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Morning Brief

Wake up to the Morning Quant Ride, your global markets update every morning!

US stocks on pace for another day of losses in today’s shortened trading session as the VIX breaks above 30

Dec 24, 2018

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Market data as of 7am EST

 

US Stocks

  • US stocks index futures are dropping, parring early morning gains, as front-month Dow Jones minis –0.41%, S&P 500 minis –0.36% and Nasdaq 100 minis –0.05%
  • In spite of Friday’s sell-off, the SPDR S&P 500 ETF Trust (SPY) experienced positive fund flows of US$6.98 billion – the biggest one day increase since February 2018
  • The VIX is little changed this morning and is currently at 30.93 after closing at 28.38 yesterday
  • General Electric (GE) February 2019 OTM Puts, HYG February 2019 OTM Puts, Marriot Vacations (VAC) January 18 OTM Puts, Bank of America (BAC) December 21 OTM Calls, and SPY December 28 & January 18 OTM Puts are some of the most actively traded options contracts in the US pre-market this morning
  • US 10-Year Treasury Bonds are higher with yields down -1.09 basis points to 2.7793%
  • The US Treasury 2s-5s Spread has narrowed 0.65 basis points to -0.01%
  • The US Treasury 2s-10s Spread has narrowed 0.02 basis points to 0.15%
  • WTI Crude is currently down -0.53% to USD$45.39/bbl with the Brent-WTI spread up USD$1.37 to USD$7.71/bbl
  • Continued worries about growing crude oil supplies in the US and decelerating global growth overshadow indications from OPEC that the group may make further cuts to CY2019 production targets
  • Gold is currently up 0.33% to USD$1261.06/oz
     

Stocks Trending in the News

Click name for Q-Factor breakdown, latest price details, more financial info and sentiment data.
 

  • AbbVie (ABBV) is teaming up with Indian drugmaker Lupin (BSE: 500257) to work together on cancer treatments.  AbbVie and Lupin will work to develop and commercialize treatments for hematological cancers, according to a statement from Lupin.  AbbVie is rated “Neutral” in our US Large-Cap Global Top Stock Ideas.  Lupin is not rated in our Global Top Stock Ideas.
  • BMW (DB: BMW) is facing a criminal probe in South Korea over safety issues.  BMW is alleged to have concealed safety issues related to fire hazards and delayed recalls.  BMW was also fined USD$10mn for delayed recalls related to a coolant leak problem.  BMW has been under investigation for that issue separately since August.  BMW is rated “Unattractive” in our European Global Top Stock Ideas.
  • Euronext (ENXTPA: ENX) has made an offer to acquire the Oslo Stock Exchange.  Euronext is offering USD$712mn for the Norwegian exchange.  Euronext has already secured backing from almost half of the Oslo Exchange’s shareholders.  The initial offer is a 32% premium to last valuation.  Euronext is rated "Top Buy" in our European SMID-Cap Global Top Stock Ideas.
  • Fresh Del Monte Produce (FDP) call options trading reached 2-year high volume levels pre-market today. Fresh Del Monte call options volume totaled 501 this morning, 10x more than the 20-day average and the most since November 16th, 2016.  Fresh Del Monte is rated “Neutral” in our US SMID-Cap Global Top Stock Ideas and “Top Short” in our US Consumer Staples Global Top Stock Ideas. 
  • JD.com (JD) CEO Richard Liu will not be charged with rape by US authorities and has been freed from jail.  The CEO and founder controls the USD$35 billion Chinese e-commerce giant and his arrest in August had been hanging over the company.  JD.com is rated “Top Short” in our China All-Cap Global Top Stock Ideas 
  • Perrigo Co Plc (PRGO) was upgraded today by IBI Research to outperform from market perform.  IBI raised Perrigo’s target price to USD$6y, up from USD$47.  The average price target is USD$69.45.  The upgrade comes in the wake of Perrigo’s 29% tumble on Friday on its announcement of an unexpected tax assessment.  Perrigo is not rated in our Global Top Stock Picks.  Euronext is rated “Top Buy” in our US SMID-Cap Global Top Stock Ideas.
  • Playtech PLC (LSE: PTEC) shares are falling after reporting that Italy’s plans to increase their tax on gambling activities will result in a reduced FY2019 adjusted EBITDA for the company. After the Italian Senate passed the country’s 2019 budget on Sunday, Playtech expects a material decrease in EBITDA for FY2019 by between 20mm euro and 25mm euro. Playtech is rated “Neutral” in our United Kingdom All-Cap Global Top Stock Ideas.
  • Snap (SNAP) employees are questioning the management style of its CEO, which many call distant and aloof, according to a Wall Street Journal article.  CEO Evan Spiegel flies in a private jet alone and requested and received armed security, and with the company’s stock below $5, employees are questioning the need for these things.  Snap is rated “Top Short” in our US Large-Cap Global Top Stock Ideas and “Unattractive” in our US Information Technology Global Top Stock Ideas.
  • UPS (UPS)  has agreed to settle a lawsuit with the US Equal Employment Opportunity Commission over uniform issues.  The EEOC alleges that UPS refused to hire individuals who had beards or long hair for religious reasons, also saying when it did hire these individuals, they were segregated at the company.  UPS settled the case for USD$4.9mn.  UPS is rated “Top ” in our US Large-Cap Global Top Stock Ideas and  “Attractive” in our US Industrials Global Top Stock Ideas.
     
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European Stocks

  • European stocks are trading lower this morning in very light trading with today’s Christmas Eve volume 75% below recent average
  • The Euro Stoxx 600 is currently down -0.43%, the FTSE 100 has declined -0.45%, the DAX has advanced +0.21%, and the CAC 40 is lower by -1.11%
  • Investor sentiment for European stocks is negative with the advance/decline ratio for the Euro Stoxx 600 currently at 0.2x
  • Insurance (-0.04%), Chemicals (-0.15%), and Automobiles & Parts (-0.19%) stocks are the top performers in the Euro Stoxx 600 today
  • Retail (-1.44%), Personal & Household Goods (-0.98%), and Banks (-0.83%) stocks are the worst performers in the Euro Stoxx 600 today
  • 7 stocks in the Euro Stoxx 600 are at 4-week highs while 247 stocks are at 4-week lows
  • 6 stocks in the Euro Stoxx 600 are overbought while 77 stocks are oversold according to the 16-day RSI Measure
  • VSTOXX, the European stocks equivalent of the VIX, is little changed this morning and is currently at 20.39 after closing at 20.73 yesterday
  • EUR€ is currently up +0.229% against the USD$ to 1.1398
  • GBP£ is currently little changed against the USD$ at 1.265
  • CHF is currently up +0.279% against the USD$ to 1.0077
  • German 10-Year Bunds are lower with yields up 2.2 basis points to 0.25%
  • UK 10-Year GILTs are higher with yields down -4.8 basis points to 1.273%
     

Asian Stocks

  • Asia stocks close mixed with Japan falling farther into bear market territory
  • The Nikkei 225 finished down --1.11%, the Hang Seng ended down -0.4%, the Hang Seng China Enterprise declined -0.38%, and the CSI 300 was +0.29%
  • 0 stocks in the Nikkei 225 hit 4-week highs while 198 stocks reached 4-week lows
  • 0 stocks in the Nikkei 225 closed overbought while 92 stocks closed oversold according to the 16-day RSI Measure
  • Investor sentiment for Hong Kong stocks finished neutral with the advance/decline ratio for the Hang Seng closing at 1.08x
  • 0 stocks in the Hang Seng hit 4-week highs while 17 stocks reached 4-week lows
  • 0 stocks in the Hang Seng closed overbought while 4 stocks closed oversold according to the 16-day RSI Measure
  • Japan 2-Year Government Bonds are flat with yields little changed 0 basis points to -0.138%
  • Japan 10-Year Government Bonds are flat with yields little changed 0 basis points to 0.047%
  • JGBs 2s-10s Spread has little changed 0 basis points to 0.19%
  • JPY¥ is currently little changed against the USD$ at 111.09
     

 

*Data in Price Return and Updated Real-Time (with a delay), Source: StockDio

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.

Stock Sentiment

Top Stocks by 7-day News Volume

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Name 7 Day News
Volume
7 Day Average
News Buzz
1M EPS Net
Revisions
3M EPS Net
Revisions
1M EPS
% Chg
3M EPS
% Chg
BlackRock Inc 115 2.86 -6 1 -2.09% -5.63%
International Business Machines Corp 100 1.71 0 -1 0.43% 0.85%
Goldman Sachs Group Inc/The 90 1.71 -7 18 -3.22% 0.08%
Morgan Stanley 87 1.29 1 3 -1.98% 2.09%
Microsoft Corp 67 0.71 -1 30 0.02% 4.67%

Note: Please see our General FAQs to learn how we define and measure News Volume

Top Stocks by 7-Day Average News Buzz

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Name 7 Day News
Volume
7 Day Average
News Buzz
1M EPS Net
Revisions
3M EPS Net
Revisions
1M EPS
% Chg
3M EPS
% Chg
Visa Inc 55 3 0 3 -0.03% 4.61%
Occidental Petroleum Corp 2 2.86 -4 15 -11.97% -14.18%
BlackRock Inc 115 2.86 -6 1 -2.09% -5.63%
Mastercard Inc 11 2.57 2 19 -0.05% 4.25%
Lockheed Martin Corp 32 2.43 -1 15 -0.0% 4.69%

Note: Please see our General FAQs to learn how we define and measure News Buzz

Implied Volatility Data For Liquid Macro Index ETFs

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ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 25.51 99.21% 23.32 100.0% 0.91 4.37% 2.66 82.54% 2.37 62.7%
QQQ 32.57 100.0% 29.07 100.0% 0.89 8.53% 2 65.87% -1.18 40.28%
IWM 28.92 100.0% 26.56 100.0% 0.92 8.33% 4.21 89.29% 2.91 69.44%
FEZ 22.38 98.41% 21.31 99.21% 0.95 25.4% 4.17 88.89% 3.62 86.51%
EEM 24.64 90.48% 24.6 99.21% 1 42.86% 4.04 88.89% -0.4 47.62%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Sector Performance

*Data in Price Return as of Previous Day's EOD, Source: StockDio

Russell 1000 Factor Performance

*Data in Price Return as of Previous Day's EOD, Source: StockDio

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Stock Movers From Our US Large-Cap Model

Top Buy Winners and Losers

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Winners Ticker Sector Industry 1D Return 5D Return YTD
DOMINO'S PIZZA INC DPZ Consumer Discretionary Hotels, Restaurants & Leisure 1.73% -3.9% 25.63%
BROADCOM INC AVGO Information Technology Semiconductors & Semiconductor Equipment 1.24% -2.91% -5.48%
STERLING BANCORP STL Financials Banks 1.06% -5.23% -39.74%
CINTAS CORP CTAS Industrials Commercial Services & Supplies 0.58% -5.93% 3.1%
KELLOGG CO K Consumer Staples Food Products 0.56% -4.61% -13.19%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
FORTINET INC FTNT Information Technology Software -5.94% -10.2% 39.51%
NEXSTAR MEDIA GROUP NXST Consumer Discretionary Media -5.11% -14.37% -2.44%
AMERICAN EXPRESS CO AXP Financials Consumer Finance -4.75% -14.61% -6.57%
PG&E CORP PCG Utilities Electric Utilities -4.72% -13.39% -67.07%
ADOBE SYSTEMS INC ADBE Information Technology Software -4.61% -9.67% 16.13%

Source: S&P Capital IQ, StockDio

Top Short Winners and Losers

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Winners Ticker Sector Industry 1D Return 5D Return YTD
EDITAS MEDICINE INC EDIT Health Care Biotechnology -23.29% -44.73% -63.49%
SUPERIOR ENERGY SERVICES INC SPN Energy Energy Equipment & Services -10.86% -22.51% -119.84%
HERTZ GLOBAL HOLDINGS INC HTZ Industrials Road & Rail -10.47% -7.05% -54.34%
ROKU INC ROKU Consumer Discretionary Household Durables -8.36% -20.3% -64.64%
WHITING PETROLEUM CORP WLL Energy Oil, Gas & Consumable Fuels -8.0% -32.71% -29.93%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
IMMUNOMEDICS INC IMMU Health Care Biotechnology 5.96% -21.94% -5.69%
GARDNER DENVER HOLDINGS INC GDI Industrials Machinery 3.38% -6.62% -52.91%
CHESAPEAKE ENERGY CORP CHK Energy Oil, Gas & Consumable Fuels 3.21% -20.4% -76.91%
DIAMOND OFFSHRE DRILLING INC DO Energy Energy Equipment & Services 2.42% -11.58% -74.14%
ROWAN COMPANIES PLC RDC Energy Energy Equipment & Services 2.11% -17.53% -68.76%

Source: S&P Capital IQ, StockDio

Cryptos

  • Cryptocurrencies rallied through the weekend as the price of Bitcoin (BTC) is up 8.19% since end of day Friday to USD$4,181.08. Ripple (XRP) and Ethereum (ETH) were among the top performing coins over the weekend, up 20.67% and 34.90% since end of day Friday to USD$0.42578 and USD$145.42, respectively. Bitcoin SV (BSV), meanwhile, lagged the broader crypto market, up just 4.78% since end of day Friday to USD$108.42.  
  • Members of US Congress introduced a bill last week to combat Iran’s efforts to develop its own cryptocurrency in order to avoid sanctions. Introduced by Wisconsin Representative Mike Gallagher, the, “Blocking Iran Illicit Finance Act,” calls for sanctions against those who knowingly provide funding, services, or, “technological support, used in connection with the development of Iranian digital currency.”  
  • The launch of Bakkt, a cryptocurrency exchange venture headed by the Intercontinental Exchange, may be delayed once again after the company set a January 24th, 2019 launch date just weeks ago, according to a report by CoinDesk. As Bakkt intends to offer Bitcoin (BTC) futures trading and custody services, the platform may be forced to delay its launch once again because it does not have the necessary approvals from the US Commodity Futures Trading Commission (CFTC).  
  • Binance, the world’s largest cryptocurrency exchange, announced the launch of two new trading pairs against Ripple (XRP) in a blog post Monday. Binance will begin offering the TRX/XRP (TRON) and XZC/XRP (Zcoin) trading pairs, marking the first time that Binance will use XRP as a base currency. On the news, XRP jumped up to 24% to trading at a high of USD$0.44/token. 
     

Cryptocurrencies Today

*Data in Price Return and Updated Real-Time (with a delay), Source: StockDio

High Machine Learning Accuracy Rates for CryptocurrenciesHigh Machine Learning Accuracy Rates for Cryptocurrencies

Events Calendar

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Company Name Ticker Event Date Event Type Q-Factor Score
Renren Inc. RENN 12/25/2018 Estimated Earnings Release Date China All-Cap: F
CLPS Incorporation CLPS 12/26/2018 Estimated Earnings Release Date China All-Cap: D
Greentown Service Group Co. Ltd. SEHK:2869 12/27/2018 Estimated Earnings Release Date China All-Cap: C
CT Environmental Group Limited SEHK:1363 12/27/2018 Estimated Earnings Release Date China All-Cap: D
Lamb Weston Holdings, Inc. LW 1/4/2019 Earnings Release Date US Large-Cap: A, US Consumer Staples: C
RPM International Inc. RPM 1/4/2019 Earnings Release Date US Large-Cap: C
Bed Bath & Beyond Inc. BBBY 1/8/2019 Estimated Earnings Release Date US Large-Cap: D, US Consumer Discretionary: D
MSC Industrial Direct Co., Inc. MSM 1/8/2019 Estimated Earnings Release Date US Large-Cap: B, US Industrials: C
Farmmi, Inc. FAMI 1/8/2019 Estimated Earnings Release Date China All-Cap: D
Acuity Brands, Inc. AYI 1/9/2019 Earnings Release Date US Large-Cap: C, US Industrials: C
Constellation Brands, Inc. STZ 1/9/2019 Earnings Release Date US Large-Cap: B, US Consumer Staples: C
Lennar Corporation LEN 1/9/2019 Earnings Release Date US Large-Cap: A, US Consumer Discretionary: C
KB Home KBH 1/9/2019 Earnings Release Date US Large-Cap: C, US Consumer Discretionary: D
Delta Air Lines, Inc. DAL 1/9/2019 Estimated Earnings Release Date US Large-Cap: C, US Industrials: C
SYNNEX Corporation SNX 1/10/2019 Earnings Release Date US Large-Cap: D, US Information Technology: C
First Republic Bank FRC 1/10/2019 Estimated Earnings Release Date US Large-Cap: B

Source: S&P Capital IQ

 

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