Sunday, January 1, 2017

Market News for the Prepared Mind: 1.03.2017 thru 1.09.2017

Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal

“Fail to plan, plan to fail.” - Winston Churchill

“If you don’t like something, change it. If you can’t change it, 
change the way you think about it.” – Mary Engelbreit 

It was a quiet ending to 2016. The year opened with one of the worst Januarys in market history. The market tumult continued with two unexpected results to volatility events - the Brexit vote to leave the European Union in the United Kingdom and the election of Donald Trump as U.S. president. The unveiling of the reality Donald Trump’s economic policies will have an impact on global and domestic markets.

Here is an overview of the US market behavior last week and for 2016:
Index 30-Dec Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 19,762.60 (231.24) -1.16% 13.42% 13.88% (VXD)
S&P 500 (SPX) 2,238.30 (25.49) -1.13% 9.51% 14.04% (VIX)
NASDAQ 100 (NDX) 4,863.62 (76.40) -1.55% 5.80% 16.68% (VXN)
Russell 2000 (RUT) 1,357.13 (14.37) -1.05% 19.69% 19.42% (RVX)
S&P 100 (OEX) 991.43 (11.09) -1.11% 8.78% 13.43% (VXO)
Crude Oil (CLG7) 53.89 1.89 3.63% 45.37% 30.83%(OVX)
CBOE Volatility Index (VIX) 14.04 2.60 22.73% NA
Data Source: OptionVue8

A strengthening VIX was a response to last week’s weaker prices in major indexes. The VIX futures term structure shows uncertainty about the markets moving forward through the next quarter.

Here is an overview of last week for the VIX and related products:
Indexes Ticker 30-Dec 23-Dec Change % Change
CBOE Volatility Index VIX 14.04 11.44 2.60 22.73%
VIX January Future (1/18/2017) VXF7 15.125 14.275 0.85 5.95%
VIX February Future (2/18/2017) VXG7 16.575 16.025 0.55 3.43%
VIX March Future (3/18/2017) VXH7 17.500 17.275 0.23 1.30%
CBOE Short-term Volatility Index VXST 12.68 8.98 3.70 41.20%
CBOE 3 Month Volatility Index VXV 16.54 15.25 1.29 8.46%
CBOE Mid-term Volatility Index (6 month) VXMT 18.57 17.63 0.94 5.33%
VIX of VIX VVIX 91.60 87.64 3.96 4.52%
CBOE SKEW Index SKEW 127.26 120.51 6.75 5.60%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 8.15 7.83 0.32 4.09%
iPath S&P 500 VIX Short Term Futures ETN VXX 25.51 24.15 1.36 5.63%
ProShares VIX Short Term Futures ETF VIXY 21.26 20.14 1.12 5.56%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 34.85 34.26 0.59 1.72%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 90.98 96.58 (5.60) -5.80%
Daily Inverse VIX Short Term ETN XIV 46.75 49.59 (2.84) -5.73%
Data Source: OptionVue8

The doldrums of two weeks of the holiday season end with employment week. There will be key readings on economic strength in addition to the once-a-month comprehensive employment reports. These reports include: ISM Manufacturing Index, Vehicle Sales, the ISM non-Manufacturing Index, and trade data. The week is capped with the December Employment Situation Report.

It is time to start preparing for the upcoming earnings season. Confirm the date and time of a company’s earnings announcement before trading any earnings announcement strategy. The most accurate source of this information is the company’s investor relations website. It will be a quiet two weeks for earnings announcements.The earnings highlights this week for widely held and actively traded stocks are: Sonic Corp, UniFirst, Container Store, Constellation Brands, Ruby Tuesday, Walgreen Boots Alliance, Monsanto, and WD-40.

Advice to stimulate your imagination:

“Organizing is what you do before you do something, so that when you do it, it is not all mixed up.” A. A. Milne

“Time is a created thing. To say ‘I don’t have time’ is to say ‘I don’t want to.” - Lao Tzu

Monday January 2:


All US Markets Closed.

International Economic: Germany PMI Manufacturing Index – 3:55AM,

Eurozone PMI Manufacturing Index – 4:00AM, China PMI Manufacturing Index – 8:45PM.



Tuesday January 3:


Economic: PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.

International Economic: Germany Unemployment Rate – 3:55AM, Germany CPI – 8:00AM, Global Manufacturing PMI – 11:00AM.



Wednesday January 4:


Economic: Motor Vehicle Sales, MBA Mortgage Applications – 7:00, ADP Employment Report – 8:15, Gallup US Job Creation Index – 8:30, Redbook – 8:55, Gallup US Consumer Spending Measure – 2:00.

International Economic: Germany PMI Composite – 3:55AM, Eurozone PMI Composite – 4:00AM, Japan PMI Composite – 7:30PM, China General Service PMI – 8:45PM.

Other: FOMC Minute for December 13/14 Meeting – 2:00.


Thursday January 5:


Economic: Chain Store Sales, Challenger Job-Cut Report – 7:30, Weekly Jobless Claims – 8:30, Gallup Good Jobs Rate – 6:30, Bloomberg Consumer Comfort Index – 9:45, PMI Services Index – 9:45, OSM Non-Manufacturing Index – 10:00, EIA Natural Gas Report – 10:30, EIA Petroleum Status Report – 11:00.

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


Friday January 6:


Economic: December Employment Situation – 8:30, International Trade – 8:30, Factory Orders – 10:00, Baker Hughes Rig Count – 1:00.


International Economic: Germany Manufacturers’ Orders – 2:00AM, Eurozone Economic Sentiment – 5:00AM, Eurozone Retail Sales – 5:00AM.


Monday January 9:

Economic: TD Ameritrade IMX - 12:30, Labor Market Conditions Index – 10:00.

International Economic: Germany Industrial Production – 2:00AM, Eurozone Unemployment Rate – 5:00AM.












































Tuesday, December 27, 2016

Market News for the Prepared Mind: 12.26.2016 thru 1.03.2017


"Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal
Be at war with your vices, at peace with your neighbors,
and let every new year find you a better man.” - Benjamin Franklin

“Life has no remote, so wake up and change it.” - Sushil Singh

I have become involved in additional outside activities. My focus will be on building a commodity pool/hedge fund based on over 30 years professional trading experience and fined tuned over the past 4 years. This effort will require me to truncate the blog. I will continue to provide you with same the information I use while trading equity and volatility indexes. What will be missing will be my comments about trends. I will be adding short posts throughout the week and
expanding my presence in the twittersphere.

Here is an overview of the US market behavior last week:
Index 23-Dec Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 19,993.84 440.78 2.25% 14.74% 11.54% (VXD)
S&P 500 (SPX) 2,263.79 5.72 0.25% 10.76% 11.44% (VIX)
NASDAQ 100 (NDX) 4,940.02 5.17 0.10% 7.46% 13.24% (VXN)
Russell 2000 (RUT) 1,371.50 (0.18) -0.01% 20.95% 16.77% (RVX)
S&P 100 (OEX) 1002.52 (0.01) 0.00% 9.99% 11.09% (VXO)
Crude Oil (CLG7) 52.00 (0.84) -1.59% 40.28% 29.90%(OVX)
CBOE Volatility Index (VIX) 11.44 (0.76) -6.23% NA

Data Source: OptionVue8

The lower VIX reflects more than just the continuing “Trump rally.” The shortened trading week is reflected in the VIX levels.

Here is an overview of last week for the VIX and related products:
Indexes Ticker 23-Dec 16-Dec Change % Change
CBOE Volatility Index VIX 12.17 12.20 (0.03) -0.25%
VIX January Future (1/18/2017) VXF7 14.275 14.975 (0.70) -4.67%
VIX February Future (2/18/2017) VXG7 16.025 16.375 (0.35) -2.14%
VIX March Future (38/2017) VXH7 17.275 17.425 (0.15) -0.86%
CBOE Short-term Volatility Index VXST 8.98 10.87 (1.89) -17.39%
CBOE 3 Month Volatility Index VXV 15.25 15.57 (0.32) -2.06%
CBOE Mid-term Volatility Index (6 month) VXMT 17.63 17.77 (0.14) -0.79%
VIX of VIX VVIX 87.64 89.40 (1.76) -1.97%
CBOE SKEW Index SKEW 120.51 131.95 (11.44) -8.67%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 7.83 8.85 (1.02) -11.53%
iPath S&P 500 VIX Short Term Futures ETN VXX 24.15 25.61 (1.46) -5.70%
ProShares VIX Short Term Futures ETF VIXY 20.14 21.34 (1.20) -5.62%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 34.26 34.74 (0.48) -1.38%
Inverse VIX ETP's
ProShares Short VIX Short Term Future SVXY 96.58 91.16 5.42 5.95%
Daily Inverse VIX Short Term ETN XIV 49.59 46.97 2.62 5.58%

Data Source: OptionVue8
The week between Christmas and New Year’s is exceptional light on economic news capable of moving the market.The major piece of economic news is the CoreLogic Case-Shiller 20-City Home Price Index.

It is time to start preparing for the upcoming earnings season. Confirm the date and time of a 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 next two weeks are devoid of significant earnings announcements

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 trades during the most recent earnings cycle. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets.

Advice to stimulate your imagination:

"I made no resolutions for the New Year. The habit of making plans, 
of criticizing, sanctioning and molding my life,
 is too much of a daily event for me." - Ana├»s Nin

"For last year's words belong to last year's language. And next year's words await another voice.And to make an end is to make a beginning." - T.S. Eliot

“Don't blow off another's candle for it won't make yours shine brighter.”  - Jaachynma N.E. Agu



Monday December 26:


US Markets Closed


International Economic: Japan CPI, Household Spending, and Unemployment Rate – 6:30PM.


Tuesday December 27:


Economic: S&P Corelogic Case-Shiller HPI – 9:00, Consumer Confidence – 10:00, Richmond Fed Manufacturing Index – 10:00, State Street Investor Confidence Index – 10:00, Dallas Fed Manufacturing Survey = 10:30,

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


Wednesday December 28:


Economic: Redbook – 8:55, Pending Home Sales index – 10:00.


International Economic: No major announcements.


Thursday December 29:


Economic: International Trade in Goods – 8:30, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30, EIA Petroleum Status Report – 11:00.
International Economic: No major announcements.


Friday December 30:


Expiration of Quarterly Stock Index Futures, Stock Index Options, Stock Options and Stock Futures.


Economic: Chicago PMI – 9:45.


International Economic: No major announcements.


Monday January 2:


All US Markets Closed.

International Economic: Germany PMI Manufacturing Index – 3:55AM, Eurozone PMI Manufacturing Index – 4:00AM, China PMI Manufacturing Index – 8:45PM.



Tuesday January 3:


Economic: Motor Vehicle Sales, PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.

International Economic: Germany Unemployment Rate – 3:55AM, Germany CPI – 8:00AM, Global Manufacturing PMI – 11:00AM.































































Sunday, December 4, 2016

Market News for the Prepared Mind: 12.05.2016 thru 12.12.16


"Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal

“Don't follow trends, start trends.” - Frank Capra

“[Prices] are never too high to begin buying or too low to begin selling.” - Jesse Livermore

“Invest at the point of maximum pessimism.” – Sir John Templeton

My blog has suffered from intermittent accessibility to the blogging site. I am pasting last week’s information calendar and tables for the previous week. The tables, while posted late, provide a continuity of information.

Here is an overview of the US market behavior last week:
Index 2-Dec Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 19,170.42 18.28 0.10% 10.02% 13.58% (VXD)
S&P 500 (SPX) 2,191.95 (21.40) -0.97% 7.24% 14.12% (VIX)
NASDAQ 100 (NDX) 4,739.37 (130.65) -2.68% 3.09% 16.99% (VXN)
Russell 2000 (RUT) 1,313.38 (34.14) -2.53% 15.83% 18.91% (RVX)
S&P 100 (OEX) 966.28 (8.97) -0.92% 6.02% 14.11% (VXO)
Crude Oil (CLF7) 51.68 5.72 12.45% 39.41% 35.51%(OVX)
CBOE Volatility Index (VIX) 14.12 1.78 14.42% NA

Data Source: OptionVue8

Here is an overview of last week for the VIX and related products:
Indexes Ticker 2-Dec 25-Nov Change % Change
CBOE Volatility Index VIX 14.12 12.34 1.78 14.42%
VIX December Future (12/21/2016) VXZ6 15.075 14.325 0.75 5.24%
VIX January Future (1/18/2017) VXF7 16.775 16.175 0.60 3.71%
VIX February Future (2/18/2017) VXG7 17.675 17.175 0.50 2.91%
CBOE Short-term Volatility Index VXST 13.64 10.43 3.21 30.78%
CBOE 3 Month Volatility Index VXV 16.78 15.51 1.27 8.19%
CBOE Mid-term Volatility Index (6 month) VXMT 18.75 17.93 0.82 4.57%
VIX of VIX VVIX 98.07 82.65 15.42 18.66%
CBOE SKEW Index SKEW 128.99 126.27 2.72 2.15%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 11.44 10.57 0.87 8.23%
iPath S&P 500 VIX Short Term Futures ETN VXX 28.97 27.82 1.15 4.13%
ProShares VIX Short Term Futures ETF VIXY 24.15 23.19 0.96 4.14%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 35.65 35.15 0.50 1.42%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 81.58 85.09 (3.51) -4.13%
Daily Inverse VIX Short Term ETN XIV 41.95 43.65 (1.70) -3.89%

Data Source: OptionVue8
Advice to stimulate your imagination:

“Great things are not accomplished by those who yield to trends and fads and popular opinion.” - Jack Kerouac

“Well, you know, I was a human being before I became a businessman.” – George Soros

“Don't blow off another's candle for it won't make yours shine brighter.”  - Jaachynma N.E. Agu

“To win the people, always cook them some savory that pleases them.” -  Aristophanes


Monday December 5:


Economic: Gallup US Consumer Spending Measure – 8:30, PMI Services Index – 9:45, ISM – Non-Manufacturing Index – 10:00, Labor Market Conditions Index – 10:00, TD Ameritrade IMX – 12:30.

International Economic: Eurozone PMI Composite – 4:00AM, Eurozone Retail Sales – 5:00AM


Other: New York Federal Reserve President William Dudley speaks on the macroeconomic outlook at the Association for a Better New York in New York, N.Y. – 8:30AM, Chicago Federal Reserve Bank President Charles Evans gives a speech at The Executives' Club of Chicago CEO Breakfast in Chicago, with audience and media Q&A – 9:11AM, St. Louis Federal Reserve Bank President James Bullard speaks on the U.S. economy and monetary policy at the Arizona State University, W.P. Carey School of Business annual Economic Forecast Luncheon, with media Q&A -2:05PM.


Tuesday December 6:


Economic: International Trade – 8:30, Productivity and Costs – 8:30, Redbook – 8:55, Factory Orders - 10:00, Gallup US ECI – 2:00.

International Economic: Germany Manufacturers’ Orders – 2:00AM, Eurozone GDP – 5:00AM, Australia GDP – 7:30PM.


Wednesday December 7:

Economic: MBA Mortgage Applications – 7:00, Gallup US Job Creation Index – 8:30, JOLTS – 10:00, EIA Petroleum Status Report – 10:30.


International Economic: China Merchandise Trade Balance, Germany Industrial Production - 2:00AM, France Merchandise Trade – 2:00AM, Great Britain Industrial Production – 4:30AM, Japan GDP – 6:50PM.


Thursday December 8:


Economic: Weekly Job Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, Quarterly Services Survey – 10:00, EIA Natural Gas Report – 10:30.


International Economic: No major announcements.

Other: European Central Bank (ECB) Announcement – 7:45AM, China CPI and PPI - 8:30PM.


Monday December 9:


Economic: Consumer Sentiment – 10:00, Wholesale Trade – 10:00, Baker Hughes Rig Count – 1:00.


International Economic: Germany Merchandise Trade – 2:00AM.


Monday December 12:


Economic: No major announcements.

International Economic: Eurozone PMI Composite – 4:00AM, Eurozone Retail Sales – 5:00AM













































Tuesday, November 29, 2016

Market News for the Prepared Mind: 11.28.2016 thru 12.05.2016

"Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal
“Don't follow trends, start trends.” - Frank Capra

“The average man doesn’t wish to be told that it is a bull or a bear market.
What he desires is to be told specifically which particular stock to buy or sell.
He wants to get something for nothing. He does not wish to work.
He doesn’t even wish to have to think.” - Jesse Livermore

“The four most dangerous words in investing are 'This time it's different'.” – Sir John Templeton

Last week, the four major stock indices reached all-time highs on the same day. Small caps, large caps, and tech stocks – Russell 2000, Dow Jones, S&P 500, and Nasdaq 100– reached new highs on Monday. The last time the market rewarded us with this level of performance was on December 31, 1999 – on Y2K eve. The indexes continued to reach record highs on Tuesday and then on the Friday after Thanksgiving. The broad market is up 3% during this post-election rally. The small cap Russell 2000 is on a 15 day winning streak. It is up 15,8% over the past three weeks. Bond yields are over 3%.

It has not been a good season for pundits and talking heads. Market pundits are now starting the debate of when the Trump rally will end. I do best when I do not fight trends. The next few months will tell us if this is a second-wind rally or the blow off culmination of a seven-year-old bull market.

Here is an overview of the US market behavior last week:
Data Source: OptionVue8
Index 25-Nov Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 19,152.14 284.21 1.51% 9.91% 12.81% (VXD)
S&P 500 (SPX) 2,213.35 31.45 1.44% 8.29% 12.34% (VIX)
NASDAQ 100 (NDX) 4,870.02 61.98 1.29% 5.94% 14.39% (VXN)
Russell 2000 (RUT) 1,347.52 32.27 2.45% 18.84% 18.13% (RVX)
S&P 100 (OEX) 975.25 12.12 1.26% 7.00% 12.08% (VXO)
Crude Oil (CLF7) 45.96 (0.36) -0.78% 23.98% 53.46%(OVX)
CBOE Volatility Index (VIX) 12.34 (0.51) -3.97% NA

The recent behavior of the VIX brings to mind a common literary or cinema artifice or trope. This is a feeling we have all had while reading a book or watching a movie. It is an artifice guaranteed to raise the hair on the back of one’s neck as we wait for the silence to end. Watching the VIX last week brought this movie scene, typical of this trope, to mind.

"It's quiet...too quiet...
[Gunshot. Bullet whizzes past his head]
Now, suddenly, it's too loud. I preferred it when it was quiet." O’Malley, Red vs. Blue

I am waiting for the gunshot. The spot VIX traded below 12 for a moment last week. I am not the only trader with the feeling it is too quiet. Per Russell Rhoads. VIX guru at the CBOE, ” With spot VIX at 12.64 and the December 21st VIX futures contract at 14.50, there was a buyer of at least 30,000 VIX Dec 21st 16 Calls for 0.85 who then sold the same number of Dec 21st 22 Calls for 0.30 and a net cost of 0.55.”

My approach to the same scenario was to buy December 21st date broken wing call butterflies. My trades are a hedge to protect short premium S&P 500 iron butterflies against a short term downward move in the index. The liquidity of VIX options allow relatively ease of adjustment or rolling of positions.

A reminder: This approach is implemented by me, a veteran options trader with over 30 years experience of trading derivatives for a living. It is risky even if you know what you are doing, Do not attempt this at home unless you understand the risks and pitfalls of trading VIX options and futures.

It is quiet and unnerving. Be careful and understand the risk of any strategy you are involved in.

Here is an overview of last week for the VIX and related products:
Indexes Ticker 25-Nov 18-Nov Change % Change
CBOE Volatility Index VIX 12.34 12.85 (0.51) -3.97%
VIX December Future (12/21/2016) VXZ6 14.325 14.975 (0.65) -4.34%
VIX January Future (1/18/2017) VXF7 16.175 16.675 (0.50) -3.00%
VIX February Future (2/18/2017) VXG7 17.175 17.500 (0.32) -1.86%
CBOE Short-term Volatility Index VXST 10.43 8.63 1.80 20.86%
CBOE 3 Month Volatility Index VXV 15.51 15.52 (0.01) -0.06%
CBOE Mid-term Volatility Index (6 month) VXMT 17.93 18.02 (0.09) -0.50%
VIX of VIX VVIX 82.65 86.40 (3.75) -4.34%
CBOE SKEW Index SKEW 126.27 126.38 (0.11) -0.09%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 10.57 11.52 (0.95) -8.25%
iPath S&P 500 VIX Short Term Futures ETN VXX 27.82 29.06 (1.24) -4.27%
ProShares VIX Short Term Futures ETF VIXY 23.19 24.20 (1.01) -4.17%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 35.15 35.43 (0.28) -0.79%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 85.09 81.46 3.63 4.46%
Daily Inverse VIX Short Term ETN XIV 43.65 41.84 1.81 4.33%
Data Source: OptionVue8


Next week is employment week. The plethora of earnings related reports culminates with the release of November jobs data on Friday morning. In addition, we will see the release of the second revision of the GDP, the S&P CoreLogic Case-Shiller Home Price Index. Motor Vehicle Sales and Chain Store Sales. We’ll also get retail sales reports on Black Friday and Cyber Monday.
The Organization of Petroleum Exporting Countries (OPEC) meeting in Vienna on Wednesday. They will be attempting to negotiate the first production decrease in eight years. In the absence of a production cut, oil stocks would remain in surplus for a fourth straight year in 2017.
The earnings season is winding down this week. Confirm the date and time of a 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 will start trading announcements this week. The earnings highlights this week for widely held and actively traded stocks are: Shoe Carnival, Thor Ind., Autodesk, Tiffany, Semtech, Guess?, Synopsys, American Eagle Outfitters, Kroger, Donaldson, Dollar General, Ulta Salon, G-III Apparel, Fred’s, Genesco, and Big Lots.
The variables for earnings announcements are: Closing price> $20, Implied Volatility > 22, Average daily option volume > 1,000 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 trades last week. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets.
Remember – this is my first pass scan. I will evaluate these candidates based on my previous experience trading their earnings announcements, chart, and other historic data. Here is a list of upcoming earnings announcements meeting my first pass scan:
Symbol Company Name Nov 18 Close IV30 B/A AVGOPTVOL DATE
MNK Mallinckrodt PLC $56.87 69.66 BMO 1827 29-Nov
TIF Tiffany & Co. $79.18 33.32 BMO 4123 29-Nov
ADSK Autodesk, Inc. $75.15 42.97 AMC 3523 29-Nov
NTNX Nutanix Inc $34.13 102.91 AMC 1531 29-Nov
SPLK Splunk Inc $57.65 48.37 AMC 1954 29-Nov
GLNG Golar LNG Limited $25.52 70.53 BMO 5647 30-Nov
PVH PVH Corp $109.02 36.39 AMC 1231 30-Nov
DG Dollar General Corp. $79.71 35.02 BMO 5491 1-Dec
KR Kroger Co $33.70 31.30 BMO 8926 1-Dec
AMBA Ambarella Inc $65.36 49.93 AMC 6650 1-Dec
FIVE Five Below Inc $43.10 48.74 AMC 1863 1-Dec
SWHC Smith & Wesson Holding Corp $23.51 52.13 AMC 4760 1-Dec
ULTA Ulta Salon $262.02 37.69 AMC 5595 1-Dec
WDAY Workday Inc $83.13 41.18 AMC 2035 1-Dec
WUBA 58.com Inc (ADR) $33.58 34.84 BMO 2167 5-Dec
AZO AutoZone, Inc. $798.05 25.61 BMO 1863 6-Dec
GWPH GW Pharmaceuticals PLC $116.67 48.17 BMO 3317 6-Dec
TOL Toll Brothers Inc $30.05 32.30 BMO 1570 6-Dec
HDS HD Supply Holdings Inc $39.29 39.72 AMC 1703 6-Dec
HRB H & R Block Inc $23.68 39.44 AMC 1321 7-Dec
LULU Lululemon Athletica inc. $57.91 49.36 AMC 19134 7-Dec

Advice to stimulate your imagination:
“Great things are not accomplished by those who yield to trends and fads and popular opinion.” - Jack Kerouac
“Well, you know, I was a human being before I became a businessman.” – George Soros
“Don't blow off another's candle for it won't make yours shine brighter.”  - Jaachynma N.E. Agu
“To win the people, always cook them some savory that pleases them.” -  Aristophanes

Monday November 28:

Economic: Dallas Fed Manufacturing Survey – 10:30.
International Economic: Japan Household Spending and Unemployment Rate – 6:30PM. Japan Retail Sales – 6:50PM.
Other: Cyber Monday - Online shopping equivalent of brick and mortar Black Friday. It is one of the biggest online shopping days of the year.

Tuesday November 29:

Economic: GDP – 8:30. Corporate Profits – 8:30, Redbook – 8:55, S&P Corelogic Case-Shiller Home Price Index – 9:00, Consumer Confidence – 10:00. State Street Investor Confidence – 10:00.
International Economic: France GDP – 2:45AM, Germany CPI – 8:00AM, Japan Industrial Production – 6:50PM.
Other: Federal Reserve Vice Chair Stanley Fischer speech to The Clearing House annual conference, in New York – 7:45AM, New York Federal Reserve Bank President William Dudley delivers remarks on opportunities for economic growth in Puerto Rico, in San Juan, P.R., with Q&A – 9:15AM.


Wednesday November 30:

Economic: MBA Mortgage Applications – 7:00, ADP Employment Report – 8:15, Personal Income and Outlays - 8:30, Chicago PMI – 9:45, Pending Home Sale Index - 10:00, EIA Petroleum Status Report – 10:30, Beige Book – 2:00.
International Economic: Germany Retail Sales – 2:00AM, France PPI and CPI – 2:45AM, Germany Unemployment Rate – 3:55AM, Japan Manufacturing Index – 7:30PM, China PMI Manufacturing Index - 8:45PM.
Other: OPEC Oil Ministers meeting in Vienna. Dallas Federal Reserve Bank President Robert Kaplan discusses economic conditions, trends and the limits of monetary policy with the Economic Club of New York, with media Q&A – 8:00AM, Federal Reserve Board Gov. Jerome Powell participates in a discussion on Understanding Fedspeak at the Brookings Institution in Washington, D.C – 9:15AM, Cleveland Federal Reserve Bank President Loretta Mester gives a speech on monetary policy and economic outlook to the African American Chamber of Commerce of Western Pennsylvania in Pittsburgh, Pa., with media Q&A – 12:35PM.

Thursday December 1:

Economic: Motor Vehicle Sales, Chain Store Sales, Challenger Job-Cut Report – 8:30, Weekly Job Claims – 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: Germany PMI Manufacturing Index – 3:55AM, Eurozone PMI Manufacturing Index – 4:00AM, Eurozone Unemployment Rate – 5:00AM.
Other: St. Louis Federal Reserve Bank President James Bullard gives a talk at Commerce Bank in St. Louis, Mo., with audience and media Q&A – 9:15AM.

Friday December 2:

Economic: November Employment Situation – 8:30, Baker Hughes Rig Count – 1:00.
International Economic: Eurozone PPI – 5:00.
Other: Federal Reserve Gov. Daniel Tarullo delivers keynote speech at the Office of Financial Research's Financial Stability Conference in Washington, D.C. – 12:30PM.

Monday December 5:

Economic: Gallup US Consumer Spending Measure – 8:30, PMI Services Index – 9:45, ISM – Non-Manufacturing Index – 10:00, Labor Market Conditions Index – 10:00, TD Ameritrade IMX – 12:30.
International Economic: Eurozone PMI Composite – 4:00AM, Eurozone Retail Sales – 5:00AM

































































Sunday, November 20, 2016

Market News for the Prepared Mind: 11.21.2016 thru 11.28.2016


"Chance favors the Prepared Mind." - Louis Pasteur

“Imagination decides everything.” - Blaise Pascal

“I am grateful for what I am and have. My thanksgiving is perpetual.” - Henry David Thoreau

“If you are really thankful, what do you do? You share.” - W. Clement Stone

“After a good dinner, one can forgive anybody, even one's own relations.” -  Oscar Wilde

Stocks rose last week with bond yields and the US dollar moving in concert with the equities. The SUS dollar is at its highest level since 2003. The Chinese yuan is at its lowest level against the dollar since 2010. Bond yields are at the highest level since November 2015. In the past, such moves in bonds and the dollar created adverse equity market reaction. Instead of turmoil, the domestic equity indexes showed gains ranging from 0.11% for the Dow Jones Industrials to 2.56% for the small cap and financials dominated Russell 2000.

The Russell 2000 has been on an 11-day winning streak. It is up nearly 16% for the year. It has gained almost 38% since February 2016. The impact of financial stocks upon small cap gains is reflected by a 10.77% post-election gain in the S&P Financials. The energy sector has contributed significantly post-election gains in equity indexes.

Here is an overview of the US market behavior last week:
Index 18-Nov Weekly Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 18,867.93 20.27 0.11% 8.28% 13.14% (VXD)
S&P 500 (SPX) 2,181.90 17.45 0.81% 6.75% 12.85% (VIX)
NASDAQ 100 (NDX) 4,808.04 56.09 1.18% 4.59% 15.51% (VXN)
Russell 2000 (RUT) 1,315.25 32.86 2.56% 15.99% 18.12% (RVX)
S&P 100 (OEX) 963.13 4.45 0.46% 5.67% 12.91% (VXO)
Crude Oil (CLF7) 46.32 2.42 5.51% 24.95% 46.56%(OVX)
CBOE Volatility Index (VIX) 12.85 (1.32) -9.32% NA

Data Source: OptionVue8
The lower VIX reflects more than just the continuing “Trump rally.” The shortened trading week is reflected in the VIX levels. The NYSE and other markets will be closed on Thursday and will close two hours earlier than normal on Friday. Traders seem to be anticipating a quiet week across all markets. Russell Rhoads, CBOE VIX guru, has created a list of volatility events for the rest of 2016. These events include:

DATE EVENT
29-Nov Q3 GDP second estimate
2-Dec November Non-Farm Payrolls
4-Dec Constitutional Referendum in Italy
14-Dec Fed Meeting
19-Dec Electoral College Vote
Here is an overview of last week for the VIX and related products:
Indexes Ticker 18-Nov 11-Nov Change % Change
CBOE Volatility Index VIX 12.85 14.17 (1.32) -9.32%
VIX December Future (12/21/2016) VXZ6 14.975 16.125 (1.15) -7.13%
VIX January Future (1/18/2017) VXF7 16.675 17.325 (0.65) -3.75%
VIX February Future (2/18/2017) VXG7 17.500 17.925 (0.43) -2.37%
CBOE Short-term Volatility Index VXST 8.63 12.84 (4.21) -32.79%
CBOE 3 Month Volatility Index VXV 15.52 16.49 (0.97) -5.88%
CBOE Mid-term Volatility Index (6 mos) VXMT 18.02 18.45 (0.43) -2.33%
VIX of VIX VVIX 86.40 97.22 (10.82) -11.13%
CBOE SKEW Index SKEW 126.38 121.17 5.21 4.30%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 11.52 13.54 (2.02) -14.92%
iPath S&P 500 VIX Short Term Futures ETN VXX 29.06 31.44 (2.38) -7.57%
ProShares VIX Short Term Futures ETF VIXY 24.20 26.18 (1.98) -7.56%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 35.43 35.78 (0.35) -0.98%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 81.46 78.79 2.67 3.39%
Daily Inverse VIX Short Term ETN XIV 41.84 35.85 5.99 16.71%

Data Source: OptionVue8
It will be a busy week for the economic calendar. The last full week of November includes reports on new home sales, existing home sales, and durable goods. Wednesday will be the most active day. The release of the FOMC minutes on Wednesday afternoon will cap the pre-Thanksgiving economic news.

The earnings season is winding down this week. Confirm the date and time of a 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 will start trading announcements this week. The earnings highlights this week for widely held and actively traded stocks are Jack in the Box, Brocade Communications, Tyson Foods. Urban Outfitters, Barnes & Noble,, Medtronic, Eaton Vance, Dollar Tree, Hormel Foods, Movado, Campbell Soup, Cahico’s Fast Fodd, Gamestop, Valspare, Analog Devices, Cracker Barrel, and Deere & Co.

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 > 22, Average daily option volume > 1,000 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 trades last week. The bid/ask spreads seemed much larger than usual. Do not force trades in illiquid markets.

Symbol Company Name Nov 18 Close IV30 B/A AVGOPTVOL DATE
TSN Tyson Foods, Inc. $66.70 39.54 BMO 3,395 21-Nov
WB Weibo Corp (ADR) $44.76 57.87 BMO 4,161 21-Nov
PANW Palo Alto Networks $164.15 45.15 AMC 8,460 21-Nov
SINA SINA Corp $67.85 51.17 AMC 2,005 21-Nov
YY YY Inc (ADR) $45.08 49.42 AMC 5,832 21-Nov
SIG Signet Jewelers Ltd. $92.12 46.14 DMT 3,322 22-Nov
BURL Burlington Stores Inc $77.51 40.46 BMO 1,005 22-Nov
CPB Campbell Soup $54.22 25.07 BMO 1,202 22-Nov
DLTR Dollar Tree, Inc. $81.65 38.41 BMO 5,077 22-Nov
GME GameStop Corp. $23.46 45.64 BMO 7,966 22-Nov
URBN Urban Outfitters, Inc. $38.83 52.00 BMO 2,681 22-Nov
HPE Hewlett Packard $23.60 33.55 AMC 8,031 22-Nov
VEEV Veeva Systems Inc $41.90 42.41 AMC 1,384 22-Nov
DE Deere & Company $91.77 26.00 BMO 13,842 23-Nov
CTRP Ctrip.Com International $42.31 36.95 AMC 9,937 23-Nov
MNK Mallinckrodt PLC $55.32 72.71 BMO 1,787 29-Nov
TIF Tiffany & Co. $77.11 37.82 BMO 5,786 29-Nov
ADSK Autodesk, Inc. $78.46 44.53 AMC 3,592 29-Nov
SPLK Splunk Inc $62.25 49.93 AMC 2,236 29-Nov
NTNX Nutanix Inc $31.20 100.62 1,415 29-Nov
GLNG Golar LNG Limited $24.92 71.29 BMO 5,520 30-Nov
PVH PVH Corp $110.13 36.64 AMC 1,564 30-Nov

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

“Half of the American people have never read a newspaper. Half never voted for President. One hopes it is the same half.” ― Gore Vidal

“Don't blow off another's candle for it won't make yours shine brighter.” - Jaachynma N.E. Agu

“To win the people, always cook them some savory that pleases them.” -  Aristophanes


Monday November 21:

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

International Economic: No major announcements.

Other: Federal Reserve Vice Chairman Stanley Fischer discusses monetary policy, inflation rates and economic outlook at the Council on Foreign Relations in New York – 8:00AM.


Tuesday November 22:

Economic: Redbook – 8:55, Existing Home Sales – 10:00, Richmond Fed Manufacturing Index – 10:00.

International Economic: Great Britain CBI Industrial Trends Survey – 6:00AM.


Wednesday November 23:

Economic: MBA Mortgage Applications – 7:00, Durable Goods Orders 8:30, Weekly Jobless Claims – 8:30, FHFA House Price Index – 9:00, PMI Manufacturing Index Flash – 9:45, Bloomberg Consumer Comfort Index – 9:45AM, New Home Sales – 10:00, Consumer Sentiment – 10:00, EIA Petroleum Status Report – 10:30, EIA Natural Gas Report – 12:00.

International Economic: Eurozone PMI Composite Flash – 4:00AM.

Other: FOMC minutes – 2:00PM.


Thursday November 25:


Thanksgiving - US Markets Closed

Economic: No major announcements.

International Economic: Germany GDP – 2:00AM,

Other: St. Louis Federal Reserve Bank President James Bullard gives a talk at Commerce Bank in St. Louis, Mo., with audience and media Q&A – 9:15AM.

Friday November 26:

NYSE Early Close – 1:00PM.

Economic: International Trade in Goods – 8:30, PMI Services Flash – 9:45, Baker Hughes Rig Count – 1:00.

International Economic: Great Britain GDP - 4:30AM.


Monday November 28:


Economic: Dallas Fed Manufacturing Survey – 10:30.

International Economic: Japan Household Spending and Unemployment Rate – 6:30PM. Japan Retail Sales – 6:50PM.