“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Bull markets are born on pessimism, grow on skepticism, mature on optimism and die on euphoria.” — Sir John Templeton
“Imagination will often carry us to worlds that never were. But without it we go nowhere.” – Carl Sagan
“It’s not whether you’re right or wrong that’s important, but how much money you make when you’re right and how much you lose when you’re wrong.” – George Soros
The equity markets were skittish last week. The major indexes were all down over 1% for the week. The decline was variously blamed on profit taking after the previous week’s 2% gain, a much stronger Japanese Yen, a loss of confidence in central banks’ ability to move economic growth upwards. First quarter earnings will influence the direction of the market in the near term. Earnings have been flat or down the past three quarters. Analysts’ expectations are for more of the same.
Crude oil price has been decoupled from index movement for the second straight week. I have added crude oil to my table of index prices and volatilities. The price of crude oil is currently a very important part of all discussions on movement of prices of equity indexes.
Here is The Prepared Mind video for this week:
The 14 day Average True Range for the SPX has been declining the past two months. It has declined from near 50 in early February to a current level of just over 25. At the beginning of the week, the ATR was just under 21. The “skittishness” or wider daily trading range was reflected in the closing ATR for last week.
Here is an overview of the market behavior last week:
Index
8-Apr
Weekly Change
% Weekly
2015 YTD
Volatility of Index
Dow Jones Industrials (DJIA)
17,576.96
(215.79)
-1.21%
0.87%
15.33% (VXD)
S&P 500 (SPX)
2,047.60
(25.18)
-1.21%
0.18%
15.36% (VIX)
NASDAQ 100 (NDX)
4,474.94
(60.17)
-1.33%
-2.66%
18.48% (VXN)
Russell 2000 (RUT)
1,097.57
(18.77)
-1.68%
-3.20%
19.88% (RVX)
S&P 100 (OEX)
909.03
(10.30)
-1.12%
-0.26%
15.48% (VXO)
Crude Oil (CL K6)
39.72
3.09
8.44%
7.15%
47.42%(OVX)
CBOE Volatility Index (VIX)
15.36
2.26
17.25%
NA
Data Source: OptionVue7
Volatility, as measured by the VIX, was higher last week. This reflected the across the board 1% decline in the major equity indexes. I amadding SKEW to my VIX table. SKEW is not tradable. SKEW, according to the CBOE, is: The CBOE Skew Index – referred to as “SKEW” – is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500 log returns at a 30- day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean…. The CBOE Skew IndexSM – referred to as “SKEW” – is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500® log returns at a 30- day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean.”
Here is an overview of last week for the VIX and related products:
Indexes
Ticker
8-Apr
1-Apr
Change
% Change
CBOE Volatility Index
VIX
15.36
13.10
2.26
17.25%
VIX April Future (4/20/2016)
VXH6
16.675
15.425
1.250
8.10%
VIX May Future (5/18/2016)
VXJ6
18.525
17.750
0.775
4.37%
VIX June Future (6/15/2016)
VXM6
19.325
18.025
1.300
7.21%
CBOE Short-term Volatility Index
VXST
13.59
10.92
2.67
24.45%
CBOE 3 Month Volatility Index
VXV
18.32
16.50
1.82
11.03%
CBOE Mid-term Volatility Index (6 month)
VXMT
20.26
18.58
1.68
9.04%
VIX of VIX
VVIX
89.73
81.57
8.16
10.00%
CBOE SKEW Index
SKEW
113.84
122.03
(8.19)
-6.71%
Long VIX ETP’s
iPath S&P 500 VIX Short Term Futures ETN
VXX
18.46
17.12
1.34
7.83%
ProShares VIX Short Term Futures ETF
VIXY
12.23
11.32
0.91
8.04%
iPath S&P 500 VIX Mid-Tem Futures ETN
VXZ
11.25
10.70
0.55
5.14%
Inverse VIX ETP’s
ProShares Short VIX Short Term Future ETF
SVXY
47.32
52.00
(4.68)
-9.00%
Daily Inverse VIX Short Term ETN
XIV
24.22
26.61
(2.39)
-8.98%
Data Source: OptionVue7
The focus for the upcoming week is prices in the US, China and the EU. Analysts will be deconstructing the release of different economy’s PPI’s and CPI’s to determine domestic and global inflation risk. Last week’s increase in oil prices is expected to give a boost to these numbers along. The increase in crude is also expected to provid a lift to Import and Export Prices which is released on Tuesday. The US and China will be releasing reports on industrial production and retail sales. The reports will provide additional data points for those looking for indicators of future inflationary activity. Industrial Production and Retail Sales reports with are expected to show slowing in manufacturing.
The first quarter earnings season starts on Monday with the earnings announcement by Alcoa (AA) on April 11. Alcoa’s announcement has been historically regarded as the beginning of the earnings season. It is time to start preparing target equities and strategies for the next earning cycle. The earnings season has started. The earnings highlights this week for widely held and actively traded stocks are: Alcoa, Perry Ellis, CSX, Washington Federal, JP Morgan Chase, Bank of America, Delta Air Lines, Wells Fargo, PNC, Charles Schwab, Reynolds American, Seagate, CitiGrp and Regions Financial. Announcement dates and times can and do change. It is your responsibility to confirm these times.
The following table will assist you in preparing for the upcoming earnings announcement cycle. OptionVue7 has the ability to identify stocks 30 days out with a new enhanced Earnings Search feature. I have done a quick search 7 to 28 days forward for candidates for double calendars. I generally put on earnings double calendars anywhere from one week to thirty days in advance of the announcement. I usually take the calendars off at the last possible moments prior to the announcement. I make the final decision exit prior to announcement or hold through the announcement on the last trading day prior to announcement.
Here are the results of my initial scan for double calendar candidates. 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.
Symbol
Company Name
April 1 Close
IV30
B/A
DATE
HAS
Hasbro, Inc.
$78.46
30.62
BMO
18-Apr
IBM
International Business Machines Corp.
$148.25
28.86
AMC
18-Apr
NFLX
Netflix, Inc.
$104.45
63.17
AMC
18-Apr
CMA
Comerica Incorporated
$36.55
36.04
BMO
19-Apr
DFS
Discover Financial Services
$50.26
25.02
BMO
19-Apr
GS
Goldman Sachs Group Inc
$150.41
29.37
BMO
19-Apr
HOG
Harley-Davidson Inc
$44.50
41.11
BMO
19-Apr
KSU
Kansas City Southern
$85.27
33.59
BMO
19-Apr
NTRS
Northern Trust Corporation
$63.02
28.17
BMO
19-Apr
PRGO
Perrigo Company PLC
$131.37
32.59
BMO
19-Apr
IBKR
Interactive Brokers Group, Inc.
$37.84
30.23
AMC
19-Apr
ISRG
Intuitive Surgical, Inc.
$614.78
32.64
AMC
19-Apr
LLTC
Linear Technology Corporation
$43.99
26.65
AMC
19-Apr
VMW
VMware, Inc.
$50.84
43.83
AMC
19-Apr
YHOO
Yahoo! Inc.
$36.17
50.72
AMC
19-Apr
ARMH
ARM Holdings plc (ADR)
$43.75
31.18
BMO
20-Apr
CHKP
Check Point Software Technologies
$85.64
26.43
BMO
20-Apr
CP
Canadian Pacific Railway Limited
$130.02
33.82
BMO
20-Apr
SAP
SAP SE (ADR)
$77.27
25.66
BMO
20-Apr
SIX
Six Flags Entertainment Corp
$59.11
29.48
BMO
20-Apr
TXT
Textron Inc.
$36.87
29.05
BMO
20-Apr
AXP
American Express Company
$58.86
26.51
AMC
20-Apr
FFIV
F5 Networks, Inc.
$97.72
37.95
AMC
20-Apr
LVS
Las Vegas Sands Corp.
$50.22
34.96
AMC
20-Apr
NOW
ServiceNow Inc
$64.02
56.55
AMC
20-Apr
QCOM
QUALCOMM, Inc.
$50.03
33.61
AMC
20-Apr
RJF
Raymond James Financial, Inc.
$44.48
31.62
AMC
20-Apr
TUP
Tupperware Brands Corporation
$57.35
37.27
AMC
20-Apr
URI
United Rentals, Inc.
$57.95
49.91
AMC
20-Apr
YUM
Yum! Brands, Inc.
$81.27
31.46
AMC
20-Apr
AAL
American Airlines Group Inc
$38.36
34.90
BMO
21-Apr
ALK
Alaska Air Group, Inc.
$78.28
32.27
BMO
21-Apr
ALXN
Alexion Pharmaceuticals, Inc.
$148.03
43.39
BMO
21-Apr
BIIB
Biogen Inc
$273.04
43.52
BMO
21-Apr
BK
Bank of New York Mellon Corp
$35.67
26.30
BMO
21-Apr
DOV
Dover Corp
$62.72
28.86
BMO
21-Apr
JCI
Johnson Controls Inc
$37.83
25.13
BMO
21-Apr
LUV
Southwest Airlines Co
$43.65
33.31
BMO
21-Apr
NUE
Nucor Corporation
$46.56
27.12
BMO
21-Apr
PII
Polaris Industries Inc.
$91.64
41.96
BMO
21-Apr
PNK
Pinnacle Entertainment, Inc
$35.56
34.04
BMO
21-Apr
RCL
Royal Caribbean Cruises Ltd
$80.27
38.28
BMO
21-Apr
SHW
Sherwin-Williams Co
$292.73
25.88
BMO
21-Apr
SLB
Schlumberger Limited.
$72.01
26.61
BMO
21-Apr
SNA
Snap-on Incorporated
$155.29
26.10
BMO
21-Apr
UAL
United Continental Holdings Inc
$53.16
36.53
BMO
21-Apr
UNP
Union Pacific Corporation
$78.00
27.63
BMO
21-Apr
AMZN
Amazon.com, Inc.
$591.43
46.41
AMC
21-Apr
GOOG
Google Inc.
$740.28
29.42
AMC
21-Apr
GOOGL
Alphabet Inc
$760.12
29.59
AMC
21-Apr
HA
Hawaiian Holdings, Inc.
$47.31
47.14
AMC
21-Apr
MSFT
Microsoft Corporation
$54.46
27.88
AMC
21-Apr
MXIM
Maxim Integrated Products Inc.
$36.37
32.53
AMC
21-Apr
NSC
Norfolk Southern Corp.
$80.10
32.91
AMC
21-Apr
SYNA
Synaptics, Incorporated
$75.79
56.05
AMC
21-Apr
AN
AutoNation, Inc.
$45.12
33.91
BMO
22-Apr
CAT
Caterpillar Inc.
$74.17
32.32
BMO
22-Apr
LYB
LyondellBasell Industries NV
$84.39
33.34
BMO
22-Apr
STI
SunTrust Banks, Inc.
$35.35
27.90
BMO
22-Apr
HAL
Halliburton Company
$36.25
35.01
BMO
25-Apr
PTR
PetroChina Company Limited (ADR)
$61.95
36.20
BMO
25-Apr
SOHU
Sohu.com Inc
$48.42
40.28
BMO
25-Apr
AAPL
Apple Inc.
$108.54
30.70
AMC
25-Apr
ESRX
Express Scripts Holding Co
$70.05
29.57
AMC
25-Apr
PXD
Pioneer Natural Resources
$141.78
42.67
AMC
25-Apr
CNC
Centene Corp
$61.92
38.51
BMO
26-Apr
COH
Coach Inc
$40.31
40.85
BMO
26-Apr
CRUS
Cirrus Logic, Inc.
$36.10
51.22
BMO
26-Apr
LLY
Eli Lilly and Co
$74.59
25.51
BMO
26-Apr
PCAR
PACCAR Inc
$52.42
29.41
BMO
26-Apr
R
Ryder System, Inc.
$60.48
37.60
BMO
26-Apr
SAVE
Spirit Airlines Incorporated
$45.91
44.23
BMO
26-Apr
VNTV
Vantiv Inc
$54.32
28.31
BMO
26-Apr
WYN
Wyndham Worldwide Corporation
$74.85
29.16
BMO
26-Apr
AKAM
Akamai Technologies, Inc.
$53.28
52.18
AMC
26-Apr
BWLD
Buffalo Wild Wings
$144.76
43.09
AMC
26-Apr
CHRW
C.H. Robinson Worldwide, Inc.
$71.85
25.97
AMC
26-Apr
CMG
Chipotle Mexican Grill, Inc.
$450.60
44.94
AMC
26-Apr
COF
Capital One Financial Corp.
$66.58
30.23
AMC
26-Apr
EW
Edwards Lifesciences Corp
$105.25
34.82
AMC
26-Apr
ILMN
Illumina, Inc.
$168.21
46.88
AMC
26-Apr
PNRA
Panera Bread Co
$210.30
28.85
AMC
26-Apr
ANTM
Anthem Inc
$143.42
28.00
BMO
27-Apr
BA
Boeing Co
$127.00
26.94
BMO
27-Apr
BHI
Baker Hughes Incorporated
$41.93
63.22
BMO
27-Apr
CFR
Cullen/Frost Bankers, Inc.
$51.93
39.15
BMO
27-Apr
GRMN
Garmin Ltd.
$39.57
31.51
BMO
27-Apr
HES
Hess Corp.
$52.90
43.24
BMO
27-Apr
IAC
IAC/InterActiveCorp
$45.78
37.83
BMO
27-Apr
IP
International Paper Co
$39.60
26.67
BMO
27-Apr
LEA
Lear Corporation
$103.80
28.22
BMO
27-Apr
MAR
Marriott International Inc
$65.53
26.23
BMO
27-Apr
QSR
* Restaurant Brands International Inc.
$38.33
34.99
BMO
27-Apr
RGLD
Royal Gold, Inc USA)
$51.61
47.46
BMO
27-Apr
STT
State Street Corp
$56.18
30.20
BMO
27-Apr
TMUS
T-Mobile Us Inc
$38.82
34.31
BMO
27-Apr
TOT
Total SA (ADR)
$44.14
26.62
BMO
27-Apr
FB
Facebook Inc
$113.64
42.69
AMC
27-Apr
MDLZ
Mondelez International Inc
$41.52
25.30
AMC
27-Apr
OTEX
Open Text Corporation (USA)
$52.50
34.17
AMC
27-Apr
SFLY
Shutterfly, Inc.
$45.63
36.63
AMC
27-Apr
TXN
Texas Instruments Incorporated
$57.15
26.14
AMC
27-Apr
VRTX
Vertex Pharmaceuticals Incorporated
$86.30
56.53
AMC
27-Apr
WRK
WestRock Co
$37.00
45.23
AMC
27-Apr
XLNX
Xilinx, Inc.
$46.14
30.09
AMC
27-Apr
ABBV
AbbVie Inc
$59.30
31.42
BMO
28-Apr
AET
Aetna Inc
$110.28
27.94
BMO
28-Apr
AGN
Allergan plc
$241.00
30.91
BMO
28-Apr
BC
Brunswick Corporation
$46.07
39.88
BMO
28-Apr
BMS
Bemis Company, Inc.
$50.53
25.13
BMO
28-Apr
CELG
Celgene Corporation
$107.11
32.90
BMO
28-Apr
CHTR
Charter Communications, Inc.
$203.91
35.09
BMO
28-Apr
COP
ConocoPhillips
$40.31
38.67
BMO
28-Apr
DPZ
Domino’s Pizza, Inc.
$136.26
28.48
BMO
28-Apr
ETN
Eaton Corporation PLC
$59.48
28.99
BMO
28-Apr
GWR
Genesee & Wyoming Inc
$57.90
40.13
BMO
28-Apr
INCY
Incyte Corporation
$79.40
59.26
BMO
28-Apr
MJN
Mead Johnson Nutrition CO
$84.14
37.12
BMO
28-Apr
SEE
Sealed Air Corp
$49.00
28.64
BMO
28-Apr
TSRO
TESARO Inc
$48.40
97.49
BMO
28-Apr
TWC
Time Warner Cable Inc
$204.68
31.41
BMO
28-Apr
UTHR
United Therapeutics Corporation
$112.97
48.83
BMO
28-Apr
WHR
Whirlpool Corporation
$180.44
33.08
BMO
28-Apr
AEM
Agnico Eagle Mines Ltd (USA)
$37.87
43.14
AMC
28-Apr
AMGN
Amgen, Inc.
$157.38
26.37
AMC
28-Apr
BERY
Berry Plastics Group Inc
$35.30
33.80
AMC
28-Apr
BIDU
Baidu Inc (ADR)
$182.53
44.63
AMC
28-Apr
BMRN
BioMarin Pharmaceutical Inc.
$87.79
57.09
AMC
28-Apr
DLPH
Delphi Automotive PLC
$71.20
32.36
AMC
28-Apr
ELLI
Ellie Mae Inc
$89.91
50.41
AMC
28-Apr
EMN
Eastman Chemical Company
$71.19
27.50
AMC
28-Apr
EXPE
Expedia Inc
$103.57
49.96
AMC
28-Apr
FLS
Flowserve Corp
$42.12
33.38
AMC
28-Apr
FSLR
First Solar, Inc.
$61.26
55.63
AMC
28-Apr
GILD
Gilead Sciences, Inc.
$95.57
27.74
AMC
28-Apr
HIG
Hartford Financial Services Group Inc
$45.12
25.79
AMC
28-Apr
IDCC
InterDigital, Inc.
$53.67
30.53
AMC
28-Apr
LNKD
LinkedIn Corp
$112.43
77.14
AMC
28-Apr
NBIX
Neurocrine Biosciences, Inc.
$45.26
54.65
AMC
28-Apr
OUTR
Outerwall Inc
$37.23
83.09
AMC
28-Apr
SWKS
Skyworks Solutions Inc
$77.31
45.60
AMC
28-Apr
TPX
Tempur Sealy International Inc
$58.06
48.03
AMC
28-Apr
VIAB
Viacom, Inc.
$38.27
44.66
AMC
28-Apr
WDC
Western Digital Corp
$43.25
54.72
AMC
28-Apr
WYNN
Wynn Resorts, Limited
$99.99
57.50
AMC
28-Apr
ALV
Autoliv Inc.
$109.77
28.40
BMO
29-Apr
NVO
Novo Nordisk A/S (ADR)
$56.23
27.14
BMO
29-Apr
PSX
Phillips 66
$84.51
30.10
BMO
29-Apr
PSXP
Phillips 66 Partners LP
$59.25
55.54
BMO
29-Apr
SHPG
Shire PLC (ADR)
$181.22
43.44
BMO
29-Apr
VFC
VF Corp
$64.01
28.61
BMO
29-Apr
CTSH
Cognizant Technology Solutions Corp
$59.99
30.24
BMO
2-May
HP
Helmerich & Payne, Inc.
$56.17
45.05
BMO
2-May
FMC
FMC Corp
$36.90
38.33
AMC
2-May
HCA
HCA Holdings Inc
$78.84
30.54
DMT
3-May
ADM
Archer Daniels Midland Company
$35.72
28.98
BMO
3-May
AGU
Agrium Inc. (USA)
$86.24
25.99
BMO
3-May
CMI
Cummins Inc.
$105.09
32.12
BMO
3-May
FOSL
Fossil Group Inc
$39.24
49.54
BMO
3-May
MLM
Martin Marietta Materials, Inc.
$161.96
32.91
BMO
3-May
MNK
Mallinckrodt PLC
$64.26
65.56
BMO
3-May
MYL
Mylan NV
$48.07
41.05
BMO
3-May
CBS
CBS Corporation
$53.58
28.32
AMC
3-May
DWRE
Demandware Inc
$40.08
67.10
AMC
3-May
EA
Electronic Arts Inc.
$63.93
28.72
AMC
3-May
GOLD
Randgold Resources Ltd. (ADR)
$92.43
36.99
BMO
4-May
HUM
Humana Inc
$172.58
34.02
BMO
4-May
MMP
Magellan Midstream Partners, L.P.
$65.11
31.86
BMO
4-May
TWX
Time Warner Inc
$72.91
31.02
BMO
4-May
ZTS
Zoetis Inc
$47.19
29.36
BMO
4-May
ALB
Albemarle Corporation
$64.69
33.38
AMC
4-May
APC
Anadarko Petroleum Corporation
$45.75
52.47
AMC
4-May
BLUE
bluebird bio Inc
$50.51
83.54
AMC
4-May
CXO
Concho Resources Inc
$103.13
44.83
AMC
4-May
FANG
Diamondback Energy Inc
$79.07
39.86
AMC
4-May
LNC
Lincoln National Corporation
$37.37
36.92
AMC
4-May
MET
Metlife Inc
$41.92
30.70
AMC
4-May
PRU
Prudential Financial Inc
$70.01
32.96
AMC
4-May
SSTK
Shutterstock Inc
$39.55
59.78
AMC
4-May
TSLA
Tesla Motors Inc
$257.20
56.15
AMC
4-May
TSO
Tesoro Corporation
$81.82
42.10
AMC
4-May
AGIO
Agios Pharmaceuticals Inc
$47.04
93.53
BMO
5-May
ANAC
Anacor Pharmaceuticals Inc
$69.30
69.69
BMO
5-May
APA
Apache Corporation
$49.19
46.73
BMO
5-May
BABA
Alibaba Group Holding Ltd
$77.61
34.78
BMO
5-May
IONS
Ionis Pharmaceuticals Inc
$41.40
67.96
BMO
5-May
MSI
Motorola Solutions Inc
$74.99
25.95
BMO
5-May
NXST
Nexstar Broadcasting Group, Inc.
$45.96
41.89
BMO
5-May
OXY
Occidental Petroleum Corporation
$69.38
27.05
BMO
5-May
RDS.A
Royal Dutch Shell plc (ADR)
$47.25
30.76
BMO
5-May
RDS.B
Royal Dutch Shell Plc CL B
$47.81
30.70
BMO
5-May
RDUS
Radius Health Inc
$37.08
96.99
BMO
5-May
REGN
Regeneron Pharmaceuticals Inc
$418.48
41.19
BMO
5-May
WWAV
WhiteWave Foods Co
$39.05
40.21
BMO
5-May
ALNY
Alnylam Pharmaceuticals, Inc.
$71.74
64.99
AMC
5-May
ANET
Arista Networks Inc
$64.12
48.75
AMC
5-May
CERN
Cerner Corporation
$55.98
30.20
AMC
5-May
CYBR
Cyberark Software Ltd
$40.70
63.82
AMC
5-May
DATA
Tableau Software Inc
$45.43
79.87
AMC
5-May
EOG
EOG Resources Inc
$71.45
38.81
AMC
5-May
FLR
Fluor Corporation (NEW)
$51.04
31.37
AMC
5-May
HLF
Herbalife Ltd.
$61.38
63.85
AMC
5-May
JAZZ
Jazz Pharmaceuticals PLC
$140.07
48.28
AMC
5-May
JCOM
J2 Global Inc
$60.01
48.00
AMC
5-May
LBTYA
Liberty Global PLC
$37.98
32.64
AMC
5-May
MCHP
Microchip Technology Inc.
$47.88
30.38
AMC
5-May
MDVN
Medivation Inc
$45.99
74.43
AMC
5-May
MNST
Monster Beverage Corp
$131.96
35.70
AMC
5-May
NVDA
NVIDIA Corporation
$35.43
32.53
AMC
5-May
OLED
Universal Display Corporation
$53.82
58.91
AMC
5-May
PCLN
Priceline Group Inc
$1,276.50
33.66
AMC
5-May
POST
Post Holdings Inc
$69.00
44.42
AMC
5-May
QRVO
Qorvo Inc
$48.73
57.91
AMC
5-May
STMP
Stamps.com Inc.
$96.82
67.32
AMC
5-May
TRIP
Tripadvisor Inc
$63.35
52.32
AMC
5-May
WBMD
WebMD Health Corp.
$61.84
42.34
AMC
5-May
WES
Western Gas Partners, LP
$42.19
48.43
AMC
5-May
CI
CIGNA Corporation
$131.86
28.29
BMO
6-May
CST
CST Brands Inc
$38.34
36.78
BMO
6-May
TRP
TransCanada Corporation (USA)
$37.57
26.58
BMO
6-May
Data Source: OptionVue7
Monday April 11:
Economic: No major Announcements.
International Economic: No major announcements.
Other: Dallas Federal Reserve Bank President Rob Kaplan participates in moderated Q&A, at Louisiana Tech in Ruston, Louisiana – 1:00PM.
Earnings: No announcements meeting criteria.
Tuesday April 12:
Economic: NFIB Small Business Optimism Index – 6:00, Import and Export Prices – 8:30, Redbook – 8:55, PMI Services Index – 9:45, JOLTS – 10:00, ISM Non-Manufacturing Index – 10:00.
International Economic: China Merchandise Trade Balance, Germany CPI – 2:00AM, Great Britain CPI and PPI – 4:30AM, Japan PPI – 7:50PM.
Other: Philadelphia Federal Reserve Bank President Patrick Harper speech on the economic outlook followed by media briefing, in Philadelphia – 9:00AM, San Francisco Federal Reserve Bank President John Williams speech , in San Francisco – 3:00PM, Richmond Federal Reserve Bank President Jeffrey Lacker speaks at the University of North Carolina in Wilmington, North Carolina – 4:00PM.
Earnings:
Symbol
Company Name
April 8 Close
IV30
B/A
ALR
Alere Inc
$50.59
29.94
BMO
FAST
Fastenal Company
$46.72
30.72
BMO
CSX
CSX Corporation
$24.62
30.87
AMC
Wednesday April 13:
Economic: MBA Mortgage Applications – 7:00, Gallup Retail Sales – 8:30 PPI – FD – 8:30, Business Inventories – 20:00, EIA Petroleum Status Report – 10:30, Beige Book – 2:00.
International Economic: EMU Industrial Production – 5:00AM.
Earnings:
Symbol
Company Name
April 8 Close
IV30
B/A
JPM
JPMorgan Chase & Co.
$57.32
24.09
BMO
Thursday April 14:
Economic: Consumer Price Index – 8:30, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30.
International Economic: EMU HICP – 5:00AM, China GDP – 10:00PM, China Industrial Production – 10:00PM, China Retail Sales – 10:00PM.
Other: Bankof England Announcement and Minutes – 7:00AM, Federal Reserve Gov Jerome Powell testifies on trends in fixed-income markets at a joint hearing of the Senate Banking Subcommittee, in Washington – 10:00AM, Atlanta Federal Reserve Bank President Dennis Lockhart moderated conversation on the Fed’s perspective, in Chicago – 10:00AM.
International Economic: EMU Merchandise Trade – 5:00AM.
Other: Chicago Federal Reserve Bank President Charles Evans speech to JP Morgan Investor Seminar in Washington, DC – 12:30.
Earnings:
Symbol
Company Name
April 8 Close
IV30
B/A
C
Citigroup Inc
$40.27
31.85
BMO
SCHW
Charles Schwab Corp
$26.39
35.13
BMO
Monday April 18:
Economic: Housing Market Index – 10:00.
International Economic: No major announcements.
Other: New York Federal Reserve Bank President William Dudley opening remarks to conference on trans-Atlantic divergence, in New York – 10:30AM, Boston Federal Reserve Bank President Eric Rosengren lecture to CCSU American Savings Foundation lecture series, in New Britain, Connecticut – 7:00PM.
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Futures + Options News
The Prepared Mind: April 11, 2016
“Chance favors the prepared mind.” — Louis Pasteur
By Frank Fahey
“Bull markets are born on pessimism, grow on skepticism, mature on optimism and die on euphoria.” — Sir John Templeton
“Imagination will often carry us to worlds that never were. But without it we go nowhere.” – Carl Sagan
“It’s not whether you’re right or wrong that’s important, but how much money you make when you’re right and how much you lose when you’re wrong.” – George Soros
The equity markets were skittish last week. The major indexes were all down over 1% for the week. The decline was variously blamed on profit taking after the previous week’s 2% gain, a much stronger Japanese Yen, a loss of confidence in central banks’ ability to move economic growth upwards. First quarter earnings will influence the direction of the market in the near term. Earnings have been flat or down the past three quarters. Analysts’ expectations are for more of the same.
Crude oil price has been decoupled from index movement for the second straight week. I have added crude oil to my table of index prices and volatilities. The price of crude oil is currently a very important part of all discussions on movement of prices of equity indexes.
Here is The Prepared Mind video for this week:
The 14 day Average True Range for the SPX has been declining the past two months. It has declined from near 50 in early February to a current level of just over 25. At the beginning of the week, the ATR was just under 21. The “skittishness” or wider daily trading range was reflected in the closing ATR for last week.
Here is an overview of the market behavior last week:
Data Source: OptionVue7
Volatility, as measured by the VIX, was higher last week. This reflected the across the board 1% decline in the major equity indexes. I amadding SKEW to my VIX table. SKEW is not tradable. SKEW, according to the CBOE, is: The CBOE Skew Index – referred to as “SKEW” – is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500 log returns at a 30- day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean…. The CBOE Skew IndexSM – referred to as “SKEW” – is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500® log returns at a 30- day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean.”
Here is an overview of last week for the VIX and related products:
Data Source: OptionVue7
The focus for the upcoming week is prices in the US, China and the EU. Analysts will be deconstructing the release of different economy’s PPI’s and CPI’s to determine domestic and global inflation risk. Last week’s increase in oil prices is expected to give a boost to these numbers along. The increase in crude is also expected to provid a lift to Import and Export Prices which is released on Tuesday. The US and China will be releasing reports on industrial production and retail sales. The reports will provide additional data points for those looking for indicators of future inflationary activity. Industrial Production and Retail Sales reports with are expected to show slowing in manufacturing.
The first quarter earnings season starts on Monday with the earnings announcement by Alcoa (AA) on April 11. Alcoa’s announcement has been historically regarded as the beginning of the earnings season. It is time to start preparing target equities and strategies for the next earning cycle. The earnings season has started. The earnings highlights this week for widely held and actively traded stocks are: Alcoa, Perry Ellis, CSX, Washington Federal, JP Morgan Chase, Bank of America, Delta Air Lines, Wells Fargo, PNC, Charles Schwab, Reynolds American, Seagate, CitiGrp and Regions Financial. Announcement dates and times can and do change. It is your responsibility to confirm these times.
The following table will assist you in preparing for the upcoming earnings announcement cycle. OptionVue7 has the ability to identify stocks 30 days out with a new enhanced Earnings Search feature. I have done a quick search 7 to 28 days forward for candidates for double calendars. I generally put on earnings double calendars anywhere from one week to thirty days in advance of the announcement. I usually take the calendars off at the last possible moments prior to the announcement. I make the final decision exit prior to announcement or hold through the announcement on the last trading day prior to announcement.
Here are the results of my initial scan for double calendar candidates. 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.
Data Source: OptionVue7
Monday April 11:
Economic: No major Announcements.
International Economic: No major announcements.
Other: Dallas Federal Reserve Bank President Rob Kaplan participates in moderated Q&A, at Louisiana Tech in Ruston, Louisiana – 1:00PM.
Earnings: No announcements meeting criteria.
Tuesday April 12:
Economic: NFIB Small Business Optimism Index – 6:00, Import and Export Prices – 8:30, Redbook – 8:55, PMI Services Index – 9:45, JOLTS – 10:00, ISM Non-Manufacturing Index – 10:00.
International Economic: China Merchandise Trade Balance, Germany CPI – 2:00AM, Great Britain CPI and PPI – 4:30AM, Japan PPI – 7:50PM.
Other: Philadelphia Federal Reserve Bank President Patrick Harper speech on the economic outlook followed by media briefing, in Philadelphia – 9:00AM, San Francisco Federal Reserve Bank President John Williams speech , in San Francisco – 3:00PM, Richmond Federal Reserve Bank President Jeffrey Lacker speaks at the University of North Carolina in Wilmington, North Carolina – 4:00PM.
Earnings:
Wednesday April 13:
Economic: MBA Mortgage Applications – 7:00, Gallup Retail Sales – 8:30 PPI – FD – 8:30, Business Inventories – 20:00, EIA Petroleum Status Report – 10:30, Beige Book – 2:00.
International Economic: EMU Industrial Production – 5:00AM.
Earnings:
Thursday April 14:
Economic: Consumer Price Index – 8:30, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30.
International Economic: EMU HICP – 5:00AM, China GDP – 10:00PM, China Industrial Production – 10:00PM, China Retail Sales – 10:00PM.
Other: Bank of England Announcement and Minutes – 7:00AM, Federal Reserve Gov Jerome Powell testifies on trends in fixed-income markets at a joint hearing of the Senate Banking Subcommittee, in Washington – 10:00AM, Atlanta Federal Reserve Bank President Dennis Lockhart moderated conversation on the Fed’s perspective, in Chicago – 10:00AM.
Earnings:
Friday April 15:
Economic: Empire State Manufacturing Survey – 8:30, Industrial Production – 9:15, Consumer Sentiment 0 10:00, Baker Hughes Rig Count – 1:00.
International Economic: EMU Merchandise Trade – 5:00AM.
Other: Chicago Federal Reserve Bank President Charles Evans speech to JP Morgan Investor Seminar in Washington, DC – 12:30.
Earnings:
Monday April 18:
Economic: Housing Market Index – 10:00.
International Economic: No major announcements.
Other: New York Federal Reserve Bank President William Dudley opening remarks to conference on trans-Atlantic divergence, in New York – 10:30AM, Boston Federal Reserve Bank President Eric Rosengren lecture to CCSU American Savings Foundation lecture series, in New Britain, Connecticut – 7:00PM.
Earnings: