      1.98        3.57
CONOCOPHILLIPS         22.59     17.93      4.67      1.59        4.78
PULTEGROUP INC         39.33     34.77      4.56      1.59        9.13
ALCOA INC              23.32     25.11     -1.79      1.59       49.60
DENBURY RESOURCE       31.96     30.26      1.71      1.59       36.11
GANNETT CO             31.79     29.84      1.95      1.59       13.10
HELMERICH & PAYN       28.92     24.70      4.23      1.59        3.97
INTERPUBLIC GRP        31.57     38.18     -6.61      1.59       57.94
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
OCCIDENTAL PETE        25.98     21.36      4.62      1.19        8.73
JOY GLOBAL INC         40.35     37.70      2.65      1.19       25.79
KEYCORP                22.86     22.65      0.21      1.19       13.10
ENSCO PLC-CL A         29.68     24.74      4.94      1.19       20.24
HEWLETT-PACKARD        43.81     41.90      1.91      1.19       21.43
SYSCO CORP             12.02     10.38      1.64      1.19        2.78
AKAMAI TECHNOLOG       33.64     32.62      1.02      1.19        3.97
CUMMINS INC            27.77     23.31      4.46      1.19        5.95
SIGMA-ALDRICH          14.01     13.16      0.85      0.79       89.68
NEXTERA ENERGY         14.48     10.79      3.68      0.79       28.57
OWENS-ILLINOIS         29.77     28.00      1.77      0.79        6.35
VF CORP                24.58     19.47      5.11      0.79       27.38
CHUBB CORP             15.27     11.85      3.41      0.79        9.13
VALERO ENERGY          32.08     30.74      1.35      0.79        6.75
DEAN FOODS CO          29.95     28.82      1.14      0.79       57.94
DOLLAR GENERAL C       25.61     24.09      1.52      0.79       38.10
INTL GAME TECH         39.59     39.38      0.21      0.79        1.98
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
TIME WARNER INC        26.53     22.22      4.31      0.40        3.18
GENERAL DYNAMICS       26.30     21.22      5.08      0.40        1.59
LOCKHEED MARTIN        24.68     18.43      6.25      0.40        0.40
WHOLE FOODS MKT        23.83     22.53      1.30      0.40       14.68
LABORATORY CP          21.39     23.88     -2.49      0.40        5.16
TRAVELERS COS IN       16.63     12.28      4.35      0.40        0.40
XILINX INC             25.21     19.60      5.61      0.40       19.84
LIMITED BRANDS         31.51     26.19      5.32      0.40       28.57
CENTURYLINK INC        25.82     29.66     -3.84      0.40       26.19
AMERISOURCEBERGE       20.99     14.68      6.31      0.40       10.71
HESS CORP              31.32     30.89      0.43      0.40        2.38
FIRST SOLAR INC        72.51     73.41     -0.90      0.40        3.97
ILLINOIS TOOL WO       22.30     14.83      7.47      0.40       29.37
F5 NETWORKS            31.23     28.66      2.57      0.40        6.35
CINTAS CORP            15.37     15.06      0.31      0.40       48.02
MARRIOTT INTL-A        26.18     20.09      6.08      0.00       15.48
MICROCHIP TECH         21.73     17.25      4.47      0.00        0.40
===========================================================================
                                            Skew        Percentile
Company                IV90%     IV110%    Spread    02/15       02/08
===========================================================================
AUTODESK INC           38.63     35.41      3.22      0.00        9.92
JOHNSON CONTROLS       21.41     16.60      4.81      0.00       21.43
NASDAQ OMX GROUP       35.41     46.25    -10.84      0.00       75.00
TEXAS INSTRUMENT       25.71     19.85      5.87      0.00        1.98
FRONTIER COMMUNI       41.09     48.67     -7.58      0.00       13.49
MASCO CORP             29.68     27.31      2.37      0.00       42.06
CABLEVISION SY-A       38.78     43.22     -4.43      0.00       43.65
AON PLC                17.37     14.63      2.74      0.00       38.10
FLOWSERVE CORP         28.30     23.81      4.49      0.00        3.18
GAP INC/THE            39.61     42.79     -3.18      0.00       47.62
TERADATA CORP          30.63     30.50      0.13      0.00        0.00
J.C. PENNEY CO         91.00     92.29     -1.29      0.00       54.76

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

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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