Sei sulla pagina 1di 8

15.05.

2013

Option Implied Volatility Skew Parameters by Terms:


2
IVt = atx + btx + ct

At The Money Implied Volatilities by Terms


Ticker

S&P 1000 Index

DDD UN Equity

Name
3D SYSTEMS CORP

GICS_SECTOR_NAME

ATM Ref

Dividend
Yield

Next ExDividend
Date

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

Information Technology

48.65

63.56

63.70

62.66

-0.069 -0.074 -0.076 -0.058 -0.097 -0.061

0.003

0.002

0.001

SHLM UW Equity SCHULMAN (A.) INC

Materials

28.73

2.94%

19.07.2013

21.26

26.62

27.94

0.000 -0.147 -0.186

0.000

0.002

0.003

AAON UW Equity AAON INC

Industrials

30.73

0.85%

07.06.2013

24.24

24.50

24.73

0.000

0.004 -0.031

0.000

0.000

0.001

AIR UN Equity

AAR CORP

Industrials

19.27

1.56%

26.07.2013

28.68

29.80

30.50

31.66

-0.076 -0.200 -0.232 -0.165

0.001

0.003

0.004

0.002

AAN UN Equity

AARON'S INC

Consumer Discretionary

29.06

0.25%

03.09.2013

23.34

24.77

25.51

26.10

0.000 -0.110 -0.145 -0.128

0.000

0.005

0.006

0.003

ABAX UW Equity

ABAXIS INC

Health Care

46.83

26.08

29.99

31.72

32.42

-0.112 -0.164 -0.180 -0.167

0.000

0.003

0.003

0.001

ABMD UW Equity ABIOMED INC

Health Care

23.18

42.79

42.22

41.93

41.44

-0.266 -0.223 -0.200 -0.153

0.009

0.007

0.005

0.003

ABM UN Equity

ABM INDUSTRIES INC

Industrials

22.53

2.71%

02.07.2013

22.88

21.66

21.18

0.000 -0.094 -0.123

0.000

0.002

0.003

AKR UN Equity

ACADIA REALTY TRUST

Financials

28.91

3.01%

26.06.2013

19.57

19.57

19.57

25.26

0.000

0.000

0.000

0.000

ACIW UW Equity

ACI WORLDWIDE INC

24.79

0.004

Information Technology

45.63

22.16

22.15

22.68

ACOR UW Equity ACORDA THERAPEUTICS INC

Health Care

33.91

66.92

47.81

40.65

ATU UN Equity

ACTUANT CORP-A

Industrials

33.56

0.12%

25.09.2013

28.86

25.84

24.73

AYI UN Equity

ACUITY BRANDS INC

0.67%

18.07.2013

23.61

25.86

37.63

33.95

57.84

55.11

54.77

0.000

0.000

0.000

0.000

0.000

0.000 -0.225 -0.302 -0.254

0.000

0.007

0.009

-0.202 -1.237 -1.184

-0.001 0.044

0.040

27.15

-0.277 -0.268 -0.248 -0.208

0.003

0.008

0.009

0.003

26.98

27.75

-0.258 -0.254 -0.243 -0.204

0.008

0.010

0.010

0.005

31.75

29.50

0.018 -0.110 -0.182 -0.204

0.000

0.001

0.001

0.003

0.000

0.000

Industrials

77.62

ACXM UW Equity ACXIOM CORP

Information Technology

21.39

ADTN UW Equity ADTRAN INC

Information Technology

22.18

1.80%

23.07.2013

33.73

35.61

36.74

38.42

38.02

38.74

-0.208 -0.241 -0.233 -0.141 -0.126 -0.081

0.004

0.005

0.004

0.001

0.001

0.001

AAP UN Equity

ADVANCE AUTO PARTS INC

Consumer Discretionary

86.14

0.28%

19.06.2013

27.10

25.74

24.92

24.13

23.14

23.64

-0.225 -0.174 -0.146 -0.144 -0.099 -0.100

0.006

0.003

0.001

0.001

0.000

0.000

AEIS UW Equity

ADVANCED ENERGY INDUSTRIES

Information Technology

18.31

30.79

30.36

31.28

0.057 -0.177 -0.253

0.001

0.006

0.006

ADVS UW Equity ADVENT SOFTWARE INC

Information Technology

31.40

33.02

33.13

33.22

33.40

0.000 -0.050 -0.089 -0.164

0.000

0.003

0.004

0.001

ACM UN Equity

0.000 -0.141 -0.198 -0.186

0.001

0.001

0.002

0.001

0.002

0.003

0.001

0.001

0.001

0.001

0.001

0.001

Industrials

30.77

26.21

26.90

27.49

28.63

AEGN UW Equity AEGION CORP

Industrials

22.46

27.32

29.24

30.10

30.19

ARO UN Equity

AECOM TECHNOLOGY CORP


AEROPOSTALE INC

Consumer Discretionary

16.31

47.79

44.24

42.84

42.36

0.000

0.004

0.005

0.003

0.000 -0.212 -0.284 -0.202

0.000

0.003

0.004

0.003

-0.280 -0.194 -0.165 -0.160 -0.122 -0.105

0.002

0.001

0.000

AVAV UW Equity

AEROVIRONMENT INC

Industrials

20.11

29.76

32.63

33.97

0.001

34.33

-0.108 -0.141 -0.147 -0.094

0.005

0.004

0.004

AMG UN Equity

AFFILIATED MANAGERS GROUP

Financials

164.51

17.60

18.92

0.003

19.78

21.09

-0.410 -0.324 -0.276 -0.241

0.010

0.006

0.003

0.002

AFFX UW Equity

AFFYMETRIX INC

72.20

41.98

41.92

Health Care

3.75

72.16

72.11

66.88

-0.370 -0.370 -0.371 -0.301

0.001

0.001

0.001

0.001

AGCO UN Equity AGCO CORP

Industrials

55.68

23.12

25.00

25.95

26.66

-0.116 -0.143 -0.149 -0.131

0.002

0.004

0.005

0.003

AGYS UW Equity AGILYSYS INC

Information Technology

11.65

39.83

42.39

42.11

0.000 -0.287 -0.294

0.000

0.004

0.004

AIRM UW Equity

AIR METHODS CORP

Health Care

34.88

40.40

38.32

37.56

-0.122 -0.266 -0.282

0.001

0.006

0.007

AKS UN Equity

AK STEEL HOLDING CORP

0.54%

15.08.2013

Materials

3.40

54.21

56.82

57.94

57.97

-0.288 -0.284 -0.270 -0.203 -0.137 -0.126

0.016

0.010

0.006

0.004

AKRX UW Equity AKORN INC

Health Care

14.60

39.57

39.00

38.83

39.25

-0.112 -0.166 -0.181 -0.135

0.002

0.003

0.003

0.002

ALK UN Equity

ALASKA AIR GROUP INC

Industrials

67.86

29.45

29.76

29.94

30.30

-0.184 -0.219 -0.215 -0.170

0.009

0.007

0.005

0.003

AIN UN Equity

ALBANY INTL CORP-CL A

Industrials

31.70

1.89%

06.06.2013

71.94

57.35

47.50

34.64

0.000

0.053

0.000

0.029

0.043

0.034

ALB UN Equity

ALBEMARLE CORP

Materials

65.23

1.53%

13.09.2013

20.96

21.75

22.42

23.70

-0.309 -0.275 -0.254 -0.221

0.008

0.008

0.007

0.004

ALEX UN Equity

ALEXANDER & BALDWIN INC

Financials

34.02

29.95

29.26

28.85

28.01

-0.316 -0.286 -0.264 -0.231

0.004

0.008

0.010

0.007

ARE UN Equity

ALEXANDRIA REAL ESTATE EQUIT

Financials

77.67

11.95

11.73

12.19

0.000 -0.177 -0.252

0.000

0.002

0.004

ALGN UW Equity ALIGN TECHNOLOGY INC

Health Care

36.18

31.02

34.06

34.45

-0.135 -0.281 -0.305 -0.256 -0.139 -0.107

0.006

0.008

0.008

Y UN Equity

ALLEGHANY CORP

Financials

394.40

ALGT UW Equity

ALLEGIANT TRAVEL CO

Industrials

93.79

24.86

24.24

24.35

-0.204 -0.251 -0.247

0.004

0.007

0.007

ALE UN Equity

ALLETE INC

Utilities

13.56

17.12

16.64

0.000

0.000

0.000

0.000

ADS UN Equity

ALLIANCE DATA SYSTEMS CORP

Information Technology

177.21

16.76

17.44

18.01

19.17

-0.462 -0.330 -0.258 -0.207

0.013

0.009

0.007

0.003

AOI UN Equity

ALLIANCE ONE INTERNATIONAL

Consumer Staples

3.70

59.67

59.67

59.67

57.98

-0.168 -0.168 -0.168 -0.153

0.000

0.000

0.000

0.000

LNT UN Equity

ALLIANT ENERGY CORP

Utilities

52.61

3.65%

31.07.2013

11.39

11.38

11.38

0.159

0.008

0.008

0.008

ATK UN Equity

ALLIANT TECHSYSTEMS INC

Industrials

77.41

1.34%

05.09.2013

20.10

21.35

22.15

22.97

-0.315 -0.302 -0.293 -0.262

0.009

0.009

0.008

0.005

MDRX UW Equity ALLSCRIPTS HEALTHCARE SOLUTI

Health Care

14.08

32.73

35.94

37.62

38.87

-0.049 -0.219 -0.271 -0.163 -0.116 -0.101

0.001

0.005

0.006

0.003

AFAM UW Equity ALMOST FAMILY INC

Health Care

19.50

25.55

24.89

24.77

25.52

0.000 -0.103 -0.140 -0.100

0.000

0.002

0.002

0.000

ANR UN Equity

ALPHA NATURAL RESOURCES INC

Energy

6.84

59.17

58.91

59.07

60.74

-0.193 -0.243 -0.219 -0.150 -0.108 -0.121

0.009

0.007

0.005

0.002

CAS UN Equity

CASTLE (A.M.) & CO

36.08

36.15

36.39

37.35

-0.082 -0.115 -0.131 -0.143

0.000

0.003

0.004

0.004

26.41

27.13

28.06

30.53

-0.189 -0.230 -0.232 -0.163

0.003

0.006

0.006

0.004

29.92

51.08

Materials

18.07

AMCX UW Equity AMC NETWORKS INC-A

Consumer Discretionary

65.56

ACO UN Equity

AMCOL INTERNATIONAL CORP

3.18%

3.78%

0.83%

26.06.2013

15.08.2013

30.07.2013

34.67

56.30

37.38

39.50
58.33

56.76

38.71

39.21
59.69

0.000

0.000

0.160

0.041

0.000

0.162

0.006

Materials

30.92

2.65%

30.05.2013

30.18

30.38

30.90

0.000 -0.127 -0.181 -0.182

0.000

0.003

0.004

0.003

AMED UW Equity AMEDISYS INC

Health Care

11.03

55.00

53.68

52.98

52.52

-0.053 -0.096 -0.119 -0.120

0.007

0.003

0.001

0.001

ACC UN Equity

AMERICAN CAMPUS COMMUNITIES

Financials

44.68

2.42%

14.08.2013

15.71

16.80

17.48

18.42

0.000 -0.050 -0.083 -0.126

0.000

0.000

0.000

0.002

AEO UN Equity

AMERICAN EAGLE OUTFITTERS

Consumer Discretionary

20.10

2.49%

27.06.2013

38.59

35.67

34.15

33.97

-0.315 -0.237 -0.189 -0.157 -0.130 -0.123

0.004

0.003

0.003

0.002

AFG UN Equity

AMERICAN FINANCIAL GROUP INC

Financials

49.72

1.69%

10.07.2013

13.35

14.05

14.27

13.79

0.000 -0.074 -0.106 -0.113

0.000

0.001

0.002

0.002

AM UN Equity

AMERICAN GREETINGS CORP-CL A

Consumer Discretionary

18.43

1.74%

05.07.2013

16.83

16.83

16.83

0.000

0.000

0.000

0.000

APEI UW Equity

AMERICAN PUBLIC EDUCATION

Consumer Discretionary

37.62

32.86

34.45

35.36

-0.166 -0.131 -0.126 -0.170

0.000

0.001

0.002

ASEI UW Equity

AMERICAN SCIENCE & ENGINEERI

Industrials

60.53

2.48%

22.08.2013

20.48

20.62

21.44

-0.242 -0.270 -0.244

0.005

0.008

0.009

AWR UN Equity

AMERICAN STATES WATER CO

Utilities

54.95

2.73%

13.08.2013

18.44

18.65

18.73

18.51

0.000 -0.087 -0.128 -0.162

0.000

0.004

0.006

0.005

AVD UN Equity

AMERICAN VANGUARD CORP

25.09.2013

33.62

35.12

35.80

35.90

-0.190 -0.197 -0.188 -0.134

0.009

0.006

0.004

0.002

13.09.2013

19.53

19.70

19.96

20.80

-0.173 -0.261 -0.290 -0.257

0.001

0.006

0.008

0.005

-0.133 -0.050 -0.029

0.002

0.001

0.000

0.000 -0.086 -0.129 -0.137

0.000 -0.002 -0.002 0.000

Materials

30.53

0.59%

AMSF UW Equity AMERISAFE INC

Financials

33.41

0.24%

AME UN Equity

AMETEK INC

Industrials

42.86

0.56%

AHS UN Equity

AMN HEALTHCARE SERVICES INC

33.51

34.04

36.29

0.000

0.000

0.002

Health Care

14.40

35.70

34.97

35.46

AMSG UW Equity AMSURG CORP

Health Care

35.73

24.52

25.28

25.31

ALOG UW Equity ANALOGIC CORP

Health Care

80.38

0.60%

14.06.2013

26.32

23.69

22.77

-0.339 -0.291 -0.254

0.009

0.007

0.005

ANDE UW Equity ANDERSONS INC/THE

Consumer Staples

53.70

1.27%

03.10.2013

23.36

23.50

23.81

24.87

-0.136 -0.183 -0.192 -0.139

0.002

0.007

0.009

0.005

AXE UN Equity

ANIXTER INTERNATIONAL INC

Information Technology

73.67

17.71

20.47

21.69

22.24

-0.390 -0.303 -0.249 -0.188

0.012

0.008

0.006

0.005

ANN UN Equity

ANN INC

Consumer Discretionary

31.30

46.14

42.09

39.94

39.39

-0.257 -0.247 -0.232 -0.183 -0.165 -0.138

0.005

0.004

0.003

0.002

0.001

0.001

ANSS UW Equity ANSYS INC

Information Technology

76.90

20.18

21.09

22.14

-0.342 -0.269 -0.231

0.011

0.006

0.003

AOS UN Equity

SMITH (A.O.) CORP

Industrials

79.70

18.41

19.55

20.57

-0.084 -0.058 -0.075

0.001

0.000

0.000

AOL UN Equity

AOL INC

0.001

0.001

0.001

0.001

0.000

0.000

0.004

0.003

0.001

0.001

0.001

0.001

0.65%

31.07.2013

23.62

38.51

37.18

39.18

Information Technology

37.78

33.46

32.71

33.61

36.35

-0.192 -0.155 -0.134 -0.114 -0.095 -0.077

0.010

0.006

0.004

0.001

APOG UW Equity APOGEE ENTERPRISES INC

Industrials

27.55

1.31%

12.07.2013

34.12

35.58

36.53

37.66

-0.348 -0.310 -0.272 -0.173

0.006

0.007

0.007

0.003

AINV UW Equity

APOLLO INVESTMENT CORP

Financials

8.61

9.30%

11.06.2013

22.58

23.14

23.58

22.96

36.89

-0.197 -0.124 -0.096 -0.173

0.003

0.006

0.007

0.004

AIT UN Equity

APPLIED INDUSTRIAL TECH INC

22.52

24.63

0.004

Industrials

46.00

1.76%

15.08.2013

23.49

24.01

0.000 -0.197 -0.244 -0.148

0.000

0.005

0.006

AREX UW Equity APPROACH RESOURCES INC

Energy

27.07

35.81

35.00

35.09

-0.123 -0.247 -0.257

0.002

0.003

0.003

ATR UN Equity

APTARGROUP INC

Materials

56.50

1.77%

05.08.2013

15.46

17.47

18.38

19.05

0.000 -0.175 -0.222 -0.175

0.000

0.005

0.006

0.003

WTR UN Equity

AQUA AMERICA INC

Utilities

32.89

1.73%

15.11.2013

21.39

19.95

18.81

16.55

-0.553 -0.346 -0.199 -0.098

0.024

0.011

0.003

0.004

ARB UN Equity

ARBITRON INC

Consumer Discretionary

46.85

0.85%

14.06.2013

13.46

12.95

12.37

10.92

0.000

0.000 -0.001 0.000

0.007

ACI UN Equity

ARCH COAL INC

Energy

4.96

2.42%

28.08.2013

59.33

60.25

61.55

63.33

-0.174 -0.125 -0.108 -0.103 -0.104 -0.100

0.008

0.006

0.004

0.002

ACAT UW Equity ARCTIC CAT INC

Consumer Discretionary

47.63

0.84%

28.08.2013

47.11

45.61

44.65

43.23

-0.093 -0.086 -0.087 -0.112

0.005

0.003

0.002

0.001

ABFS UW Equity

ARKANSAS BEST CORP

Industrials

17.04

0.70%

02.08.2013

57.97

57.70

57.25

55.58

0.028 -0.017 -0.046 -0.094

0.006

0.003

0.002

0.001

ARQL UQ Equity

ARQULE INC

0.302

64.68

66.96

0.027

Health Care

2.92

82.00

81.88

81.77

0.001

0.001

0.001

ARRS UW Equity ARRIS GROUP INC

Information Technology

16.95

28.18

28.98

29.14

28.29

-0.092 -0.061 -0.066 -0.147

0.001

0.001

0.002

0.004

ARW UN Equity

ARROW ELECTRONICS INC

Information Technology

38.45

25.06

26.63

27.43

27.90

-0.234 -0.236 -0.233 -0.214

0.007

0.005

0.004

0.005

AJG UN Equity

ARTHUR J GALLAGHER & CO

Financials

45.40

12.11

12.38

13.00

0.000

0.000

0.000

0.000

ASNA UW Equity ASCENA RETAIL GROUP INC

Consumer Discretionary

19.85

35.04

32.84

31.63

31.46

-0.338 -0.274 -0.227 -0.160 -0.081 -0.012

0.008

0.006

0.004

0.003

ASH UN Equity

ASHLAND INC

Materials

89.40

1.52%

19.08.2013

24.46

24.57

25.20

26.81

-0.313 -0.257 -0.222 -0.184

0.011

0.008

0.006

0.003

AHL UN Equity

ASPEN INSURANCE HOLDINGS LTD

Financials

38.68

1.86%

09.08.2013

18.45

18.95

19.34

20.13

0.000 -0.029 -0.047 -0.072

0.000

0.000

0.001

0.001

ASBC UW Equity ASSOCIATED BANC-CORP

Financials

15.14

3.04%

08.08.2013

21.89

22.58

22.98

23.41

0.000 -0.069 -0.106 -0.154

0.000

0.003

0.004

0.003

ASTE UW Equity

ASTEC INDUSTRIES INC

Industrials

34.99

1.14%

24.07.2013

26.53

27.86

28.49

28.77

-0.343 -0.367 -0.363 -0.292

0.011

0.008

0.006

0.003

AF UN Equity

ASTORIA FINANCIAL CORP

Financials

9.92

1.61%

15.08.2013

24.31

23.94

24.76

0.000

0.003 -0.024

0.000

0.000

0.002

ATNI UW Equity

ATLANTIC TELE-NETWORK INC

Telecommunication Services 50.50

2.16%

28.06.2013

28.96

28.25

28.04

28.10

0.000 -0.135 -0.197 -0.208

0.000

0.001

0.002

0.004

3.11%

30.09.2013

30.95

31.31

0.300

0.006 -0.197

0.298

0.002 -0.017

AAWW UW Equity ATLAS AIR WORLDWIDE HOLDINGS

Industrials

45.81

26.85

29.56

30.95

32.02

-0.156 -0.217 -0.229 -0.176

0.005

0.004

0.003

0.002

ATML UW Equity ATMEL CORP

Information Technology

7.25

37.54

39.12

40.67

44.87

0.000 -0.155 -0.207 -0.165

0.000

0.006

0.007

0.001

ATMI UW Equity

ATMI INC

Information Technology

23.58

26.10

26.58

26.93

27.74

0.148 -0.030 -0.106 -0.090

0.000

0.001

0.001

0.001

ATO UN Equity

ATMOS ENERGY CORP

Utilities

44.79

14.29

14.25

14.33

0.000

0.003 -0.026

0.000

0.000

0.000

ATW UN Equity

ATWOOD OCEANICS INC

Energy

52.00

23.06

24.67

25.57

26.59

-0.281 -0.242 -0.213 -0.161

0.009

0.005

0.004

0.004

AVID UW Equity

AVID TECHNOLOGY INC

Information Technology

6.86

48.09

47.68

47.53

47.55

0.000 -0.186 -0.255 -0.172

0.000

0.004

0.005

0.002

AVA UN Equity

AVISTA CORP

Utilities

29.03

15.39

15.26

15.14

14.76

-0.154 -0.153 -0.152 -0.148

0.002

0.002

0.002

0.003

AVT UN Equity

AVNET INC

Information Technology

32.97

25.79

27.80

28.76

29.12

-0.232 -0.224 -0.216 -0.189

0.010

0.007

0.006

0.003

AZZ UN Equity

AZZ INC

Industrials

41.60

1.61%

09.07.2013

29.80

30.32

30.78

31.88

-0.033 -0.134 -0.168 -0.138

0.000

0.003

0.004

0.003

BGS UN Equity

B&G FOODS INC

Consumer Staples

31.09

3.92%

28.06.2013

20.58

22.14

22.40

21.71

0.000 -0.249 -0.297 -0.163

0.000

0.006

0.008

0.005

BEAV UW Equity

B/E AEROSPACE INC

Industrials

64.21

21.48

21.87

22.63

-0.211 -0.231 -0.229

0.007

0.007

0.006

BMI UN Equity

BADGER METER INC

Information Technology

44.24

1.60%

30.08.2013

31.50

33.97

35.21

35.97

-0.296 -0.246 -0.217 -0.178

0.013

0.009

0.006

0.002

BCPC UW Equity BALCHEM CORP

Materials

45.30

0.53%

13.12.2013

25.95

26.72

27.11

27.29

-0.187 -0.242 -0.246 -0.170

0.004

0.007

0.007

0.004

BYI UN Equity

BALLY TECHNOLOGIES INC

Consumer Discretionary

52.88

19.52

19.57

20.43

22.50

-0.383 -0.286 -0.255 -0.256 -0.198 -0.151

0.012

0.010

0.007

0.005

BXS UN Equity

BANCORPSOUTH INC

Financials

17.28

0.23%

13.09.2013

19.67

21.79

22.54

0.000 -0.149 -0.199

0.000

0.003

0.004

BKMU UW Equity BANK MUTUAL CORP

Financials

5.32

1.50%

14.08.2013

46.90

44.15

42.83

0.000

0.000

0.000

BOH UN Equity

3.15%

4.25%

27.08.2013

20.08.2013

24.29

25.64

42.72

0.000

0.000

0.000

0.000

0.000

BANK OF HAWAII CORP

Financials

50.00

3.60%

28.08.2013

13.17

14.39

14.98

0.000 -0.180 -0.223

0.000

0.003

0.005

OZRK UW Equity BANK OF THE OZARKS

Financials

43.27

1.69%

10.07.2013

21.66

23.25

23.75

23.10

-0.114 -0.054 -0.054 -0.149

0.001

0.001

0.001

0.001

BANR UW Equity BANNER CORPORATION

Financials

33.85

1.48%

03.07.2013

26.69

28.07

28.72

29.11

-0.211 -0.110 -0.076 -0.119

0.004

0.001

0.001

0.004

BKS UN Equity

BARNES & NOBLE INC

Consumer Discretionary

20.74

72.30

64.39

58.80

51.66

-0.162 -0.124 -0.096 -0.074 -0.109 -0.139

0.000

0.002

0.002

0.001

B UN Equity

BARNES GROUP INC

Industrials

30.00

21.78

23.86

24.95

25.57

0.000 -0.065 -0.094 -0.134

0.000

0.005

0.006

0.005

BAS UN Equity

BASIC ENERGY SERVICES INC

Energy

13.89

41.20

43.74

45.31

0.080 -0.225 -0.283

0.010

0.008

0.005

BBCN UW Equity BBCN BANCORP INC

Financials

13.10

1.98%

30.07.2013

95.38

95.84

96.30

81.88

0.474

0.486 -0.288

0.010

0.009

0.008

0.021

BELFB UW Equity BEL FUSE INC-CL B

Information Technology

14.65

2.13%

16.07.2013

BDC UN Equity

BELDEN INC

Industrials

53.99

0.37%

14.06.2013

28.48

28.75

29.29

31.18

-0.348 -0.278 -0.240 -0.211

0.011

0.009

0.007

0.004

BHE UN Equity

BENCHMARK ELECTRONICS INC

28.45

28.70

29.00

-0.117 -0.053 -0.057

0.001

0.001

0.001

1.80%

30.08.2013

38.63

38.39

38.87

-0.095 -0.164 -0.162

0.002

0.005

0.006

34.74

32.31

31.62

32.29

-0.259 -0.266 -0.239 -0.159 -0.134 -0.124

0.015

0.010

0.006

0.002

44.27

44.90

45.52

47.06

-0.223 -0.163 -0.136 -0.136

0.012

0.007

0.004

0.002

20.46

Information Technology

19.31

BGFV UW Equity BIG 5 SPORTING GOODS CORP

Consumer Discretionary

22.28

BIG UN Equity

BIG LOTS INC

Consumer Discretionary

37.36

BH UN Equity

BIGLARI HOLDINGS INC

Consumer Discretionary

403.04

BBG UN Equity

BILL BARRETT CORP

Energy

BIO UN Equity

BIO-RAD LABORATORIES-A

Health Care

115.94

BRLI UW Equity

BIO-REFERENCE LABS INC

Health Care

28.82

BMR UN Equity

BIOMED REALTY TRUST INC

Financials

22.71

Consumer Discretionary
Information Technology

37.60
26.28

BJRI UW Equity BJ'S RESTAURANTS INC


BBOX UW Equity BLACK BOX CORP

1.43%

29.08.2013

21.32

4.23%
1.37%

45.79

33.03

42.39

33.06

0.480

20.80

21.17

22.19

-0.069 -0.155 -0.192 -0.210

0.001

0.006

0.008

0.005

38.28

35.68

34.58

34.98

-0.393 -0.365 -0.336 -0.245

0.012

0.011

0.010

0.004

28.06.2013

12.20

14.19

15.03

14.95

0.000

0.000 -0.001 0.000

0.001

02.10.2013

25.93
33.90

25.44
34.69

25.98
35.23

36.12

-0.096 -0.285 -0.289


-0.121 -0.202 -0.230 -0.195

0.000
0.004

0.005

0.026

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

0.022 -0.035

0.007
0.006

0.008
0.006

15.05.2013

Option Implied Volatility Skew Parameters by Terms:


IVt = atx + btx2 + ct

At The Money Implied Volatilities by Terms

S&P 1000 Index

Ticker

Name

BKH UN Equity
BLACK HILLS CORP
BLKB UW Equity BLACKBAUD INC
BCOR UW Equity BLUCORA INC
NILE UW Equity BLUE NILE INC
BTH UN Equity
BLYTH INC
BOBE UW Equity BOB EVANS FARMS
SAM UN Equity
BOSTON BEER COMPANY INC-A
BPFH UW Equity BOSTON PRIVATE FINL HOLDING
EPAY UW Equity BOTTOMLINE TECHNOLOGIES (DE)
BYD UN Equity
BOYD GAMING CORP
BRC UN Equity
BRADY CORPORATION - CL A
BRE UN Equity
BRE PROPERTIES INC
BGG UN Equity
BRIGGS & STRATTON
BCO UN Equity
BRINK'S CO/THE
EAT UN Equity
BRINKER INTERNATIONAL INC
BRS UN Equity
BRISTOW GROUP INC
BR UN Equity
BROADRIDGE FINANCIAL SOLUTIO
BRKL UW Equity BROOKLINE BANCORP INC
BRKS UW Equity BROOKS AUTOMATION INC
BRO UN Equity
BROWN & BROWN INC
BWS UN Equity
BROWN SHOE COMPANY INC
BC UN Equity
BRUNSWICK CORP
BKI UN Equity
BUCKEYE TECHNOLOGIES INC
BKE UN Equity
BUCKLE INC/THE
BWLD UW Equity BUFFALO WILD WINGS INC
CJES UN Equity C&J ENERGY SERVICES INC
CAB UN Equity
CABELA'S INC
CBT UN Equity
CABOT CORP
CCMP UW Equity CABOT MICROELECTRONICS CORP
CACI UN Equity
CACI INTERNATIONAL INC -CL A
CDNS UW Equity CADENCE DESIGN SYS INC
CALM UW Equity CAL-MAINE FOODS INC
CLMS UW Equity CALAMOS ASSET MANAGEMENT-A
CVGW UW Equity CALAVO GROWERS INC
CCC UN Equity
CALGON CARBON CORP
ELY UN Equity
CALLAWAY GOLF COMPANY
CBM UN Equity
CAMBREX CORP
CPT UN Equity
CAMDEN PROPERTY TRUST
CMN UN Equity
CANTEL MEDICAL CORP
CPLA UW Equity CAPELLA EDUCATION CO
CRR UN Equity
CARBO CERAMICS INC
CATM UW Equity CARDTRONICS INC
CECO UW Equity CAREER EDUCATION CORP
CSL UN Equity
CARLISLE COS INC
CRS UN Equity
CARPENTER TECHNOLOGY
CRZO UW Equity CARRIZO OIL & GAS INC
CRI UN Equity
CARTER'S INC
CASY UW Equity CASEY'S GENERAL STORES INC
CSH UN Equity
CASH AMERICA INTL INC
CATY UW Equity CATHAY GENERAL BANCORP
CATO UN Equity CATO CORP-CLASS A
CBEY UW Equity CBEYOND INC
CBOE UW Equity CBOE HOLDINGS INC
CDI UN Equity
CDI CORP
CEC UN Equity
CEC ENTERTAINMENT INC
CDR UN Equity
CEDAR REALTY TRUST INC
CNC UN Equity
CENTENE CORP
CENTA UW Equity CENTRAL GARDEN AND PET CO-A
CENX UW Equity CENTURY ALUMINUM COMPANY
CEVA UW Equity CEVA INC
CHG UN Equity
CH ENERGY GROUP INC
CRL UN Equity
CHARLES RIVER LABORATORIES
CKP UN Equity
CHECKPOINT SYSTEMS INC
CAKE UW Equity CHEESECAKE FACTORY INC/THE
CHE UN Equity
CHEMED CORP
CHS UN Equity
CHICO'S FAS INC
PLCE UW Equity CHILDREN'S PLACE
CBK UN Equity
CHRISTOPHER & BANKS CORP
CHD UN Equity
CHURCH & DWIGHT CO INC
CBR UN Equity
CIBER INC
CIEN UW Equity CIENA CORP
XEC UN Equity
CIMAREX ENERGY CO
CBB UN Equity
CINCINNATI BELL INC
CNK UN Equity
CINEMARK HOLDINGS INC
CIR UN Equity
CIRCOR INTERNATIONAL INC
CRUS UW Equity CIRRUS LOGIC INC
CHCO UW Equity CITY HOLDING CO
CYN UN Equity
CITY NATIONAL CORP
CLC UN Equity
CLARCOR INC
CLH UN Equity
CLEAN HARBORS INC
CLW UN Equity
CLEARWATER PAPER CORP
CNL UN Equity
CLECO CORPORATION
CLD UN Equity
CLOUD PEAK ENERGY INC
CGNX UW Equity COGNEX CORP
COHR UW Equity COHERENT INC
COHU UW Equity COHU INC
CSTR UW Equity COINSTAR INC
CWTR UW Equity COLDWATER CREEK INC
CLP UN Equity
COLONIAL PROPERTIES TRUST
COLB UW Equity COLUMBIA BANKING SYSTEM INC
FIX UN Equity
COMFORT SYSTEMS USA INC
CBSH UW Equity COMMERCE BANCSHARES INC
CMC UN Equity
COMMERCIAL METALS CO
CBU UN Equity
COMMUNITY BANK SYSTEM INC
CYH UN Equity
COMMUNITY HEALTH SYSTEMS INC
CVLT UW Equity COMMVAULT SYSTEMS INC
CMP UN Equity
COMPASS MINERALS INTERNATION
CPSI UW Equity COMPUTER PROGRAMS & SYSTEMS
CPWR UW Equity COMPUWARE CORP
SCOR UW Equity COMSCORE INC
CRK UN Equity
COMSTOCK RESOURCES INC
CMTL UW Equity COMTECH TELECOMMUNICATIONS
CNW UN Equity CON-WAY INC
CNQR UW Equity CONCUR TECHNOLOGIES INC
CNMD UW Equity CONMED CORP
CGX UN Equity
CONSOLIDATED GRAPHICS INC
MCF UA Equity
CONTANGO OIL & GAS
CVG UN Equity
CONVERGYS CORP
COO UN Equity
COOPER COS INC/THE
CPRT UW Equity COPART INC
CLGX UN Equity CORELOGIC INC
COR UN Equity
CORESITE REALTY CORP
COCO UW Equity CORINTHIAN COLLEGES INC
CEB UN Equity
CORPORATE EXECUTIVE BOARD CO
OFC UN Equity
CORPORATE OFFICE PROPERTIES
CXW UN Equity
CORRECTIONS CORP OF AMERICA
CRVL UW Equity CORVEL CORP
CUZ UN Equity
COUSINS PROPERTIES INC
CVD UN Equity
COVANCE INC
CBRL UW Equity CRACKER BARREL OLD COUNTRY
CR UN Equity
CRANE CO
CREE UW Equity CREE INC
CROX UW Equity CROCS INC
CCRN UW Equity CROSS COUNTRY HEALTHCARE INC
CRY UN Equity
CRYOLIFE INC
CSGS UW Equity CSG SYSTEMS INTL INC

GICS_SECTOR_NAME

ATM Ref

Utilities
49.75
Information Technology
30.65
Information Technology
17.78
Consumer Discretionary
32.01
Consumer Discretionary
14.65
Consumer Discretionary
45.81
Consumer Staples
151.47
Financials
9.90
Information Technology
28.00
Consumer Discretionary
14.30
Industrials
35.40
Financials
52.60
Industrials
23.52
Industrials
26.83
Consumer Discretionary
40.61
Energy
66.31
Information Technology
26.38
Financials
8.64
Information Technology
9.96
Financials
32.79
Consumer Discretionary
17.64
Consumer Discretionary
32.84
Materials
37.50
Consumer Discretionary
53.93
Consumer Discretionary
94.79
Energy
18.47
Consumer Discretionary
70.45
Materials
38.09
Information Technology
35.74
Information Technology
61.04
Information Technology
14.18
Consumer Staples
43.51
Financials
10.84
Consumer Staples
30.14
Materials
17.54
Consumer Discretionary
6.63
Health Care
13.14
Financials
74.49
Health Care
34.87
Consumer Discretionary
42.68
Energy
70.06
Information Technology
29.03
Consumer Discretionary
2.94
Industrials
67.08
Materials
46.82
Energy
26.85
Consumer Discretionary
70.52
Consumer Staples
60.65
Financials
47.15
Financials
20.60
Consumer Discretionary
24.87
Telecommunication Services 9.54
Financials
40.10
Industrials
13.68
Consumer Discretionary
38.87
Financials
6.61
Health Care
51.36
Consumer Staples
7.59
Materials
8.65
Information Technology
15.91
Utilities
64.18
Health Care
45.72
Information Technology
12.40
Consumer Discretionary
40.80
Health Care
65.94
Consumer Discretionary
19.46
Consumer Discretionary
50.95
Consumer Discretionary
7.65
Consumer Staples
64.59
Information Technology
3.89
Information Technology
15.21
Energy
69.46
Telecommunication Services 3.61
Consumer Discretionary
30.20
Industrials
50.22
Information Technology
22.59
Financials
39.60
Financials
60.49
Industrials
54.70
Industrials
55.39
Materials
46.62
Utilities
48.09
Energy
18.19
Information Technology
44.14
Information Technology
57.19
Information Technology
10.35
Consumer Discretionary
55.26
Consumer Discretionary
3.87
Financials
23.93
Financials
21.84
Industrials
13.43
Financials
41.71
Materials
15.17
Financials
29.30
Health Care
45.42
Information Technology
74.64
Materials
88.82
Health Care
49.12
Information Technology
11.30
Information Technology
19.19
Energy
17.50
Information Technology
26.09
Industrials
36.15
Information Technology
83.40
Health Care
32.80
Industrials
42.00
Energy
37.35
Information Technology
18.27
Health Care
111.84
Industrials
36.82
Information Technology
27.99
Financials
36.86
Consumer Discretionary
2.19
Industrials
59.58
Financials
29.11
Financials
38.77
Health Care
49.20
Financials
11.06
Health Care
77.34
Consumer Discretionary
86.92
Industrials
59.66
Information Technology
59.91
Consumer Discretionary
17.40
Health Care
5.21
Health Care
6.40
Information Technology
21.69

Dividend
Yield

Next ExDividend
Date

2.31%
1.60%

16.08.2013
28.08.2013

1.71%
2.63%

01.10.2013
06.06.2013

2.22%

16.08.2013

2.23%
3.02%
2.10%
1.12%
2.19%
1.36%
2.84%
3.94%
3.21%
1.14%
1.59%
0.15%
0.72%
1.48%

10.07.2013
13.09.2013
20.08.2013
19.07.2013
12.06.2013
05.06.2013
13.09.2013
07.08.2013
04.09.2013
05.08.2013
19.06.2013
22.11.2013
09.08.2013
15.07.2013

2.26%

28.08.2013

1.83%
3.55%
2.16%

05.08.2013
15.08.2013
27.11.2013

0.60%

14.08.2013

3.42%
0.34%

28.06.2013
17.07.2013

1.71%

01.08.2013

1.28%
1.56%

14.08.2013
30.08.2013

0.23%
1.22%
0.30%
0.78%
4.95%

01.08.2013
29.07.2013
31.05.2013
13.06.2013

1.72%
3.80%
2.62%
3.03%

28.08.2013
06.08.2013
03.09.2013
07.08.2013

3.46%

11.07.2013

1.18%
1.23%
1.16%

05.08.2013
24.05.2013
12.09.2013

1.83%

15.08.2013

0.84%

14.08.2013

2.78%
0.30%

06.06.2013
07.08.2013

3.72%
2.15%
1.07%

10.07.2013
29.07.2013
03.07.2013

3.02%

08.08.2013
29.05.2013

2.32%

26.06.2013

3.68%
2.11%
1.12%
2.16%
3.16%
3.79%

08.08.2013
05.08.2013
28.08.2013
04.09.2013
11.07.2013
13.09.2013

2.53%
4.34%

30.08.2013
06.08.2013

0.71%
4.22%
0.83%

19.07.2013
15.08.2013

1.89%

14.06.2013

1.31%
0.05%

19.06.2013
18.07.2013

3.20%

26.06.2013

1.59%
3.78%
4.64%

13.09.2013
26.09.2013
01.07.2013

1.54%

09.08.2013

2.47%
1.98%

17.07.2013
28.08.2013

1.56%

12.06.2013

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol - ATM Vol (a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M
16.49
23.03
34.70
35.64
61.22
24.69
26.35
201.64
27.24
49.34
21.09
17.57
26.52
28.44
22.37
22.45
19.66
31.45
37.43
19.05
41.33
36.06
8.69
32.58
23.94
30.63
30.40
28.08
25.60
24.61
18.61
18.62
29.47
30.47
25.54
27.69
39.53
13.72
29.06
27.74
30.98
26.05
56.37
22.13
24.76
40.78
20.96
33.88
28.61
28.16
27.99
32.21
17.88
40.13
25.86
28.94
32.79
38.85
45.73
30.31

17.22
23.46
33.85
41.99
61.69
24.59
27.94
163.61
28.44
46.88
21.09
18.33
26.39
30.60
21.95
22.66
18.67
31.45
38.32
19.01
39.38
38.01
8.69
31.28
26.07
34.32
33.05
27.93
25.29
25.88
22.10
20.57
29.76
29.71
26.15
31.10
40.30
15.02
29.35
28.35
34.92
29.49
61.12
22.09
26.37
40.27
22.15
28.57
27.41
25.12
27.07
35.70
17.79
37.80
25.68
28.87
33.42
38.57
46.35
31.27

17.73
23.95
34.34
44.17
61.77
24.49
28.73
136.47
29.20
46.21
21.09
18.73
26.67
31.48
22.74
22.91
18.09
31.45
38.24
18.97
38.44
39.11
8.69
30.66
27.31
35.92
34.34
27.99
25.77
26.73
23.78
21.94
30.44
29.42
26.98
31.67
40.12
15.44
29.71
29.26
36.80
31.26
63.90
22.23
27.27
40.53
22.98
26.17
27.19
25.79
26.69
37.37
17.62
36.24
25.76
28.80
34.30
38.76
46.52
32.18

18.14
25.34

23.91
38.75
19.94
38.24
40.83
39.10
55.78
14.06
60.85
48.65
31.05
64.57
18.64
27.94
44.22
20.92
15.93
22.74
27.68
24.16
14.77
36.60
22.38
47.23
32.17
35.69
82.46
19.60
26.41
39.44
32.99
25.73
20.38
28.00
37.72
16.02
29.86
37.55
34.41
45.85
29.32
28.23
24.77
22.50
34.55
30.88
21.47
25.22
37.50
28.73
25.79
48.25
24.74
14.51
17.37

25.80
38.46
20.15
37.39
36.94
36.04
52.77
13.28
60.85
45.08
32.56
64.61
19.51
30.06
46.91
21.55
16.36
22.09
28.41
24.29
14.77
37.13
25.14
34.74
33.90
36.90
83.98
17.32
44.56
38.47
27.48
27.41
21.07
29.43
37.49
18.10
31.11
34.99
34.28
46.49
26.91
29.68
27.13
22.43
36.16
29.34
21.48
22.75
34.62
26.66
27.39
59.06
25.03
16.05
19.39

26.74
38.36
21.06
36.74
34.80
34.27
51.56
13.50
60.85
43.89
33.30
64.64
20.09
30.41
48.25
21.97
17.15
21.79
29.22
25.07
14.77
37.16
26.61
25.56
34.97
37.71
81.66
16.33
47.58
36.75
23.66
28.35
21.39
30.27
38.03
19.11
31.90
32.62
34.38
47.02
26.13
30.78
28.15
22.37
35.61
29.05
22.02
21.61
32.98
26.81
28.03
62.04
25.54
16.85
20.39

27.34
38.80
22.85
35.26
33.56
32.91
52.43

23.56
17.14
23.45
18.07
37.68
28.26
50.19
42.42
21.78

23.56
19.33
22.63
18.79
40.77
31.33
52.00
42.41
23.05

23.34
20.24
22.19
19.48
42.24
33.16
52.87
42.39
23.78

43.84
61.54
24.25
29.09
30.31
49.07
21.09

48.70

50.37

31.12
23.58
17.35
31.45
19.17
38.11
40.26
30.57
28.98
35.50
35.05

29.68
37.30

31.70
37.33

27.72
24.69
24.38
34.28

28.70
15.15
30.74
31.94
37.91
32.78
65.90
22.70
28.24
41.53
24.31
22.97
28.61
37.13
38.23
17.06
34.27
26.47
37.80
40.23
45.68
34.29

60.85
44.46
33.72
65.91
21.12
30.02
49.17
22.41
19.90
21.88

15.46
36.29
28.00
28.17
36.23
38.83

37.15

37.68

42.15

42.49

17.09

17.20

34.98

36.62

33.96

34.48

44.91

44.33

47.14

47.74

38.93

38.68

16.85
38.92
22.54
29.36
21.39
31.27
19.69
32.94
27.34
35.13
48.08
32.90
28.41
22.41
31.52

21.93
31.80

57.03
27.12
17.51
21.14

20.36
21.94
21.02
42.88
35.68
52.90
24.63

22.16

41.50
37.56

23.45

40.82
39.07

0.000
0.000
-0.027
-0.244
0.000
-0.827
-0.303
0.000
0.000
-0.205
0.000
-0.060
-0.073
-0.241
0.000
-0.192
0.000
0.000
0.000
-0.170
-0.137
-0.152
0.000
-0.285
-0.314
0.093
-0.191
-0.160
0.000
-0.489
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
-0.255
-0.301
0.000
0.000
-0.381
-0.303
-0.195
-0.288
-1.123
-0.323
0.000
-0.076
0.000
-0.215
0.000
0.000
-0.330
-0.306
0.000
-0.237
0.000

-0.160
-0.205
-0.148
-0.212
-0.117
-0.511
-0.223
0.000
-0.111
-0.201
0.000
-0.019
-0.350
-0.217
-0.134
-0.204
-0.033
0.000
0.004
-0.170
-0.076
-0.176
0.000
-0.282
-0.250
-0.061
-0.176
-0.103
-0.151
-0.366
-0.157
-0.224
-0.129
-0.229
-0.151
-0.109
-0.069
-0.037
-0.085
-0.248
-0.211
-0.041
0.003
-0.420
-0.261
-0.203
-0.275
-0.444
-0.427
-0.281
-0.091
-0.106
-0.253
-0.040
-0.012
-0.329
-0.267
0.003
-0.211
-0.061

-0.201
-0.278
-0.183
-0.183
-0.163
-0.306
-0.180
0.000
-0.159
-0.186
0.000
-0.036
-0.333
-0.200
-0.168
-0.203
-0.066
0.000
-0.028
-0.171
-0.062
-0.182
0.000
-0.264
-0.209
-0.137
-0.164
-0.120
-0.194
-0.302
-0.208
-0.268
-0.176
-0.272
-0.200
-0.160
-0.087
-0.051
-0.117
-0.231
-0.164
-0.061
-0.024
-0.423
-0.229
-0.189
-0.256
-0.191
-0.446
-0.551
-0.102
-0.157
-0.265
-0.064
-0.041
-0.328
-0.238
0.002
-0.197
-0.085

-0.193
-0.235

-0.183
0.000
-0.136
-0.672
-0.193
-0.352
0.347
-0.079
0.000
-0.155
-0.164
-0.085
0.000
-0.186
-0.140
0.000
-0.173
-0.198
-0.207
-0.232
0.001
-0.151
-0.467
0.708
0.000
-0.106
0.000
0.000
-0.076
-0.513
0.000
-0.198
0.000
-0.279
-0.200
-0.341
-0.075
0.000
-0.030
-0.229
-0.154
-0.319
-0.315
-0.095
-0.173
-0.167
0.000
-0.254
-0.120
-0.172
-0.055
0.000
-0.224
0.000
-0.152

-0.188
-0.080
-0.193
-0.525
-0.167
-0.284
0.072
-0.009
0.000
-0.172
-0.172
-0.085
-0.167
-0.228
-0.140
0.096
-0.350
-0.223
-0.233
-0.202
0.001
-0.154
-0.287
0.306
0.028
-0.170
-0.314
-0.052
-0.089
-0.363
-0.001
-0.270
0.009
-0.221
-0.189
-0.277
-0.147
-0.176
-0.029
-0.155
-0.211
-0.275
-0.258
-0.095
-0.176
-0.253
0.004
-0.228
-0.116
-0.202
-0.021
0.011
-0.224
-0.058
-0.267

-0.182
-0.100
-0.200
-0.427
-0.152
-0.240
-0.077
0.003
0.000
-0.166
-0.173
-0.085
-0.219
-0.216
-0.137
0.088
-0.377
-0.226
-0.223
-0.176
0.001
-0.150
-0.186
-0.015
0.005
-0.169
-0.375
-0.089
-0.214
-0.195
-0.004
-0.286
0.002
-0.186
-0.181
-0.226
-0.166
-0.219
-0.025
-0.115
-0.230
-0.243
-0.225
-0.094
-0.169
-0.255
-0.031
-0.207
-0.116
-0.216
-0.043
0.003
-0.211
-0.087
-0.286

-0.152
-0.065
-0.174
-0.268
-0.135 -0.117 -0.097
-0.200
-0.135

0.000
-0.220
-0.437
-0.075
-0.073
-0.163
0.000
-0.155
0.000

0.000
-0.204
-0.330
-0.289
-0.121
-0.214
0.052
-0.154
-0.030

0.000
-0.189
-0.260
-0.358
-0.138
-0.226
0.072
-0.154
-0.054

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

-0.133
-0.135
-0.114
-0.151
-0.161
-0.121 -0.201 -0.133
0.000

-0.161
-0.178
-0.160
0.000
-0.156
-0.128
-0.158
-0.179
-0.157 -0.127 -0.102
-0.158 -0.173 -0.139
-0.137

-0.248
-0.202
-0.189
-0.077

-0.205
-0.051
-0.092
-0.173
-0.134 -0.059 -0.064
-0.080
-0.074
-0.349
-0.168
-0.151 -0.132 -0.122
-0.196
-0.150
-0.318
-0.860
-0.215
-0.234 -0.169 -0.150
-0.081
-0.130
-0.184 -0.125 -0.106
-0.004
-0.176
-0.077

0.000
-0.135 -0.125 -0.116
-0.162
-0.246
-0.163
-0.161
-0.120 -0.117 -0.098
-0.110
-0.252
-0.184

0.008
-0.130
-0.174
-0.179
-0.138
-0.139 -0.127 -0.112
-0.129
-0.727
0.345
-0.219
-0.043
-0.147
-0.135
-0.113
-0.059
-0.009
-0.084
-0.186
-0.190
-0.140
-0.130

-0.164
-0.128

-0.047
-0.159
-0.116
-0.151 -0.148 -0.097

-0.148
-0.186
-0.287
-0.115 -0.119 -0.104
-0.185 -0.131 -0.120
0.048
-0.099

0.000
0.000
-0.001
0.001
0.000
0.027
0.009
0.000
0.000
0.009
0.000
0.000
0.000
0.006
0.000
0.001
0.000
0.000
0.000
0.000
0.000
0.008
0.000
0.009
0.012
0.012
0.006
0.002
0.000
0.016
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.009
0.011
0.000
0.000
0.006
0.008
0.005
0.007
0.016
0.007
0.000
0.001
0.000
0.011
0.000
0.000
0.002
0.010
0.000
0.011
0.000

0.008
0.006
0.003
0.003
0.001
0.018
0.005
0.000
0.001
0.007
0.000
0.000
0.011
0.004
0.005
0.004
0.002
0.000
0.000
0.000
0.000
0.005
0.000
0.005
0.007
0.007
0.003
0.001
0.004
0.010
0.005
0.010
-0.002
0.007
0.004
0.000
-0.001
0.000
0.004
0.006
0.006
0.000
0.000
0.007
0.006
0.004
0.006
0.033
0.007
0.007
0.003
0.006
0.010
0.000
0.000
0.002
0.008
0.000
0.007
0.002

0.009
0.007
0.004
0.003
0.002
0.011
0.004
0.000
0.002
0.005
0.000
0.001
0.011
0.003
0.006
0.004
0.004
0.000
0.000
0.000
0.000
0.003
0.000
0.003
0.005
0.004
0.002
0.002
0.004
0.007
0.005
0.012
-0.002
0.007
0.005
0.001
-0.001
0.001
0.005
0.004
0.004
0.001
0.001
0.008
0.005
0.003
0.005
0.034
0.007
0.015
0.003
0.007
0.008
0.000
0.001
0.002
0.006
0.000
0.005
0.003

0.004
0.000
0.005
0.015
0.005
0.007
0.014
0.001
0.000
0.010
0.010
0.000
0.000
0.006
0.009
0.000
0.003
0.003
0.002
0.006
0.000
-0.001
0.020
-0.002
0.000
0.004
0.000
0.000
0.001
-0.002
0.000
0.003
0.000
0.009
0.004
0.012
0.001
0.000
0.000
0.013
0.000
0.007
0.009
0.001
0.004
0.002
0.000
0.006
0.009
0.002
0.000
0.000
0.004
0.000
0.002

0.006
0.004
0.007
0.011
0.005
0.005
0.009
0.000
0.000
0.007
0.006
0.000
0.006
0.007
0.005
0.000
0.011
0.004
0.007
0.005
0.000
0.003
0.011
0.021
-0.001
0.003
0.001
0.000
0.002
-0.002
-0.001
0.003
0.000
0.006
0.003
0.006
0.002
0.002
0.001
0.007
0.003
0.006
0.006
0.001
-0.004
0.007
0.000
0.006
0.007
0.008
0.000
0.000
0.005
0.001
0.005

0.006
0.005
0.006
0.008
0.004
0.004
0.005
0.000
0.000
0.005
0.004
0.000
0.007
0.008
0.003
0.001
0.011
0.004
0.007
0.005
0.000
0.005
0.006
0.037
0.000
0.002
0.001
0.000
0.003
0.000
0.000
0.003
0.000
0.004
0.002
0.004
0.002
0.002
0.002
0.005
0.004
0.005
0.005
0.001
-0.006
0.007
0.001
0.006
0.005
0.009
0.001
0.000
0.006
0.002
0.006

0.000 0.000
0.003 0.004
0.017 0.012
0.001 0.009
0.009 0.005
0.004 0.004
0.000 0.002
0.001 0.001
0.000 -0.001

0.000
0.005
0.008
0.011
0.003
0.003
0.002
0.001
0.000

0.004
0.006
0.002
0.001
0.004
0.002
0.002
0.002
0.000

0.001

0.001

0.002
0.002

0.001
0.002

0.002

0.001

0.001

0.001

0.004

0.003

0.003

0.002

0.001

0.001

0.000

0.000

0.001

0.001

0.001

0.001

-0.001
0.005
0.003
0.004 0.003

0.002

0.004
0.003
0.004
0.000
0.004
0.000
0.002
0.002
0.002
0.003
0.001

0.004
0.004
0.004
-0.001

0.009
0.001
0.003
0.003
0.001
0.001
0.003
0.006
0.003
0.001
0.003
0.006
0.005
0.036
0.005
0.006
0.000
0.004
0.002
0.000
0.003
0.001
0.002
0.003
0.003
0.002
0.002
0.002
0.003
0.000
0.002
0.002
0.001
0.005
0.008
0.001
0.003
0.004
0.003

0.000
0.003
0.001
0.028
0.004
0.001
0.001
-0.001
0.010
0.002
0.001
0.002
0.007
0.000
0.004
0.002
0.002
0.003
0.002
0.003
0.002

0.005
0.002

0.004
0.005
0.007
0.001
0.002
0.001
0.002

0.000
0.001

0.000
0.001

15.05.2013

S&P 1000 Index

Ticker

Name

GICS_SECTOR_NAME

ATM2 Ref

Dividend
Yield

Next ExDividend
Date

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


2
IVt = atx + btx + ct

ATM2
ATM2
ATM2
ATM2
ATM2
ATM2
ATM2
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

CST UN Equity

CST BRANDS INC

Consumer Discretionary

33.16

33.84

33.82

33.02

-0.003 0.002

0.004

CTS UN Equity

CTS CORP

Information Technology

10.93

1.28%

26.06.2013

35.72

34.30

34.36

0.000 -0.027 -0.050

0.000

0.000

0.000

CUB UN Equity

CUBIC CORP

Industrials

45.85

0.57%

28.08.2013

21.11

20.84

21.79

-0.132 -0.104 -0.096

0.004

0.004

0.003

CBST UW Equity CUBIST PHARMACEUTICALS INC

Health Care

48.45

43.72

39.67

37.41

-0.676 -0.410 -0.243 -0.126

0.008

0.006

0.004

CFR UN Equity

CULLEN/FROST BANKERS INC

Financials

63.06

3.17%

30.08.2013

13.12

13.00

13.81

-0.063 -0.064 -0.129

0.000

0.001

0.003

CW UN Equity

CURTISS-WRIGHT CORP

Industrials

35.56

1.12%

02.10.2013

23.32

23.52

23.64

23.72

0.000 -0.098 -0.146 -0.167

0.000

0.001

0.002

0.003

CVBF UW Equity CVB FINANCIAL CORP

Financials

11.35

3.00%

01.07.2013

24.33

24.27

24.21

23.92

-0.140 -0.140 -0.140 -0.144

0.000

0.000

0.000

0.000

CYBX UW Equity CYBERONICS INC

Health Care

48.30

43.45

42.13

42.18

-0.204 -0.185 -0.167

0.008

0.007

0.005

CYMI UW Equity

CYMER INC

Information Technology

109.67

20.50

23.36

24.19

23.54

-0.188 -0.318 -0.372 -0.370

0.004

0.003

0.003

0.004

CY UW Equity

CYPRESS SEMICONDUCTOR CORP

Information Technology

11.15

3.95%

24.09.2013

31.04

33.38

34.50

35.40

-0.470 -0.292 -0.196 -0.136 -0.140 -0.120

0.013

0.007

0.004

0.002

CYT UN Equity

CYTEC INDUSTRIES INC

Materials

71.66

0.77%

09.08.2013

23.25

25.21

25.98

25.88

-0.204 -0.190 -0.193 -0.228

0.004

0.003

0.003

0.004

DAKT UW Equity DAKTRONICS INC

Information Technology

10.39

2.21%

11.06.2013

39.85

37.03

36.21

0.000

0.017 -0.023

0.000

0.000

0.000

DAR UN Equity

-0.143 -0.103 -0.102

DARLING INTERNATIONAL INC

31.98

0.410

36.81

36.98

38.30

0.157

0.048

0.045

0.004

0.003

Consumer Staples

18.79

26.54

25.04

24.83

TRAK UW Equity DEALERTRACK TECHNOLOGIES INC

Information Technology

31.41

29.51

29.77

30.08

30.92

DECK UW Equity DECKERS OUTDOOR CORP

Consumer Discretionary

55.23

36.90

37.25

39.72

42.45

DEL UN Equity

DELTIC TIMBER CORP

Materials

67.67

0.59%

04.09.2013

DLX UN Equity

DELUXE CORP

Industrials

39.42

2.54%

22.08.2013

27.98

27.67

27.74

DV UN Equity

DEVRY INC

1.19%

21.06.2013

30.33

34.44

36.33

37.10

43.53

41.58

40.47

39.05

4.41%

12.06.2013

23.37

24.44

25.23

26.62

39.05

42.66

43.79

42.13

0.000 -0.072 -0.085 -0.033

0.000

0.001

0.000

0.000

43.10

43.25

0.001

0.000

0.001

0.000 -0.084 -0.122 -0.129

0.000

0.003

0.004

0.003

-0.199 -0.175 -0.169 -0.146 -0.143 -0.128

0.010

0.005

0.003

0.001

-0.221 -0.258 -0.257

0.004

0.007

0.007

-0.281 -0.230 -0.198 -0.137

0.008

0.005

0.004

0.002

-0.033 -0.048 -0.055 -0.093 -0.082 -0.073

0.013

0.009

0.006

0.003

0.000

0.000 -0.001 -0.001 0.001

Consumer Discretionary

30.19

DMND UW Equity DIAMOND FOODS INC

Consumer Staples

16.18

DRH UN Equity

DIAMONDROCK HOSPITALITY CO

Financials

10.08

DHX UN Equity

DICE HOLDINGS INC

Information Technology

8.92

DKS UN Equity

DICK'S SPORTING GOODS INC

Consumer Discretionary

53.00

0.94%

03.06.2013

30.55

28.04

26.70

26.06

-0.357 -0.271 -0.216 -0.153 -0.144 -0.121

0.009

0.006

0.004

0.002

DBD UN Equity

DIEBOLD INC

Information Technology

30.67

2.83%

30.08.2013

19.77

21.64

22.48

22.69

0.000 -0.087 -0.112 -0.083

0.000

0.003

0.003

0.002

DGII UW Equity

DIGI INTERNATIONAL INC

Information Technology

9.38

35.38

36.13

36.47

36.48

0.000

0.000 -0.001 -0.001 0.000

DGIT UW Equity

DIGITAL GENERATION INC

Consumer Discretionary

7.47

42.81

DRIV UW Equity

DIGITAL RIVER INC

43.19

26.23

42.19

26.78

0.029

0.030

0.024 -0.044

0.035 -0.006

49.87

53.05

54.23

0.000 -0.113 -0.154 -0.143

0.000

0.000

0.000

0.001

Information Technology

16.78

38.60

39.54

40.17

41.13

0.006 -0.067 -0.102 -0.108

0.002

0.003

0.003

0.002

DCOM UW Equity DIME COMMUNITY BANCSHARES

Financials

14.42

3.88%

08.08.2013

85.84

86.74

87.62

76.51

-0.884 -0.894 -0.904 -0.766

0.019

0.018

0.017

0.012

DIN UN Equity

DINEEQUITY INC

Consumer Discretionary

72.51

4.14%

11.09.2013

21.80

24.78

26.18

26.88

-0.348 -0.297 -0.261 -0.186

0.011

0.005

0.003

0.005

DIOD UW Equity

DIODES INC

Information Technology

24.29

33.59

34.20

34.72

35.76

-0.233 -0.245 -0.242 -0.200

0.007

0.005

0.003

0.002

UFS UN Equity

DOMTAR CORP

Materials

73.99

2.97%

17.09.2013

26.64

27.24

27.61

-0.275 -0.264 -0.226

0.012

0.010

0.009

DCI UN Equity

DONALDSON CO INC

Industrials

38.34

1.20%

05.06.2013

20.81

22.12

22.14

21.35

-0.213 -0.251 -0.253 -0.205

0.004

0.006

0.007

0.005

DORM UW Equity DORMAN PRODUCTS INC

Consumer Discretionary

44.24

28.11

28.52

28.92

29.82

-0.176 -0.180 -0.164 -0.099

0.003

0.005

0.006

0.002

DWA UW Equity

DREAMWORKS ANIMATION SKG-A

Consumer Discretionary

21.97

26.19

29.62

31.27

32.29

-0.057 -0.097 -0.112 -0.105

0.005

0.004

0.003

0.002

DRC UN Equity

DRESSER-RAND GROUP INC

Energy

62.25

36.26

35.79

35.50

35.12

0.013 -0.013 -0.032 -0.065

0.008

0.005

0.003

0.002

DW UN Equity

DREW INDUSTRIES INC

Consumer Discretionary

36.85

24.14

24.58

25.41

-0.073 -0.097 -0.119

0.000

0.001

0.002

DRQ UN Equity

DRIL-QUIP INC

Energy

91.42

21.25

22.38

23.16

24.60

-0.360 -0.272 -0.223 -0.182

0.011

0.010

0.009

0.006

15.50

16.85

17.56

18.40

-0.104 -0.150 -0.176 -0.210

0.002

0.003

0.004

0.006

29.52

30.55

31.29

32.59

-0.103 -0.138 -0.149 -0.132

0.002

0.004

0.005

0.003

18.80

18.20

17.77

16.83

0.000 -0.007 -0.006 0.019

0.000 -0.001 -0.001 0.003

38.88

38.17

37.77

37.45

-0.234 -0.214 -0.195 -0.144

0.000

0.002

0.002

DSPG UW Equity DSP GROUP INC

Information Technology

8.03

DST UN Equity

DST SYSTEMS INC

Information Technology

70.01

DTSI UW Equity

DTS INC

Information Technology

19.67

DRE UN Equity

DUKE REALTY CORP

Financials

18.49

DY UN Equity

DYCOM INDUSTRIES INC

Industrials

19.49

EXP UN Equity

EAGLE MATERIALS INC

2.18%

09.08.2013

2.76%

15.08.2013

74.71

0.54%

21.06.2013

38.47

37.94

37.59

-0.350 -0.313 -0.270

0.007

0.005

0.003

Financials

25.22

2.62%

09.08.2013

17.47

18.78

19.20

0.000 -0.104 -0.129

0.000

0.002

0.003

EGP UN Equity

EASTGROUP PROPERTIES INC

Financials

65.37

3.33%

12.06.2013

15.22

14.60

14.28

14.37

0.000 -0.070 -0.100 -0.087

0.000 -0.001 0.000

0.002

EV UN Equity

EATON VANCE CORP

Financials

43.00

1.93%

31.07.2013

23.75

22.64

22.43

23.88

-0.026 -0.186 -0.249 -0.248

0.000

0.007

0.009

0.006

EBIX UW Equity

EBIX INC

Information Technology

19.72

2.00%

20.05.2013

20.04

21.31

21.03

18.67

-0.143 -0.527 -0.702 -0.576

0.008

0.012

0.013

0.009

EHTH UW Equity EHEALTH INC

Financials

24.14

38.41

40.43

41.48

41.77

-0.305 -0.339 -0.322 -0.180

0.007

0.004

0.003

0.002

EE UN Equity

EL PASO ELECTRIC CO

Utilities

37.61

2.82%

10.09.2013

15.95

15.95

15.95

15.61

0.000

0.000 -0.037

0.000

0.000

0.000

0.000

ESIO UW Equity

ELECTRO SCIENTIFIC INDS INC

Information Technology

11.02

2.90%

23.08.2013

43.18

41.77

40.63

38.38

0.000 -0.171 -0.242 -0.186

0.000

0.002

0.003

0.002

EFII UW Equity

ELECTRONICS FOR IMAGING

Information Technology

26.48

30.00

29.66

29.62

0.000 -0.142 -0.174

0.000

0.003

0.004

EME UN Equity

EMCOR GROUP INC

Industrials

40.00

23.47

23.09

23.30

-0.297 -0.353 -0.340

0.006

0.009

0.009

EBS UN Equity

EMERGENT BIOSOLUTIONS INC

Health Care

14.39

41.59

39.32

38.15

-0.235 -0.249 -0.237 -0.145

0.004

0.006

0.006

EIG UN Equity

EMPLOYERS HOLDINGS INC

74.90

87.87

92.06

0.794

0.002 -0.013 -0.020

25.82

27.65

28.34

27.75

21.27

23.35

24.46

25.48

36.97

36.02

35.63

35.44

0.70%

17.07.2013

1.18%

12.08.2013

Financials

25.38

ECPG UW Equity ENCORE CAPITAL GROUP INC

Financials

31.93

WIRE UW Equity ENCORE WIRE CORP

Industrials

34.85

ENDP UW Equity ENDO HEALTH SOLUTIONS INC

Health Care

33.41

EGN UN Equity

ENERGEN CORP

Energy

51.10

0.86%

15.08.2013

24.03

22.90

22.94

ENR UN Equity

ENERGIZER HOLDINGS INC

Consumer Staples

101.70

1.57%

16.08.2013

18.58

22.32

23.67

ENS UN Equity

ENERSYS

Industrials

48.64

25.07

25.27

EGL UN Equity

ENGILITY HOLDINGS INC

Industrials

23.62

NPO UN Equity

ENPRO INDUSTRIES INC

Industrials

50.05

27.30

27.78

ENSG UW Equity ENSIGN GROUP INC/THE

Health Care

35.13

24.71

ENTR UW Equity ENTROPIC COMMUNICATIONS INC

Information Technology

4.22

44.87

ENZ UN Equity

ENZO BIOCHEM INC

Health Care

2.24

EPIQ UW Equity

EPIQ SYSTEMS INC

Information Technology

12.54

2.87%

16.07.2013

EPR UN Equity

EPR PROPERTIES

Financials

59.01

5.49%

29.05.2013

EQIX UW Equity

EQUINIX INC

Information Technology

EQY UN Equity

EQUITY ONE INC

Financials

26.19

ERA UN Equity

ERA GROUP INC

Energy

26.13

ESE UN Equity

ESCO TECHNOLOGIES INC

Industrials

ESS UN Equity

ESSEX PROPERTY TRUST INC

Financials

ESL UN Equity

ESTERLINE TECHNOLOGIES CORP

Industrials

79.06

ETH UN Equity

ETHAN ALLEN INTERIORS INC

Consumer Discretionary

RE UN Equity

EVEREST RE GROUP LTD

Financials

SSP UN Equity

EW SCRIPPS CO/THE-A

Consumer Discretionary

13.58

EXAR UW Equity EXAR CORP

Information Technology

10.99

XLS UN Equity

EXELIS INC

Industrials

11.83

EXLS UW Equity

EXLSERVICE HOLDINGS INC

0.23%

0.77%

26.06.2013

28.06.2013

230.60

37.87

0.779

0.626

0.000

0.000

0.000

0.003

0.001

0.002

0.003

0.000 -0.075 -0.114 -0.159

0.000

0.005 -0.001 -0.002 0.001

-0.214 -0.220 -0.221

0.006

0.004

0.003

23.57

-0.304 -0.261 -0.224 -0.149

0.009

0.007

0.006

0.003

25.58

26.61

-0.365 -0.276 -0.220 -0.159

0.012

0.009

0.007

0.003

27.93

27.68

-0.312 -0.218 -0.160 -0.105

0.013

0.009

0.006

0.003

27.19

28.29

28.49

0.000 -0.158 -0.228 -0.235

0.000 -0.004 -0.005 -0.001

45.64

46.51

48.82

0.000 -0.059 -0.094 -0.125

0.000 -0.002 -0.002 0.001

65.83

67.64

66.77

0.000

0.000

0.000

0.000

0.000

0.000

28.45

28.93

29.69

0.000

0.002 -0.012

0.000

0.000

0.001

16.10

15.40

15.39

-0.135 -0.203 -0.227

0.001

0.005

0.005

25.63

27.05

28.04

29.91

-0.309 -0.248 -0.209 -0.157 -0.109 -0.087

0.012

0.008

30.59

34.21

30.99

0.006

0.003

3.36%

13.09.2013

18.21

16.28

15.46

15.89

0.000 -0.196 -0.255 -0.092

0.000

0.006

0.009

0.003

32.53

1.05%

04.10.2013

32.21

31.40

30.63

28.58

-0.194 -0.191 -0.184 -0.158

0.000

0.004

0.006

0.005

164.93

2.99%

28.06.2013

12.60

12.69

13.22

-0.106 -0.130 -0.164

0.001

0.003

0.005

26.42

26.25

26.12

26.00

-0.145 -0.157 -0.155 -0.123

0.003

0.003

0.003

0.003

34.07

-0.142 -0.281 -0.307 -0.191

0.000

0.005

0.006

0.003

-0.157 -0.119 -0.122

0.002

0.002

0.003

-0.007 -0.072 -0.109 -0.137

0.000 -0.001 0.000

32.41

1.30%

10.10.2013

32.10

32.90

33.36

136.37

1.46%

22.05.2013

14.92

15.07

15.54

35.37

34.95

34.50

30.12

31.55

32.32

0.000 -0.011 -0.003

0.000

0.000

0.000

26.06

27.04

26.92

0.000 -0.296 -0.296

0.000

0.005

0.005

71.33

60.46

52.38

0.000

0.000 -0.001 0.006

23.70

24.52

25.06

25.80

-0.112 -0.155 -0.183 -0.240

0.002

0.004

0.004

0.002

31.97

33.20

33.73

33.87

-0.209 -0.185 -0.171 -0.163

0.004

0.006

0.006

0.003

14.99

15.73

16.25

17.24

0.000 -0.027 -0.042 -0.060

0.000

0.001

0.001

0.000

32.77

34.04

34.64

34.88

-0.142 -0.147 -0.143 -0.109

0.001

0.003

0.004

0.003

23.07

-0.364 -0.288 -0.243 -0.218

0.010

0.008

0.006

0.004

-0.219 -0.253 -0.241

0.004

0.009

0.009

3.49%

28.08.2013

33.29

Information Technology

29.41

Industrials

54.48

EXH UN Equity

EXTERRAN HOLDINGS INC

Energy

28.98

EXR UN Equity

EXTRA SPACE STORAGE INC

Financials

43.98

EZPW UW Equity EZCORP INC-CL A

Financials

19.00

FDS UN Equity

FACTSET RESEARCH SYSTEMS INC

Information Technology

97.84

1.43%

28.08.2013

26.02

23.99

23.03

FICO UN Equity

FAIR ISAAC CORP

Information Technology

49.99

0.28%

18.05.2013

18.57

19.89

20.73

FCS UN Equity

FAIRCHILD SEMICONDUCTOR INTE

Information Technology

14.72

33.11

33.63

33.96

34.29

-0.256 -0.308 -0.299 -0.180

0.000

0.005

0.006

0.003

2.36%

14.06.2013

35.58

0.005 -0.048

FARO UW Equity FARO TECHNOLOGIES INC

Information Technology

35.22

36.39

37.28

38.89

-0.137 -0.132 -0.127 -0.106

0.004

0.004

0.004

0.002

FRT UN Equity

FEDERAL REALTY INVS TRUST

Financials

117.39

2.62%

20.09.2013

14.55

12.31

12.15

15.76

-0.090 -0.337 -0.405 -0.165

0.000

0.007

0.008

0.003

FSS UN Equity

FEDERAL SIGNAL CORP

Industrials

8.61

0.58%

19.06.2013

49.75

45.75

44.33

46.59

0.000 -0.079 -0.119 -0.093

0.000

0.000 -0.001 0.001

FII UN Equity

FEDERATED INVESTORS INC-CL B

Financials

25.42

3.78%

08.08.2013

24.78

24.45

24.41

-0.205 -0.114 -0.097

0.005

0.003

0.002

FEIC UW Equity

FEI COMPANY

Information Technology

70.83

0.45%

05.07.2013

24.15

25.66

26.82

29.22

-0.556 -0.446 -0.362 -0.230

FNF UN Equity

FIDELITY NATIONAL FINL-A

Financials

25.39

2.60%

16.09.2013

20.94

21.38

21.57

21.67

FNP UN Equity

FIFTH & PACIFIC COS INC

Consumer Discretionary

22.38

34.41

34.38

35.66

38.58

FNGN UW Equity FINANCIAL ENGINES INC

Financials

42.33

0.12%

27.47

27.93

28.27

FINL UW Equity

FINISH LINE/THE - CL A

Consumer Discretionary

21.42

1.35%

28.08.2013

32.60

34.24

35.12

FAF UN Equity

FIRST AMERICAN FINANCIAL

Financials

25.50

1.88%

26.06.2013

27.02

27.05

31.79

FBP UN Equity

FIRST BANCORP PUERTO RICO

Financials

6.06

35.55

37.82

38.83

38.99

FCFS UW Equity

FIRST CASH FINL SVCS INC

Financials

55.48

25.77

26.52

26.78

25.53

FCF UN Equity

FIRST COMMONWEALTH FINL CORP

Financials

7.30

3.28%

31.07.2013

131.30

131.30

131.30

0.000

0.000

FFBC UW Equity

FIRST FINANCIAL BANCORP

Financials

15.65

6.77%

28.08.2013

25.33

25.35

25.21

0.000

0.022

FFIN UW Equity

FIRST FINL BANKSHARES INC

Financials

53.18

1.96%

13.09.2013

21.93

21.07

20.60

FMBI UW Equity

FIRST MIDWEST BANCORP INC/IL

Financials

13.27

1.50%

02.10.2013

35.98

29.35

25.54

0.019

0.016

0.013

0.008

0.000 -0.133 -0.181 -0.152

0.000

0.005

0.007

0.005

-0.119 -0.171 -0.189 -0.163 -0.102 -0.085

0.004

0.005

0.004

0.002

28.91

-0.055 -0.162 -0.201 -0.166

0.000

0.003

0.004

0.003

35.98

-0.101 -0.145 -0.149 -0.102

0.001

0.005

0.006

0.002

0.000 -0.309 -0.615

0.000

0.013

0.016

0.000 -0.152 -0.209 -0.190

0.000

0.004

0.006

0.005

-0.138 -0.166 -0.190 -0.245

0.003

0.002

0.002

0.004

0.000

0.000

0.000

0.000

0.004 -0.115

0.000

0.000

0.000

-0.060 -0.068 -0.084

0.000

0.000

0.001

0.000 -0.001 0.003 -0.126

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.025

0.018 -0.038

0.000 -0.001 -0.001 0.001

39.75

39.96

24.45
30.95

FNFG UW Equity FIRST NIAGARA FINANCIAL GRP

Financials

9.89

3.24%

31.07.2013

19.82

20.17

20.87

FMER UW Equity FIRSTMERIT CORP

Financials

17.97

3.56%

30.05.2013

20.58

19.49

19.41

FLO UN Equity

FLOWERS FOODS INC

Consumer Staples

34.16

2.03%

12.06.2013

27.94

27.14

26.45

FNB UN Equity

FNB CORP

Financials

11.73

4.09%

30.05.2013

25.72

25.72

25.72

26.12

FL UN Equity

FOOT LOCKER INC

Consumer Discretionary

36.57

2.24%

17.07.2013

29.17

28.03

27.32

26.84

27.41

28.24

FST UN Equity

FOREST OIL CORP

Energy

5.11

63.45

63.36

62.83

60.33

59.86

60.25

FOR UN Equity

FORESTAR GROUP INC

Financials

24.71

34.74

35.04

35.75

FORR UW Equity FORRESTER RESEARCH INC

Information Technology

35.99

1.67%

20.56

20.47

FBHS UN Equity

30.16
61.34
52.21

FORTUNE BRANDS HOME & SECURI

03.09.2013

21.08

0.002

0.001

0.001

0.001

0.001

0.001

0.000

0.000

0.001

0.002
0.017

0.001

0.002

0.002

0.000

0.000 -0.108

0.000

0.000

0.000

0.002

-0.256 -0.233 -0.209 -0.167 -0.150 -0.126

0.007

0.006

0.005

0.002

0.001

0.001

-0.035 -0.059 -0.086 -0.156 -0.102 -0.098

-0.001 0.001

0.001

0.002

0.001

0.000

38.27

-0.014 -0.174 -0.200 -0.042

0.000

0.006

0.006

0.001

20.59

21.36

0.000 -0.069 -0.100 -0.107

0.000

0.002

0.003

0.003

30.71

31.14

31.98

-0.052 -0.101 -0.120 -0.119

0.000

61.34

61.34

61.34

0.000

50.44

49.65

50.13

0.001

0.001

0.005

0.003

0.000

Industrials

42.75

0.23%

Industrials

38.25

1.12%

FRAN UW Equity FRANCESCAS HOLDINGS CORP

Consumer Discretionary

29.65

FELE UW Equity

FRANKLIN ELECTRIC CO INC

Industrials

33.46

0.94%

06.08.2013

31.01

31.01

31.01

FSP UA Equity

FRANKLIN STREET PROPERTIES C

Financials

14.04

5.41%

24.07.2013

22.62

22.57

22.52

FRED UW Equity FRED'S INC-CLASS A

Consumer Discretionary

15.50

1.61%

31.05.2013

34.63

33.00

31.42

FCN UN Equity

FTI CONSULTING INC

Industrials

36.53

24.70

26.12

27.26

30.52

-0.376 -0.252 -0.204 -0.283 0.002 -0.056

FULT UW Equity

FULTON FINANCIAL CORP

Financials

11.59

2.76%

05.07.2013

21.69

21.66

21.63

20.67

-0.128 -0.128 -0.128 -0.104

GK UW Equity

G & K SERVICES INC -CL A

Industrials

47.31

1.93%

17.09.2013

22.98

24.54

25.23

25.20

-0.121 -0.126 -0.131 -0.152

GDI UN Equity

GARDNER DENVER INC

Industrials

75.18

0.13%

21.05.2013

IT UN Equity

GARTNER INC

Information Technology

58.25

GMT UN Equity

GATX CORP

Industrials

53.99

2.33%

13.09.2013

GY UN Equity

GENCORP INC

Industrials

BGC UN Equity
GENERAL CABLE CORP
GNCMA UW EquityGENERAL COMMUNICATION INC-A

0.003

-0.144 -0.149 -0.143

FWRD UW Equity FORWARD AIR CORPORATION

23.08.2013

0.000

0.002

EXPO UW Equity EXPONENT INC

0.28%

0.001

0.002

0.000 -0.042 -0.070 -0.125


-0.219 -0.206 -0.163 -0.102 -0.121 -0.096

34.80

0.000

0.002

Materials

EWBC UW Equity EAST WEST BANCORP INC

0.000

0.000

48.89

49.53

21.84
26.54

28.30

0.003

0.004

0.004

0.000

0.000

0.000

0.000

-0.342 -0.279 -0.241 -0.206 -0.168 -0.138

0.008

0.005

0.004

0.002

-0.055 -0.055 -0.055

0.001

0.001

0.001

-0.084 -0.084 -0.084 -0.111

0.001

0.001

0.001

0.000

0.000

0.000

0.000

0.010

0.009

0.007

0.003

0.001

0.001

0.001

0.001

0.000

0.003

0.004

0.003

0.000

0.000

0.000

0.000

0.000

-0.359 -0.406 -0.392

0.001

3.83

4.76

4.96

0.006

0.008

0.009

19.71

20.83

21.54

22.50

-0.065 -0.145 -0.177 -0.182

0.000

0.006

0.007

0.005

22.99

22.30

21.73

21.75

0.146 -0.078 -0.179 -0.216

-0.002 0.003

0.005

0.006

13.87

34.75

33.24

33.19

36.31

-0.070 -0.024 -0.013 -0.048

0.001

0.005

0.007

0.003

Industrials
33.36
Telecommunication Services 9.62

32.30
37.05

35.04
37.60

36.12
38.12

35.85

-0.305 -0.248 -0.214 -0.167


0.000 0.002 -0.013

0.016
0.000

0.009
0.000

0.006
0.000

0.002

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

S&P 1000 Index

15.05.2013

Ticker

Name

GCO UN Equity
GWR UN Equity
GNTX UW Equity
GTIV UW Equity
GEO UN Equity
GEOS UW Equity
GTY UN Equity
ROCK UW Equity
GBCI UW Equity
GPN UN Equity
GSM UW Equity
GOV UN Equity
GGG UN Equity
GVA UN Equity
GXP UN Equity
GB UN Equity
GMCR UW Equity
GHL UN Equity
GEF UN Equity
GFF UN Equity
GPI UN Equity
GTAT UW Equity
GES UN Equity
GIFI UW Equity
GPOR UW Equity
HAE UN Equity
HAIN UW Equity
HBHC UW Equity
HBI UN Equity
HGR UN Equity
HAFC UW Equity
THG UN Equity
HLIT UW Equity
HTSI UN Equity
HSC UN Equity
HHS UN Equity
HVT UN Equity
HE UN Equity
HWKN UW Equity
HAYN UW Equity
FUL UN Equity
HCC UN Equity
HW UN Equity
HMA UN Equity
HNT UN Equity
HR UN Equity
HCSG UW Equity
HSTM UW Equity
HWAY UW Equity
HTLD UW Equity
HPY UN Equity
HSII UW Equity
HELE UW Equity
HLX UN Equity
HSIC UW Equity
MLHR UW Equity
HF UN Equity
HITK UW Equity
HIBB UW Equity
ONE UN Equity
HIW UN Equity
HRC UN Equity
HI UN Equity
HSH UN Equity
HITT UW Equity
HMSY UW Equity
HNI UN Equity
HFC UN Equity
HOLX UW Equity
HOMB UW Equity
HME UN Equity
HMN UN Equity
HOS UN Equity
HPT UN Equity
HOTT UW Equity
HSNI UW Equity
HUBG UW Equity
HUB/B UN Equity
HII UN Equity
ICON UW Equity
ICUI UW Equity
IDA UN Equity
IEX UN Equity
IDXX UW Equity
IGTE UW Equity
IIVI UW Equity
INDB UW Equity
IPCC UW Equity
INFA UW Equity
IM UN Equity
INGR UN Equity
IRC UN Equity
IPHS UW Equity
NSIT UW Equity
NSP UN Equity
IART UW Equity
IDTI UW Equity
IPAR UW Equity
IBKR UW Equity
ININ UW Equity
IDCC UW Equity
TILE UW Equity
IN UN Equity
IBOC UW Equity
IRF UN Equity
ISCA UW Equity
ISIL UW Equity
IILG UW Equity
IVAC UW Equity
IPI UN Equity
IVC UN Equity
ITG UN Equity
IO UN Equity
IPCM UW Equity
IRBT UW Equity
ITRI UW Equity
ITT UN Equity
ESI UN Equity
XXIA UW Equity
JJSF UW Equity
JCOM UW Equity
JKHY UW Equity
JACK UW Equity
JAKK UW Equity
JNS UN Equity
JAH UN Equity

GENESCO INC
GENESEE & WYOMING INC-CL A
GENTEX CORP
GENTIVA HEALTH SERVICES
GEO GROUP INC/THE
GEOSPACE TECHNOLOGIES CORP
GETTY REALTY CORP
GIBRALTAR INDUSTRIES INC
GLACIER BANCORP INC
GLOBAL PAYMENTS INC
GLOBE SPECIALTY METALS INC
GOVERNMENT PROPERTIES INCOME
GRACO INC
GRANITE CONSTRUCTION INC
GREAT PLAINS ENERGY INC
GREATBATCH INC
GREEN MOUNTAIN COFFEE ROASTE
GREENHILL & CO INC
GREIF INC-CL A
GRIFFON CORP
GROUP 1 AUTOMOTIVE INC
GT ADVANCED TECHNOLOGIES INC
GUESS? INC
GULF ISLAND FABRICATION INC
GULFPORT ENERGY CORP
HAEMONETICS CORP/MASS
HAIN CELESTIAL GROUP INC
HANCOCK HOLDING CO
HANESBRANDS INC
HANGER INC
HANMI FINANCIAL CORPORATION
HANOVER INSURANCE GROUP INC/
HARMONIC INC
HARRIS TEETER SUPERMARKETS I
HARSCO CORP
HARTE-HANKS INC
HAVERTY FURNITURE
HAWAIIAN ELECTRIC INDS
HAWKINS INC
HAYNES INTERNATIONAL INC
H.B. FULLER CO.
HCC INSURANCE HOLDINGS INC
HEADWATERS INC
HEALTH MGMT ASSOCIATES INC-A
HEALTH NET INC
HEALTHCARE REALTY TRUST INC
HEALTHCARE SERVICES GROUP
HEALTHSTREAM INC
HEALTHWAYS INC
HEARTLAND EXPRESS INC
HEARTLAND PAYMENT SYSTEMS IN
HEIDRICK & STRUGGLES INTL
HELEN OF TROY LTD
HELIX ENERGY SOLUTIONS GROUP
HENRY SCHEIN INC
HERMAN MILLER INC
HFF INC-CLASS A
HI-TECH PHARMACAL CO INC
HIBBETT SPORTS INC
HIGHER ONE HOLDINGS INC
HIGHWOODS PROPERTIES INC
HILL-ROM HOLDINGS INC
HILLENBRAND INC
HILLSHIRE BRANDS CO
HITTITE MICROWAVE CORP
HMS HOLDINGS CORP
HNI CORP
HOLLYFRONTIER CORP
HOLOGIC INC
HOME BANCSHARES INC
HOME PROPERTIES INC
HORACE MANN EDUCATORS
HORNBECK OFFSHORE SERVICES
HOSPITALITY PROPERTIES TRUST
HOT TOPIC INC
HSN INC
HUB GROUP INC-CL A
HUBBELL INC -CL B
HUNTINGTON INGALLS INDUSTRIE
ICONIX BRAND GROUP INC
ICU MEDICAL INC
IDACORP INC
IDEX CORP
IDEXX LABORATORIES INC
IGATE CORP
II-VI INC
INDEPENDENT BANK CORP/MA
INFINITY PROPERTY & CASUALTY
INFORMATICA CORP
INGRAM MICRO INC-CL A
INGREDION INC
INLAND REAL ESTATE CORP
INNOPHOS HOLDINGS INC
INSIGHT ENTERPRISES INC
INSPERITY INC
INTEGRA LIFESCIENCES HOLDING
INTEGRATED DEVICE TECH INC
INTER PARFUMS INC
INTERACTIVE BROKERS GRO-CL A
INTERACTIVE INTELLIGENCE GRO
INTERDIGITAL INC
INTERFACE INC
INTERMEC INC
INTERNATIONAL BANCSHARES CRP
INTL RECTIFIER CORP
INTL SPEEDWAY CORP-CL A
INTERSIL CORP-A
INTERVAL LEISURE GROUP
INTEVAC INC
INTREPID POTASH INC
INVACARE CORP
INVESTMENT TECHNOLOGY GROUP
ION GEOPHYSICAL CORP
IPC THE HOSPITALIST CO
IROBOT CORP
ITRON INC
ITT CORP
ITT EDUCATIONAL SERVICES INC
IXIA
J & J SNACK FOODS CORP
J2 GLOBAL INC
JACK HENRY & ASSOCIATES INC
JACK IN THE BOX INC
JAKKS PACIFIC INC
JANUS CAPITAL GROUP INC
JARDEN CORP

GICS_SECTOR_NAME
Consumer Discretionary
Industrials
Consumer Discretionary
Health Care
Financials
Energy
Financials
Industrials
Financials
Information Technology
Materials
Financials
Industrials
Industrials
Utilities
Health Care
Consumer Staples
Financials
Materials
Industrials
Consumer Discretionary
Information Technology
Consumer Discretionary
Energy
Energy
Health Care
Consumer Staples
Financials
Consumer Discretionary
Health Care
Financials
Financials
Information Technology
Consumer Staples
Industrials
Consumer Discretionary
Consumer Discretionary
Utilities
Materials
Materials
Materials
Financials
Materials
Health Care
Health Care
Financials
Industrials
Health Care
Health Care
Industrials
Information Technology
Industrials
Consumer Discretionary
Energy
Health Care
Industrials
Financials
Health Care
Consumer Discretionary
Information Technology
Financials
Health Care
Consumer Discretionary
Consumer Staples
Information Technology
Health Care
Industrials
Energy
Health Care
Financials
Financials
Financials
Energy
Financials
Consumer Discretionary
Consumer Discretionary
Industrials
Industrials
Industrials
Consumer Discretionary
Health Care
Utilities
Industrials
Health Care
Information Technology
Industrials
Financials
Financials
Information Technology
Information Technology
Consumer Staples
Financials
Materials
Information Technology
Industrials
Health Care
Information Technology
Consumer Staples
Financials
Information Technology
Information Technology
Industrials
Information Technology
Financials
Information Technology
Consumer Discretionary
Information Technology
Consumer Discretionary
Information Technology
Materials
Health Care
Financials
Energy
Health Care
Consumer Discretionary
Information Technology
Industrials
Consumer Discretionary
Information Technology
Consumer Staples
Information Technology
Information Technology
Consumer Discretionary
Consumer Discretionary
Financials
Consumer Discretionary

ATM2 Ref
65.20
91.77
25.01
10.31
38.43
87.63
22.70
17.41
19.44
46.71
12.48
26.66
62.15
31.40
24.20
31.09
78.85
48.41
49.99
11.01
64.90
4.14
30.08
20.12
49.04
39.41
64.44
28.36
51.32
32.21
16.26
51.06
5.96
45.88
23.16
8.64
24.49
27.92
38.53
47.92
39.71
43.59
11.55
11.01
31.70
29.89
22.41
23.99
14.24
14.22
31.97
14.75
37.37
24.74
95.35
26.40
20.19
31.61
60.76
11.47
39.86
36.98
25.31
36.65
56.38
25.92
36.59
48.31
21.21
41.76
65.59
22.74
51.47
30.53
13.94
56.33
39.03
98.36
54.42
30.49
67.54
49.65
55.45
88.59
16.47
16.08
32.49
60.58
35.03
18.09
71.69
11.53
52.92
18.45
29.86
35.46
7.71
31.24
15.86
49.75
47.21
18.46
9.74
21.76
21.94
34.16
7.82
22.03
4.40
17.51
14.84
13.07
6.29
49.45
34.53
41.69
30.45
24.60
16.01
77.35
40.98
48.02
38.65
10.43
8.60
49.04

Dividend
Yield

Next ExDividend
Date

2.32%

05.07.2013

2.66%

19.08.2013

3.66%

24.09.2013

2.98%
0.13%
2.30%
6.45%
1.69%
1.66%
3.64%

12.07.2013
16.08.2013
31.05.2013
25.07.2013
18.07.2013
28.06.2013
28.08.2013

3.72%
3.36%
0.91%
1.11%

03.09.2013
19.06.2013
28.08.2013
31.05.2013

2.66%
2.58%

03.06.2013
12.08.2013

3.39%
1.56%

05.09.2013
16.08.2013

2.66%

06.09.2013

1.31%
3.56%
3.99%
0.65%
4.58%
1.87%
1.92%
1.02%
1.62%

05.06.2013
15.10.2013
11.09.2013
23.08.2013
15.08.2013
18.09.2013
04.09.2013
16.07.2013
02.07.2013

4.15%
3.05%

13.08.2013
31.07.2013

0.56%
0.92%
3.53%

19.06.2013
23.08.2013
07.08.2013

1.95%

28.08.2013

4.26%
1.35%
3.10%
1.69%

22.08.2013
19.06.2013
16.09.2013
29.08.2013

2.13%
3.10%

16.08.2013
12.06.2013

1.44%
3.26%
3.56%

12.08.2013
14.08.2013
13.06.2013

6.16%

26.07.2013

1.31%

03.09.2013

1.88%
0.74%

26.09.2013
28.08.2013

3.22%
1.62%

08.08.2013
17.07.2013
24.02.2014

2.74%
2.06%

27.06.2013
11.09.2013

2.15%
4.94%
2.17%

02.07.2013
29.05.2013
16.10.2013

2.38%

31.05.2013

1.54%
2.52%

25.09.2013
30.08.2013

0.80%
0.65%

08.07.2013
07.08.2013

2.11%

30.09.2013

0.64%
6.14%
2.00%

28.05.2014
09.08.2013
06.09.2013

0.34%

28.06.2013

1.35%

28.08.2013

0.88%
2.42%
1.27%

13.09.2013
15.08.2013
05.09.2013

2.68%
3.26%

11.09.2013
08.08.2013
01.07.2013

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


IVt = atx + btx2 + ct

ATM2
ATM2
ATM2
ATM2
ATM2
ATM2
ATM2
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

34.24
25.14
21.83
42.84
26.98
39.87
19.81
38.22
102.76
19.54
35.76
20.62
21.79
31.71
17.59
26.05
44.10
29.91
26.26
43.73
27.27
101.59
39.63
42.73
41.31
19.14
27.79
40.42
22.31
31.98
29.45
41.83
45.80
26.61
24.68
43.07
34.60
21.22

34.37
25.37
23.40
42.93
26.33
39.34
19.88
37.77
83.96
20.98
34.79
18.79
22.70
31.91
15.79
25.41
43.09
30.27
25.63
39.97
28.58
94.69
37.59
43.29
40.86
21.33
27.85
38.10
22.75
30.87
27.35
34.95
45.80
26.76
23.15
43.08
34.17
21.22

33.98
25.90
24.51
43.33
26.25
39.79
20.08
37.55
71.61
21.80
34.41
17.62
23.06
32.10
15.00
25.27
45.88
30.68
25.90
38.61
29.24
90.05
36.54
43.61
41.38
22.49
28.30
36.13
23.72
30.54
26.85
29.75
42.60
27.09
23.06
43.10
33.69
21.22

33.80

33.62
23.02
36.37
41.45
39.05
32.06
14.91
50.20
33.82
43.33
142.04
28.39
38.24
25.88
31.35
13.40
29.69
30.23
42.29
25.82
40.79
15.59
22.54
17.39
22.53
24.71
34.06
29.72
37.38
29.08
20.02
12.34
24.03
34.03
15.94
14.01
24.05
25.96
29.71
21.35
30.08
27.02
27.34
19.84
16.31
30.27
29.90
18.21
35.83
33.16
20.77
18.33
20.37
19.26
28.62
22.04
31.88
33.23
30.16
15.99
36.27
29.68
36.65

34.09
23.93
37.71
43.45
39.59
31.05
14.58
50.20
36.41
41.21
114.07
28.87
38.94
28.07
31.90
13.80
30.09
29.88
41.00
25.80
38.55
18.47
21.46
19.24
22.06
26.03
35.06
30.94
37.73
29.44
19.78
13.14
24.86
34.99
16.17
14.01
23.93
27.62
25.89
21.97
30.51
27.23
29.24
18.69
16.74
31.87
30.42
18.18
30.98
35.24
20.45
18.19
20.32
20.95
28.72
21.13
32.21
33.98
29.63
16.24
37.13
31.39
36.97

34.32
24.38
39.01
44.05
40.03
31.42
14.43
50.20
37.70
40.61
94.59
28.94
38.83
28.90
32.44
14.51
30.44
29.78
40.68
25.90
38.18
19.45
21.35
20.01
22.21
26.87
35.70
31.02
37.89
29.68
19.56
13.46
25.14
35.60
16.46
14.01
24.24
28.61
21.56
22.50
31.12
26.97
31.01
19.42
17.45
32.69
30.95
18.16
27.61
36.12
20.50
18.89
20.27
21.70
29.07
20.99
32.47
34.59
29.14
16.36
37.59
32.41
36.79

34.46
24.68
28.62
43.10
41.12

29.47
30.96
19.50
39.61
28.56
52.86
27.09
38.86
26.10
41.04
28.12
39.11
26.55
17.49
75.27
42.83

29.04
32.72
20.25
37.49
28.39
48.13
27.79
39.16
26.67
42.28
28.85
42.01
28.45
18.07
73.68
46.95

28.38
33.46
20.86
37.34
28.56
47.29
28.54
39.21
26.51
43.28
29.41
43.37
29.30
18.76
71.03
48.41

26.86
33.19
22.20

25.38
16.08
25.85
37.97
28.70
21.33

26.65
16.03
24.33
37.35
28.51
21.04

27.29
15.98
23.60
37.16
28.54
21.49

27.59
16.54
23.57
37.81
29.00

26.56
44.64
26.97
42.68
20.75
37.55
22.70
34.83
16.24
23.06
32.53
15.20
26.10
49.94
31.66

83.07
36.17

44.84

44.56

35.92

36.40

22.49
30.22
30.56
31.31
22.72
28.27
45.57
32.41
19.71

14.45
38.50
43.09
74.25

28.20
33.78
31.15

41.42
18.76
23.03
23.22
28.08
36.63

23.91

23.70

37.80
30.19
19.04

38.00

37.87

24.84
36.30
17.31
14.01
25.82
19.36
23.65
32.99
25.11
17.91

33.00
19.08
22.91
35.81
21.35

36.15

36.92

20.41
21.83
29.88
33.01
35.74
27.94
16.44
37.79
33.55

17.28

17.84

35.38

36.34

29.71
30.75
39.33
45.05
30.44
43.79
29.53
65.88
47.46

63.84

63.64

-0.291
-0.351
-0.201
0.000
-0.114
-0.157
0.000
-0.150
0.000
-0.030
0.000
0.000
-0.214
0.000
-0.149
0.000
-0.177
-0.213
-0.406
0.000
-0.303
0.000
-0.354
-0.228
-0.316
-0.181
-0.234
0.214
-0.197
-0.119
0.000
0.000
0.000
-0.062
0.000
0.022
-0.131
0.000

-0.306
-0.330
-0.191
-0.162
-0.223
-0.117
0.024
-0.242
0.010
-0.205
-0.104
0.020
-0.233
-0.107
-0.170
-0.084
-0.105
-0.171
-0.326
-0.136
-0.099
-0.134
-0.318
-0.266
-0.236
-0.256
-0.206
0.168
-0.278
-0.170
-0.140
0.020
0.000
-0.052
-0.203
0.022
-0.090
0.000

-0.301
-0.293
-0.174
-0.214
-0.238
-0.095
0.009
-0.265
-0.093
-0.248
-0.150
0.018
-0.222
-0.160
-0.176
-0.136
-0.090
-0.143
-0.276
-0.191
-0.021
-0.198
-0.291
-0.266
-0.195
-0.279
-0.181
0.110
-0.272
-0.181
-0.184
0.008
-0.070
-0.040
-0.290
0.022
-0.088
0.000

-0.247

-0.144
-0.195
-0.621
-0.089
-0.140
-0.018
0.000
0.000
-0.002
-0.179
0.000
0.047
-0.233
-0.069
-0.211
-0.198
0.000
0.000
-0.133
-0.202
0.000
0.000
0.000
0.000
0.072
-0.214
-0.151
-0.019
-0.158
-0.086
0.000
0.000
0.000
-0.285
0.000
0.000
-0.218
0.000
-0.920
-0.137
0.000
-0.932
-0.731
0.000
-0.195
-0.188
-0.095
-0.049
0.000
-0.256
0.000
-0.160
-0.091
-0.697
-0.056
0.000
-0.253
-0.191
0.000
0.000
-0.251
-0.258
-0.023

-0.215
-0.141
-0.629
-0.105
-0.194
-0.166
0.000
0.000
-0.093
-0.205
0.048
-0.072
-0.226
-0.227
-0.203
-0.262
-0.143
-0.158
-0.157
-0.251
-0.175
-0.055
-0.135
-0.153
0.032
-0.207
-0.191
-0.141
-0.149
-0.137
0.046
0.002
-0.016
-0.257
-0.102
0.000
-0.224
0.023
-0.659
-0.198
-0.123
-0.504
-0.743
-0.147
-0.226
-0.336
-0.110
-0.049
-0.267
-0.179
-0.142
-0.171
-0.091
-0.436
-0.211
-0.024
-0.217
-0.208
-0.048
-0.033
-0.258
-0.167
-0.093

-0.237
-0.121
-0.634
-0.117
-0.188
-0.209
0.000
0.000
-0.131
-0.212
0.049
-0.109
-0.208
-0.247
-0.197
-0.271
-0.196
-0.203
-0.174
-0.258
-0.250
-0.107
-0.189
-0.191
-0.014
-0.201
-0.201
-0.168
-0.141
-0.157
0.058
-0.017
-0.018
-0.230
-0.141
0.000
-0.211
0.027
-0.481
-0.217
-0.167
-0.330
-0.753
-0.200
-0.228
-0.371
-0.126
-0.049
-0.367
-0.143
-0.194
-0.167
-0.090
-0.268
-0.254
-0.044
-0.193
-0.199
-0.087
-0.056
-0.249
-0.125
-0.118

-0.194
-0.143
-0.560
-0.142
-0.068

0.000
-0.118
0.000
-0.038
-0.086
0.000
-0.061
0.000
0.000
-0.048
-0.046
-0.002
-0.029
0.000
-0.060
-0.092

-0.155
-0.202
-0.133
-0.116
-0.223
0.000
-0.089
-0.063
-0.004
-0.192
-0.112
-0.043
-0.104
0.005
-0.065
-0.159

-0.191
-0.231
-0.188
-0.157
-0.276
0.000
-0.105
-0.077
-0.078
-0.232
-0.140
-0.055
-0.135
-0.036
-0.081
-0.169

-0.074
-0.194
-0.214

0.015
-0.239
-0.135
0.000
-0.056
-0.124

-0.064
-0.238
-0.168
-0.287
-0.136
-0.130

-0.093
-0.236
-0.176
-0.384
-0.167
-0.148

-0.091
-0.201
-0.146
-0.249
-0.139

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

-0.118
-0.131
-0.108
-0.082
-0.090
-0.204
-0.189
-0.158
-0.034
-0.145
-0.189
-0.155
-0.162
-0.117 -0.084 -0.079
-0.108

-0.169
-0.227 -0.173 -0.134

-0.161
-0.130
-0.638
-0.132
-0.323
-0.006
-0.085
-0.157
0.000

0.000
-0.139
-0.224
-0.306

-0.122
-0.183
-0.176

-0.212
-0.220
-0.171
-0.065 -0.056 -0.069
-0.185
-0.166
-0.117 -0.095 -0.091
-0.149
0.008
0.003
-0.155
-0.123
0.000
-0.147
-0.259
-0.199
-0.183
-0.235
-0.570

-0.237
-0.011
-0.241
-0.143 -0.135 -0.112
-0.147
-0.050
-0.130
-0.184
-0.157
-0.137
-0.153
-0.096 -0.090 -0.056
-0.183
-0.137 -0.077 -0.079

-0.269
-0.127
-0.021
-0.155
-0.137
-0.028
-0.146
-0.104 -0.083 -0.075
-0.108

0.004
0.010
0.004
0.000
0.002
0.004
0.000
0.003
0.000
0.000
0.000
0.000
0.005
0.000
0.001
0.000
0.007
0.006
0.010
0.000
0.013
0.000
0.007
0.005
0.009
0.003
0.012
0.003
0.005
0.000
0.000
0.000
0.000
-0.001
0.000
0.000
0.002
0.000

0.004
0.008
0.007
0.006
0.009
0.001
0.000
0.006
0.000
0.007
0.004
-0.001
0.006
0.002
0.004
-0.002
0.004
0.004
0.007
-0.001
0.005
0.000
0.005
0.003
0.006
0.007
0.007
0.007
0.009
0.005
0.000
0.000
0.000
0.002
0.004
0.000
0.002
0.000

0.004
0.006
0.007
0.007
0.011
0.000
0.000
0.006
0.001
0.008
0.005
-0.001
0.006
0.003
0.005
-0.002
0.002
0.003
0.006
-0.001
0.002
0.001
0.003
0.002
0.004
0.007
0.004
0.012
0.009
0.007
0.000
0.000
0.000
0.003
0.006
0.000
0.003
0.000

0.003
0.004
0.004
0.006
0.001
0.002
0.003
0.003
0.004
0.001
0.003
0.002
0.006
0.003
0.001
0.003

0.000

0.000

0.001

0.001

0.003
0.003
0.004

0.001

0.001

0.001
0.002
0.000

0.001

0.001

0.001

0.001

0.001
0.002

0.002
0.002
0.042
0.005
0.008
0.001
-0.001
0.004
0.000

0.001 0.003 0.003


0.004 0.002 0.001
0.010 0.009 0.007
0.003 0.004 0.004
0.006 0.006 0.005
0.004 0.006 0.005
0.000 0.000 0.000
0.000 0.000 0.000
0.000 0.003 0.003
0.003 0.007 0.008
0.000 0.000 0.000
0.000 0.000 0.000
0.005 0.001 0.000
0.000 0.007 0.008
0.007 0.006 0.005
0.001 0.006 0.007
0.000 0.004 0.005
0.000 0.001 0.002
0.001 0.002 0.002
0.002 -0.001 -0.001
0.000 0.005 0.006
0.000 0.002 0.003
0.000 0.005 0.007
0.000 0.003 0.005
0.004 0.005 0.005
0.004 0.005 0.005
0.005 0.006 0.006
0.000 0.002 0.002
0.006 0.004 0.003
0.003 0.003 0.003
0.000 0.000 0.000
0.000 0.000 0.000
0.000 0.000 0.000
0.011 0.007 0.004
0.000 0.003 0.004
0.000 0.000 0.000
0.003 0.006 0.006
0.000 0.005 0.004
0.014 0.024 0.029
0.002 0.006 0.007
0.000 0.008 0.009
0.036 0.050 0.049
0.013 0.012 0.011
0.000 0.004 0.006
0.003 0.005 0.005
0.001 0.001 0.001
0.000 0.000 0.001
0.000 0.000 0.000
0.000 0.017 0.024
0.007 0.004 0.003
0.000 0.003 0.005
0.003 0.005 0.005
0.001 0.001 0.001
0.028 0.016 0.008
0.000 0.007 0.008
0.000 0.000 0.001
0.007 0.005 0.004
0.002 0.006 0.007
0.000 -0.001 -0.001
0.000 0.000 0.001
0.002 0.005 0.006
0.016 0.008 0.005
0.000 0.002 0.003

0.002
0.003
0.006
0.002
0.002

0.000
0.002
0.000
0.001
0.001
0.000
0.001
0.000
0.000
0.000
0.001
0.000
0.000
0.000
0.002
0.000

0.003
0.002
0.006
0.004
0.005
0.000
0.003
0.001
0.000
0.005
0.003
0.002
0.004
0.000
0.003
0.000

0.004
0.003
0.008
0.005
0.007
0.000
0.004
0.002
0.001
0.006
0.003
0.002
0.005
0.002
0.003
0.000

0.004
0.002
0.006

0.003
0.007
0.001
0.000
0.000
0.002

0.003
0.007
0.006
0.008
0.004
0.002

0.003
0.007
0.007
0.010
0.006
0.003

0.003
0.006
0.006
0.006
0.006

0.000
0.003
0.005
0.003

0.003
0.003
0.004

0.004
0.003
0.005

0.000
0.002
0.005
0.000
0.004
0.020
0.005
0.000
0.026
0.007

0.002
0.000
0.019
0.001
0.003
0.001
0.004
0.004
0.002
0.004
0.005
0.004 0.003 0.002
0.003
0.004 -0.001 -0.001

0.006
0.002
0.002
0.002
0.003
0.001
0.002
0.001
0.000

0.002

0.002

15.05.2013

S&P 1000 Index

Ticker

Name

GICS_SECTOR_NAME

ATM3 Ref

Dividend
Yield

Next ExDividend
Date

73.82

JBHT UW Equity

HUNT (JB) TRANSPRT SVCS INC

Industrials

0.87%

31.07.2013

JBLU UW Equity

JETBLUE AIRWAYS CORP

Industrials

6.73

JBT UN Equity

JOHN BEAN TECHNOLOGIES CORP

Industrials

21.12

1.33%

30.05.2013

JW/A UN Equity

WILEY (JOHN) & SONS-CLASS A

Consumer Discretionary

39.00

2.77%

JLL UN Equity

JONES LANG LASALLE INC

Financials

96.92

JOSB UW Equity

JOS A BANK CLOTHIERS INC

Consumer Discretionary

43.79

KALU UW Equity

KAISER ALUMINUM CORP

Materials

64.00

KAMN UN Equity

KAMAN CORP

Industrials

KSU UN Equity

KANSAS CITY SOUTHERN

Industrials

KS UN Equity

KAPSTONE PAPER AND PACKAGING

Materials

28.86

KDN UN Equity

KAYDON CORP

Industrials

KBH UN Equity

KB HOME

KBR UN Equity

KBR INC

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


2
IVt = atx + btx + ct

ATM3
ATM3
ATM3
ATM3
ATM3
ATM3
ATM3
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

21.23

23.08

23.87

24.01

23.43

24.12

-0.229 -0.265 -0.268 -0.224 -0.155 -0.125

0.005

0.005

0.005

0.003

0.005

0.003

33.27

34.16

34.47

34.18

31.78

33.96

-0.012 -0.101 -0.149 -0.207 -0.122 -0.130

0.000

0.004

0.005

0.005

0.001

0.001

28.00

26.99

26.90

0.000 -0.070 -0.118

0.000

0.000

0.001

05.07.2013

52.87

41.05

34.21

29.42

0.622

-0.012 -0.007 -0.004 0.016

0.23%

15.11.2013

20.89

22.41

23.23

24.10

-0.292 -0.342 -0.342 -0.237

0.007

0.008

0.008

40.99

36.99

35.40

-0.273 -0.228 -0.196

0.005

0.004

0.004

1.91%

26.07.2013

23.33

23.67

24.13

25.53

-0.179 -0.277 -0.303 -0.236

0.003

0.009

0.010

33.42

2.09%

20.06.2013

26.19

27.12

27.39

26.60

0.000 -0.032 -0.054 -0.082

0.000 -0.002 -0.001 0.003

116.40

0.76%

12.09.2013

26.72

26.96

27.26

28.06

-0.224 -0.191 -0.174 -0.166

0.003

0.003

0.003

0.003

27.00

27.61

27.80

27.44

0.000 -0.078 -0.113 -0.123

0.000

0.002

0.002

0.002

26.26

3.16%

12.09.2013

22.72

21.51

21.43

0.000

0.000

0.000

0.001

Consumer Discretionary

24.96

0.40%

30.07.2013

40.26

43.37

44.13

43.70

-0.267 -0.191 -0.157 -0.121 -0.082 -0.071

0.009

0.004

0.002

0.001

0.001

0.001

0.002

0.001

0.001

0.001

0.002

0.001

0.001

0.001

0.000

0.001

0.001

0.001

0.002

0.002

43.34

43.23

0.477

0.301 -0.242

0.005 -0.042

0.006
0.007

Industrials

32.32

0.99%

14.06.2013

26.41

27.42

28.04

28.83

-0.227 -0.212 -0.197 -0.159

0.007

0.005

0.003

0.002

KELYA UW Equity KELLY SERVICES INC -A

Industrials

16.95

1.18%

15.08.2013

32.41

30.87

30.17

30.07

-0.267 -0.187 -0.153 -0.182

0.004

0.003

0.002

0.004

KMPR UN Equity KEMPER CORP

Financials

33.76

2.96%

14.08.2013

KMT UN Equity

KENNAMETAL INC

Industrials

42.07

1.66%

09.08.2013

25.64

26.01

26.32

-0.102 -0.186 -0.205

0.000

0.004

0.005

KRC UN Equity

KILROY REALTY CORP

Financials

58.24

2.49%

26.06.2013

16.83

16.78

16.74

17.08

-0.059 -0.059 -0.059 -0.188

0.000

0.000

0.000

0.004

KND UN Equity

KINDRED HEALTHCARE INC

Health Care

12.17

32.56

34.64

35.78

36.84

0.000 -0.183 -0.236 -0.174

0.000

0.005

0.005

0.001

KEX UN Equity

KIRBY CORP

Industrials

80.07

21.99

23.25

24.01

25.02

-0.343 -0.320 -0.291 -0.205

0.006

0.006

0.005

0.004

KIRK UW Equity

KIRKLAND'S INC

Consumer Discretionary

13.96

35.10

35.36

35.86

-0.091 -0.085 -0.113

0.001

0.001

0.001

KRG UN Equity

KITE REALTY GROUP TRUST

Financials

6.68

3.59%

05.07.2013

KNX UN Equity

KNIGHT TRANSPORTATION INC

Industrials

17.03

1.64%

29.05.2013

21.88

21.70

21.93

23.37

0.000 -0.076 -0.105 -0.089

0.000

0.001

0.001

73.75

73.75

70.07

0.000

0.000 -0.058

0.000

0.000

0.000

2.45%

21.08.2013

28.95

30.36

31.04

31.46

-0.286 -0.261 -0.236 -0.179

0.009

0.006

0.004

0.003

37.31

0.001

KOPN UW Equity KOPIN CORP

Information Technology

3.32

KOP UN Equity

KOPPERS HOLDINGS INC

Materials

41.54

KFY UN Equity

KORN/FERRY INTERNATIONAL

Industrials

17.50

35.73

36.13

36.59

-0.163 -0.180 -0.180 -0.138

0.004

0.002

0.002

KRA UN Equity

KRATON PERFORMANCE POLYMERS Materials

21.13

35.79

33.73

33.92

-0.184 -0.185 -0.176

-0.001 0.008

0.009

KLIC UW Equity

KULICKE & SOFFA INDUSTRIES

Information Technology

11.50

30.83

30.94

31.62

-0.005 -0.049 -0.069

0.000

0.002

0.002

LZB UN Equity

LA-Z-BOY INC

Consumer Discretionary

0.002

LG UN Equity

LACLEDE GROUP INC/THE

19.35

0.83%

06.09.2013

40.05

37.58

37.18

Utilities

46.18

3.72%

11.09.2013

44.23

37.25

31.92

22.21

LAMR UW Equity LAMAR ADVERTISING CO-A

Consumer Discretionary

48.46

29.38

27.11

26.60

26.92

LANC UW Equity LANCASTER COLONY CORP

Consumer Staples

82.45

1.89%

10.06.2013

22.44

21.21

19.94

16.99

LDR UN Equity

LANDAUER INC

Health Care

48.62

4.73%

12.06.2013

LSTR UW Equity

LANDSTAR SYSTEM INC

Industrials

55.10

13.08.2013

21.63

22.27

22.71

LHO UN Equity

LASALLE HOTEL PROPERTIES

Financials

27.35

3.62%

26.06.2013

28.35

26.48

25.41

24.57

LPS UN Equity

LENDER PROCESSING SERVICES

Information Technology

28.92

1.38%

27.08.2013

27.76

29.28

30.24

31.89

LII UN Equity

LENNOX INTERNATIONAL INC

Industrials

64.82

1.51%

26.06.2013

22.77

23.64

24.14

24.59

LXP UN Equity

LEXINGTON REALTY TRUST

Financials

13.31

4.73%

28.06.2013

20.98

20.98

20.98

21.42

LXK UN Equity

LEXMARK INTERNATIONAL INC-A

Information Technology

30.61

3.92%

28.08.2013

36.17

35.81

37.12

40.49

LHCG UW Equity LHC GROUP INC

Health Care

22.00

30.63

30.67

30.73

31.19

LRY UN Equity

LIBERTY PROPERTY TRUST

Financials

44.09

13.11

13.28

LTM UN Equity

LIFE TIME FITNESS INC

Consumer Discretionary

49.64

LPNT UW Equity

LIFEPOINT HOSPITALS INC

Health Care

47.44

LINC UW Equity

LINCOLN EDUCATIONAL SERVICES

Consumer Discretionary

LECO UW Equity LINCOLN ELECTRIC HOLDINGS


LNN UN Equity

LINDSAY CORP

-0.155 -0.256 -0.267

0.007

0.008

0.000

0.000

0.000

0.000

-0.468 -0.367 -0.301 -0.246 -0.205 -0.181

0.015

0.010

0.006

0.003

0.000 -0.012 -0.035 -0.152

0.000

0.004

0.006

0.010

-0.373 -0.218 -0.122

0.014

0.003

0.000

0.000 -0.087 -0.130 -0.130

0.000

0.001

0.001

0.001

-0.327 -0.369 -0.352 -0.200

0.005

0.005

0.005

0.003

-0.244 -0.237 -0.228 -0.198

0.006

0.005

0.005

0.003

-0.452 -0.448 -0.444 -0.029

0.018

0.018

0.018

0.001

-0.261 -0.188 -0.162 -0.155 -0.135 -0.121

0.010

0.007

0.004

0.002

-0.236 -0.247 -0.241 -0.190

0.005

0.006

0.006

0.005

0.000 -0.123 -0.172

0.000

0.002

0.004

0.000
26.22

42.01

26.21

42.03

0.001

0.000

0.000

0.000

4.31%

28.06.2013

12.42

25.98

27.24

-0.106 -0.193 -0.211 -0.150

0.003

0.005

0.005

0.002

23.53

23.75

24.16

25.29

-0.076 -0.171 -0.200 -0.153

0.001

0.003

0.004

0.002

6.32

4.43%

13.09.2013

133.43

127.93

122.19

89.38

0.779

-0.023 -0.022 -0.018 -0.008

Industrials

58.30

1.46%

25.09.2013

20.89

21.49

21.93

22.74

-0.072 -0.138 -0.167 -0.171

0.001

0.002

0.003

0.003

0.48%

16.08.2013

28.50

28.85

29.43

31.14

-0.172 -0.163 -0.156 -0.140

0.004

0.003

0.003

0.002

43.54

44.30

44.62

44.59

-0.121 -0.135 -0.142 -0.153

0.000

0.001

0.001

0.001

23.44

25.04

0.983

1.160

0.782

Industrials

81.86

LQDT UW Equity LIQUIDITY SERVICES INC

Information Technology

37.80

LAD UN Equity

LITHIA MOTORS INC-CL A

Consumer Discretionary

52.96

1.02%

09.08.2013

29.77

32.65

33.99

34.60

-0.330 -0.226 -0.175 -0.182

0.013

0.007

0.004

0.003

LFUS UW Equity

LITTELFUSE INC

Information Technology

71.61

1.20%

22.08.2013

21.45

21.92

22.18

22.41

0.000 -0.115 -0.163 -0.159

0.000

0.003

0.005

0.004

LYV UN Equity

LIVE NATION ENTERTAINMENT IN

Consumer Discretionary

13.95

34.05

33.82

34.16

35.79

-0.387 -0.358 -0.309 -0.218 -0.168 -0.167

0.013

0.010

0.008

0.005

LPSN UW Equity LIVEPERSON INC

Information Technology

8.65

49.28

47.21

46.18

0.033 -0.028 -0.070

0.000

0.000

0.000

LKQ UW Equity

Consumer Discretionary

25.05

25.24

26.59

27.32

27.96

-0.196 -0.203 -0.200 -0.182

0.004

0.007

0.007

0.004

LOGM UW Equity LOGMEIN INC

Information Technology

24.34

45.35

46.05

44.82

42.18

0.586

0.005 -0.001 0.000

0.008

LPX UN Equity

LOUISIANA-PACIFIC CORP

Materials

19.90

40.64

41.15

41.31

41.02

-0.238 -0.206 -0.190 -0.182 -0.147 -0.133

0.005

0.004

0.003

0.002

LXU UN Equity

LSB INDUSTRIES INC

Materials

33.13

79.42

65.53

53.12

33.80

-1.144 -1.169 -1.133 -0.486

0.013

0.019

0.026

0.031

LTC UN Equity

LTC PROPERTIES INC

Financials

47.28

4.08%

19.07.2013

17.39

17.29

17.60

18.89

0.000 -0.038 -0.069 -0.133

0.000

0.000

0.000

0.001

LUFK UW Equity

LUFKIN INDUSTRIES INC

Energy

88.31

0.62%

30.08.2013

LL UN Equity

LUMBER LIQUIDATORS HOLDINGS

LKQ CORP

38.60

42.17

40.62

43.69

0.175 -0.023 -0.131

4.39

5.90

6.61

7.01

-0.197 -0.631 -0.351 -0.300

-0.002 0.027

0.013

0.010

Consumer Discretionary

89.88

34.16

37.84

39.39

39.62

-0.287 -0.235 -0.201 -0.149

0.009

0.005

0.003

0.002

LMNX UW Equity LUMINEX CORP

Health Care

18.30

36.87

50.28

51.56

-0.362 -0.233 -0.115

0.001

0.026

0.025

LMOS UW Equity LUMOS NETWORKS CORP

Telecommunication Services 16.61

36.34

36.72

38.14

-0.291 -0.291 -0.238

0.002

0.001

0.001

LDL UN Equity

LYDALL INC

Industrials

14.68

34.62

35.36

35.58

0.000

0.000 -0.001 0.000

MHO UN Equity

M/I HOMES INC

Consumer Discretionary

26.74

44.23

41.57

41.78

-0.149 -0.147 -0.131

0.003

0.007

0.007

CLI UN Equity

MACK-CALI REALTY CORP

Financials

28.28

14.42

14.42

15.57

0.000

0.000 -0.067

0.000

0.000

0.001

MGLN UW Equity MAGELLAN HEALTH SERVICES INC

Health Care

MFB UN Equity

3.38%

11.09.2013

4.24%

05.07.2013

35.08

0.004 -0.109

51.69

25.31

22.93

22.41

0.029 -0.110 -0.169 -0.158

0.000

0.004

0.006

Consumer Discretionary

18.52

31.66

31.02

31.35

-0.084 -0.249 -0.239

0.000

0.009

0.009

MANH UW Equity MANHATTAN ASSOCIATES INC

Information Technology

73.11

20.47

21.56

22.72

-0.189 -0.155 -0.158

0.005

0.002

0.002

MAN UN Equity

MAIDENFORM BRANDS INC


MANPOWERGROUP INC

24.63

0.021

0.003

0.006

Industrials

56.90

1.62%

05.12.2013

26.01

27.08

28.07

30.18

-0.364 -0.334 -0.307 -0.208

0.014

0.010

0.008

0.003

MANT UW Equity MANTECH INTERNATIONAL CORP-A

Information Technology

27.95

3.01%

06.09.2013

27.09

26.98

27.09

27.23

-0.106 -0.170 -0.184 -0.124

0.001

0.005

0.006

0.003

MCS UN Equity

MARCUS CORPORATION

Consumer Discretionary

13.95

2.44%

25.07.2013

HZO UN Equity

MARINEMAX INC

Consumer Discretionary

12.78

47.07

44.27

43.90

0.000 -0.302 -0.361

0.000

0.009

0.009

29.17

29.79

30.44

-0.207 -0.176 -0.164 -0.184

0.005

0.006

0.006

26.49

26.59

26.38

-0.045 -0.241 -0.268

0.000

0.005

0.005

23.70

23.85

24.35

-0.438 -0.351 -0.297

0.012

0.008

0.006

33.64

33.03

32.92

33.73

-0.058 -0.103 -0.124 -0.122

0.003

0.003

0.002

0.002

35.13

34.94

35.04

35.87

-0.189 -0.184 -0.178 -0.163

0.003

0.004

0.004

0.002

38.14

38.28

38.15

37.29

-0.127 -0.085 -0.072 -0.092

0.002

0.002

0.002

0.002

MKTX UW Equity MARKETAXESS HOLDINGS INC

Financials

VAC UN Equity

MARRIOTT VACATIONS WORLD

Consumer Discretionary

MLM UN Equity

MARTIN MARIETTA MATERIALS

Materials

MASI UW Equity

MASIMO CORPORATION

46.09

1.22%

09.08.2013

1.47%

31.05.2013

1.15%

14.08.2013

46.34
108.75

32.13

0.003

Health Care

22.35

MTRN UN Equity MATERION CORP

Materials

28.15

MTRX UW Equity MATRIX SERVICE CO

Energy

16.82

MATX UN Equity

Industrials

26.07

2.30%

30.07.2013

27.33

27.75

28.02

28.37

0.000 -0.118 -0.172 -0.200

0.000

0.005

0.006

0.004

MATW UW Equity MATTHEWS INTL CORP-CLASS A

Consumer Discretionary

38.59

1.11%

01.08.2013

24.93

24.43

24.30

25.00

-0.210 -0.364 -0.395 -0.225

0.002

0.009

0.012

0.008

MMS UN Equity

MAXIMUS INC

Information Technology

76.67

0.47%

15.08.2013

28.88

23.73

22.37

0.000

0.000

0.014

0.017

MBFI UW Equity

MB FINANCIAL INC

Financials

26.05

2.23%

24.05.2013

22.07

22.90

23.32

23.48

0.000 -0.045 -0.080 -0.147

0.000

0.002

0.003

0.004

MDC UN Equity

MDC HOLDINGS INC

Consumer Discretionary

38.46

1.30%

03.02.2014

33.82

35.26

36.18

37.51

-0.265 -0.227 -0.200 -0.151

0.006

0.004

0.002

0.001

MDU UN Equity

MDU RESOURCES GROUP INC

Utilities

26.86

2.62%

04.06.2013

50.40

50.41

50.41

0.773

0.629

-0.022 -0.025 -0.026

MIG UN Equity

MEADOWBROOK INSURANCE GROUP Financials

8.06

1.36%

07.08.2013

38.97

38.32

37.53

0.000

0.005 -0.040

0.000

0.000 -0.001

24.90

-0.303 -0.226 -0.185

0.005

0.003

0.003

4.98%

11.06.2013

-0.328 -0.199 -0.125

0.006

0.004

0.003

-0.260 -0.009 -0.110 -0.246 -0.040 -0.046

0.005

0.002

0.003

-0.154 -0.181 -0.180

0.002

0.003

0.003

-0.476 -0.410 -0.364 -0.307

0.012

0.006

0.004

0.002

-0.350 -0.306 -0.277 -0.238

0.009

0.006

0.004

0.003

-0.247 -0.163 -0.126 -0.115 -0.118 -0.107

0.009

0.007

0.005

0.003

-0.287 -0.227 -0.190 -0.156

0.005

0.004

0.003

0.002

-0.079 -0.162 -0.181

-0.001 0.004

0.005

MATSON INC

MEAS UW Equity MEASUREMENT SPECIALTIES INC

Information Technology

46.38

MPW UN Equity

24.28

24.54

Financials

17.26

25.67

22.66

21.65

MDCO UW Equity MEDICINES COMPANY

Health Care

36.98

40.12

48.07

47.14

MDSO UW Equity MEDIDATA SOLUTIONS INC

Health Care

74.85

25.46

26.37

28.16

MED UN Equity

MEDIFAST INC

Consumer Staples

26.13

30.38

32.48

33.88

36.49

MD UN Equity

MEDNAX INC

Health Care

90.96

20.24

21.66

22.60

24.09

WFR UN Equity

MEMC ELECTRONIC MATERIALS

Information Technology

6.20

64.19

62.89

62.00

61.74

MW UN Equity

MEN'S WEARHOUSE INC/THE

Consumer Discretionary

34.83

41.43

36.94

34.67

34.38

MENT UW Equity MENTOR GRAPHICS CORP

Information Technology

18.22

34.21

31.53

30.28

MCY UN Equity

Financials

45.91

17.08

MEDICAL PROPERTIES TRUST INC

MERCURY GENERAL CORP

2.15%

13.09.2013

5.35%

13.09.2013

18.18

18.81

MRCY UW Equity MERCURY SYSTEMS INC

Information Technology

9.06

51.38

50.55

49.92

MDP UN Equity

MEREDITH CORP

Consumer Discretionary

43.12

3.81%

30.08.2013

28.59

27.77

27.47

VIVO UW Equity

MERIDIAN BIOSCIENCE INC

Health Care

21.97

3.82%

25.07.2013

26.08

26.64

27.04

MMSI UW Equity

MERIT MEDICAL SYSTEMS INC

Health Care

10.20

30.14

29.91

30.95

MTH UN Equity

MERITAGE HOMES CORP

Consumer Discretionary

52.36

35.01

35.43

35.89

MEI UN Equity

METHODE ELECTRONICS INC

Information Technology

15.00

31.02

35.02

MTD UN Equity

METTLER-TOLEDO INTERNATIONAL

Health Care

21.09

2.00%

10.07.2013

227.96

63.54

38.08

64.24

19.26
28.17

0.544

0.000 -0.181 -0.219 -0.151

0.000

0.010

0.012

-0.498 -0.501 -0.260

0.003

0.005

0.003

0.024 -0.109 -0.166 -0.130

0.000 -0.001 -0.001 0.000

-0.153 -0.107 -0.113


0.000

0.002

0.001

0.002

0.002 -0.016

0.000

0.000

0.000

-0.242 -0.203 -0.173 -0.120

0.006

0.005

0.004

36.02

0.000 -0.175 -0.200

0.000

0.003

0.005

21.47

21.52

-0.163 -0.147 -0.143

0.001

0.000

0.000

37.08

0.003

0.002

Information Technology

10.31

26.22

29.30

30.54

30.40

0.000

0.007 -0.170

0.000

0.000

0.000

0.003

Information Technology

43.26

23.51

24.09

24.58

25.75

-0.210 -0.236 -0.239 -0.194

0.003

0.007

0.007

0.004

MSCC UW Equity MICROSEMI CORP

Information Technology

21.20

32.36

32.78

33.11

33.83

-0.074 -0.152 -0.190 -0.211

0.000

0.004

0.005

0.004

MSTR UW Equity MICROSTRATEGY INC-CL A

Information Technology

94.53

31.96

31.70

33.18

-0.217 -0.122 -0.077

0.009

0.007

0.005

MAA UN Equity

MID-AMERICA APARTMENT COMM

Financials

72.90

3.88%

11.07.2013

11.91

12.14

12.29

12.45

-0.059 -0.100 -0.109 -0.057

0.000

0.002

0.003

0.001

MSA UN Equity

MINE SAFETY APPLIANCES CO

Industrials

50.16

1.79%

16.08.2013

23.53

24.56

24.91

24.90

-0.095 -0.173 -0.202 -0.196

0.002

0.003

0.004

0.005

MTX UN Equity

MINERALS TECHNOLOGIES INC

Materials

42.51

0.47%

30.08.2013

23.31

23.16

23.01

22.59

0.000 -0.028 -0.046 -0.069

0.000

0.000

0.000

0.002

MKSI UW Equity

MKS INSTRUMENTS INC

Information Technology

27.52

2.33%

30.08.2013

30.21

28.76

28.51

0.000 -0.219 -0.287

0.000

0.006

0.007

MINI UW Equity

MOBILE MINI INC

Industrials

36.91

26.82

29.05

30.33

31.71

0.028 -0.095 -0.131 -0.099

0.000

0.005

0.006

0.003

MHK UN Equity

MOHAWK INDUSTRIES INC

Consumer Discretionary

119.56

26.44

27.94

28.63

28.99

-0.206 -0.196 -0.184 -0.150

0.005

0.004

0.003

0.002

MOH UN Equity

MOLINA HEALTHCARE INC

Health Care

37.89

31.09

33.75

34.82

34.85

-0.448 -0.354 -0.283 -0.184

0.015

0.006

0.002

0.001

MNTA UW Equity MOMENTA PHARMACEUTICALS INC

Health Care

13.40

41.01

43.13

45.92

53.51

-0.059 -0.080 -0.084 -0.079

0.018

0.011

0.006

0.002

MCRI UW Equity

Consumer Discretionary

14.95

34.12

34.51

34.76

34.82

-0.268 -0.214 -0.199 -0.240

0.003

0.006

0.006

0.004

MPWR UW Equity MONOLITHIC POWER SYSTEMS INC

Information Technology

24.45

31.85

33.01

33.63

34.14

-0.162 -0.199 -0.205 -0.148

0.005

0.004

0.003

0.002

TYPE UW Equity

Information Technology

23.32

1.07%

27.09.2013

30.64

31.63

32.26

33.19

-0.058 -0.039 -0.022 0.015

0.000

0.000

0.001

0.001

MNRO UW Equity MONRO MUFFLER BRAKE INC

Consumer Discretionary

45.70

1.05%

07.06.2013

28.12

25.75

25.29

0.050 -0.167 -0.241

0.000

0.003

0.004

MWW UN Equity

Information Technology

5.17

50.84

47.40

46.47

50.14

0.168

0.002

0.005

0.006

0.002

MOG/A UN Equity MOOG INC-CLASS A

Industrials

50.07

MOV UN Equity

MOVADO GROUP INC

Consumer Discretionary

33.83

0.65%

13.06.2013

43.12

42.37

41.89

41.23

-0.291 -0.309 -0.305 -0.234

0.009

0.007

0.006

0.003

MSM UN Equity

MSC INDUSTRIAL DIRECT CO-A

Industrials

83.48

20.01

MSCI UN Equity

MSCI INC

MONSTER WORLDWIDE INC

48.90

50.29

0.037

0.007

MCRS UW Equity MICROS SYSTEMS INC

MONOTYPE IMAGING HOLDINGS IN

05.08.2013

38.50

0.146

MCRL UW Equity MICREL INC

MONARCH CASINO & RESORT INC

1.75%

42.04

0.357

0.029 -0.051 -0.096 -0.121 -0.122

1.51%

10.07.2013

21.59

22.56

23.89

-0.153 -0.334 -0.384 -0.298

0.001

0.008

0.010

0.008

Financials

34.39

21.88

23.31

24.02

24.67

-0.141 -0.223 -0.250 -0.209

0.003

0.004

0.005

0.004

MTSC UW Equity MTS SYSTEMS CORP

Information Technology

56.73

2.12%

11.06.2013

24.75

23.14

22.75

0.000 -0.243 -0.308

0.000

0.006

0.007

MLI UN Equity

Industrials

53.00

0.94%

04.09.2013

23.99

24.15

24.30

-0.055 -0.058 -0.068 -0.120

0.000

0.002

0.003

36.16
23.43

35.70
24.65

36.55
25.95

-0.160 -0.208 -0.202


-0.106 -0.097 -0.099

0.006
0.001

0.009
0.001

0.009
0.000

MUELLER INDUSTRIES INC

MGAM UW Equity MULTIMEDIA GAMES HOLDING CO


MWIV UW Equity MWI VETERINARY SUPPLY INC

Consumer Discretionary
Health Care

25.47
115.87

24.59

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

0.003

15.05.2013

S&P 1000 Index

Ticker
MYE UN Equity
NANO UW Equity
NAFC UW Equity
NFP UN Equity
NFG UN Equity
NATI UW Equity
NPBC UW Equity
NPK UN Equity
NNN UN Equity
BABY UW Equity
NCI UN Equity
NAVG UW Equity
NBTB UW Equity
NCS UN Equity
NCR UN Equity
NP UN Equity
NEOG UW Equity
NTGR UW Equity
NTCT UW Equity
NSR UN Equity
NJR UN Equity
NYCB UN Equity
NYT UN Equity
NEU UN Equity
NEWP UW Equity
EGOV UW Equity
NDSN UW Equity
NOG UA Equity
NWBI UW Equity
NWN UN Equity
NWE UN Equity
NTLS UW Equity
NTRI UW Equity
NUVA UW Equity
NVE UN Equity
NVR UN Equity
OII UN Equity
ODP UN Equity
OMX UN Equity
OGE UN Equity
OIS UN Equity
ODFL UW Equity
ONB UN Equity
ORI UN Equity
OLN UN Equity
ZEUS UW Equity
OMG UN Equity
OHI UN Equity
OCR UN Equity
OMCL UW Equity
ASGN UN Equity
OPEN UW Equity
OPLK UW Equity
ORB UN Equity
ORN UN Equity
ORIT UW Equity
OSK UN Equity
OSIS UW Equity
OMI UN Equity
OXM UN Equity
PKG UN Equity
PACW UW Equity
PMTI UW Equity
PNRA UW Equity
PZZA UW Equity
PRXL UW Equity
PKE UN Equity
PKY UN Equity
PTEN UW Equity
PCTI UQ Equity
PDCE UW Equity
PVA UN Equity
PEI UN Equity
PBY UN Equity
PRFT UW Equity
PSEM UW Equity
PERY UW Equity
PETS UW Equity
PQ UN Equity
GLT UN Equity
PMC UN Equity
PNY UN Equity
PNK UN Equity
PNFP UW Equity
PES UN Equity
PJC UN Equity
PXP UN Equity
PLT UN Equity
PLXS UW Equity
PNM UN Equity
PII UN Equity
PLCM UW Equity
POL UN Equity
POOL UW Equity
PRAA UW Equity
POST UN Equity
PPS UN Equity
PCH UW Equity
POWL UW Equity
POWI UW Equity
PBH UN Equity
PRI UN Equity
PVTB UW Equity
PRA UN Equity
PKT UW Equity
PRGS UW Equity
PSEC UW Equity
PB UN Equity
PL UN Equity
PFS UN Equity
PSB UN Equity
PMTC UW Equity
QLGC UW Equity
KWR UN Equity
QSII UW Equity
NX UN Equity
STR UN Equity
QCOR UW Equity
KWK UN Equity
ZQK UN Equity
QNST UW Equity
RAX UN Equity
RSYS UW Equity
RJF UN Equity
RYN UN Equity
O UN Equity

Name
MYERS INDUSTRIES INC
NANOMETRICS INC
NASH FINCH CO
NATIONAL FINANCIAL PARTNERS
NATIONAL FUEL GAS CO
NATIONAL INSTRUMENTS CORP
NATL PENN BCSHS INC
NATIONAL PRESTO INDS INC
NATIONAL RETAIL PROPERTIES
NATUS MEDICAL INC
NAVIGANT CONSULTING INC
NAVIGATORS GROUP INC
N B T BANCORP INC
NCI BUILDING SYSTEMS INC
NCR CORPORATION
NEENAH PAPER INC
NEOGEN CORP
NETGEAR INC
NETSCOUT SYSTEMS INC
NEUSTAR INC-CLASS A
NEW JERSEY RESOURCES CORP
NEW YORK COMMUNITY BANCORP
NEW YORK TIMES CO-A
NEWMARKET CORP
NEWPORT CORP
NIC INC
NORDSON CORP
NORTHERN OIL AND GAS INC
NORTHWEST BANCSHARES INC
NORTHWEST NATURAL GAS CO
NORTHWESTERN CORP
NTELOS HOLDINGS CORP
NUTRISYSTEM INC
NUVASIVE INC
NV ENERGY INC
NVR INC
OCEANEERING INTL INC
OFFICE DEPOT INC
OFFICEMAX INC
OGE ENERGY CORP
OIL STATES INTERNATIONAL INC
OLD DOMINION FREIGHT LINE
OLD NATIONAL BANCORP
OLD REPUBLIC INTL CORP
OLIN CORP
OLYMPIC STEEL INC
OM GROUP INC
OMEGA HEALTHCARE INVESTORS
OMNICARE INC
OMNICELL INC
ON ASSIGNMENT INC
OPENTABLE INC
OPLINK COMMUNICATIONS INC
ORBITAL SCIENCES CORP
ORION MARINE GROUP INC
ORITANI FINANCIAL CORP
OSHKOSH CORP
OSI SYSTEMS INC
OWENS & MINOR INC
OXFORD INDUSTRIES INC
PACKAGING CORP OF AMERICA
PACWEST BANCORP
PALOMAR MEDICAL TECHNOLOGIES
PANERA BREAD COMPANY-CLASS A
PAPA JOHN'S INTL INC
PAREXEL INTERNATIONAL CORP
PARK ELECTROCHEMICAL CORP
PARKWAY PROPERTIES INC
PATTERSON-UTI ENERGY INC
PC-TEL INC
PDC ENERGY INC
PENN VIRGINIA CORP
PENN REAL ESTATE INVEST TST
PEP BOYS-MANNY MOE & JACK
PERFICIENT INC
PERICOM SEMICONDUCTOR CORP
PERRY ELLIS INTERNATIONAL
PETMED EXPRESS INC
PETROQUEST ENERGY INC
GLATFELTER
PHARMERICA CORP
PIEDMONT NATURAL GAS CO
PINNACLE ENTERTAINMENT INC
PINNACLE FINANCIAL PARTNERS
PIONEER ENERGY SERVICES CORP
PIPER JAFFRAY COS
PLAINS EXPLORATION & PRODUCT
PLANTRONICS INC
PLEXUS CORP
PNM RESOURCES INC
POLARIS INDUSTRIES INC
POLYCOM INC
POLYONE CORPORATION
POOL CORP
PORTFOLIO RECOVERY ASSOCIATE
POST HOLDINGS INC
POST PROPERTIES INC
POTLATCH CORP
POWELL INDUSTRIES INC
POWER INTEGRATIONS INC
PRESTIGE BRANDS HOLDINGS INC
PRIMERICA INC
PRIVATEBANCORP INC
PROASSURANCE CORP
PROCERA NETWORKS INC
PROGRESS SOFTWARE CORP
PROSPECT CAPITAL CORP
PROSPERITY BANCSHARES INC
PROTECTIVE LIFE CORP
PROVIDENT FINANCIAL SERVICES
PS BUSINESS PARKS INC/CA
PTC INC
QLOGIC CORP
QUAKER CHEMICAL CORP
QUALITY SYSTEMS INC
QUANEX BUILDING PRODUCTS
QUESTAR CORP
QUESTCOR PHARMACEUTICALS
QUICKSILVER RESOURCES INC
QUIKSILVER INC
QUINSTREET INC
RACKSPACE HOSTING INC
RADISYS CORP
RAYMOND JAMES FINANCIAL INC
RAYONIER INC
REALTY INCOME CORP

GICS_SECTOR_NAME

ATM3 Ref

Materials
15.29
Information Technology
14.36
Consumer Staples
22.76
Financials
25.14
Utilities
63.43
Information Technology
28.61
Financials
10.02
Industrials
76.79
Financials
41.49
Health Care
13.76
Industrials
13.11
Financials
59.41
Financials
20.25
Industrials
17.40
Information Technology
30.79
Materials
30.97
Health Care
54.00
Information Technology
31.89
Information Technology
23.10
Information Technology
47.83
Utilities
46.29
Financials
13.55
Consumer Discretionary
9.86
Materials
272.69
Information Technology
13.87
Information Technology
16.92
Industrials
73.52
Energy
14.01
Financials
12.49
Utilities
45.23
Utilities
42.54
Telecommunication Services 15.56
Consumer Discretionary
8.70
Health Care
22.82
Utilities
20.81
Consumer Discretionary
1003.26
Energy
73.49
Consumer Discretionary
4.01
Consumer Discretionary
11.78
Utilities
71.70
Energy
100.57
Industrials
40.87
Financials
13.15
Financials
14.42
Materials
24.69
Materials
24.00
Materials
28.90
Financials
36.25
Health Care
45.26
Health Care
18.76
Industrials
26.19
Information Technology
64.91
Information Technology
16.15
Industrials
18.41
Industrials
11.82
Financials
15.72
Industrials
39.41
Information Technology
62.90
Health Care
33.90
Consumer Discretionary
64.45
Materials
50.59
Financials
28.10
Health Care
13.57
Consumer Discretionary
185.27
Consumer Discretionary
66.05
Health Care
47.15
Information Technology
24.29
Financials
19.51
Energy
22.14
Information Technology
6.62
Energy
48.96
Energy
4.73
Financials
21.39
Consumer Discretionary
11.96
Information Technology
11.67
Information Technology
6.99
Consumer Discretionary
18.76
Consumer Discretionary
13.38
Energy
4.76
Materials
25.15
Health Care
14.10
Utilities
34.87
Consumer Discretionary
20.90
Financials
26.15
Energy
7.39
Financials
35.77
Energy
44.39
Information Technology
45.54
Information Technology
29.41
Utilities
23.36
Consumer Discretionary
90.36
Information Technology
11.05
Materials
24.95
Consumer Discretionary
53.02
Financials
149.87
Consumer Staples
44.54
Financials
49.89
Financials
50.02
Industrials
52.19
Information Technology
44.20
Consumer Staples
30.57
Financials
34.66
Financials
20.15
Financials
51.27
Information Technology
13.40
Information Technology
23.51
Financials
10.92
Financials
48.00
Financials
39.10
Financials
15.60
Financials
84.62
Information Technology
24.49
Information Technology
9.96
Materials
62.89
Health Care
18.67
Industrials
17.60
Utilities
25.57
Health Care
40.12
Energy
2.30
Consumer Discretionary
7.61
Information Technology
6.99
Information Technology
41.83
Information Technology
4.66
Financials
44.43
Financials
60.13
Financials
53.76

Dividend
Yield

Next ExDividend
Date

2.42%

12.06.2013

2.37%

21.08.2013

2.36%
2.10%
3.99%
1.44%
3.90%

28.06.2013
15.08.2013
31.07.2013
28.02.2014
31.07.2013

3.95%

30.08.2013

2.13%

07.08.2013

3.54%
7.38%
0.51%
1.36%

14.06.2013
07.08.2013
30.08.2013
13.09.2013

0.94%

30.08.2013

4.80%
4.08%
3.64%
10.80%
8.05%

30.07.2013
31.07.2013
13.09.2013
13.09.2013
08.08.2013

3.84%

06.09.2013

1.20%

28.08.2013

0.68%
2.40%

13.08.2013
10.07.2013

3.19%
5.01%
3.24%
0.33%

30.08.2013
04.09.2013
09.08.2013
04.09.2013

5.35%
1.24%

31.07.2013
07.06.2013

4.45%

31.07.2013

2.89%
1.15%
2.67%
2.81%

13.09.2013
15.07.2013
17.09.2013
22.08.2013

1.65%
3.08%
0.99%
2.12%

05.07.2013
10.06.2013
13.09.2013
08.08.2013

3.37%

09.08.2013
29.05.2013

4.78%

13.08.2013

1.59%

04.10.2013

3.58%

21.06.2013

1.21%

21.08.2013

2.86%
1.91%

31.07.2013
28.08.2013

1.04%
1.41%

11.06.2013
15.08.2013

2.20%
2.48%

28.06.2013
17.09.2013

0.72%

30.08.2013

1.62%
0.20%
2.00%

21.08.2013
14.06.2013
27.06.2013

12.12%
1.83%
2.05%
2.76%
2.08%

27.09.2013
12.06.2013
14.08.2013
15.08.2013
09.09.2013

1.59%
4.28%
1.14%
2.82%
2.49%

16.10.2013
14.06.2013
14.06.2013
14.08.2013
19.07.2013

1.35%
3.13%
4.06%

02.07.2013
14.06.2013
26.06.2013

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


IVt = atx + btx2 + ct

ATM3
ATM3
ATM3
ATM3
ATM3
ATM3
ATM3
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

28.99
30.38
92.93
5.55
18.89
24.40
28.07

29.41
31.35
60.44
5.55
18.91
24.33
27.59

29.72
32.38
39.78
5.15
19.42
24.66
25.87

30.33
35.07
45.07

16.96
27.77
27.77

15.14
27.74
28.53

14.27
28.48
29.15

14.32

19.97
38.10
24.28
30.13
21.84
30.03
32.42
24.01

19.91
38.28
27.13
29.47
22.68
32.22
34.32
24.58

19.85
38.16
28.16
29.42
23.10
33.60
35.35
25.61

19.57
37.16

15.30
37.20
19.72
34.09
32.88
29.20
38.54
17.42
14.96
16.04
58.84
29.58
35.31
18.57

15.00
39.12
22.95
35.98
32.76
28.06
39.13
17.42
16.52
16.20
58.84
32.63
36.31
18.59

15.19
39.96
24.54
37.03
32.42
27.45
39.73
17.42
17.28
16.35
58.84
33.96
36.74
18.20

15.92

24.02
38.90
32.46
11.90
33.21
25.40
26.85
20.37
21.27
38.74
28.72
18.04
18.84
31.46
35.09
34.11
40.88
26.64
36.19
21.18
32.10
32.47
19.03
35.29
19.31
22.82
23.78
20.04
20.01
23.41
29.59
29.60
32.56
71.83
47.64
49.98
21.42
35.49
36.96
36.37
36.75
26.92
46.24
25.63
30.84
15.53
31.28
23.49
47.87
27.22
27.81
24.13
27.65
18.08
25.57
38.30
29.08
21.27
15.65
23.34
16.10
16.55

24.43
40.72
34.26
13.69
32.88
25.08
27.14
20.09
22.89
35.21
31.21
17.73
20.73
31.82
36.09
34.98
39.78
27.41
39.12
22.23
32.21
33.27
19.00
34.33
21.53
24.97
23.78
23.62
19.24
26.54
29.20
25.57
33.85
71.83
47.34
47.19
21.21
34.38
36.21
40.50
35.41
27.10
46.68
26.24
33.90
16.98
32.91
23.93
49.07
28.27
26.22
26.62
28.94
19.03
27.40
39.59
30.27
21.48
18.46
25.07
17.19
17.89

24.99
41.37
35.25
14.64
32.66
25.40
27.30
20.08
23.77
34.20
32.52
17.71
21.92
32.38
36.64
36.10
40.09
27.74
40.37
22.32
32.84
34.60
18.97
33.60
22.23
25.84
23.78
25.19
19.47
28.00
28.94
23.98
34.60
73.77
47.74
46.31
21.67
33.37
36.07
42.65
34.71
27.85
45.99
26.52
35.26
17.34
34.14
24.07
49.44
29.02
24.84
27.71
29.69
19.14
28.40
41.76
30.97
22.15
19.99
25.99
17.79
18.53

29.27
27.06
18.58
27.18
41.67
48.01
27.75
18.48

29.21
27.20
19.36
26.16
32.30
50.21
29.70
18.48

29.98
27.75
19.81
25.90
25.62
51.08
30.67
18.48

22.66
136.27
14.03
29.48
33.04
27.07
38.26
37.09
16.86
63.44
92.23
47.03
43.98
38.60
424.28
22.36
14.43
15.43

21.06
109.96
14.57
28.91
35.19
30.73
35.22
37.69
16.88
61.23
82.26
45.07
46.34
41.61
337.22
22.95
14.97
15.17

21.68
91.43
14.56
29.54
36.18
31.34
33.43
37.61
17.37
60.21
76.46
43.73
47.26
42.99
275.08
23.40
15.62
15.14

0.000
-0.152
0.000
0.000
-0.217
0.000
0.000

0.000
0.003
0.000
0.000
0.006
0.000
0.000

0.001
0.005
0.009
0.000
0.004
0.009
0.000

0.002
0.006
0.012
0.000
0.004
0.012
0.000

0.002
0.002
0.018

0.083 -0.116 -0.199 -0.109


-0.065 -0.065 -0.075
-0.040 -0.193 -0.243

0.000
0.001
0.001

0.005
0.001
0.002

0.006
0.001
0.002

0.002

0.000
-0.220
-0.118
0.000
-0.170
-0.208
-0.063
-0.085

-0.057
-0.209
-0.177
-0.061
-0.080
-0.209
-0.117
-0.252

-0.088
-0.195
-0.183
-0.108
-0.070
-0.206
-0.152
-0.295

-0.119
-0.157

0.000 0.002 0.002


0.004 0.007 0.008
0.003 0.005 0.004
0.000 -0.001 0.000
0.002 0.001 0.001
0.005 0.004 0.003
0.000 0.001 0.003
0.001 0.008 0.009

0.002
0.006

-0.115
-0.007
-0.212
-0.199
-0.201
-0.153
-0.102
0.000
0.000
0.095
0.000
-0.114
-0.018
0.000

-0.029
-0.130
-0.191
-0.183
-0.141
-0.128
-0.168
0.000
-0.060
0.096
0.000
-0.199
-0.078
0.010

-0.016
-0.164
-0.181
-0.179
-0.138
-0.120
-0.196
0.000
-0.082
0.096
0.000
-0.224
-0.105
0.002

-0.111

0.001
0.002
0.004
0.001
0.003
0.002
0.001
0.000
0.000
0.000
0.000
0.001
-0.001
0.000

0.010

21.68
26.73
18.37
18.36

-0.294
0.000
-0.319
-1.830
-0.263
-0.205
0.000
-0.197
-0.171
-0.037
-0.356
0.000
-0.314
-0.087
-0.153
-0.163
-0.230
-0.063
0.000
0.000
-0.420
-0.172
-0.106
-0.216
-0.217
0.000
-0.046
-0.331
-0.199
-0.054
-0.137
-0.858
-0.193
0.000
-0.235
0.000
-0.025
-0.324
-0.143
0.000
-0.245
-0.162
-0.731
0.000
0.000
0.000
-0.244
0.000
0.000
0.000
-0.289
-0.207
-0.341
0.000
-0.324
-0.005
-0.011
-0.162
0.000
-0.240
0.000
-0.227

-0.217
-0.144
-0.250
-1.090
-0.201
-0.189
-0.178
-0.195
-0.194
-0.190
-0.310
-0.088
-0.246
-0.155
-0.142
-0.162
-0.244
-0.097
-0.008
0.000
-0.303
-0.192
-0.106
-0.180
-0.272
-0.125
-0.046
-0.250
-0.264
-0.066
-0.209
-0.414
-0.192
0.000
-0.181
0.054
-0.195
-0.357
-0.137
0.007
-0.218
-0.241
-0.484
-0.059
-0.070
-0.145
-0.281
-0.030
-0.051
-0.115
-0.017
-0.173
-0.303
-0.123
-0.268
-0.070
-0.062
-0.319
-0.351
-0.180
-0.192
-0.304

-0.180
-0.110
-0.222
-0.489
-0.161
-0.186
-0.229
-0.141
-0.191
-0.227
-0.268
-0.131
-0.215
-0.173
-0.131
-0.138
-0.129
-0.114
-0.026
0.000
-0.263
-0.182
-0.105
-0.163
-0.256
-0.174
-0.046
-0.208
-0.271
-0.077
-0.227
-0.131
-0.187
-0.504
-0.147
0.045
-0.261
-0.337
-0.120
-0.049
-0.200
-0.251
-0.397
-0.083
-0.116
-0.194
-0.282
-0.063
-0.083
-0.168
-0.066
-0.166
-0.269
-0.140
-0.237
-0.110
-0.093
-0.320
-0.439
-0.147
-0.265
-0.317

20.42
26.88
19.94
50.73
31.22
18.53

-0.137
-0.145
0.000
0.000
0.000
-0.019
-0.117
0.000

-0.183
-0.158
-0.072
-0.091
-0.190
-0.043
-0.165
0.000

-0.188
-0.150
-0.106
-0.127
-0.307
-0.051
-0.183
0.000

-0.248
0.000
0.000
-0.110
0.000
-0.153
-0.259
0.000
-0.178
-0.188
0.000
0.012
0.000
-0.159
0.000
-0.110
-0.224
-0.156

-0.304
-0.273
-0.043
-0.219
0.004
-0.237
-0.181
-0.143
-0.265
-0.233
-0.112
-0.053
-0.069
-0.164
0.000
-0.180
-0.310
-0.212

-0.299
-0.479
-0.045
-0.223
-0.031
-0.212
-0.133
-0.204
-0.285
-0.245
-0.172
-0.078
-0.103
-0.167
0.000
-0.195
-0.321
-0.228

26.11

35.80
36.30

25.60
38.12
27.10
41.39
16.32
17.66
15.95
58.84
34.15
36.68
16.53

41.45
36.25
15.65
32.29

40.50

41.22

41.00

40.63

27.78
24.48
33.58
18.26
23.47
34.35
37.11
37.54

25.19

26.99

37.71

38.23

27.70
40.15
33.72
17.65

25.84
23.05
25.83
28.63
28.76
24.44
35.26

26.25

36.24

27.17

37.45

48.08

34.50
30.66

35.20
16.15
36.45
23.78
48.56
30.38
22.70
28.26
30.58
17.78
29.20

22.88

21.30

30.81

31.49

31.80

31.57
35.71
60.12
71.63
41.90
46.45
43.27
194.79
24.26
16.53
15.55

58.98
77.55
40.90

56.73
76.22
40.51

42.57

42.48

-0.067
-0.162
-0.393
0.000
-0.169
-0.167
0.000

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

-0.103
-0.154
-0.685
0.000
-0.165
-0.223
0.000

-0.136
-0.104
-1.365

-0.176

-0.195
-0.203

-0.169
-0.182
-0.139
-0.201 -0.083 -0.098
0.000
-0.077
0.071
0.000
-0.181
-0.117
-0.050

0.000
-0.002
0.004
0.008
0.003
0.003
0.002
0.000
0.001
0.000
0.000
0.002
0.003
-0.001

0.005
-0.002
0.003
0.009
0.003
0.004
0.002
0.000
0.002
0.000
0.000
0.002
0.004
0.000

-0.254
-0.113
-0.257
-0.239

0.010 0.007 0.005


0.000 -0.002 0.000
0.007 0.007 0.006
0.066 0.038 0.016
0.010 0.006 0.004
0.006 0.004 0.003
0.000 0.006 0.007
0.002 0.003 0.002
0.003 0.007 0.007
0.000 0.009 0.009
0.018 0.009 0.005
0.000 0.002 0.003
0.010 0.007 0.005
0.000 0.003 0.004
0.003 0.004 0.004
0.006 0.004 0.003
0.000 0.000 0.000
0.000 0.003 0.004
0.000 0.000 0.000
0.000 0.000 0.000
0.013 0.007 0.004
0.001 0.003 0.003
0.002 0.002 0.002
0.004 0.005 0.005
0.004 0.008 0.008
0.000 0.002 0.003
0.000 0.000 0.000
0.014 0.008 0.005
0.003 0.005 0.007
0.000 0.001 0.002
0.002 0.005 0.006
0.018 0.010 0.003
0.006 0.004 0.003
0.000 0.000 0.003
0.006 0.003 0.002
0.000 -0.001 -0.001
0.001 0.004 0.005
0.011 0.004 0.001
0.001 0.001 0.001
0.000 0.000 0.001
0.005 0.006 0.006
0.002 0.008 0.010
0.013 0.009 0.007
0.000 0.001 0.002
0.000 0.001 0.002
0.000 0.003 0.005
0.006 0.005 0.004
0.000 0.001 0.002
0.000 0.000 0.001
0.000 0.001 0.002
0.006 0.000 0.002
0.004 0.004 0.004
0.007 0.004 0.003
0.000 0.004 0.004
0.011 0.007 0.004
0.000 0.000 0.001
0.000 0.000 0.001
0.001 0.010 0.009
0.000 0.014 0.017
0.005 0.003 0.003
0.000 0.005 0.006
0.004 0.007 0.007

-0.126
-0.105
-0.372
-0.048
-0.176
0.078

0.002
0.005
0.000
0.000
0.000
0.000
0.000
0.000

0.005
0.005
0.002
0.001
0.003
0.002
0.002
0.000

0.005
0.003
0.003
0.002
0.006
0.003
0.003
0.000

0.004
0.000
0.000
0.001
0.000
0.004
0.007
0.000
0.004
0.008
0.000
0.004
0.000
0.009
0.000
0.002
0.004
0.002

0.012
0.010
0.001
0.009
0.000
0.004
0.005
0.001
0.006
0.006
0.002
0.005
0.001
0.005
0.000
0.005
0.007
0.006

0.012
0.018
0.001
0.010
0.001
0.004
0.004
0.002
0.006
0.004
0.003
0.005
0.002
0.003
0.000
0.005
0.007
0.007

-0.068 -0.235 -0.198


-0.239
-0.070
-0.112
-0.124
-0.175
-0.185
-0.143
-0.200 -0.092 -0.110
-0.128
-0.101
-0.127 -0.166 -0.124
-0.127
-0.101
-0.209
-0.117

-0.156
-0.001
-0.177 -0.124 -0.096
-0.108
-0.179
0.011
-0.160 -0.121 -0.106

-0.089

-0.180
-0.179

-0.204
-0.129
-0.215
-0.153
-0.138
-0.190
-0.027 -0.079 -0.010
-0.200
-0.191
-0.070
-0.194 -0.174 -0.136
-0.136

-0.092
-0.176
-0.219
-0.177
-0.066
-0.121
-0.169
0.000
-0.153
-0.208
-0.201

-0.135 -0.111
0.079 -0.003
-0.040 -0.033
-0.140 -0.123

0.007

0.002
0.005

0.002
0.003
0.003
0.002
0.000
0.002
0.000
0.000
0.003
0.003
0.003

0.000

0.000

0.002

0.002

0.002

0.002

0.001

0.001

0.004
0.000
0.003

0.002

0.001

0.002
0.004
0.000
0.002

0.001

0.001

0.004

0.003

0.001

0.001

0.004
0.003
0.000
0.001
0.005
0.003
0.003
0.004
0.004
0.002
0.003
0.001
0.004
0.003
0.003
0.002

0.002

0.003
0.006

0.003
0.003
0.002
0.004
0.002
0.002
0.004
0.004
0.002
0.001
0.002
0.001
0.007
0.003
0.005
0.005

0.002
0.002
0.010
0.001
0.002
0.000

0.002
0.001
0.002 0.001 0.001
0.003 -0.003 -0.001
0.002 0.001 0.001
0.003
0.002 0.001 0.001
0.000
0.003
0.004
0.006

15.05.2013

S&P 1000 Index

Ticker

Name

GICS_SECTOR_NAME

ATM4 Ref

Dividend
Yield

Next ExDividend
Date

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


2
IVt = atx + btx + ct

ATM4
ATM4
ATM4
ATM4
ATM4
ATM4
ATM4
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

RRGB UW Equity RED ROBIN GOURMET BURGERS

Consumer Discretionary

50.10

44.16

40.55

38.43

36.60

-0.277 -0.193 -0.138 -0.080

0.007

0.005

0.003

0.002

RBC UN Equity

REGAL-BELOIT CORP

Industrials

68.28

1.17%

02.10.2013

22.45

24.92

26.01

26.44

-0.075 -0.150 -0.172 -0.152

0.000

0.003

0.003

0.001

REG UN Equity

REGENCY CENTERS CORP

Financials

58.31

3.97%

12.08.2013

14.60

14.76

15.22

-0.133 -0.080 -0.092

0.001

0.001

0.001

RGS UN Equity

REGIS CORP

Consumer Discretionary

18.58

1.29%

03.09.2013

26.69

28.90

30.08

31.13

-0.063 -0.078 -0.101 -0.164

0.000

0.001

0.002

RGA UN Equity

REINSURANCE GROUP OF AMERICA

Financials

63.95

1.88%

09.08.2013

14.08

14.91

15.47

0.000

0.002 -0.016

0.000

0.000

0.000

RS UN Equity

RELIANCE STEEL & ALUMINUM

Materials

67.67

1.85%

14.08.2013

26.97

27.88

28.48

29.33

-0.182 -0.184 -0.180 -0.154

0.011

0.007

0.005

0.003

RCII UW Equity

RENT-A-CENTER INC

Consumer Discretionary

35.09

2.51%

01.10.2013

21.34

23.04

24.01

25.11

0.000 -0.057 -0.092 -0.141

0.000

0.001

0.001

0.003

RMD UN Equity

RESMED INC

Health Care

50.31

1.41%

23.08.2013

35.62

32.21

30.56

29.20

-0.173 -0.197 -0.175 -0.101

0.006

0.002

0.000

0.002

RECN UW Equity RESOURCES CONNECTION INC

Industrials

11.24

2.49%

20.08.2013

29.86

29.84

29.82

28.05

-0.107 -0.107 -0.107 -0.026

0.000

0.000

0.000

0.004

RFMD UW Equity RF MICRO DEVICES INC

Information Technology

5.71

42.08

43.27

43.62

42.97

-0.066 -0.142 -0.159 -0.094

0.001

0.005

0.006

0.003

RVBD UW Equity RIVERBED TECHNOLOGY INC

Information Technology

15.66

35.39

41.78

44.84

47.09

-0.065 -0.065 -0.064 -0.052 -0.050 -0.063

0.012

0.006

0.003

0.002

RLI UN Equity

RLI CORP

Financials

74.71

1.82%

30.08.2013

28.88

24.00

20.76

15.57

0.000 -0.169 -0.287 -0.387

0.000

0.002

0.003

0.008

RKT UN Equity

ROCK TENN COMPANY -CL A

Materials

103.10

1.16%

09.08.2013

25.54

25.69

26.28

-0.336 -0.311 -0.274

0.009

0.008

0.006

RSTI UW Equity

ROFIN-SINAR TECHNOLOGIES INC

Information Technology

26.06

30.65

30.54

30.62

31.17

0.000 -0.173 -0.247 -0.238

0.000

0.005

0.007

0.005

ROG UN Equity

ROGERS CORP

Information Technology

45.23

28.34

28.94

29.19

29.11

-0.185 -0.239 -0.251 -0.184

0.004

0.006

0.006

0.004

ROL UN Equity

ROLLINS INC

Industrials

24.67

1.62%

09.08.2013

21.59

21.59

21.76

22.49

0.000

0.000

0.000

0.000

0.002

ROSE UW Equity ROSETTA RESOURCES INC

Energy

46.72

32.07

32.01

32.88

34.41

-0.254 -0.237 -0.219 -0.176 -0.142 -0.133

0.007

0.005

0.003

ROVI UW Equity

Information Technology

24.30

31.74

30.41

31.23

-0.067 -0.132 -0.149

0.001

0.004

0.004

RGLD UW Equity ROYAL GOLD INC

Materials

50.40

1.67%

03.07.2013

39.73

39.06

38.54

38.01

RPM UN Equity

RPM INTERNATIONAL INC

Materials

34.03

2.78%

10.07.2013

16.73

19.35

20.21

19.92

RRD UW Equity

RR DONNELLEY & SONS CO

Industrials

12.60

8.25%

06.08.2013

28.53

32.93

34.47

34.23

RTI UN Equity

RTI INTERNATIONAL METALS INC

ROVI CORP

45.58

35.47

47.02

37.24

0.002 -0.006 -0.047

0.004

0.003

0.003

0.002

38.99

-0.167 -0.142 -0.125 -0.100 -0.060 -0.046

0.008

0.007

0.005

0.002

0.002

0.001

0.000 -0.076 -0.119 -0.177

0.000

0.001

0.002

0.004

29.09

29.93

-0.501 -0.420 -0.363 -0.223 -0.282 -0.251

0.018

0.010

0.006

0.003

0.005

0.003

0.000

0.000

0.001

0.001

Materials

28.83

36.09

36.90

37.32

37.37

-0.360 -0.268 -0.221 -0.192

0.012

0.007

0.005

0.003

Information Technology

7.12

49.53

52.27

53.73

55.16

-0.339 -0.222 -0.164 -0.143

0.008

0.004

0.002

0.001

RT UN Equity

0.000

0.000

0.000

0.001

Consumer Discretionary

9.76

25.91

28.75

29.48

RTEC UW Equity RUDOLPH TECHNOLOGIES INC

Information Technology

11.15

38.87

41.31

41.58

38.68

0.000 -0.054 -0.091 -0.154

0.000 -0.001 0.000

0.003

RUE UW Equity

Consumer Discretionary

34.05

41.75

39.28

37.78

36.24

-0.197 -0.177 -0.161 -0.138

0.004

0.001

0.000

0.003

RUTH UW Equity RUTH'S HOSPITALITY GROUP INC

Consumer Discretionary

11.85

27.15

30.73

32.42

33.78

0.000 -0.156 -0.192 -0.108

0.000

0.002

0.003

0.002

RYL UN Equity

RYLAND GROUP INC/THE

Consumer Discretionary

49.61

0.24%

15.10.2013

37.46

37.37

38.09

39.65

-0.278 -0.214 -0.186 -0.157 -0.121 -0.115

0.003

0.003

0.002

0.001

STBA UW Equity

S & T BANCORP INC

Financials

19.12

3.14%

09.08.2013

21.20

22.99

23.58

0.000 -0.075 -0.106

0.000

0.001

0.002

SBRA UW Equity SABRA HEALTH CARE REIT INC

Financials

31.52

4.44%

14.08.2013

SAFT UW Equity

SAFETY INSURANCE GROUP INC

Financials

51.44

4.66%

04.09.2013

16.40

16.82

17.01

17.06

SKS UN Equity

SAKS INC

Consumer Discretionary

12.00

34.75

33.93

33.42

32.96

SLXP UW Equity

SALIX PHARMACEUTICALS LTD

Health Care

59.62

31.84

30.01

30.05

SAFM UW Equity SANDERSON FARMS INC

Consumer Staples

65.21

1.09%

09.08.2013

23.38

23.89

24.33

25.38

BFS UN Equity

RUE21 INC

SAUL CENTERS INC

40.13

40.46

0.000
34.46

35.07

0.002 -0.016

0.000

0.000

0.000

0.001

-0.197 -0.259 -0.270 -0.195 -0.155 -0.145

0.001

0.003

0.004

0.003

-0.133 0.050

0.007

0.001 -0.036

-0.002 0.001

0.002

-0.045 -0.083 -0.106 -0.125

0.001

0.000

0.061

0.000

0.004

Financials

45.26

3.18%

17.07.2013

SCSC UW Equity SCANSOURCE INC

Information Technology

30.76

25.01

26.76

27.46

27.00

0.000 -0.045 -0.083 -0.144

0.000 -0.003 -0.001 0.010

SCHL UW Equity SCHOLASTIC CORP

Consumer Discretionary

29.73

1.85%

30.08.2013

33.86

36.42

37.13

34.77

0.000 -0.183 -0.255 -0.210

0.000

0.000

0.000

0.001

SWM UN Equity

Materials

44.38

2.70%

30.08.2013

16.33

18.96

20.34

21.88

0.000 -0.222 -0.282 -0.199

0.000

0.005

0.007

0.004

SGMS UW Equity SCIENTIFIC GAMES CORP-A

Consumer Discretionary

8.79

47.71

47.17

47.13

-0.089 -0.155 -0.150

0.000

0.000

0.000

SMG UN Equity

SCOTTS MIRACLE-GRO CO-CL A

Materials

48.51

19.30

20.29

20.95

-0.091 -0.155 -0.178 -0.172

0.001

0.004

0.004

CKH UN Equity

SEACOR HOLDINGS INC

Energy

76.57

23.19

20.79

20.13

-0.232 -0.360 -0.351

0.004

0.010

0.010

SEIC UW Equity

SEI INVESTMENTS COMPANY

Financials

29.75

17.95

20.11

21.40

23.30

0.000 -0.038 -0.075 -0.195

0.000

0.003

0.004

0.002

SCSS UW Equity SELECT COMFORT CORPORATION

Consumer Discretionary

22.55

37.40

45.15

46.06

45.76

-0.254 -0.175 -0.151 -0.136

0.008

0.007

0.004

0.001

SIGI UW Equity

Financials

24.46

31.22

25.79

22.63

20.83

0.000 -0.002 -0.012 -0.046

0.000

0.000

0.000

0.001

SMTC UW Equity SEMTECH CORP

Information Technology

35.53

29.97

28.97

28.50

28.61

-0.405 -0.337 -0.291 -0.230

0.009

0.007

0.006

0.005

SENEA UW Equity SENECA FOODS CORP - CL A

Consumer Staples

34.43

SNH UN Equity

SENIOR HOUSING PROP TRUST

Financials

29.26

5.43%

26.07.2013

11.42

14.12

15.17

15.11

0.000 -0.174 -0.227 -0.193

0.000

0.004

0.005

0.004

SXT UN Equity

SENSIENT TECHNOLOGIES CORP

Materials

40.00

2.32%

08.08.2013

41.91

41.91

35.49

0.000

0.000 -0.143

0.000

0.000

0.009

SCI UN Equity

SERVICE CORP INTERNATIONAL

Consumer Discretionary

17.10

1.64%

16.10.2013

20.22

23.33

25.89

27.58

0.702

0.720

SHFL UW Equity

SHFL ENTERTAINMENT INC

Consumer Discretionary

36.25

-0.288 -0.273 -0.257 -0.211

0.006

0.005

0.004

SIGM UW Equity

SIGMA DESIGNS INC

0.000

0.000

0.000

0.000

21.39

-0.010 -0.032 -0.064 -0.155

0.000

0.002

0.003

-0.244 -0.303 -0.285

0.006

0.009

0.008

-0.195 -0.194 -0.184 -0.149

0.002

0.006

0.006

-0.060 -0.147 -0.178

-0.001 0.004

0.005

SCHWEITZER-MAUDUIT INTL INC

SELECTIVE INSURANCE GROUP

2.83%

27.08.2013

1.13%

20.06.2013

1.59%

15.08.2013

16.69

36.12

34.92

34.69

Information Technology

4.70

46.73

43.66

42.40

SBNY UW Equity SIGNATURE BANK

Financials

77.02

21.00

20.50

20.47

SIG UN Equity

SIGNET JEWELERS LTD

21.93

Consumer Discretionary

70.00

0.90%

24.07.2013

25.17

24.28

24.33

SLGN UW Equity SILGAN HOLDINGS INC

Materials

48.47

1.18%

04.09.2013

17.42

17.39

17.67

SLAB UW Equity

24.37

24.42

25.22

25.46

26.78

27.36

27.33

42.61

40.53

40.17

41.07

37.07

36.74

36.93

35.34

39.63

41.50

42.12

Information Technology

41.04

SFNC UW Equity SIMMONS FIRST NATL CORP-CL A

SILICON LABORATORIES INC

Financials

25.13

3.33%

14.06.2013

SSD UN Equity

SIMPSON MANUFACTURING CO INC

Industrials

29.26

1.79%

01.10.2013

SKX UN Equity

SKECHERS USA INC-CL A

1.08%

28.06.2013

18.85

Consumer Discretionary

21.70

SKYW UW Equity SKYWEST INC

Industrials

14.79

SWKS UW Equity SKYWORKS SOLUTIONS INC

Information Technology

23.67

SLG UN Equity

SL GREEN REALTY CORP

Financials

90.91

1.61%

28.06.2013

15.46

16.19

16.61

17.27

SM UN Equity

SM ENERGY CO

Energy

60.11

0.25%

24.10.2013

34.63

36.24

37.16

SFD UN Equity

SMITHFIELD FOODS INC

32.54

30.02

2.41%

15.08.2013

26.12

25.70

29.91

0.000

38.45

RBCN UW Equity RUBICON TECHNOLOGY INC


RUBY TUESDAY INC

0.000

41.56

41.82

0.000

0.729

0.462

0.000

0.003

0.004 -0.001 -0.005 -0.013


0.003
0.005
0.001

0.000 -0.068 -0.097 -0.146

0.000

0.005

0.006

0.002

-0.222 -0.179 -0.164 -0.158 -0.132 -0.123

0.007

0.005

0.003

0.002

0.001

0.001

-0.295 -0.218 -0.201

0.006

0.004

0.003

-0.197 -0.213 -0.211 -0.173 -0.131 -0.112

0.008

0.004

0.002

0.001

0.000

0.000

42.29

43.02

-0.190 -0.278 -0.294 -0.247

0.002

0.007

0.008

0.006

38.25

38.27

39.01

-0.146 -0.163 -0.160 -0.114 -0.111 -0.090

0.005

0.004

0.003

0.002

0.001

0.001

28.84

28.40

29.14

29.84

-0.308 -0.277 -0.253 -0.216 -0.170 -0.147

0.013

0.009

0.007

0.004

0.002

0.001

25.50

25.58

0.000 -0.083 -0.123 -0.128

0.000

0.001

0.001

0.003

33.27

34.96

36.10

-0.071 -0.133 -0.160 -0.154 -0.171 -0.140

0.009

0.006

0.004

0.002

0.002

0.001

Consumer Staples

26.55

LNCE UW Equity SNYDERS-LANCE INC

Consumer Staples

26.51

SWI UN Equity

SOLARWINDS INC

Information Technology

46.11

SLH UN Equity

SOLERA HOLDINGS INC

Information Technology

56.45

0.97%

06.09.2013

19.07

20.18

20.84

21.64

-0.101 -0.171 -0.193 -0.163

0.000

0.002

0.003

0.003

SAH UN Equity

SONIC AUTOMOTIVE INC-CLASS A

Consumer Discretionary

23.96

0.42%

10.09.2013

30.58

30.20

30.35

31.52

-0.363 -0.169 -0.125 -0.241

0.007

0.012

0.011

0.004

SONC UW Equity SONIC CORP

Consumer Discretionary

13.48

29.79

28.83

28.41

28.53

0.000 -0.113 -0.164 -0.157

0.000

0.003

0.004

0.003

SON UN Equity

SONOCO PRODUCTS CO

Materials

35.61

3.51%

14.08.2013

16.44

17.47

17.75

0.000

0.000

0.000

0.002

BID UN Equity

SOTHEBY'S

Consumer Discretionary

36.00

0.83%

04.09.2013

35.09

34.54

35.21

37.40

38.88

39.23

-0.196 -0.206 -0.207 -0.186 -0.133 -0.102

0.008

0.007

0.005

0.002

0.001

0.001

FIRE UW Equity

SOURCEFIRE INC

Information Technology

55.22

41.56

43.55

44.80

46.48

48.28

47.45

-0.181 -0.181 -0.176 -0.154 -0.122 -0.105

0.006

0.003

0.002

0.001

0.001

0.001

SJI UN Equity

SOUTH JERSEY INDUSTRIES

Utilities

59.73

3.11%

10.09.2013

18.58

18.58

18.58

0.000

0.000

0.000

0.000

0.000

0.000

SWX UN Equity

SOUTHWEST GAS CORP

Utilities

50.40

1.96%

14.11.2013

41.81

34.62

28.46

0.000

0.000

0.000

0.000

0.000

0.000

SSS UN Equity

SOVRAN SELF STORAGE INC

Financials

0.000

0.000

0.002

0.001

0.001

0.001

0.001

0.001

0.001

0.000

0.003

0.002

0.001

0.001

37.37

38.07

0.010 -0.074

68.94

2.90%

12.07.2013

14.99

15.14

15.59

17.19

0.000 -0.071 -0.107 -0.141

0.000

0.003

0.003

0.002

SPAR UW Equity SPARTAN MOTORS INC

Consumer Discretionary

5.67

2.65%

05.11.2013

36.93

44.30

47.23

46.51

0.000 -0.006 -0.006 0.009

0.000

0.000

0.000

0.000

SPTN UW Equity SPARTAN STORES INC

Consumer Staples

17.50

2.28%

31.05.2013

26.50

25.84

25.56

0.000 -0.162 -0.205

0.000

0.005

0.006

SPPI UW Equity

SPECTRUM PHARMACEUTICALS INC

Health Care

8.09

47.87

51.15

52.60

52.91

-0.155 -0.106 -0.083 -0.094 -0.012 -0.030

0.004

0.005

0.005

0.002

SPW UN Equity

SPX CORP

Industrials

77.75

1.29%

14.06.2013

22.24

23.83

24.87

26.43

-0.253 -0.178 -0.148 -0.157

0.008

0.009

0.008

0.006

SSI UN Equity

STAGE STORES INC

Consumer Discretionary

27.37

1.83%

07.06.2013

38.72

35.06

33.74

0.000 -0.173 -0.225

0.000

0.007

0.011

STMP UW Equity STAMPS.COM INC

Information Technology

36.79

32.17

35.15

36.63

37.59

-0.264 -0.226 -0.196 -0.132

0.007

0.005

0.004

SFG UN Equity

STANCORP FINANCIAL GROUP

Financials

44.84

2.18%

20.11.2013

13.14

14.44

15.31

0.000

0.005 -0.040

0.000

0.000

0.001

SMP UN Equity

STANDARD MOTOR PRODS

Consumer Discretionary

32.66

1.07%

16.08.2013

26.89

29.55

30.90

32.05

-0.136 -0.201 -0.208 -0.151

0.000

0.004

0.004

0.002

SPF UN Equity

STANDARD PACIFIC CORP

Consumer Discretionary

9.52

41.02

44.02

45.57

46.68

-0.299 -0.257 -0.223 -0.132 -0.059 -0.065

0.007

0.006

0.004

0.002

SXI UN Equity

STANDEX INTERNATIONAL CORP

Industrials

51.27

0.74%

08.08.2013

28.32

28.39

28.40

28.34

-0.308 -0.283 -0.248 -0.150

0.007

0.006

0.004

0.000

STLD UW Equity

STEEL DYNAMICS INC

Materials

15.08

2.92%

28.06.2013

28.49

30.11

31.08

32.39

-0.207 -0.200 -0.183 -0.132 -0.160 -0.137

0.007

0.006

0.005

0.002

SMRT UW Equity STEIN MART INC

Consumer Discretionary

11.00

44.70

41.55

39.67

38.61

0.000 -0.158 -0.233 -0.174

0.000 -0.001 -0.001 0.002

SCL UN Equity

STEPAN CO

Materials

53.47

1.23%

28.08.2013

STE UN Equity

STERIS CORP

Health Care

19.42

20.45

20.84

20.65

0.000 -0.165 -0.224 -0.189

0.000

0.001

0.003

0.009

STL UN Equity

STERLING BANCORP-N Y

26.42

27.65

28.44

29.58

-0.326 -0.295 -0.272 -0.235

0.011

0.006

0.004

0.002

35.53

-1.246 -1.018 -0.759 -0.110

0.023

0.032

0.032

0.016

-0.252 -0.178 -0.177

0.004

0.006

0.006

-0.251 -0.205 -0.166 -0.139 -0.163 -0.139

0.009

0.006

0.004

0.002

55.31

45.59
33.15

56.17

48.02
33.93

0.002

45.81

1.86%

23.08.2013

Financials

11.57

2.33%

13.09.2013

SHOO UW Equity STEVEN MADDEN LTD

Consumer Discretionary

49.63

STC UN Equity

STEWART INFORMATION SERVICES

Financials

29.41

43.66

41.05

38.91

SF UN Equity

STIFEL FINANCIAL CORP

Financials

34.29

24.72

24.59

25.50

SWC UN Equity

STILLWATER MINING CO

Materials

11.87

42.91

43.14

43.34

44.15

SGY UN Equity

STONE ENERGY CORP

Energy

22.45

37.66

38.97

39.67

40.15

-0.179 -0.200 -0.202 -0.166

0.002

0.003

0.003

0.002

STRI UN Equity

STR HOLDINGS INC

Information Technology

2.74

93.89

84.02

78.69

76.36

0.000 -0.011 -0.010 0.022

0.000

0.000

0.000

0.000

STRA UW Equity STRAYER EDUCATION INC

Consumer Discretionary

50.84

1.97%

29.08.2013

43.12

42.11

43.02

-0.346 -0.342 -0.316

0.008

0.009

0.007

RGR UN Equity

STURM RUGER & CO INC

Consumer Discretionary

52.61

2.49%

14.08.2013

31.12

32.60

33.78

37.29

-0.218 -0.158 -0.159 -0.127 -0.092 -0.086

0.007

0.006

0.004

0.001

SXC UN Equity

SUNCOKE ENERGY INC

Materials

15.40

30.92

31.53

32.01

32.99

0.000 -0.168 -0.238 -0.242

0.000

0.004

0.005

0.005

SMCI UW Equity

SUPER MICRO COMPUTER INC

Information Technology

10.12

51.29

49.68

49.23

0.000

0.002 -0.016

0.000

0.000

0.000

SPN UN Equity

SUPERIOR ENERGY SERVICES INC

Energy

28.15

31.68

32.58

33.17

-0.092 -0.111 -0.119 -0.117

0.001

0.002

0.002

SUP UN Equity

SUPERIOR INDUSTRIES INTL

27.91

27.13

26.99

0.000 -0.182 -0.220

0.000

0.004

0.005

30.79

32.90

34.06

35.02

0.028 -0.157 -0.229 -0.198

0.001

0.001

0.001

0.001

39.15

41.35

42.66

43.29

-0.019 -0.085 -0.109 -0.155 -0.192 -0.151

0.016

0.011

0.007

0.002

28.15

29.30

30.03

31.14

0.000 -0.190 -0.246 -0.162

0.000

0.003

0.004

0.002

23.44

23.11

23.36

24.95

0.000

0.000

0.000

0.000

0.002

Consumer Discretionary

18.21

SUPX UW Equity SUPERTEX INC

Information Technology

20.90

SVU UN Equity

SUPERVALU INC

0.68%

1.76%

13.12.2013

08.01.2014

37.27

45.69

37.77

34.01

Consumer Staples

6.95

Health Care

26.51

SUSQ UW Equity SUSQUEHANNA BANCSHARES INC

Financials

12.11

SIVB UW Equity

SVB FINANCIAL GROUP

Financials

73.29

16.97

20.04

21.19

21.14

-0.325 -0.293 -0.259 -0.191

0.009

0.009

0.008

0.004

SFY UN Equity

SWIFT ENERGY CO

Energy

13.30

44.47

45.48

45.64

44.62

-0.075 -0.103 -0.109 -0.091

-0.001 0.002

0.003

0.002

SWS UN Equity

SWS GROUP INC

Financials

5.69

81.92

81.92

81.92

66.04

0.000

0.000

0.000 -0.003

SYKE UW Equity SYKES ENTERPRISES INC

Information Technology

15.68

36.04

33.94

33.04

SYMM UW Equity SYMMETRICOM INC

Information Technology

5.27

SMA UN Equity

2.64%

02.08.2013

42.93

44.00

0.002

SRDX UW Equity SURMODICS INC

SYMMETRY MEDICAL INC

30.08.2013

45.57

0.015

0.000

0.003 -0.088

0.000 -0.071

0.000

0.000 -0.080 -0.130

0.000 -0.001 0.000

0.000

Health Care

10.44

29.18

30.59

31.51

0.000

0.000

0.000

SYNA UW Equity SYNAPTICS INC

Information Technology

44.10

33.86

35.62

36.65

38.14

-0.079 -0.100 -0.108 -0.105 -0.114 -0.093

0.009

0.005

0.003

0.002

SNCR UW Equity SYNCHRONOSS TECHNOLOGIES INC

Information Technology

30.72

33.24

34.53

36.06

39.97

-0.249 -0.192 -0.171 -0.189

0.013

0.009

0.006

0.004

SNX UN Equity

SYNNEX CORP

Information Technology

36.24

18.94

19.62

20.27

21.75

0.000 -0.151 -0.208 -0.196

0.000

0.003

0.004

0.005

SNPS UW Equity SYNOPSYS INC

Information Technology

35.45

22.66

21.92

21.34

20.12

0.000 -0.106 -0.161 -0.186

0.000

0.000

0.001

0.004

SNV UN Equity

35.59

35.59

35.59

34.88

35.46

41.69

0.021

0.069 -0.072 -0.050

0.000

0.000

0.000 -0.002 0.008

0.003

33.27

36.07

37.49

38.33

39.07

39.44

0.009 -0.036 -0.060 -0.087 -0.044 -0.078

0.002

0.002

0.002

0.001

0.001

SYNOVUS FINANCIAL CORP

0.001 -0.006

Financials

2.80

Information Technology

16.33

SKT UN Equity

TANGER FACTORY OUTLET CENTER

Financials

38.15

2.40%

30.07.2013

15.50

15.47

15.44

16.58

-0.237 -0.235 -0.231 -0.181

0.008

0.008

0.008

0.005

TCO UN Equity

TAUBMAN CENTERS INC

Financials

87.44

2.33%

18.06.2013

12.40

13.64

14.54

16.11

-0.220 -0.239 -0.240 -0.212

0.004

0.006

0.006

0.004

TAYC UW Equity TAYLOR CAPITAL GROUP INC

Financials

16.22

33.75

30.61

28.55

25.95

0.000 -0.105 -0.161 -0.157

0.000

0.000

0.000

0.003

TCB UN Equity

1.37%

14.08.2013

21.49

22.60

23.45

-0.091 -0.166 -0.182

0.001

0.003

0.004

25.52

25.24

25.16

25.45

-0.257 -0.266 -0.261 -0.214

0.014

0.010

0.007

0.003

23.29
28.03

23.29
27.27

23.29
26.90

26.83

0.000 0.000 0.000


-0.216 -0.234 -0.235 -0.193

0.000
0.005

0.000
0.007

0.000
0.008

0.004

TCF FINANCIAL CORP

Financials

14.64

Information Technology

48.35

TECH UW Equity TECHNE CORP


TDY UN Equity
TELEDYNE TECHNOLOGIES INC

Health Care
Industrials

68.25
77.41

1.85%

11.06.2013

38.00

TTWO UW Equity TAKE-TWO INTERACTIVE SOFTWRE

TECD UW Equity TECH DATA CORP

1.43%

37.10

14.08.2013

0.021

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

0.021

0.001

15.05.2013

S&P 1000 Index

Ticker
TFX UN Equity
TDS UN Equity
TTEC UW Equity
TLAB UW Equity
TPX UN Equity
TNC UN Equity
TEX UN Equity
TSRA UW Equity
TTEK UW Equity
TTI UN Equity
TCBI UW Equity
TXI UN Equity
TXRH UW Equity
THO UN Equity
THOR UW Equity
TIBX UW Equity
TDW UN Equity
TKR UN Equity
TWI UN Equity
TOL UN Equity
TMP UA Equity
TR UN Equity
TTC UN Equity
TWGP UW Equity
TW UN Equity
TSCO UW Equity
TG UN Equity
THS UN Equity
TRMB UW Equity
TRN UN Equity
TQNT UW Equity
TGI UN Equity
TRLG UW Equity
TBI UN Equity
TRST UW Equity
TRMK UW Equity
TTMI UW Equity
TUES UW Equity
TUP UN Equity
TWTC UW Equity
TYL UN Equity
UDR UN Equity
UGI UN Equity
UIL UN Equity
UTEK UW Equity
UMBF UW Equity
UMPQ UW Equity
UA UN Equity
UNF UN Equity
UNT UN Equity
UBSI UW Equity
UCBI UW Equity
UFCS UW Equity
UNFI UW Equity
UNTD UW Equity
URI UN Equity
USTR UW Equity
UTHR UW Equity
UVV UN Equity
UEIC UW Equity
UFPI UW Equity
UHT UN Equity
UHS UN Equity
UTI UN Equity
UNS UN Equity
URS UN Equity
UBA UN Equity
USMO UW Equity
UTIW UW Equity
VCI UN Equity
VLY UN Equity
VMI UN Equity
VAL UN Equity
VCLK UW Equity
VDSI UR Equity
WOOF UW Equity
VVC UN Equity
VECO UW Equity
PAY UN Equity
VRTX UW Equity
VVI UN Equity
VSAT UW Equity
VICR UW Equity
VPFG UW Equity
VPHM UW Equity
VRTS UW Equity
VRTU UW Equity
VSH UN Equity
VSI UN Equity
VLTR UW Equity
VOXX UW Equity
WAB UN Equity
WDR UN Equity
WAFD UW Equity
WCN UN Equity
WSO UN Equity
WTS UN Equity
WPP UN Equity
WDFC UW Equity
WBSN UW Equity
WBS UN Equity
WRI UN Equity
WCG UN Equity
WEN UW Equity
WERN UW Equity
WST UN Equity
WABC UW Equity
WR UN Equity
WEX UN Equity
WGL UN Equity
WSM UN Equity
WIBC UW Equity
WGO UN Equity
WTFC UW Equity
WMS UN Equity
WWW UN Equity
WWD UW Equity
WRLD UW Equity
INT UN Equity
WOR UN Equity
WRB UN Equity
XOXO UN Equity
ZLC UN Equity
ZBRA UW Equity
ZEP UN Equity
ZUMZ UW Equity

Name
TELEFLEX INC
TELEPHONE AND DATA SYSTEMS
TELETECH HOLDINGS INC
TELLABS INC
TEMPUR-PEDIC INTERNATIONAL
TENNANT CO
TEREX CORP
TESSERA TECHNOLOGIES INC
TETRA TECH INC
TETRA TECHNOLOGIES INC
TEXAS CAPITAL BANCSHARES INC
TEXAS INDUSTRIES INC
TEXAS ROADHOUSE INC
THOR INDUSTRIES INC
THORATEC CORP
TIBCO SOFTWARE INC
TIDEWATER INC
TIMKEN CO
TITAN INTERNATIONAL INC
TOLL BROTHERS INC
TOMPKINS FINANCIAL CORP
TOOTSIE ROLL INDS
TORO CO
TOWER GROUP INTERNATIONAL LT
TOWERS WATSON & CO-CL A
TRACTOR SUPPLY COMPANY
TREDEGAR CORP
TREEHOUSE FOODS INC
TRIMBLE NAVIGATION LTD
TRINITY INDUSTRIES INC
TRIQUINT SEMICONDUCTOR INC
TRIUMPH GROUP INC
TRUE RELIGION APPAREL INC
TRUEBLUE INC
TRUSTCO BANK CORP NY
TRUSTMARK CORP
TTM TECHNOLOGIES
TUESDAY MORNING CORP
TUPPERWARE BRANDS CORP
TW TELECOM INC
TYLER TECHNOLOGIES INC
UDR INC
UGI CORP
UIL HOLDINGS CORP
ULTRATECH INC
UMB FINANCIAL CORP
UMPQUA HOLDINGS CORP
UNDER ARMOUR INC-CLASS A
UNIFIRST CORP/MA
UNIT CORP
UNITED BANKSHARES INC
UNITED COMMUNITY BANKS/GA
UNITED FIRE GROUP INC
UNITED NATURAL FOODS INC
UNITED ONLINE INC
UNITED RENTALS INC
UNITED STATIONERS INC
UNITED THERAPEUTICS CORP
UNIVERSAL CORP/VA
UNIVERSAL ELECTRONICS INC
UNIVERSAL FOREST PRODUCTS
UNIVERSAL HEALTH RLTY INCOME
UNIVERSAL HEALTH SERVICES-B
UNIVERSAL TECHNICAL INSTITUT
UNS ENERGY CORP
URS CORP
URSTADT BIDDLE - CLASS A
USA MOBILITY INC
UTI WORLDWIDE INC
VALASSIS COMMUNICATIONS INC
VALLEY NATIONAL BANCORP
VALMONT INDUSTRIES
VALSPAR CORP
VALUECLICK INC
VASCO DATA SECURITY INTL
VCA ANTECH INC
VECTREN CORPORATION
VEECO INSTRUMENTS INC
VERIFONE SYSTEMS INC
VERTEX PHARMACEUTICALS INC
VIAD CORP
VIASAT INC
VICOR CORP
VIEWPOINT FINANCIAL GROUP IN
VIROPHARMA INC
VIRTUS INVESTMENT PARTNERS
VIRTUSA CORP
VISHAY INTERTECHNOLOGY INC
VITAMIN SHOPPE INC
VOLTERRA SEMICONDUCTOR CORP
VOXX INTERNATIONAL CORP
WABTEC CORP
WADDELL & REED FINANCIAL-A
WASHINGTON FEDERAL INC
WASTE CONNECTIONS INC
WATSCO INC
WATTS WATER TECHNOLOGIES-A
WAUSAU PAPER CORP
WD-40 CO
WEBSENSE INC
WEBSTER FINANCIAL CORP
WEINGARTEN REALTY INVESTORS
WELLCARE HEALTH PLANS INC
WENDY'S CO/THE
WERNER ENTERPRISES INC
WEST PHARMACEUTICAL SERVICES
WESTAMERICA BANCORPORATION
WESTAR ENERGY INC
WEX INC
WGL HOLDINGS INC
WILLIAMS-SONOMA INC
WILSHIRE BANCORP INC
WINNEBAGO INDUSTRIES
WINTRUST FINANCIAL CORP
WMS INDUSTRIES INC
WOLVERINE WORLD WIDE INC
WOODWARD INC
WORLD ACCEPTANCE CORP
WORLD FUEL SERVICES CORP
WORTHINGTON INDUSTRIES
WR BERKLEY CORP
XO GROUP INC
ZALE CORP
ZEBRA TECHNOLOGIES CORP-CL A
ZEP INC
ZUMIEZ INC

GICS_SECTOR_NAME

ATM4 Ref

Health Care
80.40
Telecommunication Services 22.65
Information Technology
22.73
Information Technology
2.09
Consumer Discretionary
47.84
Industrials
50.66
Industrials
31.47
Information Technology
20.78
Industrials
27.89
Energy
9.34
Financials
44.79
Materials
70.99
Consumer Discretionary
24.28
Consumer Discretionary
41.24
Health Care
33.67
Information Technology
20.85
Energy
56.54
Industrials
56.97
Industrials
23.81
Consumer Discretionary
36.90
Financials
41.69
Consumer Staples
31.40
Industrials
47.78
Financials
19.34
Industrials
77.81
Consumer Discretionary
114.74
Materials
25.24
Consumer Staples
66.13
Information Technology
28.84
Industrials
41.49
Information Technology
6.20
Industrials
74.09
Consumer Discretionary
31.64
Industrials
22.23
Financials
5.58
Financials
25.75
Information Technology
8.07
Consumer Discretionary
8.36
Consumer Discretionary
81.95
Telecommunication Services 29.50
Information Technology
66.46
Financials
26.16
Utilities
40.64
Utilities
41.27
Information Technology
31.26
Financials
52.05
Financials
13.11
Consumer Discretionary
61.11
Industrials
94.66
Energy
44.28
Financials
26.59
Financials
11.42
Financials
28.50
Consumer Staples
54.10
Information Technology
6.27
Industrials
59.27
Industrials
34.00
Health Care
68.09
Consumer Staples
61.26
Consumer Discretionary
26.57
Industrials
38.90
Financials
54.05
Health Care
68.84
Consumer Discretionary
12.00
Utilities
50.38
Industrials
46.35
Financials
22.84
Telecommunication Services 13.56
Industrials
15.97
Consumer Discretionary
25.99
Financials
9.18
Industrials
155.16
Materials
71.73
Information Technology
27.19
Information Technology
8.46
Health Care
24.96
Utilities
36.16
Information Technology
37.30
Information Technology
23.27
Health Care
79.36
Industrials
25.81
Information Technology
59.64
Industrials
5.50
Financials
19.50
Health Care
26.34
Financials
236.75
Information Technology
25.19
Information Technology
14.99
Consumer Discretionary
45.19
Information Technology
13.28
Consumer Discretionary
10.66
Industrials
111.29
Financials
46.21
Financials
17.45
Industrials
38.95
Industrials
86.94
Industrials
47.70
Materials
10.49
Consumer Staples
56.79
Information Technology
18.85
Financials
23.52
Financials
35.45
Health Care
57.23
Consumer Discretionary
5.97
Industrials
24.68
Health Care
66.39
Financials
44.53
Utilities
33.76
Information Technology
71.90
Utilities
45.23
Consumer Discretionary
55.99
Financials
6.58
Consumer Discretionary
20.54
Financials
37.09
Consumer Discretionary
25.34
Consumer Discretionary
51.83
Industrials
36.70
Financials
87.08
Energy
41.36
Materials
34.06
Financials
42.63
Information Technology
11.04
Consumer Discretionary
6.09
Information Technology
46.43
Materials
15.88
Consumer Discretionary
32.61

Dividend
Yield

Next ExDividend
Date

1.27%
2.28%

15.08.2013
14.06.2013

4.80%

22.05.2013

1.54%

30.08.2013

1.93%

26.08.2013

2.02%
2.04%

07.08.2013
10.06.2013
20.06.2013

2.12%
1.69%
0.08%

29.05.2013
21.08.2013
28.06.2013

3.79%
1.02%
1.28%
3.41%
0.32%
0.91%
1.13%

07.08.2013
21.06.2013
06.06.2013
12.09.2013
18.12.2013
22.08.2013
12.06.2013

1.25%

17.10.2013

0.22%

30.08.2013

4.70%
3.57%

29.05.2013
30.08.2013

3.15%

20.06.2013

3.63%
2.78%
4.19%

12.07.2013
13.09.2013
19.09.2013

1.69%
3.13%

11.09.2013
28.06.2013

0.16%

11.09.2013

4.74%
1.75%
2.09%

05.06.2013
12.06.2013
31.05.2013

6.38%

12.08.2013

1.71%

14.06.2013

3.29%

11.07.2013

1.03%
4.66%
0.29%
3.33%
3.54%
1.83%
4.40%
4.61%
0.44%
4.92%
3.92%
0.64%
1.42%

29.11.2013
14.06.2013
29.05.2013
12.06.2013
05.09.2013
13.09.2013
26.06.2013
14.08.2013
25.06.2013
25.06.2013
12.06.2013
25.09.2013
28.06.2013

3.97%

14.08.2013

1.55%

05.06.2013

2.73%
2.21%

05.08.2013
30.07.2013

0.11%
2.51%
2.23%
1.39%
1.15%
1.09%
1.14%
2.18%

15.11.2013
10.07.2013
01.07.2013
02.08.2013
18.07.2013
22.08.2013
01.08.2013
17.07.2013

2.55%
3.48%

08.08.2013
06.09.2013

2.68%
0.81%
1.19%
3.39%
4.06%

04.09.2013
05.07.2013
15.10.2013
08.08.2013
05.06.2013

3.76%
2.29%
3.04%

10.07.2013
24.07.2013
26.06.2013

0.65%

06.08.2013

0.95%
0.90%

03.10.2013
21.08.2013

0.36%
1.23%
0.94%

26.06.2013
13.09.2013
12.06.2013

1.01%

17.07.2013

At The Money Implied Volatilities by Terms

Option Implied Volatility Skew Parameters by Terms:


IVt = atx + btx2 + ct

ATM4
ATM4
ATM4
ATM4
ATM4
ATM4
ATM4
Vol - 30D Vol - 60D Vol - 90D Vol - 6M Vol - 12M Vol - 18M Vol - 24M

Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew Skew
(a) (a) (a) (a) (a) (a) (a) (b) (b) (b) (b) (b) (b) (b) 30D
60D
90D
6M
12M
18M
24M
30D
60D
90D
6M
12M
18M
24M

24.52
24.51
20.62
33.49
37.22
24.71
39.96
29.23
25.19
44.56
21.58
34.37
23.80
33.18
24.83
38.41
28.19
29.98
29.72
33.09

19.10
25.70
20.69
35.47
38.81
25.31
41.37
29.33
24.70
44.20
22.04
39.13
24.16
33.14
24.91
41.66
25.80
31.23
29.73
32.54

16.57
26.24
21.76
36.35
39.97
26.32
42.25
29.53
24.61
44.14
22.62
40.14
24.55
33.14
26.81
42.90
25.11
31.70
30.58
32.41

21.60
23.11
24.02
16.22
22.45
44.29
20.55
24.34
27.87
35.61
23.57
5.07
28.42
31.45
19.78
36.00
47.00
20.99
32.30
21.40
14.06
14.35
19.61
33.87
22.47
24.58
27.39

21.60
22.72
23.99
15.91
22.90
45.25
22.72
25.71
28.38
38.93
24.11
5.12
29.60
31.45
19.18
35.71
46.97
21.62
29.68
23.50
14.06
15.33
19.61
36.85
21.30
25.23
27.09

21.60
22.58
26.59
16.27
23.92
45.37
23.77
26.63
29.07
40.30
24.39
4.90
30.28
31.45
19.82
35.78
46.93
22.55
28.50
24.50
14.45
15.89
19.61
38.07
20.95
25.63
28.22

28.02
85.00
29.94
36.73
26.51
37.58
35.22

29.20
69.54
29.91
35.34
25.73
37.56
37.33

29.92
58.60
29.89
34.88
25.38
37.54
38.42

30.92
44.22
30.28
35.49
25.42
37.12
39.16

26.10
19.93

27.75
19.68

28.78
19.58

30.21
20.30

31.39

33.59

25.38
30.87
24.29
23.31
23.66
33.28
32.83
28.82
21.02
24.27
19.90
31.18
46.57
36.16
15.44
44.33
49.89
44.11
33.30
42.41
38.62
31.71
31.29

24.76
32.10
26.19
22.24
23.66
31.44
30.30
30.69
20.98
25.51
19.79
34.52
47.16
32.97
15.29
45.29
46.08
42.92
32.66
38.25
39.59
26.64
33.72

37.77
31.85
36.74
33.82
48.01
17.42
23.83
22.65
17.40
20.65
21.83
36.41
24.90
28.07
23.87
14.10
30.83
24.94
24.51
20.18
16.61
26.66
24.67
13.10
30.99
32.57
42.70
20.90
8.15
22.24
24.23
33.66
22.65
28.05
13.13
28.38
61.26
19.29
30.61
52.56

38.28
30.20
37.99
35.17
43.84
17.15
24.58
23.26
18.56
21.09
22.66
35.31
25.62
28.11
23.48
14.26
32.23
24.72
24.22
20.17
18.25
20.22
25.99
13.89
27.54
32.57
40.69
19.35
8.59
23.76
23.59
31.48
26.00
29.08
13.11
28.38
54.97
20.63
30.26
49.28

38.46
30.57
38.63
36.17
41.80
16.98
25.01
23.59
19.18
21.44
23.50
34.08
25.41
28.77
23.13
14.58
33.30
25.22
24.25
20.16
18.89
15.85
26.79
14.34
25.94
32.57
39.85
18.57
9.20
24.56
23.65
30.86
27.50
29.65
14.21
28.74
52.53
21.23
29.80
47.67

0.000
0.000
0.000
0.000
-0.286
-0.177
-0.299
-0.127
-0.232
-0.370
-0.141
-0.448
-0.047
-0.299
0.014
-0.032
-0.166
-0.091
-0.073
-0.337

-0.524
-0.064
-0.091
0.000
-0.239
-0.286
-0.261
-0.170
-0.220
-0.249
-0.164
-0.396
-0.089
-0.294
-0.018
-0.055
-0.234
-0.137
-0.210
-0.261

-0.583
-0.105
-0.145
0.000
-0.208
-0.284
-0.226
-0.179
-0.201
-0.183
-0.168
-0.331
-0.112
-0.276
-0.047
-0.075
-0.250
-0.154
-0.229
-0.213

0.000
0.000
0.000
0.000
0.009
0.003
0.006
-0.001
0.001
0.007
0.003
0.009
0.000
0.006
0.004
0.019
0.004
0.005
0.001
0.008

0.009
0.001
0.002
0.000
0.006
0.008
0.004
0.002
0.004
0.004
0.004
0.005
0.002
0.005
0.006
0.009
0.005
0.004
0.007
0.005

0.012
0.002
0.003
0.000
0.004
0.008
0.003
0.003
0.005
0.002
0.004
0.003
0.003
0.004
0.005
0.004
0.005
0.004
0.007
0.003

33.42

0.000
-0.196
-0.267
-0.176
-0.217
-0.193
-0.125
-0.181
-0.283
0.000
-0.150
-0.466
-0.128
0.000
0.000
0.000
-0.094
-0.271
-0.146
0.016
-0.522
0.000
0.000
-0.266
0.040
0.000
-0.250

0.000
-0.203
-0.267
-0.187
-0.228
-0.147
-0.181
-0.269
-0.243
-0.142
-0.186
-0.467
-0.211
0.000
-0.045
-0.025
-0.095
-0.275
-0.146
-0.021
-0.505
0.007
0.000
-0.224
-0.011
-0.035
-0.227

0.000
-0.204
-0.355
-0.196
-0.210
-0.127
-0.191
-0.284
-0.208
-0.165
-0.200
-0.480
-0.221
0.000
-0.076
-0.041
-0.096
-0.250
-0.147
-0.043
-0.325
-0.056
0.000
-0.202
-0.047
-0.060
-0.207

0.000
-0.180
-0.099
-0.089
-0.170 -0.137 -0.124

0.000
0.001
0.004
0.001
0.006
0.006
0.001
0.005
0.007
0.000
0.008
0.011
0.003
0.000
0.000
0.000
-0.001
0.007
0.003
0.000
0.020
0.000
0.000
0.006
0.000
0.000
0.004

0.000
0.004
0.004
0.004
0.004
0.005
0.006
0.006
0.007
0.007
0.006
0.010
0.006
0.000
0.001
0.000
-0.001
0.008
0.003
0.000
0.019
0.000
0.000
0.004
0.001
-0.002
0.004

0.000
0.005
0.006
0.005
0.003
0.005
0.007
0.006
0.006
0.008
0.005
0.012
0.007
0.000
0.002
-0.001
-0.001
0.007
0.003
0.001
0.013
0.001
0.000
0.003
0.001
-0.003
0.003

39.26

-0.235
0.000
-0.086
-0.164
-0.085
-0.057
-0.391

-0.221
-0.393
-0.087
-0.181
-0.144
-0.057
-0.307

-0.208
-0.537
-0.087
-0.178
-0.170
-0.057
-0.258

-0.175
-0.338
-0.056
-0.133
-0.170
-0.040
-0.203 -0.122 -0.122

0.002
0.000
0.000
0.002
0.001
0.000
0.009

0.003
0.014
0.000
0.005
0.002
0.000
0.005

-0.127 -0.177 -0.185 -0.132


-0.139 -0.216 -0.244 -0.192

0.002
0.003

34.81

-0.146 -0.287 -0.297

0.002

25.09
32.80
26.25
22.34
23.66
30.61
28.99
31.99
20.92
26.16
20.36
36.06
47.48
31.19
15.22
45.96
44.38
43.11
32.35
36.09
39.23
23.87
34.56

-0.298
0.000
0.000
-0.239
0.000
0.000
0.000
-0.141
0.000
-0.153
-0.196
-0.242
0.000
0.002
0.000
-0.258
-0.099
-0.052
0.000
-0.288
0.000
0.000
-0.168

-0.280
-0.219
0.000
-0.352
0.000
-0.140
-0.046
-0.101
-0.082
-0.173
-0.327
-0.196
-0.020
-0.062
-0.113
-0.244
-0.084
-0.080
0.011
-0.323
0.000
0.003
-0.141

-0.240
-0.257
0.000
-0.358
0.000
-0.217
-0.082
-0.088
-0.119
-0.178
-0.327
-0.171
-0.054
-0.097
-0.158
-0.207
-0.071
-0.090
0.003
-0.327
0.000
-0.034
-0.140

0.004 0.008 0.007


0.000 0.004 0.005
0.000 0.000 0.000
0.007 0.011 0.010
0.000 0.000 0.000
0.000 0.000 0.002
0.000 -0.001 -0.001
0.004 0.005 0.005
0.000 0.001 0.002
0.004 0.006 0.007
0.003 0.009 0.009
0.008 0.005 0.003
0.000 -0.002 -0.002
0.000 0.003 0.004
0.000 0.004 0.005
0.009 0.005 0.003
0.007 0.004 0.002
0.005 0.004 0.002
0.000 0.003 0.004
0.010 0.008 0.007
0.000 0.000 0.000
0.000 0.000 0.000
0.006 0.004 0.003

-0.012
-0.279
-0.155
0.000
0.160
-0.339
-0.342
0.000
0.000
-0.069
-0.365
0.000
0.000
-0.068
0.000
0.000
-0.142
0.000
-0.124
-0.080
0.000
0.000
-0.191
0.000
-0.163
0.000
-0.202
0.000
0.000
-0.273
-0.046
-0.405
0.000
-0.210
-0.058
0.000
0.000
-0.094
0.000
-0.402

-0.072
-0.201
-0.127
-0.105
-0.145
-0.337
-0.345
0.005
-0.094
-0.161
-0.330
0.000
-0.102
-0.074
-0.278
0.003
-0.146
0.056
-0.184
-0.080
-0.102
-0.066
-0.147
0.002
-0.195
0.000
-0.212
0.020
-0.473
-0.279
-0.149
-0.266
-0.165
-0.220
-0.057
0.000
-0.087
-0.187
0.003
-0.300

-0.118
-0.184
-0.117
-0.143
-0.258
-0.243
-0.329
-0.040
-0.130
-0.180
-0.291
0.000
-0.157
-0.103
-0.318
-0.026
-0.145
0.051
-0.199
-0.080
-0.135
-0.116
-0.119
-0.016
-0.203
0.000
-0.194
-0.001
-0.440
-0.271
-0.185
-0.219
-0.223
-0.216
-0.100
-0.033
-0.131
-0.213
-0.020
-0.242

26.33
36.35
41.94
43.54
30.11
25.21
44.57
24.31

45.14

44.46

45.10

45.94

25.64
33.80
42.24

42.33

42.64

31.37
33.14

32.86

33.20

22.75

25.88
43.68
24.45
28.00

26.75

27.24

40.58
24.55

40.62

41.75

31.20
24.19
36.67
46.12

24.91

19.61
38.05
21.82
26.16
31.11

32.70

39.20

19.96
23.30
29.01
34.08
21.01
27.04
36.68
47.80
30.05
14.94
46.23
43.66
45.22
32.23
35.07

33.97

44.75
43.02
47.48

43.67
42.18
47.93

33.94

35.56

38.06
39.13
38.03
40.91
25.54
19.74
22.09
25.41
23.41

35.76
27.93
24.94
21.02

35.27

35.51

12.72
27.87
27.07
42.11
18.37
25.26

28.13
30.18

55.61
21.23
47.04

28.64

29.82

Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com |

-0.169
0.000
-0.163 -0.141 -0.110
-0.181 -0.154 -0.130
-0.136
-0.132
-0.138
-0.141
-0.138
-0.208
-0.105 -0.126 -0.109
-0.140
-0.164 -0.108 -0.100

-0.200

-0.161 -0.132 -0.114


-0.135
-0.154
-0.192
-0.070 -0.082 -0.090
-0.184
-0.143
-0.112
-0.065
-0.088

-0.077

0.000
0.000
-0.128
-0.116
-0.119
-0.174
-0.142
-0.167
-0.114
-0.157
-0.154 -0.152 -0.124
-0.066 -0.074 -0.056
-0.108 -0.124 -0.089
-0.070
-0.218

-0.193 -0.117 -0.119


-0.195
-0.131
-0.122
-0.152
-0.242
-0.117
-0.162
-0.191
-0.217

-0.147 -0.058 -0.061


-0.042
-0.140
-0.085
-0.146
-0.087
-0.164 -0.180 -0.148
-0.247
-0.108
-0.221

-0.228
-0.175

-0.100
-0.178
-0.196

0.004
0.000
0.001

0.001

0.001

0.001

0.001

0.001

0.001

0.001

0.001

0.002
0.003
0.004
0.003

0.002

0.002

0.001
0.003

0.001

0.001

0.000
0.002
0.002
0.001
0.001

0.001

0.001

0.003
0.018
0.000
0.006
0.003
0.000
0.003

0.002
0.011
0.000
0.002
0.003
0.000
0.002

0.001

0.001

0.003
0.004

0.003
0.005

0.001
0.004

0.009

0.009

0.001
0.001
0.001

0.001
0.000
0.001

0.002

0.001

0.003

0.002

0.001

0.001

0.000 0.001 0.002


0.006 0.004 0.003
0.004 0.002 0.001
0.000 0.003 0.004
0.003 0.009 0.009
0.006 0.007 0.005
0.011 0.009 0.007
0.000 0.000 0.000
0.000 0.001 0.002
0.002 0.015 0.016
0.009 0.008 0.006
0.000 0.000 0.000
0.000 0.001 0.002
0.000 0.000 0.001
0.000 0.006 0.007
0.000 0.000 0.001
0.006 0.004 0.003
0.000 0.012 0.013
0.002 0.006 0.007
0.001 0.001 0.001
0.000 0.002 0.003
0.000 0.001 0.001
0.004 0.002 0.001
0.000 0.000 0.000
0.000 0.003 0.004
0.000 0.000 0.000
0.000 0.005 0.005
0.000 -0.001 -0.001
0.000 0.011 0.010
0.006 0.006 0.005
0.000 0.000 0.001
0.008 0.006 0.004
0.000 0.004 0.005
0.004 0.005 0.005
0.002 0.002 0.004
0.000 0.000 0.000
0.000 0.000 0.000
0.000 0.003 0.004
0.000 0.000 0.000
0.005 0.004 0.003

0.002
0.002
0.004
0.002
0.002
0.003
0.002
0.002
0.002
0.001

0.004

0.004
0.003
-0.001
0.001

0.001

0.000
0.000
0.001
0.003
0.004
0.006
0.002
0.002
0.003
0.005
0.001
0.002
0.001
0.002
0.004

0.001
0.003
0.000
0.002
0.003
0.003
0.002
0.003
0.004
0.005

0.002
0.002
0.004
0.001
0.002
0.000
0.002
0.001
0.003
0.004

0.002
0.004

0.000
0.004
0.002

Potrebbero piacerti anche