"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 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
|
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%
|
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
|
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
|
"It
will not always be summer; build barns.” - Hesiod
"The
market can remain irrational longer than you can remain solvent." - John
Keynes
|
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.
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.
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.
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.
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