The Prepared Mind: August 1, 2016

“Sometimes I wonder what I’m gonna do, cause there ain’t no cure for the summertime blues” – Eddie Cochran

“Imagination decides everything.” – Blaise Pascal

The summer doldrums are officially upon us. Stock and option volumes are down.  The Dow Jones Industrials fell every day during the week and managed to lose only 0.75%. The volume for July was 15% below the volume for July 2015.  I The S&P 500 has traded in a range of 0.65%. Despite a downward revision in Q1 GDP and the Fed’s decision to hold interest rates steady, equity markets drifted and ended the week mixed to unchanged.  The only excitement last week came from earnings for individual stocks.

Remember – Doing nothing is the most underutilized of option strategies.

Here is an overview of the US market behavior last week:

Index 29-Jul Weekly Change % Weekly  2016 YTD Volatility of  Index
Dow Jones Industrials (DJIA) 18,432.24 (138.61) -0.75% 5.78% 11.98% (VXD)
S&P 500 (SPX) 2,173.60 (1.43) -0.07% 6.34% 11.87% (VIX)
NASDAQ 100 (NDX) 4,727.27 73.67 1.58% 2.83% 13.97% (VXN)
Russell 2000 (RUT) 1,219.84 9.33 0.77% 7.58% 16.43% (RVX)
S&P 100 (OEX) 961.75 (0.54) -0.06% 5.52% 11.52% (VXO)
Crude Oil (CL U6) 41.38 (3.47) -7.74% 11.63% 41.08%(OVX)
CBOE Volatility Index (VIX) 11.87 (0.15) -1.25% NA  

Data Source: OptionVue7

The VIX remains at the bottom of its trading range – 11.87%.  Other VIX related products traded marginally lower. The biggest mover in the VIX arena was the August future (VXQ6) which was down 10% for the week A number of students of the VIX had posited the premium in the VIX futures and VIX options is too high.  The VIXY and UVXY closed at much higher prices this week.  ProShares executed a 1-for-5 reverse split at the beginning of the week for shares of the ProShares Ultra VIX Short-Term Futures ETF (UVXY) and VIX Short-Term Futures ETF (VIXY). The net result of the reverse split is that 500 shares became 100 shares and the price increased five-fold.  The reverse split was made to increase interest in the product.  The highly leveraged  UVXY has declined by 77% this year.  The VIXY is down 50% YTD.

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

Indexes Ticker 29-Jul 22-Jul Change % Change
CBOE Volatility Index VIX 11.87 12.02 (0.15) -1.25%
VIX August Future (8/17/2016) VXQ6 13.825 15.375 (1.550) -10.08%
VIX September Future (9/21/2016) VXU6 16.425 17.525 (1.100) -6.28%
VIX October Future (10/19/2016) VXV6 18.025 18.775 (0.750) -3.99%
CBOE Short-term Volatility Index VXST 10.01 10.22 (0.21) -2.05%
CBOE 3 Month Volatility Index VXV 15.42 15.80 (0.38) -2.41%
CBOE Mid-term Volatility Index (6 month) VXMT 17.88 18.20 (0.32) -1.76%
VIX of VIX VVIX 90.84 89.04 1.80 2.02%
CBOE SKEW Index SKEW 128.25 128.36 (0.11) -0.09%
Long VIX ETP’s          
ProShares Ultra VIX Short Term Futures ETF UVXY 25.35 30.50 (5.15) -16.89%
 iPath S&P 500  VIX Short Term Futures ETN VXX 10.18 11.17 (0.99) -8.86%
ProShares VIX Short Term Futures ETF VIXY 33.80 37.10 (3.30) -8.89%
 iPath S&P 500  VIX Mid-Tem Futures ETN VXZ 9.83 10.17 (0.34) -3.34%
Inverse VIX ETP’s          
ProShares Short VIX Short Term Future ETF SVXY 65.72 60.07 5.65 9.41%
Daily Inverse VIX Short Term ETN XIV 33.69 30.74 2.95 9.60%

 Data Source: OptionVue7

This is employment week.  A slew of employment reports will be released this week culminating in the July Employment Situation Report on Friday.  The consensus estimate is for a solid 185,000 new jobs for July.  Other domestic news will focus on manufacturing and factory orders.  The Bank of England will release minute and make a policy statement on Thursday.

It will be an active week for earnings announcements.  Unfortunately, the lack of liquidity in the major markets has been apparent in the options markets for earnings announcement.   I had difficulty entering earnings trades last week.  There is a lack of liquidity.  Markets seemed to be wider than in previous earnings cycles.   The net result is that I am putting on earnings plays closer to the earnings announcementsI was attempting to put on double calendars further in advance of the announcement.  My perceived perception of a reduction in liquidity may pe the result of extending the time window.  There will be many opportunities to trade earnings this week.  I am now including average option volume in my calendar of upcoming announcements.  This information is a first pass indicator of option liquidity.  The liquidity should increase as the announcement approaches.

The earnings highlights this week for widely held and actively traded stocks include: Loews, Williams Co., Procter &Gamble, AIG, Cummins, Archer-Daniels-Midland, Devon Energy Pfizer, Mosaic, CVS Health, Ecolab, Emerson Electric, MetLife, Allstate, Time Warner, Transocean, Occidental Petro, Prudential Fin, Marathon Oil, Kellog, Priceline.com, Viacom, Apache, and Berkshire Hathaway.

The following table will assist you in preparing for the upcoming earnings announcement cycles.  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 35 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.  Always assess the impact of market factors when making this decision.

Here are the results of my initial scan for double calendar candidates.  The scan has expanded to over 100 candidates this week.  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.

Symbol Company Name July 22 Close IV30 B/A DATE  OPT VOL
AGN Allergan plc $255.56 28.88 BMO 8-Aug 23065
FNV Franco-Nevada Corporation $75.20 37.39   8-Aug 1368
HTZ Hertz Global Holdings Inc $49.82 58.05 AMC 8-Aug 5186
SINA SINA Corp $55.01 41.26 AMC 8-Aug 1837
TSN Tyson Foods, Inc. $73.05 30.71 BMO 8-Aug 4881
TWLO Twilio Inc $42.17 87.75   8-Aug 3447
AER AerCap Holdings N.V. $36.41 40.66 BMO 9-Aug 1575
CHTR Charter Communications Inc $237.80 29.73 BMO 9-Aug 5430
COH Coach Inc $42.80 34.06 BMO 9-Aug 3909
CYBR Cyberark Software Ltd $56.55 54.83 AMC 9-Aug 1404
EGRX Eagle Pharmaceuticals Inc $44.76 60.41 BMO 9-Aug 1030
HRI Herc Holdings Inc $35.41 58.66   9-Aug 1321
LNG Cheniere Energy, Inc. $41.50 39.18 BMO 9-Aug 8823
MDVN Medivation Inc $62.49 31.69 AMC 9-Aug 9514
MYL Mylan NV $46.72 37.30 BMO 9-Aug 9020
W Wayfair Inc $42.77 68.93 AMC 9-Aug 1605
CTRP Ctrip.com International, Ltd $43.79 41.26 AMC 10-Aug 9676
KORS Michael Kors Holdings Ltd $52.06 50.10 BMO 10-Aug 9791
PRGO Perrigo Company PLC $91.08 42.81 BMO 10-Aug 4095
RL Ralph Lauren Corp $96.90 39.36 BMO 10-Aug 3693
SHAK Shake Shack Inc $40.22 52.04 AMC 10-Aug 2141
AAP Advance Auto Parts, Inc. $170.34 32.90 AMC 11-Aug 1416
BABA Alibaba Group Holding Ltd $83.12 28.81 BMO 11-Aug 88827
JWN Nordstrom, Inc. $43.27 43.01 AMC 11-Aug 8757
KSS Kohl’s Corporation $41.03 42.97 BMO 11-Aug 5008
M Macy’s Inc $35.87 39.59 BMO 11-Aug 19074
NVDA NVIDIA Corporation $56.18 49.46 AMC 11-Aug 22144
RGLD Royal Gold, Inc (USA) $82.14 41.78 BMO 11-Aug 2352
YY YY Inc (ADR) $39.24 40.34 AMC 11-Aug 4247
DKS Dicks Sporting Goods Inc $50.75 37.39 BMO 16-Aug 3052
LB L Brands Inc $73.75 28.14 AMC 17-Aug 3844
NTES NetEase Inc (ADR) $206.03 41.59 AMC 17-Aug 2919
HAIN Hain Celestial Group Inc $52.73 40.72 AMC 18-Aug 1503
HRL Hormel Foods Corp $36.61 27.91 BMO 18-Aug 1433
ROST Ross Stores, Inc. $61.33 29.86 BMO 18-Aug 2812
WUBA 58.com Inc (ADR) $51.32 39.75 BMO 18-Aug 1428
DE Deere & Company $78.17 26.94 BMO 19-Aug 13495
FL Foot Locker, Inc. $59.27 32.14 AMC 19-Aug 3369
PVH PVH Corp $99.62 29.50 AMC 24-Aug 2417
WSM Williams-Sonoma, Inc. $54.02 31.86   24-Aug 3069
ADSK Autodesk, Inc. $59.45 28.52 AMC 25-Aug 2311
AVGO Broadcom Ltd $164.23 30.97 AMC 25-Aug 9079
BURL Burlington Stores Inc $76.70 28.61 BMO 25-Aug 1742
DG Dollar General Corp. $95.07 25.86 BMO 25-Aug 4014
PLCE Childrens Place Inc $83.56 34.15 BMO 25-Aug 1009
SIG Signet Jewelers Ltd. $86.92 37.93 DMT 25-Aug 5468
SPLK Splunk Inc $62.12 46.16 AMC 25-Aug 3685
TIF Tiffany & Co. $63.35 33.43 BMO 25-Aug 5184
ULTA Ulta Salon, Cosmetics & Fragrance $260.48 38.86 AMC 25-Aug 3403
VEEV Veeva Systems Inc $37.73 30.30 AMC 25-Aug 1098
WDAY Workday Inc $83.09 42.10 AMC 25-Aug 3825
BIG Big Lots, Inc. $52.74 33.68 BMO 26-Aug 1102

Data Source: OptionVue7

 

Monday August 1:

 

Economic:  PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00, Gallup US Consumer Spending Measure – 2:00.

 

International Economic:  Germany PMI Manufacturing Index – 3:55AM, EMU PMI Manufacturing Index – 4:00AM, Great Britain PMI Manufacturing Index – 4:30AM.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
DO Diamond Offshore Drilling Inc $21.79 53.04 BMO 1494
THC Tenet Healthcare Corp $30.51 43.19 BMO 1842
WMB Williams Companies Inc $23.08 46.79 BMO 7034
WPZ Williams Partners LP $36.29 40.14 BMO 3135
GGP General Growth Properties Inc $31.66 26.11 AMC 4195
OLN Olin Corporation $21.16 39.65 AMC 2144
TEX Terex Corporation $23.55 39.57 AMC 1906

 

 

Tuesday August 2:

 

Economic:  Motor Vehicle Sales, Personal Income and Outlays – 8:30, Gallup US ECI – 8:30, Redbook – 8:55.

 

International Economic:  EMU PPI – 5:00AM, Bank of Japan Minutes – 7:50PM.

 

Other: Dallas Federal Reserve Bank President Rob Kaplan speech on monetary policy and the economy, in Beijing – 6:15AM.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
ABC AmerisourceBergen Corp. $84.82 24.43 BMO 1469
ADM Archer Daniels Midland Company $44.94 23.93 BMO 3244
AET Aetna Inc $115.79 24.42 BMO 5283
ALR Alere Inc $36.56 76.99 BMO 3012
CAH Cardinal Health Inc $82.56 22.07 BMO 1032
CMI Cummins Inc. $122.16 31.76 BMO 5678
DVN Devon Energy Corp $36.13 46.60 BMO 9526
EMR Emerson Electric Co. $55.83 23.07 BMO 4159
ETN Eaton Corporation PLC $64.01 24.02 BMO 1654
MNK Mallinckrodt PLC $67.34 48.08 BMO 1923
RCL Royal Caribbean Cruises Ltd $73.24 38.25 BMO 3406
SHPG Shire PLC (ADR) $191.43 30.85 BMO 4759
SLCA U.S. Silica Holdings Inc $34.40 53.92 BMO 2690
TAP Molson Coors Brewing Company $97.75 31.02 BMO 7078
WNR Western Refining, Inc. $20.46 53.72 BMO 2931
AR Antero Resources Corp $25.89 46.49 AMC 1039
CAR Avis Budget Group Inc. $36.73 55.63 AMC 2620
CERN Cerner Corporation $62.24 32.93 AMC 2415
DATA Tableau Software Inc $56.95 71.80 AMC 2941
EA Electronic Arts Inc. $76.28 35.55 AMC 12677
FMC FMC Corp $48.06 39.99 AMC 1140
HBI Hanesbrands Inc. $25.65 41.28 AMC 2436
MOS Mosaic Co $27.65 41.84 AMC 8240
NFX Newfield Exploration Co. $42.38 40.85 AMC 1286
OKE ONEOK, Inc. $44.08 32.17 AMC 2224
PAA Plains All American Pipeline, L.P. $27.32 37.17 AMC 7529
QRVO Qorvo Inc $63.10 52.14 AMC 1473
SM SM Energy Co $25.88 79.69 AMC 1562
STX Seagate Technology PLC $32.60 46.39 AMC 14901
TV Grupo Televisa SAB (ADR) $26.20 25.12   1268

 

 

Wednesday August 3:

 

Economic:  MBA Mortgage Applications – 7:00, ADP Employment Report – 8:15m Gallup US Job Creation Index – 8:30, PMI Services Index – 9:45, ISM Non-Manufacturing Index – 10:00, EIA Petroleum Status Report – 10:30.

 

International Economic:  EMU PMI Composite – 3:55Am, EMU Retail Sales – 5:00AM.

 

Other:  Dallas Federal Reserve Bank President Rob Kaplan speech on monetary policy and the economy, in Shanghai. (Repeat of Aug. 2 speech in Beijing) – 6:15AM.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
AGU Agrium Inc. (USA) $91.40 27.05 BMO 1293
CLR Continental Resources, Inc. $42.10 51.90 BMO 3125
CTL Centurylink Inc $30.83 30.31 BMO 4352
ETP Energy Transfer Partners LP $39.39 32.36 BMO 5537
GEL Genesis Energy, L.P. $36.00 32.81 BMO 1114
HFC HollyFrontier Corp $24.62 47.75 BMO 4117
HSBC HSBC Holdings plc (ADR) $32.38 24.61 BMO 6301
HUM Humana Inc $172.21 29.08 BMO 8128
KATE Kate Spade & Co $21.84 53.47 BMO 3202
NBL Noble Energy, Inc. $35.23 34.42 BMO 1099
SE Spectra Energy Corp. $36.09 22.58 BMO 1829
TRGP Targa Resources Corp $37.18 47.01 BMO 2426
TWX Time Warner Inc $77.62 24.13 BMO 5969
XPO XPO Logistics Inc $29.34 56.52 BMO 2216
ALB Albemarle Corporation $85.11 34.77 AMC 1925
CF CF Industries Holdings, Inc. $24.66 49.06 AMC 7300
FOXA Twenty-First Century Fox Inc $26.76 26.05 AMC 2381
FSLR First Solar, Inc. $47.13 50.15 AMC 6726
HLF Herbalife Ltd. $67.00 53.10 AMC 16316
JACK Jack in the Box Inc. $88.91 40.50 AMC 1389
LNC Lincoln National Corporation $43.71 32.55 AMC 1104
MET Metlife Inc $43.08 25.00 AMC 11899
PRU Prudential Financial Inc $75.77 28.14 AMC 3831
RIO Rio Tinto plc (ADR) $32.84 42.90 AMC 5369
TEP Tallgrass Energy Partners LP $45.21 34.08 AMC 1022
TRIP Tripadvisor Inc $71.23 46.89 AMC 5364
TSLA Tesla Motors Inc $230.61 48.23 AMC 99110
TSO Tesoro Corporation $75.78 38.27 AMC 4305

 

 

Thursday August 4:

 

Economic:  Chain Store Sales, Challenger Job-Cut Report – 7:30, Weekly Jobless Claims – 8:30, Gallup Good Jobs Rate – 8:30, Bloomberg Consumer Comfort Index – 9:45, Factory Orders – 10:00, EIA Natural Gas Report – 10:30.

 

International Economic:  No major announcements.

 

Other:  Bank of England minutes and policy announcement.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
AKRX Akorn, Inc. $34.12 46.11 BMO 1733
APA Apache Corporation $51.84 36.69 BMO 4816
BLL Ball Corporation $70.92 25.99 BMO 1658
CNQ Canadian Natural Resource Ltd (USA) $29.81 34.94 BMO 1325
GOLD Randgold Resources Ltd. (ADR) $116.52 40.20 BMO 2966
GWPH GW Pharmaceuticals PLC- ADR $94.32 39.06 BMO 1586
K Kellogg Company $81.79 26.07 BMO 5323
LPX Louisiana-Pacific Corporation $20.48 35.50 BMO 1101
MGM MGM Resorts International $24.23 32.59 BMO 15507
REGN Regeneron Pharmaceuticals Inc $411.04 33.56 BMO 3380
SSYS Stratasys Ltd $20.43 68.29 BMO 1606
TASR TASER International, Inc. $28.49 50.27 BMO 2517
TEVA Teva Pharmaceutical Industries Ltd (ADR) $54.79 33.61 BMO 24501
TSRO TESARO Inc $93.62 46.39 BMO 1992
ACAD ACADIA Pharmaceuticals Inc. $36.74 64.39 AMC 3462
ALNY Alnylam Pharmaceuticals, Inc. $68.29 59.69 AMC 1207
ATVI Activision Blizzard, Inc. $40.27 37.62 AMC 20737
BMRN BioMarin Pharmaceutical Inc. $98.20 55.51 AMC 2940
EOG EOG Resources Inc $79.90 28.95 AMC 5509
FLR Fluor Corporation (NEW) $53.70 29.43 AMC 2451
ICPT Intercept Pharmaceuticals Inc $166.90 47.18 AMC 1618
IMPV Imperva Inc $47.43 62.17 AMC 1160
IOC InterOil Corporation (USA) $49.30 22.40 AMC 1341
JUNO Juno Therapeutics Inc $29.91 67.43 AMC 2355
KHC Kraft Heinz Co $85.96 22.94 AMC 4761
MNST Monster Beverage Corp $159.44 33.29 AMC 6225
OLED Universal Display Corporation $71.11 53.73 AMC 1575
PCLN Priceline Group Inc $1,326.10 35.70 AMC 21103
POST Post Holdings Inc $85.88 37.05 AMC 1064
RLGY Realogy Holdings Corp $30.35 34.10 AMC 1446
SFM Sprouts Farmers Market Inc $23.28 47.65 AMC 1346
SYMC Symantec Corporation $20.45 28.67 AMC 5086
TTWO Take-Two Interactive Software, Inc. $40.32 38.66 AMC 1319
UBNT Ubiquiti Networks Inc $44.39 54.67 AMC 1046
VIAB Viacom, Inc. $45.97 42.58 AMC 6203
Z Zillow Group, Inc. Class C $39.10 55.63 AMC 4264
SAGE SAGE Therapeutics Inc $44.80 62.38   1160
TTM Tata Motors Limited (ADR) $37.50 31.41   1246

 

 

 

 

Friday August 5:

 

Economic:  July Employment Situation – 8:30, International Trade – 8:30, Baker Hughes Rig Count – 1:00.

 

International Economic:  Germany Manufacturers’ Orders – 2:00AM.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
CST CST Brands Inc $43.98 44.12 BMO 1368
CTSH Cognizant Technology Solutions Corp $57.89 30.57 BMO 3783
WY Weyerhaeuser Co $32.37 23.83 BMO 2363

 

 

 

Monday August 8:

 

Economic:  Gallup US Consumer Spending Measure – 8:30, PMI Manufacturing Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.

 

International Economic Germany Industrial Production – 2:00Am, China CPI and PPI – 9:30PM.

 

Earnings:

Symbol Company Name July 29 Close IV30 B/A AVGOPTVOL
AGN Allergan plc $255.56 28.88 BMO 23065
JD JD.Com Inc(ADR) $22.14 41.36 BMO 25347
TSN Tyson Foods, Inc. $73.05 30.71 BMO 4881
WB Weibo Corp (ADR) $32.42 51.08 BMO 1743
BID Sothebys $33.05 41.12 AMC 1977
HTZ Hertz Global Holdings Inc $49.82 58.05 AMC 5186
RAX Rackspace Hosting, Inc. $23.23 59.80 AMC 2371
SINA SINA Corp $55.01 41.26 AMC 1837
FNV Franco-Nevada Corporation $75.20 37.39   1368
SCTY SolarCity Corp $26.88 71.19   29819
TWLO Twilio Inc $42.17 87.75   3447

 

 

 

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