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Quantamize End of Day Update Mar 20th

Mar 20, 2018

US End of Day Review

US equities finished mixed at today’s close. Investors await tomorrow’s FOMC announcement regarding a potential interest rate hike. The consensus expectation is a rate increase of 25 bps. Energy was higher today largely due to a rally in oil. Poor performance among media stocks such as Facebook (-9.15% over the last two days of trading), Twitter (-10.35%), and Snapchat (-2.56%) has largely been attributed to concerns about regulatory risk following the Facebook data breach. Market breadth was mixed with an advance/decline ratio 1.28, but a put/call ratio of 1.24. The VIX closed trading at 18.20, which is 4.31% lower than at the open.

The S&P 500 ended trading 0.15% higher. Energy (+0.84%) was the biggest outperformer, as returns in oil & gas exploration (+1.92%) and refining (+1.80%) stocks lifted the sector higher. Consumer discretionary (+0.62%) and industrials (+0.34%) were the next biggest outperforming sectors. Large-cap technology continued to slide as the S&P 500 telecommunications sector fell 1.01%. Losses in the broadcasting (-2.26%), and cable & satellite (-1.91%) industries weighed the sector down. Utilities declined and closed 0.46% off from the open.

Russell 2000 stocks edged 0.01% lower today. Consumer staples (-0.59%) was the worst performing sector. Materials (-0.53%) underperformed as well with a drop in the precious metals & miners (-5.50%) pulling the sector down. In contrast with the S&P 500, Russell 2000 technology (+0.81%) was a strong sector performer lifted by returns in the electronics equipment (+2.41%) industry. Energy (+0.75%), led higher by coal stocks (+2.04%), was the next best performing sector.

Implied volatility on US index options remained elevated today with 1-month implied volatility north of 1.5 standard deviations for S&P 500 and Nasdaq index options.  Skew was mixed with Nasdaq index options exhibiting high skew for 1-month options; in comparison, skew for 1-month S&P500 was relatively fairly valued.  Implied correlations remain high, north of 1 standard deviation for 1-month options.  The most active options today where OTM April 18 and March 18 calls on the VIX and OTM March 21 and April 20 Puts on the SPY.

Stocks Trending in the News

ALIBABA (BABA) is interested in purchasing Rocket Internet’s Pakistani online retail unit. This will help the Chinese e-commerce giant expand across South Asia. Alibaba shares closed 2.27% higher.

BLACKBERRY (BB) has partnered with MICROSOFT (MSFT), and will supply security to Microsoft Office apps. Blackberry shares rose 2.83%, and Microsoft shares rose 0.26%.

CVS HEALTH CORP (CVS) has reportedly hired former Eli Lily CFO Derica Rice, to run its CVS Caremark business. CVS shares fell 1.08% today.

Orbitz, a subsidiary of EXPEDIA (EXPE), discovered a possible data breach that could affect thousands of customers. Expedia shares closed down 0.69%.

FEDEX (FDX) released Q3 ADJ EPS of $3.72, beating estimates of 3.11. 3Q Revenue of $16.53 billion, beating estimates of $16.16 billion. Shares are 3.18% higher post-market.

NVIDIA (NVDA) is doubling its office space for its autonomous vehicle development unit at its NJ location.  Nvidia shares closed 3.56% higher.

SALESFORCE (CRM) has agreed to buy MULESOFT (MULE) for $6.5 billion. Salesforce shares are 2.17% lower post-market. Mulesoft shares rose 27.16% today on the Salesforce acquisition rumor, and are 4.40% higher post-market.

Shares of TWITTER (TWTR) and SNAP INC. (SNAP) were lower today due to concerns over regulation in the social media industry due to the issues surrounding Facebook’s privacy breach. Twitter shares fell 10.35% and Snap shares fell 2.56% today.

WALMART (WMT) CEO Mar Lore said that Walmart is still looking for acquisitions to expand its e-commerce business. Walmart sharers closed 0.57% higher.

S&P 500 Gainers

  • DOV +4.01%
  • NVDA +3.56%
  • ADBE +3.41%
  • MPC +3.25%
S&P 500 Laggards
  • ORCL -9.43%
  • CAH -6.54%
  • DISK -4.38%
  • QRVO -4.27%
RTY 2000 Gainers
  • ARNA +28.68%
  • MULE +27.16%
  • SRI +16.24%
  • HQY +11.47%
RTY 2000 Laggards
  • WATT -17.03%
  • DLTH -10.77%
  • GPI -10.40%
  • PDVW -8.38%

Canadian Market Recap

Canadian equities closed higher, and the S&P/TSX Composite rose 0.17% today. Information technology (+1.79%) was the biggest outperforming sector. Healthcare fell 1.82% and was the worst lagging sector in index. Consumer stocks were mixed with consumer staples falling 1.62%, while consumer discretionary rose 1.11%.

TSX Gainers

  • CT +5.21%
  • CT +4.80%
  • CT +4.35%
  • CT +3.84%
TSX Laggards
  • CT -12.37%
  • ATD/B.CT -6.45%
  • CT -4.63%
  • CT -3.23%