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

Highest Skew Percentiles
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                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
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CONSTELLATION-A        52.39     41.35     11.04     99.21       98.81
SPRINT NEXTEL CO       34.46     22.07     12.39     98.81       78.57
NIKE INC -CL B         35.23     24.24     11.00     98.81       96.43
TYSON FOODS-A          30.74     21.46      9.28     98.41       72.22
ADT CORP/THE           32.58     27.98      4.60     98.04       89.13
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                                            Skew        Percentile        
Company                IV90%     IV110%    Spread    12/14       12/07     
===========================================================================

GAMESTOP CORP-A        43.09     35.82      7.26     98.02       98.02
CROWN CASTLE INT       28.35     17.07     11.28     98.02       67.46
CONAGRA FOODS          26.39     16.85      9.53     97.22       90.08
FRONTIER COMMUNI       49.18     35.64     13.54     96.83       81.75
MEAD JOHNSON           27.15     18.98      8.17     95.64       92.86

Lowest Skew Percentiles

NUCOR CORP 28.82 22.41 6.40 0.00 9.13 FIFTH THIRD BANC 27.10 24.99 2.11 0.00 44.44 COMERICA INC 31.57 26.16 5.42 0.40 17.46 US BANCORP 25.48 18.28 7.20 0.40 22.62 JOHNSON CONTROLS 31.59 25.62 5.97 0.40 4.37 SALESFORCE.COM 34.54 29.71 4.84 0.79 3.57 SOUTHERN CO 21.03 14.67 6.37 0.79 29.37 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== THERMO FISHER 20.64 18.17 2.48 0.79 9.52 COACH INC 33.88 29.44 4.43 0.79 3.97 AMGEN INC 22.28 19.78 2.50 0.79 36.11 GENWORTH FINANCI 50.18 50.72 -0.54 0.79 12.30

S&P 500 Highest to Lowest Skew Percentiles

CONSTELLATION-A 52.39 41.35 11.04 99.21 98.81 SPRINT NEXTEL CO 34.46 22.07 12.39 98.81 78.57 NIKE INC -CL B 35.23 24.24 11.00 98.81 96.43 TYSON FOODS-A 30.74 21.46 9.28 98.41 72.22 ADT CORP/THE 32.58 27.98 4.60 98.04 89.13 GAMESTOP CORP-A 43.09 35.82 7.26 98.02 98.02 CROWN CASTLE INT 28.35 17.07 11.28 98.02 67.46 CONAGRA FOODS 26.39 16.85 9.53 97.22 90.08 FRONTIER COMMUNI 49.18 35.64 13.54 96.83 81.75 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== MEAD JOHNSON 27.15 18.98 8.17 95.64 92.86 CISCO SYSTEMS 26.61 17.79 8.82 93.25 96.03 CAMPBELL SOUP CO 19.96 12.11 7.85 91.27 74.21 CLOROX CO 19.20 10.11 9.09 91.27 35.71 RANGE RESOURCES 36.09 31.68 4.41 90.87 89.29 REYNOLDS AMERICA 25.32 14.42 10.90 88.49 39.29 ADOBE SYS INC 30.08 22.59 7.49 88.10 73.41 HERSHEY CO/THE 20.30 11.67 8.62 87.30 99.60 LOCKHEED MARTIN 28.21 17.08 11.13 86.51 95.24 ABERCROMBIE & FI 45.62 38.73 6.89 86.51 96.03 STAPLES INC 35.87 28.83 7.04 86.11 15.87 TENET HEALTHCARE 38.28 30.59 7.69 85.66 85.66 BECTON DICKINSON 20.52 13.27 7.25 85.32 35.32 ZIMMER HLDGS 23.94 16.12 7.81 83.33 44.05 MONSTER BEVERAGE 48.94 39.62 9.32 82.94 78.18 COLGATE-PALMOLIV 23.19 11.80 11.39 82.14 97.22 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== OWENS-ILLINOIS 33.81 25.94 7.87 82.14 35.32 KELLOGG CO 16.46 10.74 5.72 82.14 30.95 DOVER CORP 28.95 18.76 10.19 81.35 52.78 PRICELINE.COM 34.89 29.08 5.80 81.35 73.02 PEPSICO INC 20.64 11.52 9.12 80.56 96.43 BOSTON SCIENTIFC 36.88 31.30 5.57 80.56 46.83 INTUIT INC 24.52 16.78 7.74 79.76 87.70 SPECTRA ENERG 23.52 14.99 8.53 77.78 25.40 COGNIZANT TECH-A 29.88 20.27 9.61 77.78 92.46 KIMBERLY-CLARK 19.62 10.42 9.20 77.78 63.49 CH ROBINSON 27.24 18.73 8.51 77.38 55.95 BAKER HUGHES INC 34.12 25.51 8.60 77.38 82.94 NETAPP INC 37.37 33.44 3.92 76.98 55.56 MOSAIC CO/THE 36.23 28.47 7.76 75.00 75.40 WEYERHAEUSER CO 29.71 21.05 8.67 75.00 30.56 AUTOZONE INC 25.62 17.84 7.78 75.00 82.94 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== LAM RESEARCH 33.22 25.62 7.61 74.60 84.92 GANNETT CO 34.02 25.04 8.98 73.81 55.56 ELI LILLY & CO 25.02 19.54 5.48 73.41 78.18 HARTFORD FINL SV 35.70 26.93 8.77 72.62 73.41 LINEAR TECH CORP 29.92 21.46 8.47 72.22 23.02 ILLINOIS TOOL WO 28.46 17.23 11.24 72.22 6.75 CORNING INC 33.86 26.92 6.94 71.83 69.05 MORGAN STANLEY 41.81 33.82 7.99 71.43 40.48 AMAZON.COM INC 33.57 26.11 7.46 71.03 73.02 GAP INC/THE 37.03 29.34 7.68 70.64 88.10 WALGREEN CO 27.82 21.71 6.11 69.05 88.10 DIAMOND OFFSHORE 28.99 19.83 9.16 68.65 73.81 CONOCOPHILLIPS 24.57 15.72 8.85 68.53 84.86 VENTAS INC 23.83 14.98 8.85 68.25 28.57 HALLIBURTON CO 32.48 25.33 7.14 66.67 61.91 ACCENTURE PLC-A 29.67 20.06 9.61 66.67 29.37 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== STATE ST CORP 30.75 19.69 11.06 65.87 46.83 AMERISOURCEBERGE 22.94 15.65 7.29 65.48 10.71 JDS UNIPHASE 44.20 37.88 6.32 64.68 75.00 LYONDELLBASELL-A 35.19 26.56 8.63 64.68 69.44 VISA INC-CLASS A 26.10 19.62 6.49 64.68 76.59 KINDER MORGAN IN 26.29 22.10 4.19 64.68 89.68 DUKE ENERGY CORP 19.96 13.64 6.32 64.54 80.48 XL GROUP PLC 29.48 19.85 9.63 64.29 69.05 F5 NETWORKS 42.69 37.12 5.57 64.29 86.91 AFLAC INC 31.11 19.83 11.28 63.49 77.78 CA INC 25.28 17.75 7.53 63.49 9.13 EXXON MOBIL CORP 24.17 15.04 9.13 62.70 90.87 EXPEDITORS INTL 28.56 19.93 8.63 62.30 20.64 DARDEN RESTAURAN 30.57 23.19 7.38 60.32 29.37 TRAVELERS COS IN 23.21 13.72 9.49 60.32 43.25 EATON CORP PLC 30.45 21.23 9.23 60.32 79.37 SYSCO CORP 19.51 11.74 7.77 59.92 38.89 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== COCA-COLA CO/THE 23.14 16.36 6.78 59.52 70.24 CENTURYLINK INC 22.76 12.32 10.45 59.13 32.14 KRAFT FOODS GROU 19.72 15.03 4.69 58.82 41.30 VF CORP 28.87 21.19 7.68 58.33 51.98 EASTMAN CHEMICAL 33.11 24.05 9.06 57.94 50.79 QUALCOMM INC 31.96 24.43 7.53 57.94 69.44 MOTOROLA SOLUTIO 26.34 18.91 7.44 56.75 42.06 ROWAN COMPANIE-A 35.86 29.10 6.76 56.75 24.21 HESS CORP 36.56 29.32 7.24 56.75 38.89 FOREST LABS INC 27.14 26.37 0.78 56.35 15.87 AMERICAN ELECTRI 20.17 11.99 8.18 55.95 30.16 PRINCIPAL FINL 29.40 20.41 8.99 55.56 3.57 GOLDMAN SACHS GP 30.40 23.70 6.70 53.97 49.21 WYNN RESORTS LTD 32.73 26.85 5.88 53.57 62.30 BLACKROCK INC 27.55 17.40 10.15 53.57 57.94 VALERO ENERGY 36.73 31.34 5.39 53.57 67.86 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== CHEVRON CORP 25.71 16.86 8.85 53.18 50.00 AUTOMATIC DATA 22.90 13.38 9.52 51.98 11.91 BMC SOFTWARE INC 26.70 23.03 3.67 51.98 30.16 BOSTON PROPERTIE 24.87 15.42 9.45 50.79 47.62 LINCOLN NATL CRP 35.09 25.61 9.47 50.40 62.70 HEWLETT-PACKARD 44.23 38.41 5.82 49.60 20.24 MASTERCARD INC-A 27.48 21.34 6.14 49.60 38.49 WAL-MART STORES 23.77 16.96 6.80 49.21 69.44 CARNIVAL CORP 32.94 25.35 7.59 49.21 62.30 STARBUCKS CORP 29.59 23.35 6.24 48.81 61.91 CITIGROUP INC 36.38 29.18 7.20 48.81 19.84 CIGNA CORP 27.10 20.96 6.14 47.22 52.38 CONS EDISON INC 17.20 12.19 5.01 47.22 17.06 NORTHROP GRUMMAN 27.14 17.94 9.20 46.43 34.13 DEAN FOODS CO 38.89 32.07 6.82 45.64 27.38 BEAM INC 24.90 21.93 2.97 45.24 18.65 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== ANALOG DEVICES 26.05 17.85 8.20 44.84 23.81 CABLEVISION SY-A 35.24 33.38 1.86 44.84 29.76 SYMANTEC CORP 36.29 31.67 4.61 44.44 21.43 STANLEY BLACK & 30.46 21.25 9.20 43.65 57.14 CABOT OIL & GAS 37.62 33.84 3.78 43.65 43.65 MCDONALDS CORP 21.42 16.25 5.17 43.65 20.64 BERKSHIRE HATH-B 21.35 13.49 7.86 42.86 56.75 SEALED AIR CORP 34.92 32.33 2.60 42.46 5.95 BEST BUY CO INC 72.26 70.24 2.02 42.06 28.57 INTUITIVE SURGIC 28.16 22.72 5.44 42.06 61.51 AT&T INC 24.32 17.02 7.30 41.67 62.70 LIMITED BRANDS 31.61 23.46 8.15 40.08 64.29 PULTEGROUP INC 48.04 41.18 6.86 40.08 61.51 MONSANTO CO 29.03 22.45 6.58 39.68 64.29 COSTCO WHOLESALE 25.68 18.57 7.11 39.68 56.75 HELMERICH & PAYN 37.06 30.53 6.53 39.29 38.49 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== CLIFFS NATURAL R 55.37 49.55 5.82 38.89 37.30 TESORO CORP 41.84 36.31 5.53 38.49 40.08 APOLLO GROUP-A 61.28 54.17 7.11 38.10 19.44 ANADARKO PETROLE 32.88 29.47 3.41 37.70 1.59 BROWN-FORMAN -B 17.64 14.97 2.67 37.35 67.20 DEERE & CO 26.54 19.23 7.30 36.51 57.14 CME GROUP INC 29.22 21.99 7.23 36.51 0.00 NEXTERA ENERGY 20.09 11.57 8.52 36.11 13.10 CELGENE CORP 30.08 23.93 6.15 36.11 27.38 DOMINION RES/VA 18.63 12.47 6.16 36.11 63.10 PFIZER INC 22.35 15.76 6.58 36.11 48.41 HJ HEINZ CO 17.38 12.40 4.98 36.11 21.03 PACCAR INC 31.36 22.24 9.12 36.11 7.94 CF INDUSTRIES HO 32.66 27.58 5.09 35.71 37.30 DENBURY RESOURCE 34.76 28.81 5.95 35.32 36.91 3M CO 23.84 14.21 9.63 35.32 58.33 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== MOODY’S CORP 31.40 23.03 8.37 35.32 45.24 JOHNSON&JOHNSON 17.46 13.50 3.96 35.32 35.32 UNITEDHEALTH GRP 27.40 20.66 6.74 34.92 60.71 HOME DEPOT INC 26.59 18.58 8.01 34.52 31.75 TIME WARNER INC 26.64 16.80 9.84 34.52 38.89 BOEING CO/THE 27.70 19.45 8.25 34.13 38.10 MCGRAW-HILL COS 26.78 20.96 5.82 34.13 7.14 UNION PAC CORP 27.02 18.57 8.45 33.73 84.92 TJX COS INC 29.67 21.88 7.79 33.73 46.03 WALT DISNEY CO 25.94 18.33 7.61 32.94 49.60 PAYCHEX INC 22.93 15.13 7.80 32.94 49.60 YAHOO! INC 27.58 26.73 0.85 32.54 29.37 MASCO CORP 43.36 36.40 6.96 32.54 56.35 ALCOA INC 33.53 30.53 3.00 32.54 78.57 AUTODESK INC 31.22 24.86 6.35 32.54 39.29 TEXTRON INC 32.33 25.71 6.62 32.14 47.62 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== SIMON PROPERTY 23.31 12.39 10.92 32.14 25.79 ENSCO PLC-CL A 30.78 23.90 6.88 32.14 6.75 REGIONS FINANCIA 36.50 29.55 6.95 31.75 42.46 WHOLE FOODS MKT 28.68 23.49 5.18 31.75 53.57 WATSON PHARM 20.88 17.02 3.86 31.35 63.89 MURPHY OIL CORP 29.99 24.92 5.06 30.56 40.48 GOOGLE INC-CL A 29.34 25.38 3.96 29.76 77.78 MICRON TECH 50.24 49.08 1.16 29.76 21.43 SAFEWAY INC 39.54 37.17 2.36 29.76 2.78 UNITED PARCEL-B 22.77 15.33 7.44 29.37 69.05 NRG ENERGY 35.06 29.84 5.22 29.37 22.62 LORILLARD INC 29.85 21.72 8.13 29.37 30.95 FASTENAL CO 33.12 25.94 7.18 29.37 46.83 LOWE’S COS INC 29.89 22.46 7.42 28.97 65.08 METLIFE INC 33.68 28.51 5.17 28.97 20.64 TERADATA CORP 35.03 29.41 5.62 28.97 14.29 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== NEWS CORP-A 26.98 21.05 5.93 28.97 23.81 EBAY INC 36.34 30.10 6.24 28.97 33.33 INGERSOLL-RAND 29.15 21.48 7.67 28.57 0.40 SOUTHWEST AIR 26.02 24.87 1.15 28.57 32.14 E*TRADE FINANCIA 37.49 35.40 2.08 28.57 19.05 FIRST SOLAR INC 75.91 71.75 4.16 28.57 11.51 NOBLE ENERGY INC 28.73 22.25 6.48 28.18 58.33 AMERICAN INTERNA 31.90 28.14 3.76 27.89 31.87 URBAN OUTFITTER 36.09 29.91 6.17 27.78 13.10 PHILIP MORRIS IN 23.59 16.52 7.07 27.38 9.92 ALLSTATE CORP 27.03 19.08 7.95 26.98 36.51 PPG INDS INC 34.40 25.08 9.32 26.59 69.05 GENERAL MILLS IN 21.91 14.48 7.43 26.19 59.52 CHUBB CORP 23.36 14.54 8.83 25.79 15.48 CERNER CORP 29.07 24.19 4.88 25.40 23.41 JOY GLOBAL INC 40.25 35.86 4.40 25.00 19.05 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== BANK NY MELLON 30.29 21.17 9.12 24.60 59.52 SUNTRUST BANKS 36.16 27.76 8.39 24.60 42.86 PRUDENTL FINL 31.15 23.40 7.75 24.21 15.87 COCA-COLA ENTER 31.78 26.01 5.77 24.21 15.87 GENERAL DYNAMICS 29.67 20.56 9.11 23.81 8.33 APPLE INC 42.67 39.63 3.03 23.81 58.33 COVIDIEN PLC 24.12 15.90 8.22 23.02 18.25 MACY’S INC 32.63 25.84 6.79 23.02 7.94 MYLAN INC 26.57 19.77 6.81 23.02 70.64 WESTERN DIGITAL 38.23 34.90 3.33 23.02 15.48 WELLS FARGO & CO 27.39 19.77 7.62 22.62 39.68 DANAHER CORP 25.46 15.93 9.53 22.62 31.75 EMERSON ELEC CO 27.03 17.30 9.73 22.62 36.51 ALTERA CORP 32.42 26.48 5.94 22.62 50.79 INTERPUBLIC GRP 33.69 34.65 -0.97 22.22 22.22 EXELON CORP 23.31 18.69 4.62 22.22 30.16 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== MARATHON OIL 31.13 23.67 7.45 22.22 28.18 LIFE TECHNOLOGIE 28.57 24.48 4.10 22.22 95.64 KROGER CO 22.34 18.10 4.24 22.22 15.08 NEWMONT MINING 32.49 30.05 2.44 21.03 22.62 EOG RESOURCES 32.56 27.37 5.18 21.03 16.67 HUNTINGTON BANC 30.53 28.42 2.11 20.64 5.95 BROADCOM CORP-A 35.80 30.67 5.13 20.64 14.68 PROCTER & GAMBLE 22.69 16.87 5.82 20.64 96.83 RED HAT INC 43.98 40.61 3.37 20.64 29.76 SEAGATE TECHNOLO 42.01 38.02 3.99 20.64 15.87 SLM CORP 34.86 26.61 8.25 20.24 73.02 PROLOGIS INC 27.15 18.35 8.80 20.24 0.00 CAREFUSION CORP 21.38 17.17 4.21 20.24 3.97 ACE LTD 23.42 14.24 9.18 20.24 5.56 CENTERPOINT ENER 17.25 17.25 0.00 20.24 1.19 AMERICAN EXPRESS 26.56 19.35 7.21 19.84 44.05 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== CAMERON INTERNAT 32.97 26.33 6.64 19.84 15.48 WELLPOINT INC 26.43 22.15 4.29 19.84 33.73 MATTEL INC 23.57 17.66 5.91 19.84 9.13 LENNAR CORP-A 42.10 35.92 6.18 19.05 36.51 INTL GAME TECH 39.98 35.29 4.70 19.05 54.37 SANDISK CORP 39.22 35.37 3.85 18.65 14.68 SOUTHWESTRN ENGY 36.36 33.67 2.69 18.65 57.14 PHILLIPS 66 35.66 33.50 2.16 18.35 7.19 AETNA INC 26.75 22.96 3.79 18.25 29.76 DISCOVER FINANCI 34.96 28.31 6.65 17.86 43.65 DOW CHEMICAL CO 29.83 22.11 7.72 17.86 28.18 KLA-TENCOR CORP 31.22 25.11 6.11 17.46 28.18 MICROSOFT CORP 26.20 22.34 3.86 17.46 12.30 EXPEDIA INC 35.72 31.07 4.65 17.13 35.46 IBM 22.33 16.39 5.93 17.06 14.29 LEGG MASON INC 29.86 23.82 6.05 17.06 8.33 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== EMC CORP/MA 29.90 24.50 5.41 17.06 73.02 TIFFANY & CO 31.24 26.66 4.58 17.06 22.22 ESTEE LAUDER 27.52 21.40 6.12 16.67 24.60 COMCAST CORP-A 26.58 18.94 7.64 16.67 25.40 TARGET CORP 24.20 17.90 6.30 16.27 62.30 CVS CAREMARK COR 22.67 15.45 7.22 16.27 72.62 VERIZON COMMUNIC 22.76 16.90 5.86 16.27 12.30 BANK OF AMERICA 35.16 32.90 2.26 15.87 38.10 ORACLE CORP 29.98 23.72 6.26 15.87 22.22 EQUITY RESIDENTI 23.85 16.23 7.63 15.87 3.57 M&T BANK CORP 25.48 17.99 7.49 15.48 25.79 ABBOTT LABS 22.69 18.12 4.57 15.48 26.59 NORDSTROM INC 31.46 24.37 7.10 15.48 11.11 JPMORGAN CHASE 29.63 23.57 6.06 15.48 17.06 PEABODY ENERGY 47.98 42.25 5.73 15.08 26.19 WASTE MANAGEMENT 24.31 16.68 7.63 15.08 21.03 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== TYCO INTL LTD 28.67 24.61 4.07 14.74 37.45 DOLLAR TREE INC 32.48 29.01 3.47 14.68 0.79 BAXTER INTL INC 23.87 18.29 5.57 14.68 26.59 PPL CORPORATION 13.41 11.99 1.43 14.29 14.68 FAMILY DOLLAR ST 31.77 29.09 2.68 14.29 84.52 MOLSON COORS-B 20.69 20.33 0.36 13.89 7.54 FOSSIL INC 42.93 39.31 3.62 13.49 28.57 KOHLS CORP 30.09 25.26 4.82 13.49 13.49 ARCHER-DANIELS 26.05 23.59 2.46 13.49 11.11 ELECTRONIC ARTS 37.54 35.88 1.67 13.10 13.49 MARATHON PETROLE 36.50 32.94 3.56 13.10 16.67 HONEYWELL INTL 26.63 17.33 9.30 12.70 31.35 MCKESSON CORP 20.29 13.87 6.41 12.70 10.71 LEUCADIA NATL 25.79 23.80 1.99 12.70 9.52 CSX CORP 28.33 23.28 5.05 12.70 14.29 OCCIDENTAL PETE 28.98 22.23 6.75 12.70 7.94 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== BIOGEN IDEC INC 32.26 29.07 3.19 12.30 3.97 WYNDHAM WORLDWID 28.31 21.63 6.68 12.30 1.98 VERISIGN INC 40.17 35.41 4.76 12.30 11.51 SHERWIN-WILLIAMS 29.43 21.75 7.68 11.91 51.98 INTEL CORP 31.71 27.63 4.08 11.91 0.40 NEWFIELD EXPLORA 36.57 34.29 2.27 11.91 8.73 NORFOLK SOUTHERN 26.27 20.12 6.15 11.91 17.06 HEALTH CARE REIT 19.10 14.25 4.85 11.51 27.38 APPLIED MATERIAL 31.38 25.20 6.18 11.51 9.52 FEDEX CORP 27.35 20.61 6.74 11.51 14.29 STRYKER CORP 23.25 16.83 6.42 11.51 9.92 GILEAD SCIENCES 29.40 25.16 4.24 11.51 23.81 CITRIX SYSTEMS 37.10 33.78 3.32 11.11 0.00 MARRIOTT INTL-A 29.60 21.10 8.50 11.11 1.98 COMPUTER SCIENCE 31.59 27.21 4.38 11.11 2.78 CONSOL ENERGY 42.19 36.33 5.86 11.11 44.44 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== INTL PAPER CO 30.89 23.27 7.62 11.11 11.91 GOODYEAR TIRE 37.92 33.83 4.08 11.11 27.78 WESTERN UNION 27.68 26.13 1.55 11.11 21.43 AIR PRODS & CHEM 21.76 14.64 7.12 11.11 21.03 MERCK & CO 23.19 19.29 3.90 11.11 3.57 CBS CORP-B 30.87 26.15 4.73 11.11 8.73 BED BATH &BEYOND 35.82 31.55 4.27 10.71 16.67 FLOWSERVE CORP 29.30 21.05 8.25 10.71 19.05 PIONEER NATURAL 36.51 35.09 1.42 10.32 7.94 H&R BLOCK INC 21.98 17.72 4.26 10.32 5.95 CATERPILLAR INC 28.96 23.06 5.91 9.92 24.60 DELL INC 38.70 37.01 1.69 9.92 13.10 AMERICAN TOWER C 24.15 14.97 9.18 9.92 4.76 GENERAL ELECTRIC 27.66 22.73 4.93 9.52 8.33 PNC FINANCIAL SE 28.81 21.68 7.13 9.52 16.27 EDWARDS LIFE 29.57 25.89 3.68 9.52 10.32 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== J.C. PENNEY CO 71.28 68.27 3.01 9.52 7.54 SCHWAB (CHARLES) 26.94 23.82 3.13 9.52 1.98 QUANTA SERVICES 27.11 21.26 5.85 9.52 5.95 JUNIPER NETWORKS 40.40 36.88 3.52 9.13 13.89 NATL OILWELL VAR 32.43 26.46 5.96 9.13 7.94 PITNEY BOWES INC 38.11 33.50 4.60 9.13 13.49 ROSS STORES INC 29.97 24.60 5.38 9.13 1.98 HASBRO INC 28.41 25.02 3.38 8.73 13.89 DR HORTON INC 39.74 35.08 4.67 8.73 4.37 RALPH LAUREN COR 33.23 26.93 6.30 8.33 41.27 ST JUDE MEDICAL 33.65 28.57 5.08 8.33 31.75 O’REILLY AUTOMOT 27.21 25.95 1.26 8.33 3.97 DU PONT (EI) 27.10 18.90 8.20 8.33 34.92 HOST HOTELS & RE 28.69 24.55 4.14 7.94 1.59 DEVON ENERGY CO 28.68 25.16 3.51 7.94 0.40 DAVITA HEALTHCAR 28.98 23.23 5.75 7.94 39.29 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== WILLIAMS COS INC 30.75 28.41 2.34 7.57 6.38 TIME WARNER CABL 22.97 17.85 5.12 7.54 7.14 HUMANA INC 27.77 25.14 2.62 7.54 10.32 UNITED TECH CORP 26.82 18.77 8.05 7.14 23.41 ADV MICRO DEVICE 74.81 76.55 -1.74 7.14 1.98 ALEXION PHARM 32.46 29.76 2.70 7.14 34.92 BRISTOL-MYER SQB 22.80 17.41 5.38 7.14 20.24 TRIPADVISOR INC 39.58 38.13 1.45 6.88 16.53 WHIRLPOOL CORP 35.89 31.93 3.96 6.75 15.87 CUMMINS INC 33.41 27.70 5.72 6.75 10.32 NOBLE CORP 34.61 29.79 4.82 6.35 4.76 STARWOOD HOTELS 29.50 25.58 3.92 6.35 0.00 MEDTRONIC INC 24.50 20.09 4.41 6.35 0.00 WINDSTREAM CORP 29.72 29.12 0.60 5.95 6.35 SCHLUMBERGER LTD 30.99 24.58 6.42 5.95 12.70 FREEPORT-MCMORAN 36.81 33.41 3.40 5.95 11.91 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== CAPITAL ONE FINA 30.72 24.01 6.71 5.95 32.94 FIRSTENERGY CORP 18.51 15.43 3.08 5.95 9.92 LSI CORP 36.32 36.32 0.00 5.56 3.18 AGILENT TECH INC 31.68 24.73 6.96 5.56 30.56 ALLEGHENY TECH 40.98 36.25 4.73 5.56 15.48 XEROX CORP 32.56 32.54 0.02 5.16 37.70 CHIPOTLE MEXICAN 37.29 32.20 5.09 5.16 1.98 METROPCS COMMUNI 37.73 46.44 -8.71 5.16 0.79 VIACOM INC-B 28.00 24.20 3.80 5.16 2.78 ZIONS BANCORP 30.47 24.12 6.35 5.16 0.79 NABORS INDS LTD 40.07 38.99 1.09 4.76 13.49 TE CONNECTIVITY 21.79 21.79 0.00 4.76 2.38 TEXAS INSTRUMENT 30.87 23.54 7.33 4.76 70.64 CHESAPEAKE ENERG 43.15 40.97 2.18 4.76 11.51 JABIL CIRCUIT 41.38 38.45 2.92 4.76 11.51 CARDINAL HEALTH 17.24 12.56 4.68 4.76 46.83 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== FORD MOTOR CO 31.38 30.96 0.42 4.37 10.32 MONDELEZ INTER-A 20.21 16.71 3.50 3.98 9.56 CARMAX INC 39.73 34.34 5.38 3.97 1.19 HOSPIRA INC 24.04 25.48 -1.44 3.97 0.40 BB&T CORP 28.76 23.35 5.40 3.97 4.76 ALTRIA GROUP INC 20.61 15.53 5.08 3.57 17.46 NYSE EURONEXT 28.77 29.33 -0.55 3.57 0.00 HARLEY-DAVIDSON 31.71 25.88 5.82 3.57 20.64 BIG LOTS INC 40.19 37.96 2.23 3.57 29.37 YUM! BRANDS INC 27.00 22.90 4.09 3.18 1.19 AVON PRODUCTS 42.68 47.60 -4.92 3.18 3.97 XILINX INC 31.01 24.51 6.50 3.18 5.56 FLUOR CORP 31.64 25.46 6.19 3.18 5.16 NVIDIA CORP 39.92 41.21 -1.29 3.18 32.54 DOLLAR GENERAL C 28.01 25.24 2.78 2.78 29.76 EDISON INTL 16.78 14.68 2.10 2.78 67.06 APACHE CORP 28.52 24.61 3.91 2.78 3.57 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== AKAMAI TECHNOLOG 34.31 32.35 1.97 2.78 15.87 TITANIUM METALS 5.48 5.48 0.00 2.39 2.38 SIGMA-ALDRICH 17.96 14.62 3.34 2.38 11.51 MICROCHIP TECH 27.00 21.56 5.45 2.38 36.91 US STEEL CORP 44.12 41.45 2.67 2.38 35.32 KEYCORP 31.12 29.39 1.73 1.98 0.40 NETFLIX INC 57.86 58.27 -0.41 1.59 1.59 AVALONBAY COMMUN 24.76 18.76 6.00 1.59 0.79 RAYTHEON CO 24.09 18.54 5.55 1.59 15.48 DIRECTV 25.82 21.61 4.21 1.19 4.76 EXPRESS SCRIPTS 27.86 24.90 2.96 1.19 10.32 THERMO FISHER 20.64 18.17 2.48 0.79 9.52 AMGEN INC 22.28 19.78 2.50 0.79 36.11 GENWORTH FINANCI 50.18 50.72 -0.54 0.79 12.30 SOUTHERN CO 21.03 14.67 6.37 0.79 29.37 SALESFORCE.COM 34.54 29.71 4.84 0.79 3.57 =========================================================================== Skew Percentile Company IV90% IV110% Spread 12/14 12/07 =========================================================================== COACH INC 33.88 29.44 4.43 0.79 3.97 US BANCORP 25.48 18.28 7.20 0.40 22.62 COMERICA INC 31.57 26.16 5.42 0.40 17.46 JOHNSON CONTROLS 31.59 25.62 5.97 0.40 4.37 NUCOR CORP 28.82 22.41 6.40 0.00 9.13 FIFTH THIRD BANC 27.10 24.99 2.11 0.00 44.44 ==============================================================================

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.

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