"Chance
favors the Prepared Mind." - Louis Pasteur
“Imagination
decides everything.” – Blaise Pascal
Patience
is power. Patience is not an absence of action;
rather it is "timing; it waits on the right time to act.” – Fulton Sheen
rather it is "timing; it waits on the right time to act.” – Fulton Sheen
The Dow Jones Industrials (DJIA), the NASDAQ100
(NDX) and the S&P 500 (SPX) set intraday all-time highs on Thursday with
the NDX setting another intraday all-time high on Friday. There was a notable lack of enthusiasm among
traders and analysts as the market hit new highs. It is a market devoid of joy. Tuli Kupferberg – Beat poet, iconoclast, and
founder of the first alternative rock band, The Fugs – summed up the trader’s lament
and the market lethargy in his song “Nothing.”
Monday, nothing
Tuesday, nothing
Wednesday and Thursday nothing
Friday, for a change
a little more nothing,
Tuesday, nothing
Wednesday and Thursday nothing
Friday, for a change
a little more nothing,
The following weeks should provide a "little more nothing" as traders from hedge funds and investment banks go on vacation.
Here
is an overview of the US market behavior last week:
Index
|
12-Aug
|
Weekly Change
|
% Weekly
|
2016 YTD
|
Volatility of Index
|
Dow Jones
Industrials (DJIA)
|
18,576.47
|
32.94
|
0.18%
|
6.61%
|
11.61% (VXD)
|
S&P 500
(SPX)
|
2,184.05
|
1.18
|
0.05%
|
6.85%
|
11.55% (VIX)
|
NASDAQ 100
(NDX)
|
4,782.34
|
0.00
|
0.00%
|
4.03%
|
13.99% (VXN)
|
Russell 2000
(RUT)
|
1,228.43
|
(0.60)
|
-0.05%
|
8.34%
|
15.60% (RVX)
|
S&P 100
(OEX)
|
966.51
|
(0.41)
|
-0.04%
|
6.04%
|
10.67% (VXO)
|
Crude Oil (CL
U6)
|
44.69
|
2.71
|
6.46%
|
20.56%
|
37.78%(OVX)
|
CBOE Volatility
Index (VIX)
|
11.55
|
0.16
|
1.40%
|
NA
|
There is more “nothing” in the VIX and related products. Russell Rhoads, CBOE VIX guru, described the VIX futures as being in “steep contango.” The market listlessness of the past few weeks tricked my brain into reading “sleep contango.” Per Russell, the biggest VIX options trade on Friday was a bullish (bearish for the SPX) purchase of 26,000 Sept 17/20 call vertical for 0.43.
Earlier on Friday, a three way traded which was also bullish. The trade was a combination of the sale of a Sep 13 put, and the purchase of the Sep 21/26 call vertical. The trade was done 9,465 times for no cost. The September VIX future was around 15.00 when both trades were made.
Here is an overview of last week for the VIX and
related products:
Indexes
|
Ticker
|
12-Aug
|
5-Aug
|
Change
|
% Change
|
CBOE Volatility
Index
|
VIX
|
11.55
|
11.39
|
0.16
|
1.40%
|
VIX August
Future (8/17/2016)
|
VXQ6
|
12.325
|
12.875
|
(0.55)
|
-4.27%
|
VIX September
Future (9/21/2016)
|
VXU6
|
14.975
|
15.325
|
(0.35)
|
-2.28%
|
VIX October
Future (10/19/2016)
|
VXV6
|
16.725
|
17.575
|
(0.85)
|
-4.84%
|
CBOE Short-term
Volatility Index
|
VXST
|
9.54
|
9.18
|
0.36
|
3.92%
|
CBOE 3 Month
Volatility Index
|
VXV
|
15.26
|
15.14
|
0.12
|
0.79%
|
CBOE Mid-term
Volatility Index (6 month)
|
VXMT
|
17.52
|
17.59
|
(0.07)
|
-0.40%
|
VIX of VIX
|
VVIX
|
94.49
|
85.23
|
9.26
|
10.86%
|
CBOE SKEW Index
|
SKEW
|
132.13
|
130.60
|
1.53
|
1.17%
|
Long VIX ETP's
|
|||||
ProShares Ultra
VIX Short Term Futures ETF
|
UVXY
|
20.70
|
22.03
|
(1.33)
|
-6.04%
|
iPath S&P
500 VIX Short Term Futures ETN
|
VXX
|
36.95
|
38.08
|
(1.13)
|
-2.97%
|
ProShares VIX
Short Term Futures ETF
|
VIXY
|
30.66
|
31.63
|
(0.97)
|
-3.07%
|
iPath S&P
500 VIX Mid-Tem Futures ETN
|
VXZ
|
38.47
|
38.88
|
(0.41)
|
-1.05%
|
Inverse VIX ETP's
|
|||||
ProShares Short
VIX Short Term Future ETF
|
SVXY
|
72.11
|
70.05
|
2.06
|
2.94%
|
Daily Inverse
VIX Short Term ETN
|
XIV
|
36.85
|
35.78
|
1.07
|
2.99%
|
This coming week of August 15 brings reports on consumer prices, housing
starts, and industrial production. The minutes from the last FOMC meeting will
garner special attention. The minutes from July's FOMC meeting will be
Wednesday's main news event. Traders and
investors main focus will be on the labor market assessment in the minutes. The markets are expected to be quiet next week
and for the rest of August. Traders and
investors, especially in Europe, will be on vacation.
The earnings season is
slowing down. It will remain an active week for earnings announcements. There will be opportunities to trade earnings
this week. Strategies
which have worked for specific stocks over the past few years have not been
working. The behavior of individual stocks has changed dramatically. I am reminded by an old saying form Alex
Jacobsen: “All options strategies work. No option strategy works
all the time.” It is a constant quest to
choose the right strategy and optimize its implementation.
Butterflies and condors (iron and regular)
continue to be the most successful options strategies this earnings cycle. The response of share prices to earnings
announcements is a continuation of this week’s blog theme – “Nothing.” This
lack of movement in the price of the underlying is a departure from previous
earnings cycles. Change in market behavior
is very disconcerting for traders. There will be opportunities to trade earnings this
week. The change in market tenor has required me to trade normaler while
developing and assessing new option strategies for individual stock’s earning announcements.
Trade normal, be nimble, be flexible and do not
be afraid to take losses,
The earnings highlights this week for widely held and
actively traded stocks include: Sysco, Advance Auto Parts, Cree, Home Depot,
Urban Outfitters, Hain Celestial, Dicks Sporting Goods, Eaton Vance, Synopsys,
Staples, L. Brands, Target, American Eagle Outfitters. Cisco Systems, Lowe’s,
Gap, Applied Materials, Wal-Mart, Toro, Footlocker, Estee Lauder and Deere and
Company.
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
|
July 22 Close
|
IV30
|
B/A
|
DATE
|
OPT VOL
|
TTM
|
Tata Motors
Limited (ADR)
|
$38.18
|
33.37
|
22-Aug
|
1242
|
|
INTU
|
Intuit Inc.
|
$113.15
|
25.02
|
AMC
|
23-Aug
|
1242
|
PVH
|
PVH Corp
|
$103.05
|
35.42
|
AMC
|
24-Aug
|
1424
|
WSM
|
Williams-Sonoma,
Inc.
|
$52.61
|
39.35
|
24-Aug
|
3087
|
|
WDAY
|
Workday Inc
|
$83.65
|
42.48
|
AMC
|
24-Aug
|
3578
|
TIF
|
Tiffany &
Co.
|
$66.25
|
35.51
|
BMO
|
25-Aug
|
5471
|
ULTA
|
Ulta Salon,
Cosmetics & Fragrance,
|
$265.95
|
38.94
|
AMC
|
25-Aug
|
3508
|
SIG
|
Signet Jewelers
Ltd.
|
$90.62
|
46.85
|
DMT
|
25-Aug
|
5517
|
ADSK
|
Autodesk, Inc.
|
$61.71
|
34.78
|
AMC
|
25-Aug
|
1702
|
SPLK
|
Splunk Inc
|
$63.45
|
49.77
|
AMC
|
25-Aug
|
3759
|
BURL
|
Burlington
Stores Inc
|
$76.79
|
35.54
|
BMO
|
25-Aug
|
1648
|
DLTR
|
Dollar Tree,
Inc.
|
$97.37
|
28.50
|
BMO
|
25-Aug
|
5139
|
DG
|
Dollar General
Corp.
|
$92.72
|
25.94
|
BMO
|
25-Aug
|
3982
|
BIG
|
Big Lots, Inc.
|
$54.80
|
41.60
|
BMO
|
26-Aug
|
1170
|
CRM
|
salesforce.com,
inc.
|
$81.48
|
33.86
|
AMC
|
29-Aug
|
18380
|
PANW
|
Palo Alto
Networks Inc
|
$125.47
|
51.32
|
AMC
|
30-Aug
|
7848
|
VEEV
|
Veeva Systems
Inc
|
$38.86
|
41.16
|
AMC
|
30-Aug
|
1143
|
AMBA
|
Ambarella Inc
|
$61.80
|
49.47
|
AMC
|
1-Sep
|
5287
|
AVGO
|
Broadcom Ltd
|
$172.09
|
35.70
|
AMC
|
1-Sep
|
9264
|
FIVE
|
Five Below Inc
|
$50.31
|
46.38
|
AMC
|
1-Sep
|
1546
|
LULU
|
Lululemon
Athletica inc.
|
$79.72
|
39.27
|
AMC
|
8-Sep
|
11015
|
dvice to stimulate your imagination:
|
“The key to risk management is
never putting yourself in a position
where you cannot live to fight
another day.” - Dick Fuld
|
Economic: Empire State Manufacturing Survey – 8:30, Housing Market Index – 10:00.
Earnings:
Symbol
|
Company Name
|
August 12 Close
|
IV30
|
B/A
|
AVGOPTVOL
|
AU
|
AngloGold
Ashanti Limited (ADR)
|
$22.03
|
49.83
|
BMO
|
1739
|
BHP
|
BHP Billiton
Limited (ADR)
|
$31.55
|
40.50
|
BMO
|
5526
|
ALRM
|
AlarmCom Hldg
Inc
|
$30.76
|
53.40
|
AMC
|
1316
|
Tuesday August 16:
Economic: Consumer Price Index (CPI) – 8:30, Housing Starts – 8:30, Redbook – 8:55, Industrial Production – 9:15, E-Commerce Retail Sales – 10:00.
Other: Atlanta Fed President Dennis Lockhart will speak to the Rotary Club in Knoxville, Tennessee, followed by audience and media Q and A – 12:30PM.
Earnings:
Symbol
|
Company Name
|
August 12 Close
|
IV30
|
B/A
|
AVGOPTVOL
|
ALR
|
Alere Inc
|
$40.08
|
38.04
|
BMO
|
2122
|
COTY
|
Coty Inc
|
$28.95
|
40.11
|
BMO
|
3422
|
DKS
|
Dicks Sporting
Goods Inc
|
$54.60
|
34.94
|
BMO
|
2749
|
TJX
|
TJX Companies
Inc
|
$82.43
|
23.25
|
BMO
|
3828
|
URBN
|
Urban
Outfitters, Inc.
|
$30.50
|
49.38
|
BMO
|
2803
|
AAP
|
Advance Auto
Parts, Inc.
|
$166.71
|
29.50
|
AMC
|
1392
|
CREE
|
Cree, Inc.
|
$27.83
|
39.58
|
AMC
|
1800
|
TV
|
Grupo Televisa
SAB (ADR)
|
$27.13
|
24.27
|
1392
|
Economic: MBA Mortgage Applications – 7:00, Atlanta Fed Business Inflation Expectations – 10:00, EIA Petroleum Status Report - 10:30.
International Economic: Great Britain Labour Market Report – 4:30AM,
Japan Merchandise Trade – 7:50PM.
Other: Release of FOMC Minutes – 2:00PM, St. Louis Federal Reserve Bank
President James Bullard will give a speech on the economy and monetary policy,
followed by audience and media Q and A in St. Louis – 1:00PM.
Symbol
|
Company Name
|
August 12 Close
|
IV30
|
B/A
|
AVGOPTVOL
|
TGT
|
Target
Corporation
|
$74.01
|
23.44
|
BMO
|
20962
|
CSCO
|
Cisco Systems,
Inc.
|
$30.95
|
23.12
|
AMC
|
54997
|
CTRP
|
Ctrip.com
International, Ltd. (ADR)
|
$45.89
|
41.00
|
AMC
|
9311
|
LB
|
L Brands Inc
|
$73.80
|
26.66
|
AMC
|
3333
|
NTAP
|
NetApp Inc.
|
$28.11
|
32.48
|
AMC
|
2467
|
NTES
|
NetEase Inc
(ADR)
|
$200.29
|
39.26
|
AMC
|
2625
|
YY
|
YY Inc (ADR)
|
$47.31
|
49.10
|
AMC
|
3253
|
Thursday August 18:
Economic: Weekly Jobless Claims – 8:30, Philadelphia Fed Business Outlook Survey – 8:30, Bloomberg Consumer Comfort Index – 9:45, Leading Indicators – 10:00, EIA Natural Gas Report – 10:30.
International Economic: France ILO Unemployment Rate – 1:30AM, Great
Britain Retail Sales – 4:30AM. EMU HICP 5:00AM,
Other: European Central Bank Minutes (ECB) – 7:30AM.
San Francisco Federal Reserve Bank President John Williams will
give a speech on the economic outlook in Anchorage, Alaska followed by audience
and media Q and A – 4:00PM.
Symbol
|
Company Name
|
August 12 Close
|
IV30
|
B/A
|
AVGOPTVOL
|
WUBA
|
58.com Inc
(ADR)
|
$53.28
|
36.97
|
BMO
|
1333
|
HRL
|
Hormel Foods
Corp
|
$36.43
|
25.06
|
BMO
|
1306
|
ROST
|
Ross Stores,
Inc.
|
$61.96
|
26.98
|
BMO
|
2738
|
AMAT
|
Applied
Materials, Inc.
|
$26.82
|
30.73
|
AMC
|
12433
|
GPS
|
Gap Inc
|
$24.98
|
38.90
|
AMC
|
16100
|
HAIN
|
Hain Celestial
Group Inc
|
$52.13
|
46.71
|
AMC
|
1682
|
Friday August 19:
Economic: Baker Hughes Rig Count – 1:00.
International Economic: Japan All Industry Index – 1:30AM, Germany PPI - 2:00AM.
Earnings:
Symbol
|
Company Name
|
August 12 Close
|
IV30
|
B/A
|
AVGOPTVOL
|
DE
|
Deere &
Company
|
$77.99
|
25.63
|
BMO
|
13194
|
FL
|
Foot Locker,
Inc.
|
$60.35
|
28.45
|
AMC
|
3288
|
Monday August 22:
Economic: Chicago Fed National Activity Index – 8:30.
International Economic: No major announcements.
Earnings: No earnings announcements meeting scan criteria.
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