Monday, August 29, 2016

Market News for the Prepared Mind: 8.29 - 9.6.2016


"Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal

“The end-of-summer winds make people restless.” – Sebastian Faulks 

“September tries its best to have us forget summer.” – Bern Williams



The summer doldrums hit their peak during the two weeks preceding Labor Day weekend.  Market volumes are at their lowest, many market participants are on vacation and earnings announcements have slowed to a trickle.  Literature and other media portray the end of summer as being an event to anticipate with a sense of melancholy and dread.  As a trader, I look forward to the end of summer.   Market players return to the market with renewed energy.  The doldrums are replaced with focus and a sense of purpose.

The entire week was focused on the Kansas City Federal Reserve Bank’s annual monetary policy symposium, discussing "Designing Resilient Monetary Policy Frameworks for the Future," held Thursday and Friday in Jackson Hole, Wyoming. In the past, the Jackson Hole stage has been used by Fed chairs to speak on prospects for US and global economies, in addition to discussing the direction and timing of future interest rates.  Fed Chair Janet Yellen did not disappoint.  She stated the case higher interest rates had become stronger, but the rise would gradual.  Stanley Fischer clarified her remarks by stating Yellen’s remarks were consistent with hike rates in September and December.  Fischer’s statement led to an end-of-week sell off.

Here is an overview of the US market behavior last week:
Index
26-Aug
Weekly Change
% Weekly
 2016 YTD
Volatility of  Index
Dow Jones Industrials (DJIA)
18,395.40
(157.17)
-0.85%
5.57%
12.74% (VXD)
S&P 500 (SPX)
2,169.04
(14.83)
-0.68%
6.12%
13.65% (VIX)
NASDAQ 100 (NDX)
4,783.13
(23.01)
-0.48%
4.05%
15.16% (VXN)
Russell 2000 (RUT)
1,237.52
4.12
0.33%
9.14%
17.65% (RVX)
S&P 100 (OEX)
959.06
(5.74)
-0.59%
5.23%
12.20% (VXO)
Crude Oil (CL U6)
46.81
(1.76)
-3.62%
26.27%
36.05%(OVX)
CBOE Volatility Index (VIX)
13.65
2.01
17.27%
NA

Data Source: OptionVue7

Trader and analyst sentiment for a higher VIX (and lower S&P 500) was borne out by last week’s VIX movement.  The VIX rose nearly 20% even though the S&P500 was down a trivial 0.68%.  The VIX futures did not reflect the move in the cash VIX.  Trading of spreads in the VIX options was dominated by spreads which could be characterized as bullish for the VIX and bearish for the S&P 500.

Here is an overview of last week for the VIX and related products:
Indexes
Ticker
26-Aug
19-Aug
Change
% Change
CBOE Volatility Index
VIX
13.65
11.34
2.31
20.37%
VIX September Future (9/21/2016)
VXU6
15.125
14.750
0.38
2.54%
VIX October Future (10/19/2016)
VXV6
17.025
16.675
0.35
2.10%
VIX November Future (10/19/2016)
VXX6
18.025
17.725
0.30
1.69%
CBOE Short-term Volatility Index
VXST
12.10
9.40
2.70
28.72%
CBOE 3 Month Volatility Index
VXV
16.24
15.13
1.11
7.34%
CBOE Mid-term Volatility Index (6 month)
VXMT
18.42
17.71
0.71
4.01%
VIX of VIX
VVIX
88.62
82.44
6.18
7.50%
CBOE SKEW Index
SKEW
132.40
136.58
(4.18)
-3.06%
Long VIX ETP's





ProShares Ultra VIX Short Term Futures ETF
UVXY
20.83
19.75
1.08
5.47%
iPath S&P 500  VIX Short Term Futures ETN
VXX
37.11
36.13
0.98
2.71%
ProShares VIX Short Term Futures ETF
VIXY
30.84
30.01
0.83
2.77%
iPath S&P 500  VIX Mid-Tem Futures ETN
VXZ
39.28
38.90
0.38
0.98%
Inverse VIX ETP's





ProShares Short VIX Short Term Future ETF
SVXY
71.45
73.44
(1.99)
-2.71%
Daily Inverse VIX Short Term ETN
XIV
36.56
37.55
(0.99)
-2.64%
Data Source: OptionVue7


The coming week is “employment week.” The week. which includes the first Friday of the new month, is characterized by a host of domestic employment reports culminating in Friday’s announcement of the Employment Situation Report for the previous month.  The week of August 29 includes the S&P/Case-Shiller Home Price Index and manufacturing numbers from China. But all eyes will be on the U.S. Employment Situation report on Friday. In the interim, investors and traders will spend their time trying to divine interest rate increases by parsing the words of Janet Yellen at Jackson Hole. The week of August 29 includes the S&P/Case-Shiller Home Price Index and manufacturing numbers from China.
This quarter’s earnings season is drawing to a close. The earnings highlights this week for widely held and actively traded stocks include:  Scansource, H&R Block, Abercrombie & Fitch, Bob Evans Farms, Semetech, Oxford Industries, Brown-Forman, salesforce.com, Campbell Soup, Verifone, Genesco, Ciena, Vera Bradley, and Broadcom.

I have an expanded initial scan for earnings play candidates over the next month.  You should further filter any of the stocks with your own risk/reward criteria.  This scan is available as a PDF.  Contact me a fjfahey@gmail.com if you would like it sent to you or if you would like to be removed from the distribution list for additional scans.

Symbol
Company Name
Aug 19 Close
IV30
B/A
DATE
 AVG OPT VOL
RH
Restoration Hardware Holdings Inc
$32.59
69.48
AMC
8-Sep
5627
KR
Kroger Co
$32.68
31.03
BMO
9-Sep
7806
FDX
FedEx Corporation
$164.95
25.04
BMO
20-Sep
7270
BBBY
Bed Bath & Beyond Inc.
$45.45
34.11
AMC
21-Sep
4498
KMX
CarMax, Inc
$58.70
29.17
BMO
21-Sep
3247
RHT
Red Hat Inc
$74.37
31.30
AMC
21-Sep
2474
CALM
Cal-Maine Foods Inc
$44.08
30.24
BMO
26-Sep
1270
Data Source: OptionVue7

 Advice to stimulate your imagination:

"Don't try to buy at the bottom and sell at the top.
It can't be done except by Liars." Bernard Baruch

In the middle of difficulty lies opportunity” Albert Einstein

"It will not always be summer; build barns.” - Hesiod

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

Monday August 29:

Economic:  Personal Income and Outlays – 8:30, Dallas Fed Manufacturing Survey – 10:30.                                                                                                                                                               
International Economic: Japan Unemployment Rate and Household Spending – 7:30PM.

Earnings: None meeting scan criteria.

Tuesday August 30:
Economic:  S&P Case-Shiller HPI – 9:00, Consumer Confidence – 10:00, State Street Investor Confidence – 10:00.                                                                                                                                                                 
International Economic:  EMU Economic Sentiment – 5:00AM, Germany CPI – 8:00AM, Japan Industrial Production – 7:50PM.

Earnings: None meeting scan criteria. 

Wednesday August 31:

Economic:  MBA Mortgage Applications – 7:00, ADP Employment Report = 8:15, Chicago PPMI – 9:45, Pending Homes Sales Index – 10:00,  EIA Petroleum Status Report - 10:30, .

International Economic:  Germany Retail Sales – 2:00AM, EMU Unemployment Rate – 5:00AM,

Other:  Boston Federal Reserve Bank President Eric Rosengren will speak on a panel hosted by the Shanghai Advanced Institute of Finance in Beijing – 3:15AM, Minneapolis Federal Reserve Bank President Neel Kashkari will speak about the role of the Fed and the bank's board of directors in Saint Paul, Minnesota - 8:00AM, Chicago Fed President Charles Evans speaks at panel on "Business Cycles, Financial Markets and Monetary Policy with Special Application to China" at the Shanghai Advanced Institute of Finance in Beijing -3:15PM.

Earnings:
Symbol
Company Name
August 26 Close
IV30
B/A
AVGOPTVOL
GLNG
Golar LNG Limited (USA)
$20.18
71.25
BMO
1957
CRM
salesforce.com, inc.
$80.03
33.48
AMC
15709
CTRP
Ctrip.com International, Ltd. (ADR)
$47.44
39.62
AMC
9593
FIVE
Five Below Inc
$46.40
53.63
AMC
1412

Thursday September 1:

Economic:  Motor Vehicle Sales, Chain Store Sales, Challenger Job-Cut Report – 7:30, Weekly Jobless Claims – 8:30, Productivity and Costs – 8:30, Gallup Good Jobs Rate – 8:30, PMI Manufacturing Index – 9:45, ,  Bloomberg Consumer Comfort Index – 9:45, ISM Manufacturing Index – 10:00,  Construction Spending – 10:00, EIA Natural Gas Report – 10:30

International Economic:  RMU PMI – 4:00AM.

Other:  Cleveland Federal Reserve Bank President Loretta Mester will give a speech on community development in Lexington, Kentucky followed by audience and media Q&A – 12:25PM.

Earnings:
Symbol
Company Name
August 26 Close
IV30
B/A
AVGOPTVOL
CIEN
Ciena Corporation
$21.64
55.16
BMO
4849
CPB
Campbell Soup Company
$60.48
22.99
BMO
1328
AMBA
Ambarella Inc
$68.98
49.39
AMC
6167
AVGO
Broadcom Ltd
$177.16
34.68
AMC
9462
LULU
Lululemon Athletica inc.
$78.19
43.33
AMC
11618
SWHC
Smith & Wesson Holding Corp
$28.84
50.95
AMC
4965
  
Friday September 2:

Economic:  August Employment Situation – 8:30, International Trade - *:30, Factory Orders – 10:00, Consumer Sentiment – 10:00, Baker Hughes Rig Count – 1:00.

International Economic:  EMU PPI – 5:00AM.

Other:  Richmond Federal Reserve Bank President Jeffrey Lacker gives speech on interest rate benchmarks to the Virginia Association of Economists in Richmond – 1:00pm.

Earnings: None meeting scan criteria.

Monday September 5:

US Holiday: Labor Day - Markets Closed
                                                                                                                                                                   
International Economic: EMU Retail Sales – 5:00AM.

Earnings: None meeting scan criteria.

Tuesday September 6:

Economic:  Gallup US Consumer Spending Measure 8:30, PMI Services Index - - 9:45,  ISM Non-Manufacturing Index – 10:00

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

Other:  San Francisco Federal Reserve Bank President John Williams will give a speech on the economic outlook followed by audience and reporters’ questions in Reno, Nevada – 8:30PM.

Earnings: None meeting scan criteria.