“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Good Risk Management fosters vigilance in times of calm
and instills discipline in times of crisis.”
Dr. Michael Ong
A confluence of domestic and international factors led to a rally in US equities last week. The Greek government capitulated to the ECB and Eurozone finance ministers. This reduced the probability of Greek default – in the near term. The Chinese equity markets rallied from previous weeks lows. This stemmed the fear of market contagion in the US. Positive results from Google and Netflix propelled the tech-laden NDX to all-time closing highs. Google was up 26% and Netflix was up 18%. These individual moves propelled the NDX to a gain of over 5%.
Here is an overview of the market behavior last week:
| Index |
17-Jul |
Weekly Change |
% Weekly |
2015 YTD |
Volatility of Index |
| Dow Jones Industrials (DJIA) |
18086.45 |
326.04 |
1.84% |
1.48% |
12.11% (VXD) |
| S&P 500 (SPX) |
2126.64 |
50.02 |
2.41% |
3.29% |
11.95% (VIX) |
| NASDAQ 100 (NDX) |
4649.95 |
234.16 |
5.30% |
9.69% |
12.93% (VXN) |
| Russell 2000 (RUT) |
1263.89 |
16.04 |
1.29% |
4.91% |
14.46% (RVX) |
| S&P 100 (OEX) |
943.27 |
28.97 |
3.17% |
3.84% |
11.50% (VXO) |
| CBOE Volatility Index (VIX) |
11.95 |
-4.88 |
-29.00% |
NA |
|
Data Source: OptionVue7
The VIX closed at 11.95 on Friday. This is a closing low for 2015. The down move of 29% is the third largest one week move in the 25 year history of the VIX . The Indexes and ETP’s associated with the VIX showed similar movement.
Next week the CBOE Futures Exchange will begin trading futures contracts which expire every week. Options on the new futures contracts will begin trading pending regulatory approval.
Here is an overview of last week for the VIX and related products:
| Indexes |
Ticker |
17-Jul |
10-Jul |
Change |
% Change |
| CBOE Volatility Index |
VIX |
11.95 |
16.83 |
(4.88) |
-29.00% |
| VIX July Future |
VXN5 |
12.925 |
16.775 |
(3.850) |
-22.95% |
| VIX August Future |
VXQ5 |
14.425 |
17.175 |
(2.750) |
-16.01% |
| VIX September Future |
VXU5 |
15.425 |
17.575 |
(2.150) |
-12.23% |
| CBOE Short-term Volatility Index |
VXST |
9.72 |
17.24 |
(7.52) |
-43.62% |
| CBOE 3 Month Volatility Index |
VXV |
14.61 |
17.76 |
(3.15) |
-17.74% |
| CBOE Mid-term Volatility Index (6 month) |
VXMT |
16.13 |
18.62 |
(2.49) |
-13.37% |
| VIX of VIX |
VVIX |
85.32 |
101.19 |
(15.87) |
-15.68% |
| Long VIX ETP’s |
|
|
|
|
|
| iPath S&P 500 VIX Short Term Futures ETN |
VXX |
16.40 |
19.86 |
(3.46) |
-17.42% |
| pShares VIX Short Term Futures ETF |
VIXY |
10.93 |
13.21 |
(2.28) |
-17.26% |
| iPath S&P 500 VIX Mid-Tem Futures ETN |
VXZ |
10.38 |
11.15 |
(0.77) |
-6.91% |
| Inverse VIX ETP’s |
|
|
|
|
|
| Daily Inverse VIX Short Term ETN |
XIV |
47.56 |
39.91 |
7.65 |
19.17% |
| ProShares Short VIX Short Term Future ETF |
SVXY |
93.12 |
78.08 |
15.04 |
19.26% |
Data Source: OptionVue7
The coming week is nearly devoid of impactful economic reports. The light calendar should offer a respite from previous weeks’ volatility. The markets will take their direction from 2nd Quarter earnings announcements. Last week’s announcement showed earnings higher than expected. It should be noted these earnings expectations had been lowered across the board.
The earnings season continue full bore this week.. Announcements (including those not meeting my earnings criteria) include: Halliburton, IBM, Morgan Stanley, Verizon, Microsoft, Apple, United Technologies, Abbott Labs, EMC, Texas Instruments, American Express, QUALCOMM, Coca-Cola, Boeing, AT&T, McDonald’s, Lilly, Comcast, Visa, 3M, Amazon, Union Pacific, Caterpillar, GM, Kimberly-Clark, Starbucks, Dow Chemical, Capital One, Bristol-Myers Squibb, and Biogen. . It is imperative for an option trader to know the date of earnings announcements in relationship to the expiration date of options being traded. It is your responsibility to know the dates of announcements. You should call an confirm earnings dates with the individual company’s investor relations department. The July and August monthly expirations encompass over 90% of the 2nd quarter earnings announcements for the S&P 500. 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. These OptionVue tools designed to help the trader successfully trade options around earnings plays. There are five different kinds of earnings play which OptionVue tracks.
I have provided a list of major earning announcements along with Friday’s closing price and implied volatility, and time of announcement. I have excluded the expected earnings. I included this for many years. I realized I never used the expected earnings in creating an earnings strategy for an individual equity. The number was only of interest after the earnings announcement. 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. Once again, 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
“Yesterday’s bullet won’t kill you. Tomorrow’s bullet just might.” Bernie Provan
“Volatility is a symptom that people have no idea of the underlying value” – Jeremy Grantham
Monday July 20:
Economic: No major announcements.
International Economic: Germany PPI – 2:00 AM, Bank of Japan Minutes – 7:50 PM.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| CALM |
Cal-Maine Foods Inc |
$53.66 |
44.61 |
B |
| EXAS |
EXACT Sciences Corporation |
$28.10 |
59.68 |
B |
| HAL |
Halliburton Company |
$40.21 |
31.83 |
B |
| HAS |
Hasbro, Inc. |
$78.42 |
25.80 |
B |
| ZION |
Zions Bancorporation |
$31.52 |
24.90 |
A |
Tuesday July 21:
Economic: Redbook – 8:55.
International Economic: Japan All Industry Index – 12:30 AM.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| ATI |
Allegheny Technologies Incorporated |
$26.61 |
41.56 |
B |
| BHI |
Baker Hughes Incorporated |
$58.87 |
30.53 |
B |
| CP |
Canadian Pacific Railway Limited (USA) |
$156.49 |
24.65 |
B |
| DOV |
Dover Corp |
$66.32 |
22.96 |
B |
| EDU |
New Oriental Education & Tech Grp |
$23.83 |
47.34 |
B |
| HOG |
Harley-Davidson Inc |
$55.68 |
29.10 |
B |
| LXK |
Lexmark International Inc |
$45.99 |
32.27 |
B |
| MAN |
ManpowerGroup Inc. |
$94.91 |
26.69 |
B |
| PNR |
Pentair PLC |
$64.38 |
27.38 |
B |
| SAP |
SAP SE (ADR) |
$74.60 |
22.48 |
B |
| SBNY |
Signature Bank |
$152.20 |
26.65 |
B |
| AAPL |
Apple Inc. |
$128.51 |
27.75 |
A |
| CMG |
Chipotle Mexican Grill, Inc. |
$658.46 |
34.24 |
A |
| FTI |
FMC Technologies, Inc. |
$36.93 |
33.90 |
A |
| GPRO |
GoPro Inc |
$55.24 |
55.14 |
A |
| HAWK |
Blackhawk Network Holdings Inc |
$43.16 |
39.23 |
A |
| IBKR |
Interactive Brokers Group, Inc. |
$45.00 |
27.13 |
A |
| ILMN |
Illumina, Inc. |
$230.86 |
32.32 |
A |
| IRBT |
iRobot Corporation |
$31.94 |
40.45 |
A |
| ISRG |
Intuitive Surgical, Inc. |
$490.01 |
31.27 |
A |
| LLTC |
Linear Technology Corporation |
$43.58 |
28.28 |
A |
| MANH |
Manhattan Associates, Inc. |
$61.92 |
33.90 |
A |
| MSFT |
Microsoft Corporation |
$46.66 |
24.92 |
A |
| PKG |
Packaging Corp Of America |
$66.04 |
26.67 |
A |
| VMW |
VMware, Inc. |
$85.04 |
31.39 |
A |
| YHOO |
Yahoo! Inc. |
$38.91 |
32.85 |
A |
Wednesday July 22:
Economic: MBA Mortgage Applications – 7:00, FHFA Home Price Index – 9:00, Existing Home Sales – 10:00, EIA Petroleum Status Report – 10:30.
International Economic: No major announcements.
Other: Bank of England Minutes – 4:30 AM, Japan Merchandise Trade – 7:50 PM.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| AN |
AutoNation, Inc. |
$65.99 |
23.04 |
B |
| APH |
Amphenol Corporation |
$54.95 |
22.54 |
B |
| ARMH |
ARM Holdings plc (ADR) |
$47.62 |
36.43 |
B |
| BEAV |
B/E Aerospace Inc |
$54.78 |
24.23 |
B |
| CHKP |
Check Point Software Technologies Ltd. |
$78.65 |
26.30 |
B |
| EMC |
EMC Corporation |
$25.21 |
25.17 |
B |
| LAD |
Lithia Motors Inc |
$116.88 |
31.21 |
B |
| MYCC |
ClubCorp Holdings Inc |
$24.19 |
23.47 |
B |
| NEM |
Newmont Mining Corp |
$21.38 |
36.42 |
B |
| OC |
Owens Corning |
$42.76 |
32.44 |
B |
| PII |
Polaris Industries Inc. |
$153.49 |
27.05 |
B |
| PNK |
Pinnacle Entertainment, Inc |
$39.41 |
32.21 |
B |
| BGS |
B&G Foods, Inc. |
$29.28 |
22.09 |
A |
| CAKE |
Cheesecake Factory Inc |
$53.92 |
24.57 |
A |
| CLB |
Core Laboratories N.V. |
$106.93 |
40.45 |
A |
| CRUS |
Cirrus Logic, Inc. |
$32.66 |
44.43 |
A |
| FFIV |
F5 Networks, Inc. |
$117.93 |
33.44 |
A |
| FTNT |
Fortinet Inc |
$42.76 |
36.45 |
A |
| INFN |
Infinera Corp. |
$21.65 |
53.56 |
A |
| MLNX |
Mellanox Technologies, Ltd. |
$48.16 |
49.55 |
A |
| QCOM |
QUALCOMM, Inc. |
$64.55 |
26.30 |
A |
| SCSS |
Select Comfort Corp. |
$30.35 |
45.16 |
A |
Thursday July 23:
Economic: Weekly Jobless Claims – 8:30, Chicago Fed National Activity Index – 8:30, Bloomberg Consumer Comfort Index – 9:45, Leading Indicators – 10:00, EIA Natural Gas Report – 10:30.
International Economic: No major announcements.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| ABC |
AmerisourceBergen Corp. |
$111.88 |
22.17 |
B |
| ALK |
Alaska Air Group, Inc. |
$74.69 |
31.19 |
B |
| AOS |
A. O. Smith Corp |
$68.10 |
28.91 |
B |
| CAB |
Cabelas Inc |
$52.00 |
34.56 |
B |
| CAM |
Cameron International Corporation |
$50.94 |
35.24 |
B |
| CAT |
Caterpillar Inc. |
$83.76 |
22.22 |
B |
| CELG |
Celgene Corporation |
$134.72 |
26.47 |
B |
| CFX |
Colfax Corp |
$43.03 |
28.07 |
B |
| CS |
Credit Suisse Group AG (ADR) |
$29.11 |
25.27 |
B |
| DGX |
Quest Diagnostics Inc |
$73.87 |
23.46 |
B |
| DNKN |
Dunkin Brands Group Inc |
$55.23 |
25.35 |
B |
| DOW |
Dow Chemical Co |
$52.23 |
23.55 |
B |
| EQM |
EQT Midstream Partners LP |
$78.80 |
30.71 |
B |
| EQT |
EQT Corporation |
$76.72 |
28.95 |
B |
| GM |
General Motors Company |
$30.61 |
26.60 |
B |
| LAZ |
Lazard Ltd |
$57.25 |
26.86 |
B |
| LLY |
Eli Lilly and Co |
$87.17 |
29.14 |
B |
| LUV |
Southwest Airlines Co |
$34.57 |
33.77 |
B |
| MAC |
Macerich Co |
$78.49 |
27.32 |
B |
| PRLB |
Proto Labs Inc |
$69.95 |
36.44 |
B |
| R |
Ryder System, Inc. |
$91.13 |
23.99 |
B |
| SBUX |
Starbucks Corporation |
$55.74 |
23.29 |
B |
| SCHL |
Scholastic Corp |
$44.93 |
30.26 |
B |
| SHPG |
Shire PLC (ADR) |
$256.50 |
27.98 |
B |
| SIX |
Six Flags Entertainment Corp |
$47.10 |
28.22 |
B |
| STJ |
St. Jude Medical, Inc. |
$77.17 |
23.79 |
B |
| SYT |
Syngenta AG (ADR) |
$85.03 |
38.89 |
B |
| TEL |
TE Connectivity Ltd |
$62.79 |
23.47 |
B |
| TUP |
Tupperware Brands Corporation |
$65.52 |
28.04 |
B |
| UA |
Under Armour Inc |
$85.35 |
34.81 |
B |
| UAL |
United Continental Holdings Inc |
$54.98 |
40.52 |
B |
| USG |
USG Corporation |
$26.69 |
30.57 |
B |
| VRX |
Valeant Pharmaceuticals Intl Inc |
$238.85 |
34.40 |
B |
| WHR |
Whirlpool Corporation |
$170.00 |
28.73 |
B |
| WRLD |
World Acceptance Corp. |
$59.63 |
54.86 |
B |
| ALGN |
Align Technology, Inc. |
$65.37 |
35.62 |
A |
| AMZN |
Amazon.com, Inc. |
$475.48 |
40.85 |
A |
| ATHN |
athenahealth, Inc |
$114.28 |
41.75 |
A |
| BJRI |
BJ’s Restaurants, Inc. |
$49.00 |
41.09 |
A |
| CA |
CA, Inc. |
$30.71 |
24.73 |
A |
| CBI |
Chicago Bridge & Iron Company N.V. |
$48.90 |
61.97 |
A |
| ETFC |
E*TRADE Financial Corp |
$30.36 |
31.92 |
A |
| FSL |
Freescale Semiconductor Ltd |
$37.94 |
38.45 |
A |
| GIMO |
Gigamon Inc |
$31.93 |
56.03 |
A |
| JNPR |
Juniper Networks, Inc. |
$26.35 |
33.47 |
A |
| N |
NetSuite Inc |
$92.63 |
38.35 |
A |
| PFPT |
Proofpoint Inc |
$67.60 |
43.80 |
A |
| QLIK |
Qlik Technologies Inc |
$38.37 |
45.24 |
A |
| SNDK |
SanDisk Corporation |
$56.02 |
42.18 |
A |
| SPNC |
Spectranetics Corp |
$25.45 |
57.74 |
A |
| SWKS |
Skyworks Solutions Inc |
$102.37 |
47.53 |
A |
| TRIP |
Tripadvisor Inc |
$91.11 |
41.38 |
A |
| TRN |
Trinity Industries Inc |
$26.18 |
44.89 |
A |
| TSCO |
Tractor Supply Company |
$93.92 |
27.85 |
A |
| TXN |
Texas Instruments Incorporated |
$49.36 |
24.58 |
A |
| URI |
United Rentals, Inc. |
$81.78 |
37.11 |
A |
| XLNX |
Xilinx, Inc. |
$42.28 |
33.35 |
A |
Friday July 24:
Economic: PMI Manufacturing Index Flash – 9:45 AM, New Home Sales – 10:00.
International Economic: No major announcements.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| AAL |
American Airlines Group Inc |
$41.39 |
40.26 |
B |
| BIIB |
Biogen Inc |
$403.73 |
44.47 |
B |
| BPOP |
Popular Inc |
$29.12 |
44.50 |
B |
| COG |
Cabot Oil & Gas Corporation |
$29.51 |
29.01 |
B |
| JCI |
Johnson Controls Inc |
$47.53 |
26.14 |
B |
| LEA |
Lear Corporation |
$99.18 |
25.20 |
B |
| NS |
NuStar Energy L.P. |
$57.65 |
26.22 |
B |
| NSH |
NuStar GP Holdings, LLC |
$36.27 |
33.41 |
B |
| SAVE |
Spirit Airlines Incorporated |
$59.47 |
36.00 |
B |
| VOD |
Vodafone Group Plc (ADR) |
$37.04 |
22.15 |
B |
Monday July 27:
Economic: Durable Goods Orders – 8:30, Dallas Fed Manufacturing Survey – 10:30
International Economic: Great Britain CBI Industrial Trends Survey – 6:00 AM.
Optionable Earnings:
| Symbol |
Company Name |
July 17 Close |
IV30 |
B/A |
| CYOU |
Changyou.Com Ltd (ADR) |
$23.84 |
70.24 |
B |
| NSC |
Norfolk Southern Corp. |
$85.60 |
22.58 |
B |
| SOHU |
Sohu.com Inc |
$47.03 |
55.98 |
B |
| BIDU |
Baidu Inc (ADR) |
$190.10 |
38.44 |
A |
| EMN |
Eastman Chemical Company |
$79.63 |
24.49 |
A |
| HIG |
Hartford Financial Services Group Inc |
$47.28 |
27.69 |
A |
| RCII |
Rent-A-Center Inc |
$29.49 |
43.88 |
A |
| SIMO |
Silicon Motion Technology Corp. |
$30.21 |
51.43 |
A |
| SWFT |
Swift Transportation Co |
$23.29 |
44.92 |
A |
| SWN |
Southwestern Energy Company |
$21.92 |
39.76 |
A |
Futures + Options News
The Prepared Mind: July 20, 2015
“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Good Risk Management fosters vigilance in times of calm
and instills discipline in times of crisis.”
Dr. Michael Ong
A confluence of domestic and international factors led to a rally in US equities last week. The Greek government capitulated to the ECB and Eurozone finance ministers. This reduced the probability of Greek default – in the near term. The Chinese equity markets rallied from previous weeks lows. This stemmed the fear of market contagion in the US. Positive results from Google and Netflix propelled the tech-laden NDX to all-time closing highs. Google was up 26% and Netflix was up 18%. These individual moves propelled the NDX to a gain of over 5%.
Here is an overview of the market behavior last week:
Data Source: OptionVue7
The VIX closed at 11.95 on Friday. This is a closing low for 2015. The down move of 29% is the third largest one week move in the 25 year history of the VIX . The Indexes and ETP’s associated with the VIX showed similar movement.
Next week the CBOE Futures Exchange will begin trading futures contracts which expire every week. Options on the new futures contracts will begin trading pending regulatory approval.
Here is an overview of last week for the VIX and related products:
Data Source: OptionVue7
The coming week is nearly devoid of impactful economic reports. The light calendar should offer a respite from previous weeks’ volatility. The markets will take their direction from 2nd Quarter earnings announcements. Last week’s announcement showed earnings higher than expected. It should be noted these earnings expectations had been lowered across the board.
The earnings season continue full bore this week.. Announcements (including those not meeting my earnings criteria) include: Halliburton, IBM, Morgan Stanley, Verizon, Microsoft, Apple, United Technologies, Abbott Labs, EMC, Texas Instruments, American Express, QUALCOMM, Coca-Cola, Boeing, AT&T, McDonald’s, Lilly, Comcast, Visa, 3M, Amazon, Union Pacific, Caterpillar, GM, Kimberly-Clark, Starbucks, Dow Chemical, Capital One, Bristol-Myers Squibb, and Biogen. . It is imperative for an option trader to know the date of earnings announcements in relationship to the expiration date of options being traded. It is your responsibility to know the dates of announcements. You should call an confirm earnings dates with the individual company’s investor relations department. The July and August monthly expirations encompass over 90% of the 2nd quarter earnings announcements for the S&P 500. 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. These OptionVue tools designed to help the trader successfully trade options around earnings plays. There are five different kinds of earnings play which OptionVue tracks.
I have provided a list of major earning announcements along with Friday’s closing price and implied volatility, and time of announcement. I have excluded the expected earnings. I included this for many years. I realized I never used the expected earnings in creating an earnings strategy for an individual equity. The number was only of interest after the earnings announcement. 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. Once again, 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
“Yesterday’s bullet won’t kill you. Tomorrow’s bullet just might.” Bernie Provan
“Volatility is a symptom that people have no idea of the underlying value” – Jeremy Grantham
Monday July 20:
Economic: No major announcements.
International Economic: Germany PPI – 2:00 AM, Bank of Japan Minutes – 7:50 PM.
Optionable Earnings:
Tuesday July 21:
Economic: Redbook – 8:55.
International Economic: Japan All Industry Index – 12:30 AM.
Optionable Earnings:
Wednesday July 22:
Economic: MBA Mortgage Applications – 7:00, FHFA Home Price Index – 9:00, Existing Home Sales – 10:00, EIA Petroleum Status Report – 10:30.
International Economic: No major announcements.
Other: Bank of England Minutes – 4:30 AM, Japan Merchandise Trade – 7:50 PM.
Optionable Earnings:
Thursday July 23:
Economic: Weekly Jobless Claims – 8:30, Chicago Fed National Activity Index – 8:30, Bloomberg Consumer Comfort Index – 9:45, Leading Indicators – 10:00, EIA Natural Gas Report – 10:30.
International Economic: No major announcements.
Optionable Earnings:
Friday July 24:
Economic: PMI Manufacturing Index Flash – 9:45 AM, New Home Sales – 10:00.
International Economic: No major announcements.
Optionable Earnings:
Monday July 27:
Economic: Durable Goods Orders – 8:30, Dallas Fed Manufacturing Survey – 10:30
International Economic: Great Britain CBI Industrial Trends Survey – 6:00 AM.
Optionable Earnings: