“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Risk comes from not knowing what you’re doing”
― Warren Buffett
The Dow Jones Industrial Average was down for the seventh straight day on Friday. The longest losing streak in 4 years has left the DJIA down over 2.5% for the year. The rest of the indexes sold off for the week. The net result is all the major indexes with the exception of the NASDAQ 100, are hovering around unchanged for the year. The SPX remains firmly entrenched in the trading range of the past 6 months – 2045 to 2130. Trading in August is notoriously quiet. Trading moves are generally magnified due to a lack of liquidity and because the A team traders are on vacation.
The bull market abides despite the market drifting lower. The anticipated September Fed rate increase has tempered the bullishness. The range-bound chart for the S&P 500 is profoundly neutral. Buy signals from market sentiment as evidenced by equity only put/call ratios and VIX levels. These signals continue from last week. Market breadth indicators are sending out tepid sell signals. One day of positive breadth would generate buy signals. A move outside the range would be a game changer. Beware of a move below 2015.
Here is an overview of the market behavior last week:
| Index |
7-Aug |
Weekly Change |
% Weekly |
2015 YTD |
Volatility of Index |
| Dow Jones Industrials (DJIA) |
17373.38 |
(317.08) |
-1.79% |
-2.52% |
14.67% (VXD) |
| S&P 500 (SPX) |
2077.57 |
(26.27) |
-1.25% |
0.91% |
13.39% (VIX) |
| NASDAQ 100 (NDX) |
4520.41 |
(63.88) |
-1.39% |
6.63% |
16.90% (VXN) |
| Russell 2000 (RUT) |
1205.91 |
(32.33) |
-2.61% |
0.10% |
18.15% (RVX) |
| S&P 100 (OEX) |
916.32 |
(14.87) |
-1.60% |
0.87% |
14.76% (VXO) |
| CBOE Volatility Index (VIX) |
13.39 |
1.27 |
10.48% |
NA |
|
Data Source: OptionVue7
It was a very quiet week for the VIX and associated products. The VIX futures did not reflect traders’ concerns or fears about last week’s downturn in the S&P 500. In fact, the September and October VIX futures were down for the week.
The entire market, including volatility products, appears to have embraced the summer doldrums.
Here is an overview of last week for the VIX and related products:
| Indexes |
Ticker |
7-Aug |
31-Jul |
Change |
% Change |
| CBOE Volatility Index |
VIX |
13.39 |
12.12 |
1.27 |
10.48% |
| VIX August Future |
VXQ5 |
14.275 |
13.975 |
0.300 |
2.15% |
| VIX September Future |
VXU5 |
15.225 |
15.325 |
(0.100) |
-0.65% |
| VIX October Future |
VX5V |
15.925 |
16.075 |
(0.150) |
-0.93% |
| CBOE Short-term Volatility Index |
VXST |
13.04 |
10.67 |
2.37 |
22.21% |
| CBOE 3 Month Volatility Index |
VXV |
15.42 |
14.90 |
0.52 |
3.49% |
| CBOE Mid-term Volatility Index (6 month) |
VXMT |
16.79 |
16.45 |
0.34 |
2.07% |
| VIX of VIX |
VVIX |
82.57 |
81.77 |
0.80 |
0.98% |
| Long VIX ETP’s |
|
|
|
|
|
| iPath S&P 500 VIX Short Term Futures ETN |
VXX |
16.13 |
16.02 |
0.11 |
0.69% |
| pShares VIX Short Term Futures ETF |
VIXY |
10.75 |
10.67 |
0.08 |
0.75% |
| iPath S&P 500 VIX Mid-Tem Futures ETN |
VXZ |
10.29 |
10.39 |
(0.10) |
-0.96% |
| Inverse VIX ETP’s |
|
|
|
|
|
| Daily Inverse VIX Short Term ETN |
XIV |
47.61 |
48.04 |
(0.43) |
-0.90% |
| ProShares Short VIX Short Term Future ETF |
SVXY |
93.28 |
94.02 |
(0.74) |
-0.79% |
Data Source: OptionVue7
There are very few economic releases this coming week. The most notable items are US July retail sales and the August producer price index (PPI). Retail sales for July are expected to increase at a solid pace, after a downside surprise in June. The end of the week will also bring earnings announcements from many US retailers.
The earnings season is starting to slow down, Announcements (including those not meeting my earnings criteria) include: Dean Foods, Rackspace Hosting, Sysco, Computer Sciences, Fossil, Cree, Zebra Tech, Cisco, Macys, Advance Auto Parts, Nordstrom, Kohl’s, and JC Penney. 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, 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 > 200 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
“I am always doing that which I cannot do, in order that I may learn how to do it.” — Pablo Picasso
Monday August 10:
Economic: Labor Market Conditions – 10:00, TD Ameritrade IMX – 12:30.
International Economic: No major Announcements.
Other: Atlanta Federal Reserve Bank President Dennis Lockhart speech in Atlanta – 12:25 PM.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| CLDX |
Celldex Therapeutics, Inc. |
$22.20 |
71.39 |
BMO |
| ENDP |
Endo International PLC |
$81.70 |
39.35 |
BMO |
| HALO |
Halozyme Therapeutics, Inc. |
$22.43 |
68.63 |
BMO |
| HPT |
Hospitality Properties Trust |
$26.59 |
23.22 |
BMO |
| IPXL |
Impax Laboratories Inc |
$46.30 |
42.05 |
BMO |
| KPTI |
Karyopharm Therapeutics Inc |
$22.12 |
59.56 |
BMO |
| PEGI |
Pattern Energy Group Inc |
$21.95 |
47.73 |
BMO |
| STON |
StoneMor Partners L.P. |
$25.60 |
43.59 |
BMO |
| SYY |
SYSCO Corporation |
$36.25 |
26.26 |
BMO |
| DVAX |
Dynavax Technologies Corporation |
$27.74 |
65.11 |
AMC |
| FNV |
Franco-Nevada Corporation |
$40.30 |
41.32 |
AMC |
| KHC |
Kraft Heinz Co |
$79.76 |
24.56 |
AMC |
| KITE |
Kite Pharma Inc |
$71.98 |
64.11 |
AMC |
| LYV |
Live Nation Entertainment, Inc. |
$25.24 |
39.93 |
AMC |
| MR |
Mindray Medical International Ltd |
$27.16 |
36.78 |
AMC |
| NGL |
NGL Energy Partners LP |
$24.32 |
44.35 |
AMC |
| PDCE |
PDC Energy Inc |
$47.85 |
62.48 |
AMC |
| RAX |
Rackspace Hosting, Inc. |
$31.50 |
76.78 |
AMC |
| TRAK |
DealerTrack Technologies Inc |
$62.11 |
22.43 |
AMC |
| TTWO |
Take-Two Interactive Software, Inc. |
$31.54 |
50.55 |
AMC |
| VIPS |
Vipshop Holdings Ltd – ADR |
$22.00 |
72.19 |
AMC |
| XON |
Intrexon Corp |
$65.55 |
70.75 |
AMC |
Tuesday August 11:
Economic: NFIB Small Business Optimism Index – 6:00, Productivity and Cost – 8:30, Redbook – 8:55, Wholesale Trade – 10:00.
International Economic: Bank of Japan Minutes – 7:30PM, Japan PPI – 7:50 PM
Other: OPEC releases its monthly report.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| ACM |
Aecom |
$30.44 |
40.69 |
BMO |
| AER |
AerCap Holdings N.V. |
$46.22 |
32.39 |
BMO |
| FOSL |
Fossil Group Inc |
$64.30 |
52.02 |
BMO |
| PKX |
POSCO (ADR) |
$42.05 |
29.66 |
BMO |
| QIWI |
Qiwi PLC |
$28.82 |
59.84 |
BMO |
| TW |
Towers Watson & Co |
$127.02 |
22.73 |
BMO |
| ZAYO |
Zayo Group Holdings Inc |
$27.37 |
34.76 |
BMO |
| ZBRA |
Zebra Technologies Corp. |
$104.19 |
43.43 |
BMO |
| CREE |
Cree, Inc. |
$25.30 |
51.79 |
AMC |
| CSC |
Computer Sciences Corporation |
$63.54 |
36.87 |
AMC |
| CYBR |
Cyberark Software Ltd |
$58.64 |
80.58 |
AMC |
| MYGN |
Myriad Genetics, Inc. |
$31.53 |
53.47 |
AMC |
| RRGB |
Red Robin Gourmet Burgers, Inc. |
$88.79 |
52.14 |
AMC |
| SYMC |
Symantec Corporation |
$22.35 |
30.89 |
AMC |
Wednesday August 12:
Economic: MBA Mortgage Applications – 7:00, Atlanta Fed Business Inflation Expectations – 10:00, JOLTS – 10:00, EIA Petroleum Status Report – 10:30, Treasury Budget – 2:00.
International Economic: China Industrial Production – 1:30 AM, China Retail Sales – 1:30 AM, EMU Industrial Production 5:00 AM, Japan Machine Orders – 7:50 PM.
Other: New York Federal Reserve Bank President William Dudley speech, in Rochester, New York. – 8:30 AM.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| BABA |
Alibaba Group Holding Ltd |
$78.96 |
36.77 |
BMO |
| M |
Macy’s, Inc. |
$67.45 |
31.03 |
BMO |
| SHLX |
Shell Midstream Partners LP |
$38.13 |
42.44 |
BMO |
| CPA |
Copa Holdings, S.A. |
$75.84 |
41.31 |
AMC |
| CSCO |
Cisco Systems, Inc. |
$28.21 |
27.47 |
AMC |
| JUNO |
Juno Therapeutics Inc |
$44.81 |
74.34 |
AMC |
| NTAP |
NetApp Inc. |
$30.69 |
35.04 |
AMC |
| NTES |
NetEase, Inc (ADR) |
$146.03 |
54.08 |
AMC |
| SEDG |
Solaredge Technologies Inc |
$27.40 |
105.27 |
AMC |
| W |
Wayfair Inc |
$37.15 |
82.48 |
AMC |
Thursday August 13:
Economic: Weekly Jobless Claims – 8:30, Retail Sales – 8:30, Import and Export Prices = 8:30, Bloomberg Consumer Comfort Index – 9:45, Business Inventories – 10:00, EIA Natural Gas Report – 10:30.
International Economic: Germany CPI – 2:00 AM.
Other: European Central Bank Minutes – 7:30 AM.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| COTY |
Coty Inc |
$27.98 |
39.72 |
BMO |
| CSAL |
Communications Sales & Leasing Inc |
$21.34 |
38.54 |
BMO |
| DDS |
Dillard’s, Inc. |
$100.29 |
40.32 |
BMO |
| KSS |
Kohl’s Corporation |
$60.35 |
34.29 |
BMO |
| LJPC |
La Jolla Pharmaceutical Company |
$30.25 |
103.66 |
BMO |
| AAP |
Advance Auto Parts, Inc. |
$172.74 |
32.27 |
AMC |
| IOC |
InterOil Corporation (USA) |
$43.81 |
60.41 |
AMC |
| JWN |
Nordstrom, Inc. |
$74.48 |
26.24 |
AMC |
| PAH |
Platform Specialty Products Corp |
$23.27 |
35.63 |
AMC |
| SINA |
SINA Corp |
$40.95 |
55.46 |
AMC |
| WX |
WuXi PharmaTech (Cayman) Inc. |
$41.76 |
36.33 |
AMC |
| YY |
YY Inc (ADR) |
$61.24 |
39.23 |
AMC |
Friday August 14:
Economic: PPI – Final Demand – 8:30, Industrial Production – 9:15, Consumer Sentiment – 10:00.
International Economic: Germany GDP Flash – 2:00 AM, EMU GDP Flash – 5:00 AM.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| BPT |
BP Prudhoe Bay Royalty Trust |
$50.87 |
33.89 |
BMO |
Monday August 17:
Economic: Empire State Manufacturing Survey – 8:30, Housing Market Index – 10:00, Treasury International Capital – 4:00 PM.
International Economic: EMU Merchandise Trade – 5:00 AM.
Optionable Earnings:
| Symbol |
Company Name |
August 7 Close |
IV30 |
B/A |
| A |
Agilent Technologies Inc |
$40.12 |
30.22 |
BMO |
| EL |
Estee Lauder Companies Inc |
$90.04 |
26.91 |
BMO |
| URBN |
Urban Outfitters, Inc. |
$32.37 |
44.01 |
BMO |
Futures + Options News
The Prepared Mind: August 10, 2015
“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Risk comes from not knowing what you’re doing”
― Warren Buffett
The Dow Jones Industrial Average was down for the seventh straight day on Friday. The longest losing streak in 4 years has left the DJIA down over 2.5% for the year. The rest of the indexes sold off for the week. The net result is all the major indexes with the exception of the NASDAQ 100, are hovering around unchanged for the year. The SPX remains firmly entrenched in the trading range of the past 6 months – 2045 to 2130. Trading in August is notoriously quiet. Trading moves are generally magnified due to a lack of liquidity and because the A team traders are on vacation.
The bull market abides despite the market drifting lower. The anticipated September Fed rate increase has tempered the bullishness. The range-bound chart for the S&P 500 is profoundly neutral. Buy signals from market sentiment as evidenced by equity only put/call ratios and VIX levels. These signals continue from last week. Market breadth indicators are sending out tepid sell signals. One day of positive breadth would generate buy signals. A move outside the range would be a game changer. Beware of a move below 2015.
Here is an overview of the market behavior last week:
Data Source: OptionVue7
It was a very quiet week for the VIX and associated products. The VIX futures did not reflect traders’ concerns or fears about last week’s downturn in the S&P 500. In fact, the September and October VIX futures were down for the week.
The entire market, including volatility products, appears to have embraced the summer doldrums.
Here is an overview of last week for the VIX and related products:
Data Source: OptionVue7
There are very few economic releases this coming week. The most notable items are US July retail sales and the August producer price index (PPI). Retail sales for July are expected to increase at a solid pace, after a downside surprise in June. The end of the week will also bring earnings announcements from many US retailers.
The earnings season is starting to slow down, Announcements (including those not meeting my earnings criteria) include: Dean Foods, Rackspace Hosting, Sysco, Computer Sciences, Fossil, Cree, Zebra Tech, Cisco, Macys, Advance Auto Parts, Nordstrom, Kohl’s, and JC Penney. 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, 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 > 200 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
“I am always doing that which I cannot do, in order that I may learn how to do it.” — Pablo Picasso
Monday August 10:
Economic: Labor Market Conditions – 10:00, TD Ameritrade IMX – 12:30.
International Economic: No major Announcements.
Other: Atlanta Federal Reserve Bank President Dennis Lockhart speech in Atlanta – 12:25 PM.
Optionable Earnings:
Tuesday August 11:
Economic: NFIB Small Business Optimism Index – 6:00, Productivity and Cost – 8:30, Redbook – 8:55, Wholesale Trade – 10:00.
International Economic: Bank of Japan Minutes – 7:30PM, Japan PPI – 7:50 PM
Other: OPEC releases its monthly report.
Optionable Earnings:
Wednesday August 12:
Economic: MBA Mortgage Applications – 7:00, Atlanta Fed Business Inflation Expectations – 10:00, JOLTS – 10:00, EIA Petroleum Status Report – 10:30, Treasury Budget – 2:00.
International Economic: China Industrial Production – 1:30 AM, China Retail Sales – 1:30 AM, EMU Industrial Production 5:00 AM, Japan Machine Orders – 7:50 PM.
Other: New York Federal Reserve Bank President William Dudley speech, in Rochester, New York. – 8:30 AM.
Optionable Earnings:
Thursday August 13:
Economic: Weekly Jobless Claims – 8:30, Retail Sales – 8:30, Import and Export Prices = 8:30, Bloomberg Consumer Comfort Index – 9:45, Business Inventories – 10:00, EIA Natural Gas Report – 10:30.
International Economic: Germany CPI – 2:00 AM.
Other: European Central Bank Minutes – 7:30 AM.
Optionable Earnings:
Friday August 14:
Economic: PPI – Final Demand – 8:30, Industrial Production – 9:15, Consumer Sentiment – 10:00.
International Economic: Germany GDP Flash – 2:00 AM, EMU GDP Flash – 5:00 AM.
Optionable Earnings:
Monday August 17:
Economic: Empire State Manufacturing Survey – 8:30, Housing Market Index – 10:00, Treasury International Capital – 4:00 PM.
International Economic: EMU Merchandise Trade – 5:00 AM.
Optionable Earnings: