Percentile of Put vs Call Skew Spread for S&P 500 Companies
By Wendy Soong -
2013-02-19T13:44:39Z
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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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
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Skew Percentile
Company IV90% IV110% Spread 02/15 02/08
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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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