The Prepared Mind: May 4, 2015

steve

Lentz (in blue) lands a right.

By Frank Fahey

It was an exciting week. After weeks of preparation, OptionVue switched to a new provider for price feeds. The upgrade definitely improved the speed and responsiveness of OptionVue7. The biggest excitement of the week came from Steve Lentz’ Friday debut as an amateur boxer. The Chicago Tribune’s article on Steve said “the mayor is now officially sanctioned by USA Boxing, which governs the sport at the amateur level, and he’ll be listed for all time in the USA Boxing annals as having had an amateur career.” Yes, Steve is the mayor of Mundelein, IL. His boxing career found its genesis as part of a fundraiser to help at-risk youths in his community. USA Boxing will show Mayor Lentz as undefeated. Steve won his bout by unanimous decision.

 

The major indexes show an inability to take a punch this past week. A worse than expected Q1 GDP was a major blow to the market. The GDP disappointed investors by gaining only 0.2% compared to a consensus expectation of 1%. The shortfall and disappointing earnings led to a sell-off from the previous week’s all-time highs. A rally Thursday afternoon an Friday tempered the move down for the indexes. This rally saw the S&P 500 recovering 1.5% to close down o.44% for the week. The media seems to be baffled by the market. Every market move is seen a a harbinger of a correction or moves to new all-time highs.

 

The indexes are range bound. The November to April trading range for the SPX is 2025 to 2125.    The consensus among technical analysts is that 2120 to 2125 is the current resistance level for the SPX with support at the 2040 to 2050 level. 2070 has become a short-term support level. Equity put/call ratios remain on buy signals.   Market breadth indicators continue to vacillate between buy and sell signals. The VIX remains the most bullish indicator. The VIX closed at 12.70 – the lower end of its trading range.

 

Here is an overview of the market behavior last week:

Index May 1 Close Weekly Change % Weekly % 2015 YTD Volatility of Index
Dow Jones Industrials (DJIA) 18024.06 (56.08) -0.31% 1.13% 13.79% (VXD)
S&P 500 (SPX) 2108.29 (9.40) -0.44% 2.40% 12.70% (VIX)
NASDAQ 100 (NDX) 4470.34 (61.78) -1.36% 5.48% 15.07% (VXN)
Russell 2000 (RUT) 1226.29 (39.70) -3.14% 1.79% 18.41% (RVX)
S&P 100 (OEX) 926.09 (2.44) -0.26% 1.95% 12.96% (VXO)
CBOE Volatility Index (VIX) 12.70 0.41 3.34% NA

Data Source: OptionVue7

 

The VIX spot showed a minimal gain last week with VIX futures down small. Wednesday’s sell-off propelled thespot above 15 and the VIX future trading above 16. The rally at the end of the week pushed the spot and futures down to a level reflecting a lack of fear or market complacency. This is “employment week.” The VIX has historically held value until the release of employment numbers before the market opening on Friday. The VIX futures and options now start trading one hour before the stock market open. Friday’s release of the Employment Situation coincides for the first time with the opening of the VIX markets. I will be interested in market width and volume.

 

Here is an overview of last week for the VIX and related products:

Indexes Ticker 1-May 24-Apr Change % Change
CBOE Volatility Index VIX 12.70 12.29 0.41 3.34%
VIX May Future VXK5 14.475 14.625 (0.15) -1.03%
VIX June Future VXM5 15.975 16.175 (0.20) -1.24%
VIX July Future VXN5 16.825 17.025 (0.20) -1.17%
CBOE Short-term Volatility Index VXST 11.77 10.86 0.91 8.38%
CBOE 3 Month Volatility Index VXV 15.38 15.26 0.12 0.79%
CBOE Mid-term Volatility Index (6 month) VXMT 17.52 17.43 0.09 0.52%
VIX of VIX VVIX 79.64 76.43 3.21 4.20%
Long VIX ETP’s
iPath S&P 500 VIX Short Term Futures ETN VXX 20.81 20.89 (0.08) -0.38%
pShares VIX Short Term Futures ETF VIXY 13.82 13.88 (0.06) -0.43%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 11.72 11.79 (0.07) -0.59%
Inverse VIX ETP’s
Daily Inverse VIX Short Term ETN XIV 41.82 41.92 (0.10) -0.24%
ProShares Short VIX Short Term Future ETF SVXY 81.96 82.31 (0.35) -0.43%

Data Source: OptionVue7

 

It is “employment week.” The first week of a month is dominated by employment numbers from the previous month. This week has historically been characterized by steady to rising levels in implied volatility and market movements which are larger than usual. There is little consensus among economists about the number in this coming Friday’s Employment Situation Report.   The wide consensus may lead to increased market volatility. The ADP Employment Report on Wednesday and Thursday’s Weekly Jobless Claims and the Challenger Job-Cut Report will contribute to the sense of anticipation for Friday’s release. Continuing earnings announcements, combined with reports on manufacturing and services, will provide additional fuel for market movement.

This will be the last busy week for earnings announcements.   Earnings announcements include: Comcast, Berkshire Hathaway, Loews, Anadarko, Disney, Kellogg, Allstate, ADM, Emerson Electric, DIRECTV, MetLife, Whole Foods, Transocean, Prudential, Marathon Oil, CBC, Priceline, and Apache, OptionVue provides information on the effect of individual earnings announcements on the historic stock price and the pre and post earnings implied volatility of the options. I have provided a list of major earning announcements along with Friday’s closing price and implied volatility, time of announcement, and expected earning range. The selected stocks are the result of a scan for stocks announcing earnings in the coming week using the following criteria: Price > 20, 30 Day Implied Volatility > 22, and Average Daily Option Volume > 400 contracts. It is your responsibility to confirm these earnings dates. The date and time of earnings announcements can and do change.

 

Trading advice to remember:

 

“Chance favors the Prepared Mind.” – Louis Pasteur

 
“Doubt, of whatever kind, can be ended by action alone.” – Thomas Carlyle

 

Monday May 4:

 

Economic: Gallup US Consumer Spending Measure – 8:30, Factory Orders – 10:00, TD Ameritrade IMX – 12:30..

 

International Economic: EMU PMI Manufacturing Index – 4:00 AM. Japanese Markets closed.

 

Other: Chicago Federal Reserve Bank President Charles Evans speech on the economy and monetary policy, in Columbus, Indiana – 12:25 PM, San Francisco Federal Reserve Bank President John Williams speech on creating jobs, in San Francisco – 3:10 PM.

 

Optionable Earnings:

Symbol Company Name May 1 Close IV30 B/A XEPS
CMCSK Comcast Corporation $57.59 23.58 B $0.74
CTSH Cognizant Technology Solutions Corp $58.54 34.56 B $0.63
DO Diamond Offshore Drilling Inc $33.47 46.33 B $0.42
EMES Emerge Energy Services LP $42.01 57.33 B $0.83
EXAS EXACT Sciences Corporation $20.90 60.06 B -$0.40
GLPI Gaming and Leisure Properties Inc $35.70 27.83 B $0.65
HYH Halyard Health Inc $48.48 28.52 B $0.64
MGM MGM Resorts International $21.15 38.27 B $0.14
RLGY Realogy Holdings Corp $47.41 34.96 B -$0.22
SYY SYSCO Corporation $37.03 23.61 B $0.41
TSN Tyson Foods, Inc. $39.50 30.19 B $0.73
WLK Westlake Chemical Corporation $77.98 35.28 B $1.16
AEGR Aegerion Pharmaceuticals, Inc. $23.26 75.08 A -$0.27
APC Anadarko Petroleum Corporation $94.10 29.67 A -$0.63
CAR Avis Budget Group Inc. $54.14 35.94 A $0.15
CGNX Cognex Corporation $44.89 41.05 A $0.22
CXO Concho Resources Inc $126.66 36.98 A $0.24
DNB Dun & Bradstreet Corp $127.67 28.14 A $1.25
EOG EOG Resources Inc $98.95 28.94 A $0.00
FNF Fidelity National Financial Inc $35.99 22.48 A $0.34
KS KapStone Paper and Packaging Corp. $27.95 41.00 A $0.43
MIC Macquarie Infrastructure Company $82.76 25.86 A -$1.16
NUVA NuVasive, Inc. $44.73 51.32 A $0.21
PTCT PTC Therapeutics, Inc. $58.75 85.13 A -$1.31
QLYS Qualys Inc $49.52 59.04 A $0.06
RGR Sturm, Ruger & Company $54.81 43.40 A $0.64
ROSE Rosetta Resources Inc. $22.83 65.59 A $0.08
THC Tenet Healthcare Corp $47.86 36.56 A $0.31
TXRH Texas Roadhouse Inc $33.60 34.62 A $0.44
XEC Cimarex Energy Co $124.40 36.10 A -$0.35
XPO XPO Logistics Inc $48.50 48.21 A -$0.24

 

 

 

Tuesday May 5:

 

Economic: International Trade – 8:30, Gallup US ECI – 8:30, Redbook – 8:55, PMI Services Index – 9”45. ISM Non-manufacturing Index – 10:00.

 

International Economic: EMU PPI – 5:00 AM, China PMI Composite – 9:45 PM. Japanese Markets closed.

 

Other: Chicago Federal Reserve Bank President Charles Evans speech on the economy and monetary policy, in Columbus, Indiana – 12:25 PM, Minneapolis Federal Reserve Bank President Narayan Kocherlakota town hall, in Marshall, Minn – 8:00 PM.

 

Optionable Earnings:

Symbol Company Name May 1 Close IV30 B/A XEPS
ABMD ABIOMED, Inc. $63.22 61.52 B $0.12
ADM Archer Daniels Midland Company $48.88 22.29 B $0.71
AFSI AmTrust Financial Services Inc $59.47 31.45 B $1.38
ANIP ANI Pharmaceuticals Inc $60.98 62.67 B $0.50
BLMN Bloomin’ Brands Inc $22.66 44.68 B $0.54
CRTO Criteo SA (ADR) $41.46 50.10 B $0.14
CVLT CommVault Systems, Inc. $45.75 45.86 B $0.11
DISCA Discovery Communications Inc. $32.36 34.40 B $0.36
EL Estee Lauder Companies Inc $81.29 26.75 B $0.51
EMR Emerson Electric Co. $58.83 22.86 B $0.76
ENR Energizer Holdings, Inc. $136.62 35.30 B $1.72
EXH Exterran Holdings, Inc. $37.07 48.26 B $0.17
HCA HCA Holdings Inc $74.01 26.36 B $1.34
HCP HCP, Inc. $40.29 23.85 B $0.78
HRS Harris Corporation $80.24 27.64 B $1.23
HSBC HSBC Holdings plc (ADR) $49.63 26.71 B $0.00
ICE Intercontinental Exchange Inc $224.53 23.56 B $2.99
MDC M.D.C. Holdings, Inc. $26.84 29.33 B $0.14
MDCO The Medicines Company $25.61 61.58 B -$0.68
MNK Mallinckrodt PLC $113.18 35.06 B $1.49
NBL Noble Energy, Inc. $50.72 32.41 B $0.03
NLNK NewLink Genetics Corp $44.60 112.32 B -$0.22
NSM Nationstar Mortgage Holdings Inc $25.10 56.38 B $0.75
NTI Northern Tier Energy LP $25.36 31.86 B $0.87
TRGP Targa Resources Corp $104.97 36.48 B $0.67
VMC Vulcan Materials Company $85.52 26.72 B ($0.17)
WNR Western Refining, Inc. $44.05 35.70 B $1.02
ZTS Zoetis Inc $44.42 26.91 B $0.37
AGU Agrium Inc. (USA) $103.63 25.16 A $0.33
AXLL Axiall Corp $40.80 35.47 A $0.10
CTL Centurylink Inc $35.96 25.76 A $0.59
CYH Community Health Systems $53.68 33.61 A $0.68
DIS Walt Disney Co $108.72 23.53 A $1.11
DK Delek US Holdings, Inc. $36.92 39.63 A $0.06
DLR Digital Realty Trust, Inc. $63.41 25.79 A $1.25
DVN Devon Energy Corp $68.21 28.72 A $0.26
EA Electronic Arts Inc. $58.09 42.93 A $0.14
FOSL Fossil Group Inc $83.98 48.60 A $0.64
GPOR Gulfport Energy Corporation $48.94 54.18 A -$0.08
HLF Herbalife Ltd. $41.52 71.52 A $1.00
MYGN Myriad Genetics, Inc. $33.03 48.71 A $0.40
MYL Mylan NV $72.26 44.97 A $0.70
NDLS Noodles & Co $20.02 72.13 A $0.05
NFX Newfield Exploration Co. $39.24 44.34 A $0.10
NGLS Targa Resources Partners LP $45.44 27.38 A $0.10
OKE ONEOK, Inc. $48.10 33.02 A $0.69
OKS Oneok Partners LP $41.95 32.02 A $0.49
PAA Plains All American Pipeline, L.P. $50.11 23.19 A $0.50
PXD Pioneer Natural Resources $172.78 34.76 A $0.06
RCPT Receptos Inc $147.34 77.55 A ($1.19)
SCTY SolarCity Corp $60.05 51.43 A $1.60
SM SM Energy Co $57.97 55.03 A $0.31
TNET TriNet Group Inc $35.02 44.53 A $0.30
TSRA Tessera Technologies, Inc. $36.11 37.74 A $0.64
ZLTQ Zeltiq Aesthetics Inc $30.70 64.01 A ($0.15)

 

 

Wednesday May 6:

 

Economic: MBA Mortgage Applications – 7:00, ADP Employment Report – 8:15, Productivity and Costs – 8:30, Gallup US Job Creation Index – 8:30, EIA Petroleum Status Report – 10:30.

 

International Economic: EMU PMI Composite – 4:00, EMU Retail Sales – 5:00 AM. Japanese Markets closed.

 

Other: Federal Reserve Chair Janet Yellen and IMF Managing Director Christine Lagarde conversation in Washington = 9:15 AM, Kansas City Federal Reserve Bank President Esther George and Bundesbank Deputy President Claudia Buch on panel in Washington – 1:15 PM, Atlanta Federal Reserve Bank President Dennis Lockhart speech on the economic outlook and monetary policy, in Baton Rouge, Louisiana – 1:30 PM.

 

Optionable Earnings:

Symbol Company Name May 1 Close IV30 B/A XEPS
ATHM Autohome Inc (ADR) $51.04 66.26 B $0.23
AXTA Axalta Coating Systems Ltd $30.68 37.55 B $0.15
BUD Anheuser Busch Inbev SA (ADR) $120.04 24.94 B $1.06
CLH Clean Harbors Inc $55.25 37.91 B $0.00
CLMT Calumet Specialty Products Partners $27.82 30.26 B $0.40
CRZO Carrizo Oil & Gas, Inc. $55.73 41.42 B ($0.06)
CSTE Caesarstone Sdot-Yam Ltd $59.24 38.94 B $0.42
DDD 3D Systems Corporation $25.09 54.96 B ($0.02)
ENB Enbridge Inc (USA) $52.33 24.36 B $0.52
GLOG GasLog Ltd $22.29 45.73 B $0.17
HAIN Hain Celestial Group Inc $60.24 33.17 B $0.45
HCLP Hi-Crush Partners LP $35.30 46.74 B $0.77
HFC HollyFrontier Corp $38.78 32.55 B $0.76
MSI Motorola Solutions Inc $59.75 25.77 B $0.22
MWE Markwest Energy Partners LP $67.46 43.43 B $0.17
OXY Occidental Petroleum Corporation $80.10 22.95 B $0.02
RDC Rowan Companies PLC $21.19 42.84 B $0.72
SBGI Sinclair Broadcast Group Inc $30.64 34.46 B $0.10
VOYA Voya Financial Inc $42.34 24.30 B $0.75
VSI Vitamin Shoppe Inc $41.88 41.40 B $0.74
ALB Albemarle Corporation $59.70 33.10 A $0.72
ANAC Anacor Pharmaceuticals Inc $52.69 78.25 A ($0.49)
ATVI Activision Blizzard, Inc. $22.82 33.91 A $0.03
BNFT Benefitfocus Inc $34.55 70.00 A ($0.58)
CF CF Industries Holdings, Inc. $287.47 24.97 A $4.61
CLNY Colony Capital Inc $25.91 23.04 A $0.41
CLR Continental Resources, Inc. $52.63 47.97 A ($0.13)
CLVS Clovis Oncology Inc $80.36 72.99 A ($1.78)
CPA Copa Holdings, S.A. $110.89 37.99 A $2.40
CSOD Cornerstone OnDemand, Inc. $28.63 60.27 A ($0.32)
DPM DCP Midstream Partners, LP $40.80 26.64 A $0.67
DYN Dynegy Inc $33.27 41.11 A ($0.62)
ETE Energy Transfer Equity LP $66.66 31.92 A $0.66
ETP Energy Transfer Partners LP $57.78 30.16 A $0.79
FNV Franco-Nevada Corporation $51.83 33.54 A $0.17
FOXA Twenty-First Century Fox Inc $34.08 27.45 A $0.39
GMCR Keurig Green Mountain Inc $116.37 56.21 A $1.05
KIM Kimco Realty Corp $24.10 23.51 A $0.36
KND Kindred Healthcare, Inc. $22.95 45.67 A $0.28
LCI Lannett Company, Inc. $57.50 55.50 A $0.95
MELI Mercadolibre Inc $142.33 48.46 A $0.59
MRO Marathon Oil Corporation $31.10 27.74 A ($0.44)
MTDR Matador Resources Co $27.72 55.31 A ($0.05)
NUS Nu Skin Enterprises, Inc. $56.55 50.33 A $0.73
PHH PHH Corporation $25.12 28.39 A ($0.31)
PRAA Pra Group Inc $54.77 29.16 A $1.09
PRU Prudential Financial Inc $81.60 27.70 A $2.41
QRVO Qorvo Inc $65.91 54.70 A $0.78
SUN Sunoco LP $52.21 31.25 A $0.63
SXL Sunoco Logistics Partners L.P. $44.36 27.06 A $0.44
TRIP Tripadvisor Inc $80.49 49.04 A $0.48
TROX Tronox Ltd $20.95 41.76 A ($0.14)
TSLA Tesla Motors Inc $226.05 46.08 A ($0.81)
WFM Whole Foods Market, Inc. $47.76 38.15 A $0.42

 

 

Thursday May 7:

 

Economic: Chain Store Sales , Challenger Job Cut Report – 7:30,Weekly Jobless Claims – 8:30, Gallup US Payroll to Population – 8:30, Bloomberg Consumer Comfort Index – 8:45, EIA Natural Gas Report – 10:30.

 

International: German Manufacturers’ Orders – 2:00 AM.

Other: UK General Election.

 

Optionable Earnings:

Symbol Company Name May 1 Close IV30 B/A XEPS
APA Apache Corporation $68.40 31.26 B $0.62
APO Apollo Global Management LLC $22.86 30.43 B $0.36
BABA Alibaba Group Holding Ltd $81.29 39.42 B $0.28
CDW CDW Corp $38.32 30.66 B $0.52
CNQ Canadian Natural Resource Ltd $33.25 34.09 B $0.04
CONE CyrusOne Inc $32.48 38.27 B $0.47
COTY Coty Inc $23.91 43.53 B $0.12
CSIQ Canadian Solar Inc. $35.40 61.87 B $0.75
DNOW NOW Inc $23.90 47.13 B $0.08
DWRE Demandware Inc $61.60 59.23 B ($0.36)
GOGO Gogo Inc $21.14 58.16 B ($0.28)
GOLD Randgold Resources Ltd. (ADR) $76.17 34.93 B $0.57
INSY Insys Therapeutics Inc $52.57 59.63 B $0.34
KATE Kate Spade & Co $32.70 49.99 B $0.05
LEAF Springleaf Holdings Inc $50.00 34.77 B $0.56
MGA Magna International Inc. (USA) $50.43 29.54 B $1.07
MPEL Melco Crown Entertainment Ltd $20.42 45.26 B $0.23
NCLH Norwegian Cruise Line Holdings Ltd $48.51 38.62 B $0.23
PCLN Priceline Group Inc $1,237.81 30.16 B $6.94
PDCE PDC Energy Inc $56.74 56.96 B $0.42
REGN Regeneron Pharmaceuticals Inc $457.46 36.25 B $2.50
RICE Rice Energy Inc $24.63 49.80 B $0.02
SEAS SeaWorld Entertainment Inc $21.20 41.17 B ($0.58)
TAP Molson Coors Brewing Company $73.51 30.91 B $0.43
TDC Teradata Corporation $43.99 34.77 B $0.36
VC Visteon Corp $101.40 28.04 B $0.24
ACAD ACADIA Pharmaceuticals Inc. $34.17 50.46 A $0.25
AGO Assured Guaranty Ltd. $25.99 31.02 A $0.58
ALNY Alnylam Pharmaceuticals, Inc. $101.87 57.59 A $0.65
BKD Brookdale Senior Living, Inc. $36.23 37.19 A ($0.43)
CA CA, Inc. $31.77 29.14 A $0.45
CBS CBS Corporation $62.13 29.22 A $0.75
CERN Cerner Corporation $71.81 28.90 A $0.42
CYBR Cyberark Software Ltd $62.95 82.74 A $0.04
DATA Tableau Software Inc $97.84 52.13 A ($0.15)
ESPR Esperion Therapeutics Inc $95.13 66.97 A ($0.54)
FRPT Freshpet Inc $21.68 70.04 A $1.26
IMPV Imperva Inc $45.62 70.07 A ($0.73)
JAZZ Jazz Pharmaceuticals PLC $178.70 38.09 A $1.87
KYTH Kythera Biopharmaceuticals Inc $43.69 53.16 A ($1.11)
MCHP Microchip Technology Inc. $47.66 30.45 A $0.62
MDVN Medivation Inc $120.74 40.31 A $0.20
MHK Mohawk Industries, Inc. $173.50 29.57 A $1.61
MNST Monster Beverage Corp $137.11 37.01 A $0.68
NVDA NVIDIA Corporation $22.20 33.60 A $0.26
OLED Universal Display Corporation $44.07 60.51 A ($0.02)
OUTR Outerwall Inc $66.43 43.32 A $1.66
SEMG SemGroup Corp $84.19 31.14 A $0.50
SFM Sprouts Farmers Market Inc $31.98 34.19 A $0.27
SWIR Sierra Wireless, Inc. (USA) $35.14 58.32 A $0.09
THOR Thoratec Corporation $40.11 45.68 A $0.14
UBNT Ubiquiti Networks Inc $28.57 71.48 A $0.46

 

 

Friday May 8:

 

Economic: Employment Situation 0 8:30, Wholesale Trade – 10:00.

International Economic: Germany Merchandise Trade – 2:00 AM, Great Britain Merchandise Trade – 4:30 AM, China PPI and CPI – 9:30 PM. Markets are closed in France.

 

Optionable Earnings: None meeting criteria.

 

 

Monday May 11:

 

Economic: Labor Market Conditions Index – 10:00.

 

International Economic: Bank of England Announcement – 7:00 AM.

 

 

Optionable Earnings:

 

Symbol Company Name May 1 Close IV30 B/A XEPS
ACT Actavis PLC $282.86 28.26 B $3.86
AER AerCap Holdings N.V. $46.68 30.37 B $1.28
BID Sothebys $42.71 32.09 B $0.00
CNP CenterPoint Energy, Inc. $20.97 23.03 B $0.34
ENDP Endo International PLC $84.06 41.44 B $1.08
SSYS Stratasys Ltd $37.45 54.92 B ($0.09)
W Wayfair Inc $32.12 77.94 B ($0.36)
DEPO Depomed Inc $23.26 61.22 A $0.07
FMC FMC Corp $59.31 24.80 A $0.68
FMI Foundation Medicine Inc $45.51 45.42 A ($0.53)
IMOS ChipMOS Technologies (Bermuda) $23.10 37.22 A $0.33
IPXL Impax Laboratories Inc $45.26 45.63 A $0.20
MR Mindray Medical International Ltd (ADR) $30.88 50.60 A $0.38
RAX Rackspace Hosting, Inc. $53.90 43.72 A $0.20
RTRX Retrophin Inc $21.54 71.36 A ($0.50)
TEP Tallgrass Energy Partners LP $49.20 27.10 A $0.34
YY YY Inc (ADR) $63.56 54.27 A $0.75

 

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