Sunday, February 26, 2017

Market News for the Prepared Mind: 2.27.2017 – 3.6.2017

“Imagination decides everything.” - Blaise Pascal

"Chance favors the Prepared Mind." - Louis Pasteur

“This awful catastrophe is not the end but the beginning.
History does not end so. It is the way its chapters open.” - St. Augustine

"The market can remain irrational longer than you can remain solvent." John Keynes

The Dow Jones Industrials were up for the 11th straight day. The string of gains is the product of a string of small daily gains. Treasury yields move to their lowest levels in over 5 weeks. The VIX remains at levels showing little investor concern. Most of the indicators are decidedly bullish, yet I am wary. Over 30 years as a professional options trader has left me permanently wary.

Here is an overview of the US market behavior last week and for 2017:
Index 24-Feb Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,821.76 197.71 0.96% 5.36% 11.34% (VXD)
S&P 500 (SPX) 2,367.34 16.18 0.69% 5.77% 11.47% (VIX)
NASDAQ 100 (NDX) 5,343.31 18.59 0.35% 9.86% 12.75% (VXN)
Russell 2000 (RUT) 1,394.52 (5.34) -0.38% 2.76% 16.90% (RVX)
S&P 100 (OEX) 1047.81 8.58 0.83% 5.69% 10.65% (VXO)
Crude Oil (CLJ7) 54.02 0.29 0.54% 0.24% 25.72%(OVX)
CBOE Volatility Index (VIX) 11.47 (0.02) -0.17% NA
Data Source: OptionVue8

THE VIX was down for the week. The March VIX future was down, while the April and May futures showed increases of over 6%. Russell Rhoads, CBOE VIX guru, pointed to the upcoming first round of the French presidential election as impetus for the strength of the April and May VIX futures. This strength was reflected in the VIX 3 month and 6 month Volatility Indexes. The VXV (CBOE 3 Month Volatility Index) was up 7.58%,

Here is an overview of last week for the VIX and related products:
Indexes Ticker 24-Feb 17-Feb Change % Change
CBOE Volatility Index VIX 11.47 11.49 (0.02) -0.17%
VIX March Future (3/22/2017) VXH7 13.325 13.125 0.20 1.52%
VIX April Future (4/19/2017) VXJ7 15.250 14.350 0.90 6.27%
VIX May Future (5/17/2017) VXK7 16.075 15.150 0.92 6.11%
CBOE Short-term Volatility Index VXST 9.41 9.03 0.38 4.21%
CBOE 3 Month Volatility Index VXV 14.76 13.72 1.04 7.58%
CBOE Mid-term Volatility Index (6 month) VXMT 16.68 15.79 0.89 5.64%
VIX of VIX VVIX 83.31 81.25 2.06 2.54%
CBOE SKEW Index SKEW 138.66 141.15 (2.49) -1.76%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 21.44 20.25 1.19 5.88%
iPath S&P 500 VIX Short Term Futures ETN VXX 18.09 17.54 0.55 3.14%
ProShares VIX Short Term Futures ETF VIXY 15.08 14.65 0.43 2.94%
iPath S&P 500 VIX Mid-Term Futures ETN VXZ 29.84 28.49 1.35 4.74%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 125.25 129.05 (3.80) -2.94%
Daily Inverse VIX Short Term ETN XIV 64.52 66.54 (2.02) -3.04%
Data Source: OptionVue8

The first trading week of March does not end with the the employment situation report. Instead of the usual first Friday of the month, the Bureau of Labor Statistics won’t release employment figures for February until the following Friday, March 10.. The coming week includes reports on durable goods and the CoreLogic Case-Shiller Home Price Index. The absence of the monthly employment numbers will allow extra attention to other economic releases” Durable goods orders on Monday, the second estimate for fourth-quarter GDP will follow on Tuesday as will January trade data on goods, and Wednesday will see personal income & outlays. The week closes with the ISM non-manufacturing report. The international focus is on Dutch Parliamentary elections on March 15 and the first round of the French presidential election on April 23. European investors are jittery.

The earnings season is starting to wind down. This is the second straight ho-hum earnings season. It has been my experience that the post earnings behavior of individual stocks and the associated options have shown a remarkable consistency in movement of the underlying and change in the implied volatility of the options. This consistency within individual stocks has not been apparent the past two earnings cycles. It is as if a “new normal” is being defined.
Earnings announcements are predictable volatility events providing trading opportunity. It is important to reduce the number of surprises which may occur in any trading campaign. Confirm the date and time of any company’s earnings announcement before trading any earnings announcement strategy. The most accurate source of this information is the company’s investor relations website.

I have added a scan of stocks with earnings announcements to the calendar for each day in the coming week. The scan criteria are: Closing price> $20, Implied Volatility > 25, Average daily option volume > 800 contracts. Liquidity, as determined by width of option markets and individual option contract volume, is a crucial component in successfully trading any option strategy. One of the most frustrating experiences is an inability to adjust or exit a strategy due to lack of liquidity in the market. The market uncertainty associated with the election has impacted liquidity. I found it difficult to enter earning trades last week. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets. Data Sources for earnings: Livevol Core and OptionVue8

Advice to stimulate your imagination:

“The fact that people are full of greed, fear, or folly is predictable.
“The sequence is not predictable.” Warren Buffett

"If you spend more than 13 minutes analyzing economic and market forecasts,you've wasted 10 minutes" - Peter Lynch

“If you do not actively attack the risks, they will actively attack you.” - Tom Gib

Monday February 27:
Economic: Durable Goods Orders – 8:30, Pending Home Sales – 10:00, Dallas Fed Manufacturing Survey – 10:30

International Economic: Japan Industrial Production and Retail Trade – 6:50PM.

Other: Dallas Federal Reserve Bank President Robert Kaplan participates in a moderated discussion at the University of Oklahoma Price College of Business in Norman, Okla., with audience and media Q&A – 11:00AM.

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
PRGO Perrigo Company PLC $84.07 40.82 BMO 2235
WUBA 58.com Inc (ADR) $32.68 53.75 BMO 3570
ALB Albemarle Corporation $92.41 34.07 AMC 1198
EOG EOG Resources Inc $97.57 28.39 AMC 7699
HAIN Hain Celestial Group Inc $34.84 35.57 AMC 3360
OKE ONEOK, Inc. $54.64 27.91 AMC 1057
PCLN Priceline Group Inc $1,637.26 25.03 AMC 15745
WDAY Workday Inc $88.19 43.69 AMC 3671
PBYI Puma Biotechnology Inc $34.70 174.27 1290
Tuesday February 28:


Economic: GDP – 8:30AM, International Trade in Goods – 8:30, Redbook – 8:55, S&P Corelogic Case-Shiller HPI 0 9:00, Chicago PMI – 9:45, Consumer Confidence – 10:00, Richmond Fed Manufacturing Index - 10:00, State Street Investor Confidence – 10:00, Farm Price – 3:00.

International Economic: Germany Retail Sales – 2:00AM, France GDP, CPI, PPI – 2:45AM.

Other: Kansas City Federal Reserve Bank President Esther George gives keynote speech about the U.S. Economy and Monetary Policy at Banking and the Economy: A Forum for Women in Banking in Midwest City, Okla., with audience Q&A – 12:45PM, San Francisco Federal Reserve Bank President John Williams gives outlook speech at the Santa Cruz Chamber of Commerce in Santa Cruz, Calif., with audience and media Q&A - 3:30PM, St. Louis Federal Reserve Bank President Bullard speaks about U.S. economy and monetary policy at Spring 2017 GWU Alumni Lecture in Economics at George Washington University in D.C., with audience and media Q&A - 6:30PM.

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
ALR Alere Inc $40.37 64.40 BMO 2697
DPZ Domino's Pizza, Inc. $186.30 34.62 BMO 1322
GLNG Golar LNG Limited (USA) $27.20 54.67 BMO 3694
IONS Ionis Pharmaceuticals Inc $44.35 67.63 BMO 1839
LNG Cheniere Energy, Inc. $47.35 34.07 BMO 9020
MDCO The Medicines Company $51.84 76.94 BMO 1453
NXST Nexstar Media Group Inc $69.50 35.00 BMO 889
PTLA Portola Pharmaceuticals Inc $32.16 70.13 BMO 916
ROST Ross Stores, Inc. $67.64 27.91 BMO 966
TASR TASER International, Inc. $25.47 47.03 BMO 1949
TGT Target Corporation $64.98 25.53 BMO 18152
TSRO TESARO Inc $185.94 62.60 BMO 2512
ACAD ACADIA Pharmaceuticals Inc. $39.56 65.98 AMC 5335
AMBA Ambarella Inc $57.03 45.56 AMC 5362
CBI Chicago Bridge & Iron Company $33.89 41.32 AMC 3728
CRM salesforce.com, inc. $82.07 31.72 AMC 25239
DXCM DexCom, Inc. $77.96 45.62 AMC 1172
PANW Palo Alto Networks Inc $152.74 41.60 AMC 7766
SRPT Sarepta Therapeutics Inc $30.15 81.60 AMC 6283
VEEV Veeva Systems Inc $43.58 40.11 AMC 1351
KITE Kite Pharma Inc $52.97 72.81 1497

Wednesday March 1:


Economic: Motor Vehicle Sales, MBA Mortgage Applications – 7:00, Personal Income and Outlays – 8:30, Gallup US Job Creation Index – 6:30, PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction – 10:00, EIA Petroleum Status Report – 10:30. Beige Book – 2:00.

International Economic: Germany Unemployment Rate – 3:55AM, Eurozone Manufacturing Index – 4:00AM, Germany CPI - 8:00AM.

Other: Dallas Federal Reserve Bank President Robert Kaplan discuss local and national issues with Paul Quinn College President Michael Sorrell in Dallas, Texas – 12:00PM.

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
BBY Best Buy Co Inc $44.31 48.03 BMO 12114
DLTR Dollar Tree, Inc. $77.57 44.73 BMO 7573
MYL Mylan NV $42.33 33.26 BMO 11743
PCRX Pacira Pharmaceuticals Inc $43.90 108.69 BMO 1091
AVGO Broadcom Ltd $210.58 29.52 AMC 9588
MNST Monster Beverage Corp $43.91 34.50 AMC 2474
SHAK Shake Shack Inc $36.61 41.64 AMC 1501

Thursday March 2:

Economic: Chain Store Sales, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, PMI Services Flash – 9:45, EIA Natural Gas Report – 10:30, Money Supply – 4:30PM.

International Economic: Eurozone Unemployment Rate - 5:00AM, Eurozone PPI – 5:00AM, Global Composite PMI - 11:00AM.

Other: Federal Reserve Bank of Cleveland President Loretta Mester participates in a Power Talk event at Barnard College in New York, N.Y., with audience Q&A – 7:00PM

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
BURL Burlington Stores Inc $85.39 38.82 BMO 1202
CNQ Canadian Natural Resource Ltd $29.40 31.48 BMO 3559
JD JD.Com Inc(ADR) $30.61 35.65 BMO 22659
KR Kroger Co $32.99 27.51 BMO 6572
ADSK Autodesk, Inc. $87.10 42.30 AMC 5291
NTNX Nutanix Inc $30.15 77.50 AMC 1812

Friday March 3:


Economic: PMI Service Index – 9:45, ISM Non-Manufacturing Index – 10:00, Baker-Hughes Rig Count – 1:00PM.

International Economic: Eurozone Retail Sales – 5:00AM, Global Composite PMI - 11:00AM.

Other: Vice Chairman Stanley Fischer of the Board of Governors of the Federal Reserve System gives keynote speech on this year's report on inflation expectations and dynamics at Chicago Booth's 2017 US Monetary Policy Forum in New York City, Chicago Federal Reserve Bank President Charles Evans and Richmond Federal Reserve Bank President Jeffrey Lacker discuss this year's report on inflation expectations and dynamics at Chicago Booth's 2017 US Monetary Policy Forum in New York City, with audience Q&A – 10:15AM, Federal Reserve Chair Janet Yellen speaks at the Executives' Club of Chicago – 1:00PM.

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
BIG Big Lots, Inc. $51.35 45.82 BMO 959

Monday March 6:

Economic: Gallup US spending Measure - 8:30, Factory Orders – 10:00, TD-Ameritrade IMX – 12:30PM, Durable Goods Orders – 8:30, Dallas Fed Manufacturing Survey – 10:30.

International Economic: No major announcements.

Orders: Minneapolis Federal Reserve Bank President Neel Kashkari speaks at NABE conference in panel titled "A View from the FRB Minneapolis," in Washington, D.C – 3:00PM.

Earnings:
Symbol Company Name Feb 24 Close IV30 B/A AVGOPTVOL
CASY Casey's General Stores Inc $116.60 30.08 AMC 958
THO Thor Industries, Inc. $110.16 36.21 AMC 848

Tuesday, February 21, 2017

Market News for the Prepared Mind: 2.20.17 - 2.27.2017

“Imagination decides everything.” - Blaise Pascal

"Chance favors the Prepared Mind." - Louis Pasteur

"By definition, risk-takers often fail. So do morons.
In practice, it's difficult to sort them out." - Scott Adams

The trend continues. It was another new week of closing highs. Decent earnings, no major PR explosions from the White House, and optimism about potential tax reform are fueling the rise. I have been fighting a bronchial malaise, so I will keep it short this week.
Here is an overview of the US market behavior last week and for 2017:
Index 17-Feb Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,624.05 354.78 1.75% 4.36% 11.33% (VXD)
S&P 500 (SPX) 2,351.16 37.91 1.64% 5.04% 11.49% (VIX)
NASDAQ 100 (NDX) 5,324.72 98.03 1.88% 9.48% NA (VXN)
Russell 2000 (RUT) 1,399.86 11.02 0.79% 3.15% 16.17% (RVX)
S&P 100 (OEX) 1039.23 18.54 1.82% 4.82% 11.27% (VXO)
Crude Oil (CLH7) 53.40 (0.45) -0.84% -0.91% 27.49%(OVX)
CBOE Volatility Index (VIX) 11.49 0.64 5.90% NA
Data Source: OptionVue8
Data Source: OptionVue8
The VIX up this week while the various month VIX futures moved down. There is an intraday push and pull between SPX at all-time highs and the VIX futures and other short-term volatility indicators. The difference between the VIX and the RVX (RUT volatility index) collapsed last week. The previous week the difference was as high as 7.50. The difference closed last week at 3.68.
Starting February 13, the CBOE is not computing the VXN – the volatility index on the NDX or NASDAQ 100. The CBOE said it would start calculating the values at a future, as of yet, unannounced, date. No reasons were given.
Here is an overview of last week for the VIX and related products:
Indexes Ticker 17-Feb 10-Feb Change % Change
CBOE Volatility Index VIX 11.49 10.85 0.64 5.90%
VIX March Future (3/22/2017) VXH7 13.125 13.375 (0.25) -1.87%
VIX April Future (4/19/2017) VXJ7 14.350 15.125 (0.78) -5.12%
VIX May Future (5/17/2017) VXK7 15.150 16.025 (0.87) -5.46%
CBOE Short-term Volatility Index VXST 9.03 9.02 0.01 0.11%
CBOE 3 Month Volatility Index VXV 13.72 13.91 (0.19) -1.37%
CBOE Mid-term Volatility Index (6 month) VXMT 15.79 16.17 (0.38) -2.35%
VIX of VIX VVIX 81.25 85.77 (4.52) -5.27%
CBOE SKEW Index SKEW 141.13 130.47 10.66 8.17%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 20.25 21.91 (1.66) -7.58%
iPath S&P 500 VIX Short Term Futures ETN VXX 17.54 18.21 (0.67) -3.68%
ProShares VIX Short Term Futures ETF VIXY 14.65 15.16 (0.51) -3.36%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 28.49 30.06 (1.57) -5.22%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 129.05 125.40 3.65 2.91%
Daily Inverse VIX Short Term ETN XIV 66.54 64.64 1.90 2.94%

Data Source: OptionVue8

The week of February 20 will be a shortened trading week due to President’s Day. Reports will be relased on existing and new home sales, along with the minutes of the Fed’s January meeting. The week winds up with the final consumer sentiment score for February, one that dipped back noticeably in early February.
The earnings season is starting to wind down. Earnings announcements are predictable volatility events providing trading opportunity. It is important to reduce the number of surprises which may occur in any trading campaign. Confirm the date and time of any company’s earnings announcement before trading any earnings announcement strategy. The most accurate source of this information is the company’s investor relations website. The earnings highlights this week, for widely held and actively traded stocks, are Tesla, Fitbit, Jack in the Box, HP, Cheesecake Factory, Trans Ocean, Public Storage, Popeyes, Toll Brothers. Ctrip, Hormel Foods, Baidu, Monster Beverage, Nordstrom, Foot Locker, and Priceline.
I have added a scan of stocks with earnings announcements to the calendar for each day in the coming week. The scan criteria are: Closing price> $20, Implied Volatility > 25, Average daily option volume > 800 contracts. Liquidity, as determined by width of option markets and individual option contract volume, is a crucial component in successfully trading any option strategy. One of the most frustrating experiences is an inability to adjust or exit a strategy due to lack of liquidity in the market. The market uncertainty associated with the election has impacted liquidity. I found it difficult to enter earning trades last week. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets. Data Sources for earnings: Livevol Core and OptionVue8
Advice to stimulate your imagination:

"By definition, risk-takers often fail. So do morons.
In practice it's difficult to sort them out." - Scott Adams

“In theory there is no difference between theory and practice.In practice there is.” - Yogi Berra

"To make a mistake is only human; to persist in a mistake is idiotic." - Cicero

“To learn patience is not to rebel against every hardship.” - Henri Nouwen

Monday February 20:

US Markets Closed: Holiday – Presidents Day
International Economic: Germany PPI – 2:00AM, Great Britain Industrial Trends Survey- 6:00AM, Japan Consumer Confidence Flash – 7:30PM.

Tuesday February 21:

Economic: PMI Manufacturing Index Flash – 9:45.
International Economic: China Merchandise Trade – 2:00AM, France CPI – 2:45AM, Germany PMI Composite Flash – 4:00AM, Eurozone PMI Composite Flash,

Other: Minneapolis Federal Reserve Bank President Neel Kashkari participates in a fireside chat on the economy and the role of the Federal Reserve hosted by the Financial Planning Association of Minnesota in Golden Valley, Minn., with audience Q&A – 8:50AM, Philadelphia Federal Reserve Bank President Patrick Harker speaks on the economic outlook at the University of Pennsylvania in Philadelphia, with audience and media Q&A – 12:00PM, San Francisco Federal Reserve Bank President John Williams speaks to students of Boise State University on "Getting to Know the Fed," in Boise, Id. with audience Q&A – 3:30PM.

Earnings:
Symbol Company Name Feb 17 Close IV30 B/A AVGOPTVOL
BHP BHP Billiton Limited $40.99 30.30 BMO 4211
HAIN Hain Celestial Group Inc $34.46 35.75 AMC 4064



Wednesday February 22:

Economic: MBA Mortgage Applications – 7:00, Redbook – 8:55, Existing Home Sales – 10:00., Industrial Production – 9:15, Atlanta Fed Business Inflation Expectations = 10:00, Housing Market Index – 10:00, EIA Petroleum Status Report – 10:30.

International Economic: Great Britain GDP – 4:30AM, Eurozone HICP – 5:00AM.

Other: FOMC minutes - 2:00.

Earnings:
Symbol Company Name Feb 17 Close IV30 B/A AVGOPTVOL
BHP BHP Billiton Limited (ADR) $40.99 30.30 BMO 4211
HAIN Hain Celestial Group Inc $34.46 35.75 AMC 4064





Thursday February 23:

Economic: Weekly Jobless Claims – 8:30, Chicago Fed National Activity Index – 8:30, FHFA House Price Index – 9:00, Bloomberg Consumer Comfort Index – 9:45, PMI Services Flash – 9:45, EIA Natural Gas Report – 10:30, Kansas City Fed Manufacturing Index – 11:00, EIA Petroleum Status Report – 11:00, Money Supply – 4:30PM.
International Economic: Germany GDP 2:00AM, Great Britain CBI Distributive Trades – 6:00AM.
Other: Atlanta Federal Reserve Bank President Dennis Lockhart speaks on the past 10 years at the Atlanta Federal Reserve in Atlanta, GA – 8:35AM.

Earnings:
Symbol Company Name Feb 17 Close IV30 B/A AVGOPTVOL
CLR Continental Resources, Inc. $46.01 37.67 BMO 4162
CLVS Clovis Oncology Inc $61.37 71.23 BMO 2927
DISH DISH Network Corp $62.72 36.49 BMO 4082
ETP Energy Transfer Partners LP $38.38 31.48 BMO 5623
GRMN Garmin Ltd. $50.95 32.25 BMO 1234
HFC HollyFrontier Corp $30.00 36.21 BMO 2206
MBLY Mobileye NV $44.97 43.63 BMO 11285
MDCO The Medicines Company $52.80 76.55 BMO 1504
SBGI Sinclair Broadcast Group Inc $36.30 34.05 BMO 1005
SLCA U.S. Silica Holdings Inc $57.36 48.47 BMO 1758
SXL Sunoco Logistics Partners L.P. $25.81 30.48 BMO 1864
TOL Toll Brothers Inc $31.43 28.49 BMO 3168
WB Weibo Corp (ADR) $55.26 51.04 BMO 2422
BLUE bluebird bio Inc $76.55 63.39 AMC 1120
CTRP Ctrip.Com International Ltd $45.51 34.94 AMC 6431
JACK Jack in the Box Inc. $109.30 35.94 AMC 834
LB L Brands Inc $57.48 29.80 AMC 3446
MTDR Matador Resources Co $26.86 45.28 AMC 1749
RH RH $27.18 60.99 AMC 7408
RRC Range Resources Corp. $31.24 42.61 AMC 5549
SINA SINA Corp $76.38 46.03 AMC 1099
SM SM Energy Co $27.11 57.20 AMC 1669
SUN Sunoco LP $28.51 41.24 AMC 3082
TSLA Tesla Inc $268.95 42.38 AMC 91894




Friday February 24:

Economic: New Home Sales – 10:00, Consumer Sentiment – 10:00, Baker-Hughes Rig count – 1:00PM.

International Economic: No major announcements

Earnings:
Symbol Company Name Feb 17 Close IV30 B/A AVGOPTVOL
APA Apache Corporation $55.25 27.74 BMO 9813
CRZO Carrizo Oil & Gas Inc $33.37 40.34 BMO 892
HRL Hormel Foods Corp $37.24 27.43 BMO 997
KSS Kohl's Corporation $41.53 46.96 BMO 4982
PTLA Portola Pharmaceuticals Inc $30.27 63.84 BMO 815
WUBA 58.com Inc (ADR) $33.70 52.41 BMO 3973
ACIA Acacia Communications, Inc. $64.19 72.17 AMC 3165
BIDU Baidu Inc (ADR) $184.94 30.50 AMC 14476
BMRN BioMarin Pharmaceutical Inc. $90.53 35.40 AMC 916
CBI Chicago Bridge & Iron Company $35.77 39.97 AMC 3511
HLF Herbalife Ltd. $61.06 44.82 AMC 10874
ICPT Intercept Pharmaceuticals Inc $129.85 57.64 AMC 1059
IDCC InterDigital, Inc. $99.95 39.83 AMC 965
JWN Nordstrom, Inc. $44.18 52.00 AMC 7240
MNST Monster Beverage Corp $43.45 33.22 AMC 2598
OLED Universal Display Corporation $71.30 58.10 AMC 1027
PE Parsley Energy Inc $31.86 38.03 AMC 886
SEMG SemGroup Corp $39.90 37.75 AMC 1410
SPLK Splunk Inc $62.86 43.26 AMC 3003
W Wayfair Inc $40.17 64.16 AMC 1266
SAGE SAGE Therapeutics Inc $62.75 94.51 915




Monday February 27:

Economic: Durable Goods Orders – 8:30, Dallas Fed Manufacturing Survey – 10:30

International Economic: Japan Industrial Production and Retail Trade – 6:50PM.

Earnings:
Symbol Company Name Feb 17 Close IV30 B/A AVGOPTVOL
FL Foot Locker, Inc. $70.50 31.99 AMC 2143











































































Sunday, February 12, 2017

Market News for the Prepared Mind: 2.13 - 2.21.2017


“I love to talk about nothing. It's the only thing I know anything about.” - Oscar Wilde

“Imagination decides everything.” - Blaise Pascal

“The two most powerful warriors are patience and time.” - Leo Tolstoy

"Chance favors the Prepared Mind." - Louis Pasteur

As of Friday's close, the S&P 500 had gone for 39 consecutive trading sessions without an intraday move greater than 1%. This is the longest streak in history. The past few trading weeks summed up by the world’s oldest rock star, Tuli Kupferberg. in the Fug’s classic “Nothing.”

Monday, nothing
Tuesday, nothing
Wednesday and Thursday nothing
Friday, for a change
a little more nothing
Saturday once more nothing
Sunday nothing
Monday nothing
Tuesday and Wednesday nothing
Thursday, for a change
a little more nothing
Friday once more nothing.

The march of time may inexorable, but the market will not remain range bound. Patience is required by a trader waiting for something to occur in the markets. My first responsibility goal, as a trader, is to make sure I am not financially hurt by the next move in the market. Short term risk is the foundation for my position risk exposure. Success is not imperative on one’s ability to buy a bottom or sell a top.

Here is an overview of the US market behavior last week and for 2017:
Index 10-Feb Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,269.27 197.81 0.99% 2.56% 10.98% (VXD)
S&P 500 (SPX) 2,313.25 15.83 0.69% 3.35% 10.85% (VIX)
NASDAQ 100 (NDX) 5,226.69 65.09 1.26% 7.47% 12.31% (VXN)
Russell 2000 (RUT) 1,388.84 11.00 0.80% 2.34% 17.91% (RVX)
S&P 100 (OEX) 1020.69 7.00 0.69% 2.95% 10.41% (VXO)
Crude Oil (CLH7) 53.85 0.00 0.00% -0.07% 26.43%(OVX)
CBOE Volatility Index (VIX) 10.85 (0.12) -1.09% NA
Data Source: OptionVue8

The VIX is, also, part of the nothing movement in the markets. The price of the VIX reflects a market which has been extraordinarily quiet. The VIX and associated products have shown minimally lower volatility levels as the SPX moved up this week. The VIX has closed under 12 for 16 days. The VIX is at a significant support level. The major topic of conversation among traders is the question Chubby Checker asked in Limbo Rock; “How low can you go?” I have seen at-the- money index implied volatility with an “8” handle and as high as the 170’s. It should be noted that I saw both of these levels in the same year – 1987.

Trading activity in the VIX options pit has been divided between trades providing portfolio insurance and speculative risk reversals. The risk reversals have seen the purchase of call verticals which are financed through the sale of out-of-the-money puts. CBOE TV airs several daily reports from the VIX pit. These reports are valuable in getting a flavor of the daily VIX trade – options and futures.

Here is an overview of last week for the VIX and related products:
Indexes Ticker 10-Feb 3-Feb Change % Change
CBOE Volatility Index VIX 10.85 10.97 (0.12) -1.09%
VIX February Future (2/15/2017) VXG7 11.725 12.475 (0.75) -6.01%
VIX March Future (3/22/2017) VXH7 13.375 13.925 (0.55) -3.95%
VIX April Future (4/19/2017) VXJ7 15.125 15.225 (0.10) -0.66%
VIX May Future (5/17/2017) VXK7 16.025 16.025 0.00 0.00%
CBOE Short-term Volatility Index VXST 9.02 9.19 (0.17) -1.85%
CBOE 3 Month Volatility Index VXV 13.91 14.05 (0.14) -1.00%
CBOE Mid-term Volatility Index (6 month) VXMT 16.17 16.27 (0.10) -0.61%
VIX of VIX VVIX 85.77 88.97 (3.20) -3.60%
CBOE SKEW Index SKEW 130.47 133.25 (2.78) -2.09%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 21.91 23.53 (1.62) -6.88%
iPath S&P 500 VIX Short Term Futures ETN VXX 18.21 18.82 (0.61) -3.24%
ProShares VIX Short Term Futures ETF VIXY 15.16 15.69 (0.53) -3.38%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 30.06 30.06 0.00 0.00%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 125.40 121.36 4.04 3.33%
Daily Inverse VIX Short Term ETN XIV 64.64 62.69 1.95 3.11%
Data Source: OptionVue8


It will be a very heavy week for economic news. The week starts with Janet Yellen’s semi-annual testimony before the Senate Banking Committee followed on Wednesday by her testimony before the House Financial Services Committee. Yellen’s testimony has the potential to break the streak of no daily 1% moves in the SPX. Reports on retail sales, consumer prices and industrial production will be released on Wednesday. Thursday’s highlight will be release of Housing Starts and the Philadelphia Fed Business Outlook Survey. The number in this regional manufacturing survey will be correlated and compared against Wednesday’s Industrial Production report.

The earnings season is starting to wind down. Earnings announcements are predictable volatility events providing trading opportunity. It is important to reduce the number of surprise which may occur in any trading campaign. Confirm the date and time of any company’s earnings announcement before trading any earnings announcement strategy. The most accurate source of this information is the company’s investor relations website. The earnings highlights this week, for widely held and actively traded stocks, are Teva Pharmaceutical, Noble Energy, Restaurants International, Scorpio Tankers, Rent-A-Center, and Flowers Foods.

I have added a scan of stocks with earnings announcements to the calendar for each day in the coming week. The scan criteria are: Closing price> $20, Implied Volatility > 25, Average daily option volume > 800 contracts. Liquidity, as determined by width of option markets and individual option contract volume, is a crucial component in successfully trading any option strategy. One of the most frustrating experiences is an inability to adjust or exit a strategy due to lack of liquidity in the market. The market uncertainty associated with the election has impacted liquidity. I found it difficult to enter earning trades last week. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets. Data Sources for earnings: Livevol Core and OptionVue8

Advice to stimulate your imagination:

“A lot of my work is a matter of reacting to surprises in life.” - Alexander Wang

" Patience is necessary, and one cannot reap immediately where one has sown.” - Soren Kierkegaard

“To learn patience is not to rebel against every hardship.” - Henri Nouwen

Monday February 13:

Economic: No major Announcements.

International Economic: Japan GDP - 6:50PM Sunday, China CPI and PPI – 8:30PM.

Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
NBL Noble Energy, Inc. $38.39 26.97 BMO 1944
TEVA Teva Pharmaceutical $32.25 36.73 BMO 28401
CSOD Cornerstone OnDemand, Inc. $41.55 50.79 AMC 1627

Tuesday February 14:


Last day of Trading for February VIX Futures and Options.

Economic: NFIB Small Business Optimism Index – 6:00, PPI-FD – 8:30, Producer Price Index – 8:30, Redbook – 8:55

International Economic: Germany CPI - 2:00AM, Germany GDP Flash – 2:00AM, Great Britain CPI & PPI – 5:00AM, Eurozone GDP Flash – 5:00AM, Eurozone Industrial Production - 5:00AM.

Other: Richmond Federal Reserve Bank President Jeffrey Lacker speaks at the University of Delaware 2017 Economic Forecast conference in Newark, Del., with media & audience Q&A – 8:50AM, Federal Reserve Chair Janet Yellen will give her semiannual monetary policy testimony before the Senate Banking Committee – 10:00AM, Atlanta Federal Reserve Bank President Dennis Lockhart speaks at Huntsville Rotary Club regarding crisis, recession, and recovery in Huntsville, Ala., with media and audience Q&A – 12:50PM, Dallas Federal Reserve Bank President Robert Kaplan participates in a panel discussion at the Greater Houston Port Bureau luncheon in Houston, Texas, with audience and media Q&A – 1:00PM,.

Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
A Agilent Technologies Inc $50.47 25.05 BMO 1215
DISCA Discovery Communications $27.96 31.26 BMO 1173
DVN Devon Energy Corp $44.75 32.70 BMO 11012
INCY Incyte Corporation $122.96 43.99 BMO 1367
MLM Martin Marietta Materials, Inc. $225.32 30.69 BMO 1108
TMUS T-Mobile Us Inc $62.25 36.44 BMO 9410
ESRX Express Scripts Holding Co $67.48 27.04 AMC 9698




Wednesday February 15:


Economic: MBA Mortgage Applications – 7:00, Consumer Price Index (CPI) – 8:30, Retail Sales – 8:30, Empire State Manufacturing Survey – 8:30, Industrial Production – 9:15, Atlanta Fed Business Inflation Expectations = 10:00, Housing Market Index – 10:00, EIA Petroleum Status Report – 10:30.

International Economic: Great Britain Labour Report – 4:30AM, Eurozone Merchandise Trade – 5:00AM.

Other: Federal Reserve Chair Janet Yellen will give her semiannual monetary policy testimony before the House Financial Services Committee – 10:00, Boston Federal Reserve Bank President Eric Rosengren gives keynote speech at New York Association Economics Luncheon at the Harvard Club in NYC – 12:00PM, Philadelphia Federal Reserve President Patrick Harker speaks on the economic outlook at La Salle University 16th Annual Economic Outlook in Pa., with media and audience Q&A – 12:45PM.

Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
BG Bunge Ltd $68.57 31.32 BMO 1137
CC Chemours Co $27.59 54.32 BMO 2459
MDCO The Medicines Company $48.75 68.45 BMO 1663
SHOP Shopify Inc $54.61 51.82 BMO 1088
TRGP Targa Resources Corp $59.31 31.60 BMO 1486
WMB Williams Companies Inc $28.67 30.04 BMO 6183
WYN Wyndham Worldwide $81.65 27.07 BMO 1036
ADI Analog Devices, Inc. $76.51 25.10 AMC 810
AEM Agnico Eagle Mines Ltd (USA) $50.20 39.39 AMC 4020
AMAT Applied Materials, Inc. $35.41 29.42 AMC 12083
CAR Avis Budget Group Inc. $37.41 53.08 AMC 2641
CF CF Industries Holdings, Inc. $34.49 42.68 AMC 11251
LBTYA Liberty Global PLC $35.19 30.77 AMC 1276
NTAP NetApp Inc. $39.31 37.47 AMC 3836
NTES NetEase Inc (ADR) $257.56 37.91 AMC 3552
TRIP Tripadvisor Inc $52.51 46.61 AMC 2967

Thursday February 16:


Economic: Housing Starts – 8:30, Weekly Jobless Claims – 8:30, Philadelphia Fed Business Outlook Survey – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30, Money Supply – 4:30PM.

International Economic: No major announcements

Other: European Central Bank Minutes (ECB) – 7:30AM.


Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
ALXN Alexion Pharmaceuticals, Inc. $127.08 39.38 BMO 5807
CAB Cabelas Inc $50.24 39.61 BMO 1058
CHTR Charter Communications Inc $325.07 28.39 BMO 2991
MGM MGM Resorts International $28.62 28.32 BMO 19619
PRGO Perrigo Company PLC $79.44 42.08 BMO 2179
REGN Regeneron Pharmaceuticals $360.00 30.85 BMO 4194
SHPG Shire PLC (ADR) $171.82 26.95 BMO 997
ANET Arista Networks Inc $97.81 38.54 AMC 1095
TPX Tempur Sealy International Inc $45.75 55.02 AMC 3115
TRN Trinity Industries Inc $27.85 41.51 AMC 1430
WBMD WebMD Health Corp. $50.65 34.24 AMC 4529




Friday February 17:


Economic: E-Commerce Retail Sales, Leading Indicators – 10:00, Baker-Hughes Rig count – 1:00PM.

International Economic: Great Britain Retail Sales – 4:30AM

Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
VFC VF Corp $49.47 30.89 BMO 3438
FLR Fluor Corporation (NEW) $55.37 27.55 AMC 1149




Monday February 20:


US Markets Closed: Holiday – Presidents Day

International Economic: Germany PPI – 2:00AM, Great Britain Industrial Trends Survery- 600AM, Japan Consumer Confidence Flash – 7:30PM.

Tuesday February 21:


Economic: PMI Manufacturing Index Flash – 9:45.

International Economic: France CPI – 2:45AM, Germany PMI Composite Flash – 4:00AM, Eurozone PMI Composite Flash – 5:00AM.

Earnings:
Symbol Company Name Feb 10 Close IV30 B/A AVGOPTVOL
AER AerCap Holdings N.V. $45.94 26.12 BMO 925
DDS Dillard's, Inc. $57.29 44.79 BMO 941
DISH DISH Network Corp $61.07 36.54 BMO 4076
M Macy's Inc $32.37 49.23 BMO 23821
NEM Newmont Mining Corp $37.20 36.02 BMO 21471
XPO XPO Logistics Inc $45.43 45.69 BMO 2225
AAP Advance Auto Parts, Inc. $164.83 31.32 AMC 2077
CXO Concho Resources Inc $139.86 29.44 AMC 906
NFX Newfield Exploration Co. $40.91 37.08 AMC 2023
TEX Terex Corporation $31.32 39.66 AMC 1327