Sunday, April 23, 2017

Market News for the Prepared Mind: 4.24.2017 – 5.01.2017

"Chance favors the Prepared Mind." - Louis Pasteur

“Diplomacy is the art of saying 'Nice doggie' until you can find a rock.”
 – Will Rogers

“I accept chaos, I'm not sure whether it accepts me.” - Bob Dylan

“For diplomacy to be effective, words must be credible - and no one can now doubt the word of America.”  - George W. Bush

“You can’t overlook the volatility, but you don’t let it push you around in the market” - Boone Pickens

Concerns about the upcoming French election dominated market conversations this past week. Global unease, combined with a lack of movement in implementing Trump’s business friendly domestic agenda, have led to increased wariness among market participants. I am having difficulty balancing my overall bearishness with the fact that major US indices remain within a few percentage points of all-time closing highs.

Every single pull-back for the past 9 months has been a buying opportunity. Picking a market bottom runs contrary to my trading discipline. As an options trader, I can construct neutral to bearish strategies which are relatively benign to the upside. I will continue with a trading style based on a discipline based on thirty years of trading experience.

Here is an overview of the US market behavior last week and for 2017:
Index 21-Apr Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,547.76 94.51 0.46% 3.97% 13.84% (VXD)
S&P 500 (SPX) 2,348.69 19.74 0.85% 4.93% 14.63% (VIX)
NASDAQ 100 (NDX) 5,442.05 88.46 1.65% 11.89% 14.87% (VXN)
Russell 2000 (RUT) 1,379.85 34.61 2.57% 1.67% 18.18% (RVX)
S&P 100 (OEX) 1037.07 6.67 0.65% 4.60% 13.36% (VXO)
Crude Oil (CLM7) 49.63 (3.71) -6.95% -7.90% 30.06%(OVX)
Dow Jones Transportation (TRAN) 4432.62 228.66 5.44% 9.41% NA
CBOE Volatility Index (VIX) 14.63 (1.33) -8.33% NA
Data Source: OptionVue8


The VXST, the CBOE Short-Term Volatility Index, closed showing classic price behavior before a defined volatility event. The volatility event appears to be the first stage of the French presidential election. The VXST rose 34% last week, while the VIX declined just over 8%, The difference between the VIX and the VXST is the options used by each to calculate the value of the respective indexes. The time period for the VXST is 9 days, while the time period for the VIX can range from 36 to 63 days.

The VXST calculation uses the next two consecutive SPX option series that have at least one day remaining until expiration.  These two expiration series are combined to calculate a nine day expected volatility outlook.   VXST is the first volatility measure to use SPX Weeklys in the calculation. The value for VIX is determined by combining the next two monthly (third Friday) SPX option expiration series that have at least eight days remaining until expiration.  The result of this calculation is a thirty-day implied volatility measure.

The VXST is far more susceptible to near term volatility events. Other near-term volatility events in addition to the French election include a budget deal needed to preclude a government shutdown, renewal of the effort s to repeal and replace the Affordable Healthcare Act, and the Wednesday release of President Trump’s tax cut plan.
Here is an overview of last week for the VIX and related products:
Indexes Ticker 21-Apr 13-Apr Change % Change
CBOE Volatility Index VIX 14.63 15.96 (1.33) -8.33%
VIX May Future (5/17/2017) VXK7 14.325 15.225 (0.90) -5.91%
VIX June Future (6/21/2017) VXM7 14.225 15.275 (1.05) -6.87%
VIX July Future (6/18/2017) VXN7 15.275 15.825 (0.55) -3.48%
CBOE Short-term Volatility Index VXST 17.09 12.75 4.34 34.04%
CBOE 3 Month Volatility Index VXV 14.75 15.75 (1.00) -6.35%
CBOE Mid-term Volatility Index (6 month) VXMT 15.93 16.57 (0.64) -3.86%
VIX of VIX VVIX 95.41 115.54 (20.13) -17.42%
CBOE SKEW Index SKEW 148.42 134.36 14.06 10.46%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 18.49 21.46 (2.97) -13.84%
iPath S&P 500 VIX Short Term Futures ETN VXX 17.20 18.26 (1.06) -5.81%
ProShares VIX Short Term Futures ETF VIXY 14.35 15.22 (0.87) -5.72%
iPath S&P 500 VIX Mid-Term Futures ETN VXZ 25.86 27.02 (1.16) -4.29%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 127.88 121.32 6.56 5.41%
Daily Inverse VIX Short Term ETN XIV 66.26 62.76 3.50 5.58%

Data Source: OptionVue8


The initial focus of the week will be the first round of the French presidential election. Corporate earnings announcements will be a constant for the next three weeks. The impact of the results should be quickly superseded by concerns about passage of a new US spending bill. The Wednesday announcement of President Trump’s new income tax plan has the ability to move the market. The last week of April brings reports on housing as well as durable goods, and finishes off with the first estimate of first-quarter U.S. GDP growth. The following week is employment week. Political fireworks will continue to be the wildcard in play.
First quarter earnings announcement will continue the next three weeks. 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 Coca-Cola, Caterpillar, Corning Glass, Eli, Lilly, McDonald’s, 3M, US Steel, Procter Gamble, Pepsico, Amgen, PayPal, UPS, Amazon, Google, Starbucks, General Motors, and Exxon Mobil.


Advice to stimulate your imagination:

It's a cruel and random world, but the chaos is all so beautiful.”
 - Hiromu Arakawa

“Man approaches the unattainable truth through a succession of errors.” 
- Aldous Huxley

““I will undoubtedly have to seek what is happily known as gainful employment,
which I am glad to say does not describe holding public office.” – Dean Acheson

“The world is still a weird place, despite my efforts to make clear and perfect sense of it.” - Hunter S. Thompson


Monday April 24:

Economic: Chicago Fed National Activity Index – 10:30, Dallas Fed Manufacturing Survey – 10:30.

International Economic: Results of the first part of the French presidential election.

Other: Minneapolis Federal Reserve Bank President Neel Kashkari to discuss "Opportunity and Inclusive Growth Institute, TBTF" at The 6th Annual Fink Investing Conference at UCLA Anderson in Los Angeles, California with audience Q&A – 11:30AM, Minneapolis Federal Reserve Bank President Neel Kashkari to discuss "Opportunity and Inclusive Growth Institute, TBTF" at Claremont McKenna College in Claremont, California with audience Q&A – 3:15PM.


Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
HAL BMO $47.06 8,275,450 2.67% $49.00 $49.53
HAS BMO $96.03 1,506,540 8.49% $95.92 $97.92
AA AMC $31.70 4,636,960 5.52% $32.48 $33.22
NEM AMC $34.13 6,214,260 4.13% $34.39 $33.89
ESRX AMC $66.46 4,356,900 0.71% $66.52 $65.28


Tuesday April 25:

Economic: Redbook – 8:55, FHFA House Price Index - 9:00 AM, S&P Corelogic Case-Shiller HPI - 9:00, Eew Home Sales - 10:00, Consumer Confidence - 10:00, Richmond Fed Manufacturing Index - 10:00, State Street Investor Confidence Index - 10:00.

International Economic: No major Announcements.


Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
KO BMO $43.07 14,654,200 2.53% $42.92 $42.84
BHI BMO $57.68 2,417,500 2.74% $60.32 $59.35
CAT BMO $94.32 5,339,820 2.06% $95.02 $94.11
GLW BMO $27.02 6,748,680 4.72% $26.74 $27.09
LLY BMO $81.89 3,880,890 1.40% $84.06 $83.30
LMT BMO $273.09 1,082,440 3.18% $269.33 $269.31
MCD BMO $133.41 3,604,920 2.10% $131.28 $130.46
MMM BMO $191.50 1,926,120 1.68% $189.96 $191.06
VLO BMO $65.23 4,473,330 4.23% $64.83 $66.23
WHR BMO $171.51 822,213 6.38% $168.67 $172.46
BIIB BMO $272.94 1,640,320 4.17% $270.80 $280.83
T AMC $39.93 18,771,700 1.40% $40.39 $41.31
X AMC $30.42 18,339,100 5.04% $31.25 $33.26
EW AMC $97.77 2,188,700 7.81% $94.96 $95.14
CMG AMC $479.09 832,686 6.52% $462.06 $438.85
COF AMC $82.67 2,660,620 1.00% $82.76 $86.00
DFS AMC $66.23 2,243,400 2.90% $65.66 $68.24
TRN AMC $26.13 1,261,360 3.94% $26.41 $26.25
TXN AMC $79.81 5,239,730 3.30% $79.49 $80.14
ILMN AMC $175.29 931,068 3.18% $174.09 $169.32
JNPR AMC $27.78 3,942,840 5.21% $27.75 $28.12


Wednesday April 26:

Economic: MBA Mortgage Applications – 7:00, EIA Petroleum Status Report – 10:30.

International Economic: Bank of Japan Announcement, Japan All Industry Index – 12:30 Index – 12:30. China Industrial Profits – 9:30PM.


Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
PG BMO $88.62 8,643,580 2.33% $89.84 $90.38
BAX BMO $52.88 2,933,860 1.69% $52.91 $52.28
GSK BMO $40.78 3,179,650 1.17% $41.43 $41.77
HES BMO $47.31 3,958,000 2.52% $48.86 $48.61
HSY BMO $107.40 1,046,790 3.34% $108.80 $108.56
NOC BMO $246.33 926,830 1.87% $241.03 $239.57
NSC BMO $116.37 2,056,340 5.03% $114.03 $113.59
PEP BMO $113.43 3,976,480 0.51% $112.80 $112.05
STX BMO $48.26 5,197,510 10.34% $48.04 $46.59
UTX BMO $114.99 3,013,110 1.63% $112.94 $112.42
ANTM BMO $167.80 1,673,090 3.33% $166.66 $164.72
DISH BMO $59.61 3,850,900 1.60% $61.55 $60.90
SU AMC $30.31 3,693,640 2.18% $30.82 $30.64
CBI AMC $29.95 1,608,560 7.00% $29.95 $29.73
LVS AMC $57.38 3,766,660 6.66% $56.48 $56.59
NOW AMC $88.32 1,434,510 7.50% $86.27 $86.44
AMGN AMC $160.41 3,777,710 4.07% $162.28 $172.25
FFIV AMC $136.54 751,941 5.91% $136.24 $141.90
PYPL AMC $43.81 6,356,220 4.99% $42.99 $42.84
XLNX AMC $57.69 2,552,630 3.95% $56.24 $57.90





Thursday, April 27:

Economic: Weekly Jobless Claims – 8:30, Durable Goods Orders – 8:30, International Trade in Goods – 8:30, Bloomberg Consumer Confidence – 9:45, Pending Home Sales Index – 10:00, EIA Natural Gas Report – 10:30, Kansas City Fed Manufacturing Index – 11:00, Money Supply – 4:30.

International Economic: Eurozone Economic Sentiment – 6:00AM, Germany CPI – 9:00AM, Japan CPI, Household Spending, and Unemployment Rate – 7:30, Japan Industrial Production and Retail Sales – 7:50PM
Other: European Central Bank Announcement – 7:45AM.

Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
AAL BMO $45.15 7,087,120 3.47% $43.48 $42.30
AMT BMO $124.43 2,147,730 0.53% $122.87 $119.53
BMY BMO $53.48 11,935,600 4.04% $53.14 $55.22
CME BMO $118.77 1,519,920 1.48% $117.33 $120.48
DOW BMO $62.16 5,973,580 0.97% $62.22 $63.14
LUV BMO $55.63 5,648,700 7.52% $54.68 $53.84
MGM BMO $28.41 9,336,190 3.79% $27.81 $26.87
MPC BMO $48.56 4,576,120 1.44% $49.52 $50.01
NOV BMO $34.65 3,723,600 4.89% $37.76 $38.22
UNP BMO $108.28 3,647,910 3.99% $106.66 $105.97
UPS BMO $105.77 3,302,800 2.31% $105.08 $106.27
ABBV BMO $63.82 6,301,080 2.87% $64.35 $64.95
ALXN BMO $116.82 1,917,690 3.79% $117.46 $118.73
CELG BMO $122.26 3,712,510 3.30% $124.47 $124.89
CMCSA BMO $38.16 16,354,200 1.83% $37.58 $37.52
HIG AMC $47.28 2,829,560 3.66% $47.87 $48.30
WDC AMC $83.11 4,134,640 7.53% $84.20 $79.69
AMZN AMC $898.53 3,290,670 4.76% $899.05 $878.61
ATHN AMC $117.22 418,129 8.18% $113.48 $112.61
BIDU AMC $178.08 2,138,080 3.94% $174.35 $173.59
EXPE AMC $131.98 1,822,110 3.74% $129.08 $128.54
FSLR AMC $26.80 3,228,010 10.63% $27.23 $29.80
GOOG AMC $843.19 1,451,230 2.35% $830.24 $828.43
INTC AMC $36.32 24,130,400 3.06% $35.78 $35.72
MSFT AMC $66.40 22,523,600 4.75% $65.40 $65.23
SBUX AMC $60.61 9,930,000 2.82% $58.24 $57.22
SRPT AMC $32.61 2,090,550 5.63% $30.11 $30.51
SWKS AMC $101.60 2,120,200 7.26% $99.66 $98.61
SYNA AMC $50.76 695,208 11.00% $50.74 $50.05
VRTX AMC $116.70 1,864,090 0.75% $114.84 $103.44
GOOGL AMC $858.95 1,541,200 2.59% $847.61 $849.36




Friday April 28:

Economic: GDP – 8:30, Employment Cost index – 830, Chicago PMI – 9:45, Consumer Sentiment – 10:00, Baker Hughes Rig Count – 1:00.

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

Other: Federal Reserve Board of Governor Lael Brainard to discuss "Fintech and the Future of Finance" at the Kellogg School of Management at Northwestern University conference in Evanston, Illinois with audience Q&A - 1:15PM, Philadelphia Federal Reserve Bank President Patrick Harker gives a speech on "How STEM Can Get You Anywhere" at the X-STEM Symposium in Washington, D.C., with audience Q&A – 2:00PM.

Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
GM BMO $33.75 15,111,400 3.01% $33.86 $35.26
GT BMO $35.35 2,966,540 5.24% $34.00 $35.52
WY BMO $34.56 4,012,720 1.14% $34.66 $33.96
AZN BMO $29.76 5,210,460 3.71% $30.07 $30.77
CVX BMO $104.89 6,528,520 1.78% $107.26 $107.25
LYB BMO $85.42 2,762,690 1.99% $86.79 $88.36
PSX BMO $76.35 2,528,560 2.05% $76.80 $77.71
SNE BMO $33.68 746,657 5.42% $31.92 $32.53
SYF BMO $33.38 5,537,130 1.64% $33.02 $34.21
XOM BMO $80.69 12,326,200 1.35% $82.05 $82.08




Monday May 1:

Economic: Personal Income and Outlays – 8:30, Gallup Consumer Spending Measure – 8:30, PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.

International Economic: Bank of Japan - Minutes 8:50.

Earnings:
SYMBOL B/A 4/21 Close AVGVOL AVG MOVE SMA 10 50% FIB
CC AMC $37.53 2,491,590 6.82% $36.55 $35.66
AGU AMC $90.47 489,525 1.38% $92.96 $94.45 


Tuesday, April 4, 2017

Market News for the Prepared Mind: 4.3.2017 – 4.10.2017


"Chance favors the Prepared Mind." - Louis Pasteur

“I accept chaos, I'm not sure whether it accepts me.” - Bob Dylan

“Chaos is the score upon which reality is written.” - Henry Miller

“You can’t overlook the volatility, but you don’t let it push you around in the market” - Boone Pickens

Major indexes had a stellar first quarter in 2017. Financial news for the past week is dominated by articles rife with superlatives. The S&P 500 (SPX) had its best performance since the fourth quarter of 2013 with gains of 5.56%. (The quarterly gains are under the heading “2016 YTD” in the accompanying table.) The Dow Jones Industrials (DJIA) gained 4.56% while registering its sixth consecutive quarterly gain. This string of quarterly gains is the best in 11 years. Both the DJIA and the SPX saw only one daily decline of 1% or more during the first quarter. This decline took place on March 21.

The technology laden NASDAQ 100 was the star for the quarter. It gained over 10%. The NDX has registered over 20 all-time closing highs in 2017 and 30 record closes since the November election. Apple, Microsoft, Amazon.com, Facebook, and Alphabet comprise over 39% of the weighting of the NDX. The stellar performance of this index reflects the amazing performance of 4 impressive companies.

These performances have revived talk among market professionals about the likelihood of a market correction. Contrarians are pointing to recent consumer confidence levels as the harbinger of a market downturn. The Conference Board’s consumer confidence index reading was 125.6 in March – up from 116.1 in February. This number for consumer confidence in March was the highest level in more than 16 years.

Here is an overview of the US market behavior last week and for 2017:

Index 31-Mar Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,663.32 66.60 0.32% 4.56% 11.44% (VXD)
S&P 500 (SPX) 2,362.72 18.74 0.80% 5.56% 12.37% (VIX)
NASDAQ 100 (NDX) 5,436.23 72.24 1.35% 11.77% 11.75% (VXN)
Russell 2000 (RUT) 1,385.92 31.28 2.31% 2.12% 16.16.% (RVX)
S&P 100 (OEX) 1046.06 6.98 0.67% 5.51% 10.47% (VXO)
Crude Oil (CLK7) 50.85 2.71 5.63% -5.64% 27.59%(OVX)
CBOE Volatility Index (VIX) 12.37 (0.59) -4.55% NA

The VIX had the second lowest quarterly average daily close of all-time. The lowest average closing price was in the 4th quarter of 2006.The VIX exhibited the tightest low to high range of all-time for the Q12017. The first quarter range was 2.54. According to Russell Rhoads, CBOE VIX guru, the average range of VIX closing prices for a quarter is 10.54. The rubber band of volatility is wound very tight.
Here is an overview of last week for the VIX and related products:

Indexes Ticker 31-Mar 24-Mar Change % Change
CBOE Volatility Index VIX 12.37 12.96 (0.59) -4.55%
VIX April Future (4/19/2017) VXJ7 13.275 13.925 (0.65) -4.67%
VIX May Future (5/17/2017) VXK7 13.575 14.400 (0.83) -5.73%
VIX June Future (6/21/2017) VXM7 14.250 15.125 (0.88) -5.79%
CBOE Short-term Volatility Index VXST 9.66 13.43 (3.77) -28.07%
CBOE 3 Month Volatility Index VXV 13.60 14.55 (0.95) -6.53%
CBOE Mid-term Volatility Index (6 month) VXMT 15.25 16.28 (1.03) -6.33%
VIX of VIX VVIX 78.31 89.74 (11.43) -12.74%
CBOE SKEW Index SKEW 138.31 136.62 1.69 1.24%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 16.17 18.22 (2.05) -11.25%
iPath S&P 500 VIX Short Term Futures ETN VXX 15.79 16.77 (0.98) -5.84%
ProShares VIX Short Term Futures ETF VIXY 13.17 13.97 (0.80) -5.73%
iPath S&P 500 VIX Mid-Term Futures ETN VXZ 26.30 27.90 (1.60) -5.73%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 141.15 133.82 7.33 5.48%
Daily Inverse VIX Short Term ETN XIV 73.03 69.16 3.87 5.60%
Data Source: OptionVue8

It is first and foremost employment week. In addition to employment, the first week of April also includes a report on factory orders and the minutes of the last Fed meeting. The focus of the majority of domestic market participants will be focused on the Employment Situation report on Friday. The ADP Employment Report on Wednesday is viewed by many analysts as an accurate predictor of Friday’s release of the Employment Situation data.. The release on Wednesday afternoon of the minutes of the most recent FOMC meeting will be closely watched as attempts are made to divine the size and timing of future interest rate hikes. Political fireworks will continue to be the wildcard in play.
The first glimmer of the new earning season start this week. 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: International Speedway, Acuity Brands, Walgreen’s Boots Alliance, Monsanto, Greenbrier, Bed Bath and Beyond, CarMax, Fred’s Ruby Tuesday, Constellation Brands and RPM International.


Advice to stimulate your imagination:

“It's a cruel and random world, but the chaos is all so beautiful.” - Hiromu Arakawa

“Man approaches the unattainable truth through a succession of errors.” - Aldous Huxley

“The sky is falling” – Chicken little

“The world is still a weird place, despite my efforts to make clear and perfect sense of it.”   - H. S. Thompson


Monday April 3:

Economic: PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00, Gallup US Consumer Spending Measure – 8:30.

International Economic: France PMI Manufacturing Index – 3:50AM, Germany PMI manufacturing Index, Eurozone PMI Manufacturing Index – 4:00AM, Great Britain CIPS/PMI Manufacturing Index – 4:30AM, Eurozone – Unemployment Rate – 5:00AM.

Other: New York Federal Reserve Bank President William Dudley hosts a press briefing on household borrowing, student debt trends and the impact of student debt and educational attainment on homeownership, followed by Q&A, in New York, N.Y. – 10:30AM,Richmond Federal Reserve Bank President Jeffrey Lacker gives speech entitled "From 'Real Bills' to 'Too Big to Fail': H.Parker Willis and the Federal Reserve's First Century", followed by media Q&A, at Washington & Lee University, in Lexington, Virginia – 5:00PM.


Tuesday April 4:


Economic: Motor Vehicle Sales, International Trade - 8:30, Gallup US ECI – 8:30, Redbook – 8:55, Factory Orders – 10:00.

International Economic: Eurozone Employment Rate – 5:00AM, Japan PMI Composite – 8:30PM.

Other: On his next to the last day in office as Federal Reserve Governor, Daniel Tarullo addresses Princeton University in Princeton, N.J., with audience Q&A – 4:30PM.

Wednesday April 5:


Economic: MBA Mortgage Applications – 7:00, ADP Employment Report – 8:15, Gallup US Job Creation Index – 8:30, PMI Services Index – 9:45, ISM Non-Manufacturing Index – 10:00, EIA Petroleum Status Report – 10:30.

International Economic: France PMI Composite – 3:66, Eurozone PMI Composite – 4:00AM.

Other: FOMC Minutes – 2:00PM.



Thursday April 6:


Economic: Chain Store Sales, Weekly Jobless Claims - 8:30, Gallup Good Jobs Rate – 8:30, – 8:30, Bloomberg Consumer Comfort Index - 9:45, EIA Natural Gas Report – 10:30, Money Supply – 4;30.

International Economic: Germany Manufacturers’ Orders – 2:00AM.

Other: European Central Bank Minutes – 7:30AM.


Friday April 7:


Economic: March Employment Situation, Wholesale Trade 0 10:00, Consumer Sentiment – 10:00, Baker-Hughes Rig Count – 1:00PM.

International Economic: Germany Industrial Production – 2:00AM, Germany Merchandise Trade – 2:00, France Industrial Production – 2:45AM, Great Britain Industrial Production – 4:30AM.

Other: New York Federal Reserve Bank President William Dudley speaks about the State of Financial Regulation and the Potential for Reform at Princeton University's Griswold Center for Economic Policy Studies event held at the Princeton Club of New York, with moderated Q&A, in New York, N.Y. – 12:15PM.


Monday April 10:


Economic: Labor Market Conditions Index – 10:00.

International Economic: No major announcements.



























































Monday, March 20, 2017

Market News for the Prepared Mind: 3.20.2017 – 3.27.2017


"Chance favors the Prepared Mind." - Louis Pasteur

All generalizations are dangerous, even this one.” - Alexandre Dumas fils

“If you must hold yourself up to your children as an object lesson,
hold yourself up as a warning and not as an example.” - George Bernard Shaw

“History is a vast early warning system.” - Norman Cousins

Stocks finished higher for the week. The specter of a correction – major or minor -has been a constant topic of discussion in the financial media. Market participants are presented with a litany of reason the market is “due” for a correction – Fibonacci numbers, CBOE Skew Index, low VIX, consecutive days without a 1% move in the SPX, number of days between 5% corrections, the French election in April, and Korean nuclear intentions. Listening to these admonitions can be daunting.

I acknowledge the outlier risks. These risks are a small part of the risk/reward equation. One of the most important factor in successful trading is knowing one’s response to emergency trading situations will be. I constantly ask myself “What if, what if, what if.” I always know how and where I can shut down risk. I am my own emergency first responder.

Here is an overview of the US market behavior last week and for 2017:
Index 17-Mar Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,914.62 11.64 0.06% 5.83% 10.33% (VXD)
S&P 500 (SPX) 2,378.25 7.00 0.30% 6.25% 11.28% (VIX)
NASDAQ 100 (NDX) 5,408.76 35.28 0.66% 11.21% 10.57% (VXN)
Russell 2000 (RUT) 1,391.50 25.86 1.89% 2.53% 14.14% (RVX)
S&P 100 (OEX) 1055.34 0.10 0.01% 6.45% 9.15% (VXO)
Crude Oil (CLK7) 49.26 0.35 0.72% -8.59% 27.45%(OVX)
CBOE Volatility Index (VIX) 11.28 (0.38) -3.26% NA
Data Source: OptionVue8


The CBOE Skew Index closed on Friday at 154.34. This is the highest closing level for the SKEW in the history of the index. The CBOE Skew Index has hit closing all time high a number of times during the current bull market run. In a nut shell, the SKEW measures the implied volatility/market pricing of deep out-of-the-money options on the S&P 500. A SKEW level of 100 in an indicator of a normal distribution of index implied volatilities. A “high” SKEW value is a shows market pricing of a large market move to the downside. In other words, the probability of outlier returns increases as the SKEW reaches higher prices.

Russell Rhoads, CBOE VIX guru sums the calculation as follows: “SKEW is calculated starting with a ratio. This ratio consists of the numerator being lower strike SPX puts and the denominator being higher strike SPX puts. For instances if the IV of the lower strike puts is 30% and the higher strike puts is 20% then the first part of the calculation is 30/20 = 1.33. This figure is then multiplied by 100 to give us the SKEW index or 1.33 x 100 results in a SKEW of 133. There are two ways for SKEW to rise, either through a higher numerator or a lower denominator. High SKEW does indicate that out of the money puts are relatively expensive, but in a low volatility environment we may get excited about an all-time high, but keep that number in a bit of context.”

SKEW monthly chart for 2011 – 2017. (Chart courtesy of Thinkorswim.)


Here is an overview of last week for the VIX and related products:
Indexes Ticker 17-Mar 10-Mar Change % Change
CBOE Volatility Index VIX 11.28 11.66 (0.38) -3.26%
VIX March Future (3/22/2017) VXH7 11.775 12.525 (0.75) -5.99%
VIX April Future (4/19/2017) VXJ7 13.270 14.200 (0.93) -6.55%
VIX May Future (5/17/2017) VXK7 14.225 15.125 (0.90) -5.95%
CBOE Short-term Volatility Index VXST 9.87 10.68 (0.81) -7.58%
CBOE 3 Month Volatility Index VXV 13.92 14.38 (0.46) -3.20%
CBOE Mid-term Volatility Index (6 month) VXMT 15.85 16.33 (0.48) -2.94%
VIX of VIX VVIX 78.66 80.27 (1.61) -2.01%
CBOE SKEW Index SKEW 154.34 138.99 15.35 11.04%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 16.32 18.90 (2.58) -13.65%
iPath S&P 500 VIX Short Term Futures ETN VXX 15.81 17.01 (1.20) -7.05%
ProShares VIX Short Term Futures ETF VIXY 13.19 14.18 (0.99) -6.98%
iPath S&P 500 VIX Mid-Term Futures ETN VXZ 27.53 28.45 (0.92) -3.23%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 142.15 132.58 9.57 7.22%
Daily Inverse VIX Short Term ETN XIV 73.58 68.42 5.16 7.54%
Data Source: OptionVue8


The week opens with FBI Director James Comey testifying before a House committee investigating Russian activities during the 2016 presidential election. In addition, he is expected he will provide long-awaited answers and evidence on that issue and whether President Trump was indeed wiretapped. Other highlights for the week will be a litany of speeches – 12 in all - given by members of the Fed. Any of these talks have the potential to provide a market moving slip of the tongue. The House of Representatives is scheduled to vote on Thursday on an ACA replacement.

The coming week brings reports on new home sales, existing home sales, durable goods orders. The week's highlight will be Friday's durable goods report, offering the latest on the factory sector. Flash PMIs for the Eurozone and Japan will give a first look at data for March. Price data and all important retail sales will be released for February in the UK.

Fedex and Lennar are the only stocks announcing earnings this week which meet my criteria. For trading the announcement. This was the second straight ho-hum earnings season. It has been my experience that the post earnings behavior of individual stocks and the associated options usually show a remarkable consistency between individual earnings announcements 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.


Advice to stimulate your imagination:

“I took a speed-reading course and read War and Peace in twenty minutes. It involves Russia.” - Woody Allen

“Man approaches the unattainable truth through a succession of errors.” - Aldous Huxley

“The sky is falling” – Chicken Little

"Buy the ticket, take the ride.” – Hunter S. Thompson

Monday March 20:


Economic: Chicago Fed National Activity Index – 8:30.

International Economic: Germany PPI - 3:00AM.

Other: Chicago Federal Reserve Bank President Charles Evans speaks about current economic conditions or monetary policy in live TV interview with Fox Business News' Maria Bartiromo during "Mornings with Maria." – 8:30AM, Chicago Federal Reserve Bank President Charles Evans will speak at New York National Association for Business Economics Luncheon followed by audience and then media Q&A in New York – 1:10PM.



Tuesday March 21:


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

International Economic: Great Britain CPI & PPI – 5:30AM, Great Britain CBI Industrial Trends Survey – 7:00, AM, Japan – Merchandise Trade – 7:50PM.

Other: Kansas City Federal Reserve Bank President Esther George speaks on the U.S. economy and the Fed at a Women in Housing and Finance event in Washington, D.C., with audience Q&A – 12:00PM, Federal Reserve Bank of Cleveland President Loretta Mester speaks on outlook and communications at the University of Richmond in Richmond, Va., with audience and media Q&A – 6:00PM, Bank of Japan Minutes – 7:50PM, Boston Federal Reserve Bank President Eric Rosengren addresses the Twelfth Asia-Pacific High Level Meeting on Banking Supervision in Bali, Indonesia –9:45PM.



Wednesday March 22:


Economic: MBA Mortgage Applications – 7:00, FHFA House Price Index – 9:00, Existing Home Sales – 10:00, EIA Petroleum Status Report – 10:30.

International Economic: Japan All Industry Index – 12:30AM.

Thursday March 23:


Economic: Jobless Claims - 8:30, Bloomberg Consumer Comfort Index - 9:45, New home Sales – 10:00, EIA Natural Gas Report – 10:30, Money Supply – 4;30.

International Economic: Great Britain Retail Sales – 5:30, Great Britain CBI Distributive Trades – 7:00AM.

Other: Federal Reserve Chairman Janet Yellen gives opening keynote at Federal Reserve System Community Development Research Conference in Washington – 8:00AM, Minneapolis Federal Reserve Bank President Neel Kashkari gives afternoon remarks at Federal Reserve System Community Development Research Conference in Washington – 12:00PM, Dallas Federal Reserve Bank President Robert Kaplan participates in a discussion on the economic outlook and monetary policy at the Chicago Council on Global Affairs in Chicago, with audience and media Q&A -7:00PM.


Friday March 24:


Economic: Durable Goods Orders – 8:30, PMI Composite Flash – 9:45, Baker-Hughes Rig Count – 1:00PM.

International Economic: France GDP – 3:45AM, Eurozone PMI Composite Flash – 5:00AM.

Other: Federal Reserve Bank of Chicago President Charles Evans gives opening remarks at Federal Reserve System Community Development Research Conference in Washington – 8:00AM, St. Louis Federal Reserve Bank President James Bullard speaks at a Economic Club of Memphis Economic Briefing in Memphis, Tenn., with audience and media Q&A – 8:05AM, San Francisco Federal Reserve Bank President John Williams discusses a paper titled "Safety, Liquidity, and the Natural Rate of Interest" at the Brookings Institution's Papers on Economic Activity spring conference – 8:30AM.

Monday March 27:


Economic: Dallas Fed Manufacturing Survey

International Economic: Eurozone M3 Money Supply – 5:00AM.

Other: San Francisco Federal Reserve Bank President John Williams discusses a paper titled "Safety, Liquidity, and the Natural Rate of Interest" at the Brookings Institution's Papers on Economic Activity spring conference – 1:15PM.


































































Sunday, March 12, 2017

Market News for the Prepared Mind: 3.13.2017 – 3.20.2017


"Chance favors the Prepared Mind." - Louis Pasteur

“I had nothing to offer anybody except my own confusion.” – Jack Kerouac

“Experience is not what happens to a man; 
it is what a man does with what happens to him.” - Aldous Huxley

“When buying and selling are controlled by legislation,  the first things to be bought and sold are legislators.”   PJ O’Rourke

The S&P 500 Index recorded its first weekly loss after six consecutive weeks of gains. A strong jobs report and the glimmerings of inflation all but guarantee a rate hike at this week’s FOMC meeting. It should be noted that job numbers which Trump described as phony, when reported by the previous administration, are now described by the current administrations as “very real,” “great again”, and “great news for American workers.” The Bureau of Labor Statistics has not changed the methodology for computing the employment numbers. As Mike Ditka once famously replied, “Who ya crappin?”

This rosy outlook is threatened by the Trump administration’s impending renegotiation of trade agreements Grumbling by fiscal hawks in the House could throw a wrench in implementation of the president’s legislative agenda. This uncertainty led to a market searching for a trend. The lack of a short-term trend has made it difficult for traders. I ignored one my of my tried and true trading maxims last week – “Doing nothing is a viable trading strategy.” I chose to flail around rather than doing nothing. The comings week’s mantra will be “Do not force trades.”

Here is an overview of the US market behavior last week and for 2017:
Index 10-Mar Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 20,902.98 (102.73) -0.49% 5.77% 11.3% (VXD)
S&P 500 (SPX) 2,371.25 (9.25) -0.39% 5.94% 11.66% (VIX)
NASDAQ 100 (NDX) 5,373.48 0.00 0.00% 10.48% 12.20% (VXN)
Russell 2000 (RUT) 1,365.64 (28.48) -2.04% 0.63% 16.33% (RVX)
S&P 100 (OEX) 1055.24 (1.60) -0.15% 6.44% 10.50% (VXO)
Crude Oil (CLJ7) 48.39 (4.81) -9.04% -10.21% 33.45%(OVX)
CBOE Volatility Index (VIX) 11.66 0.70 6.39% NA
Data Source: OptionVue8


The 2017 high for the CBOE Volatility Index is 13.28. As of Friday March 10, the VIX has gone 46 consecutive session without going above 13.50. This is the longest stretch below 13.5 since the 2008 financial crisis. The longest all time streak of 68 days below 13.50 took place from September 2006 to February 2007. These low VIX levels are indicative of the fact the S&P 500 has gone 103 days without a 1% drop. Beware of complacency.

Here is an overview of last week for the VIX and related products:
Indexes Ticker 10-Mar 3-Mar Change % Change
CBOE Volatility Index VIX 11.66 10.96 0.70 6.39%
VIX March Future (3/22/2017) VXH7 12.525 12.825 (0.30) -2.34%
VIX April Future (4/19/2017) VXJ7 14.200 14.575 (0.38) -2.57%
VIX May Future (5/17/2017) VXK7 15.125 15.425 (0.30) -1.94%
CBOE Short-term Volatility Index VXST 10.68 8.56 2.12 24.77%
CBOE 3 Month Volatility Index VXV 14.38 14.26 0.12 0.84%
CBOE Mid-term Volatility Index (6 month) VXMT 16.33 16.25 0.08 0.49%
VIX of VIX VVIX 80.27 81.19 (0.92) -1.13%
CBOE SKEW Index SKEW 138.99 136.10 2.89 2.12%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 18.90 20.13 (1.23) -6.11%
iPath S&P 500 VIX Short Term Futures ETN VXX 17.01 17.54 (0.53) -3.02%
ProShares VIX Short Term Futures ETF VIXY 14.18 14.61 (0.43) -2.94%
iPath S&P 500 VIX Mid-Term Futures ETN VXZ 28.45 28.96 (0.51) -1.76%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 132.58 128.79 3.79 2.94%
Daily Inverse VIX Short Term ETN XIV 68.42 66.42 2.00 3.01%
Data Source: OptionVue8


The week of March 13 is all about the Federal Reserve. The Federal Reserve will meet ab March 14 and March 5. It will and announce its monetary policy on Wednesday. Release of the FOMC report will be followed by a Janet Yellen press conference. Other national banks in the news this week. The Banks of Japan and England will also meet along with the Swiss National Bank. The Group of 20 (G20) will meet in Baden-Baden on March 17 and 18. China will release industrial production and retail sales data for the first two months of the year.

The earnings season has entered the quiet time. Adobe and Dollar General are the only stocks announcing earnings this week which meet my criteria. For trading the announcement. This was the second straight ho-hum earnings season. It has been my experience that the post earnings behavior of individual stocks and the associated options usually show a remarkable consistency between individual earnings announcements 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.


Advice to stimulate your imagination:
“I took a speed-reading course and read War and Peace in twenty minutes. It involves Russia.” - Woody Allen

“I don't mind going back to daylight saving time. With inflation, 
the hour will be the only thing I've saved all year.” – Victor Borge

"Buy the ticket, take the ride.” – Hunter S. Thompson

Monday March 13:

Economic: Labor Market Conditions Index – 10:00.

International Economic: Japan Tertiary Index – 1:30AM, China Industrial Production and Retail Sales – 10:00PM.

Tuesday March 14:

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

International Economic: Germany CPI – 3:00AM, Eurozone Industrial Production – 6:00.

Other: FOMC meeting begins.


Wednesday March 15:

Economic: MBA Mortgage Applications – 7:00, CPI – 8:30, Retail Sales – 8:30, Empire State Manufacturing Survey = 8:30, Business Inventories – 10:00, Housing Market Index 0 10:00, EIA Petroleum Status Report – 10:30.

International Economic: France CPI – 3:45AM, Great Britain Labour Market Report – 5:30AM.

Other: FOMC Meeting Announcement – 2:00, Fed Chair Press Conference – 2:30.


Thursday March 16:

Economic: Housing Starts – 8:30, Jobless Claims - 8:30, Philadelphia Fed Business Outlook Survey – 8:30, Bloomberg Consumer Comfort Index - 9:45, JOLTS – 10:00, EIA Natural Gas Report – 10:30, Money Supply – 4;30.
International Economic: Eurozone HICP – 6:00AM.
Other: European Central Bank (ECB) Announcement – 7:45 AM

Friday March 17:

Quadruple Witching - expiration for stock index futures, stock index options, stock options and single stock futures.


Economic: Industrial Production – 9:15, Atlanta Fed Business Inflation Expectations - 10:00, Consumer Sentiment – 10:00, Leading Indicators – 10:00, Baker-Hughes Rig Count – 1:00PM.

International Economic: Eurozone Merchandise Trade – 6:00AM.

Monday March 20:

Economic: Chicago Fed National Activity Index – 8:30.

International Economic: Germany PPI - 3:00AM.

Other: Chicago Federal Reserve Bank President Charles Evans will speak at New York National Association for Business Economics Luncheon followed by audience and then media Q&A in New York – 1:10PM.