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Morning Brief

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

US index futures continue yesterday’s late afternoon rally with CAPE ratio suggesting the S&P 500 may be a Buy

Dec 28, 2018

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Market data as of 7am EST

 

US Stocks

  • US stock index futures are trading at early morning highs as the post-Christmas rally continues with front-month Dow Jones minis +0.53%, S&P 500 minis +0.56%, and Nasdaq 100 minis +0.41%
  • Yesterday, the S&P 500 reversed a 2.8% loss intraday to finish positive, the biggest intraday reversal since 2010 – 410 stocks out of the 500 stocks in the S&P 500 flipped from neutral or negative to positive in the afternoon!
  • According to an analysis of the S&P 500 cyclically adjusted P/E ratio (CAPE), S&P 500 stocks valuations are in-line with their long-run average : the spread between the CAPE Yield (inverse of the CAPE) minus the “real” yield for the US 10-year is at 2.64%, in-line with its average over the last 4 decades, which suggests the implied risk premium for the S&P 500 is  not low and that stocks are not “expensive” 
  • The VIX is  moving down this morning and is currently at 29.08 after closing at 29.96 yesterday
  • HYG March 2019 OTM Puts, XOP February 15 OTM Puts, SPY December 28 OTM Puts and Apple (AAPL) December 28 OTM Calls are some of the most actively traded options contracts in the US pre-market
  • US 10-Year Treasury Bonds are higher with yields down -0.92 basis points to 2.7574%
  • The US Treasury 2s-10s Spread has narrowed 1.32 basis points to 0.19%
  • WTI Crude is currently down -3.48% to USD$44.61/bbl with the Brent-WTI spread up USD$3.44 to USD$8.01/bbl
  • Gold is currently little changed 0.24% to USD$1278.83/oz

Stocks Trending in the News

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

  • Amazon (AMZN) is in talks with the New York Yankees about buying the regional sports network YES from Disney (DIS), according to the Wall Street Journal.  The Yankees already own 20% of YES and have first rights on buying the rest.  Disney is said to be seeking USD$5-6 billion for the network.  Amazon is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Consumer Discretionary Global Top Stock Ideas.  Disney is rated “Attractive” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Consumer Discretionary Global Top Stock Ideas.
  • American Airlines (AAL) suffered flight cancellations and delays in New York after an electrical outage.  Its operations at LaGuardia airport were interrupted after the airport briefly lost power last night.  American Airlines canceled flights and delayed others as the airport switched to backup generators.  American flights were expected to return to normal today.  American Airlines is rated “Top Short” in our US Large-Cap Global Top Stock Ideas and “Unattractive” in our US Industrials Global Top Stock Ideas.
  • Canadian marijuana producer Aphria Inc. (TSX: APHA) said that a proposed CAD$2.8bn (USD$2.1bn) hostile offer by Green Growth Brands Ltd. is significantly undervalued. The proposed bid is roughly 23% below Aphria’s 20-day average share price. “The board has determined that the GGB proposal, as it currently stands, significantly undervalues the company,” said Aphria Chairman Irwin Simon. Aphria is not rated in our Global Top Stock Ideas.
  • Boeing (BA) has won an order for 11 737-Max jets from BOC Aviation Ltd. (SEHK: 2588), according to press reports out of Asia.  BOC Aviation Ltd. has signed a lease with unidentified airlines for the jets.  BOC Aviation Ltd. will have the option for an undisclosed number of additional jets from Boeing, according to the report.  BOC Aviation Ltd. is rated “Attractive” in our China All-Cap Global Top Stock Ideas.  Boeing is rated “Attractive” in our US Large-Cap Global Top Stock Ideas and “Neutral” in our US Industrials Global Top Stock Ideas.
  • Consolidated Edison (ED), the electricity provider for New York City, suffered an explosion at a substation in Queens.  The explosion illuminated the night sky with a blue light that could be seen for miles.  Residents called police reporting a plane crash with some believing that aliens had landed.  The explosion cut electricity to LaGuardia airport temporarily.  Consolidated Edison is rated “Neutral” in our US Large-Cap Global Top Stock Ideas.
  • HMV Group (LSE: HMV) has filed for insolvency for the second time in 6 years after observing disappointing sales over the holiday period. The 97-year old music and entertainment retailer’s potential liquidation threatens 2,025 jobs. In January 2013, HMV entered insolvency procedures after the trend towards online streaming services dragged down sales. HMV is not rated in our Global Top Stock Ideas.
  • JPMorgan Chase & Co. (JPM) has been fined HK$12.5mm (USD$1.6mm) by the Hong Kong Monetary Authority for failing to meet anti-money laundering and counter-terrorist financing law requirements. JPMorgan Hong Kong reportedly violated 6 different provisions of the laws between April 2012 and February 2014 relating to lack of customer due diligence and improper handling of wire transfers. JPMorgan is rated "Neutral” in our US Large-Cap Global Top Stock Ideas.
  • Nissan (TSE: 7201) said it will cut car production by 20% on less China demand.  Nissan will cut production by 30,000 units in the next quarter, according to press reports.  Nissan produced 400,000 cars in China in the last quarter.  Nissan in rated “Top Buy” in our Japan Large-Cap Global Top Stock Ideas.
  • Sony (SNY, TSE: 6758) said it will boost production of chips for next-generation 3D cameras for mobile phones after interest from phone manufactures.  Sony said it will ramp up mass production of the chips this summer when they will already be powering a number of mobile phones.  Sony did not give production estimates but said the unit is already profitable.  Sony is rated “Top Buy” in our Japan Large-Cap Global Top Stock Ideas.
  • On Friday Tesla (TSLA) will institute the changes it agreed to with the US Securities and Exchange Commission.  The SEC wants 2 new independent board members and they will start on Friday.  Additionally, it wants CEO Elon Musk’s tweets monitored much more closely for inappropriate content.  Telsa is rated “Top Short” in our US Large-Cap Global Top Stock Ideas and “Neutral” in our US Consumer Discretionary Global Top Stock Ideas.
  • The European Union (EU) has published draft guidelines for ethical artificial intelligence (AI) development that will impact tech giants like Alphabet Inc. (GOOGL) and Microsoft Inc. (MSFT). The EU plans to invest 1.5bn euro in AI by 2020 while working to ensure privacy and ethics in the process. Alphabet is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Neutral” in our US Information Technology Global Top Stock Ideas. Microsoft is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Neutral” in our US Information Technology Global Top Stock Ideas.
  • Transocean (RIG) has signed a five-year drilling contract and rig design and construction management contract with Chevron USA (CVX). The deal will see the completion of two ultra-deepwater drillships that are already under construction. The drilling contract alone is worth an estimated USD$830mm. Transocean is not rated in our Global Top Stock Ideas. Chevron is rated “Attractive” in our US Large-Cap Global Top Stock Ideas.
  • Verizon (VZ) customers suffered nationwide telecom service disruption after CenturyLink, a contractor that handles data network traffic management for Verizon, suffered a failure in its network.  Verizon did not say how many people were affected but data and mobile service was affected in various parts of the United States.  Verizon is rated “Attractive” in our US Large-Cap Global Top Stock Ideas
     

 

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European Stocks

  • European stocks are advancing in sympathy with US stock index futures this morning with a broad rally across Europe
  • The Euro Stoxx 600 is currently up +1.86%, the FTSE 100 is higher by +1.88%, the DAX has advanced +1.83%, and the CAC 40 has risen +1.9%
  • Investor sentiment for European stocks is positive with the advance/decline ratio for the Euro Stoxx 600 currently at 24x
  • Oil & Gas (+2.36%), Technology (+2.33%), and Insurance (+2.27%) stocks are the top performers in the Euro Stoxx 600 today
  • Real Estate (+0.99%), Automobiles & Parts (+1.24%), and Utilities (+1.32%) stocks are the worst performers in the Euro Stoxx 600 today
  • 8 stocks in the Euro Stoxx 600 are at 4-week highs while 314 stocks are at 4-week lows
  • 3 stocks in the Euro Stoxx 600 are overbought while 119 stocks are oversold according to the 16-day RSI Measure
  • VSTOXX, the European stocks equivalent of the VIX, is  moving down this morning and is currently at 23.37 after closing at 25.69 yesterday
  • The current price level for the VSTOXX, in spite of the rally in European stocks, remains at elevated levels
  • EUR€ is currently up +0.359% against the USD$ to 1.1471
  • GBP£ is currently up +0.395% against the USD$ to 1.2694
  • CHF is currently up +0.682% against the USD$ to 1.0192
  • German 10-Year Bunds are lower with yields up 0.4 basis points to 0.235%
  • UK 10-Year GILTs are higher with yields down -2.8 basis points to 1.281%

Asian Stocks

  • Asia stocks finished the last trading day of this volatile week mixed with Chinese and Hong Kong stocks rebounding to book modest gains 
  • The Nikkei 225 finished down 0.31%, the Hang Seng ended up +0.1%, the Hang Seng China Enterprise up +0.01%, and the CSI 300 was +0.67%
  • The Shanghai composite finished CY2018 as the world’s worst stock market index, finishing down more than 24% for the year
  • Investor sentiment for Japanese stocks finished negative with the advance/decline ratio for the Nikkei 225 closing at 0.99x
  • 1 stock in the Nikkei 225 hit 4-week highs while 0 stocks reached 4-week lows
  • 0 stocks in the Nikkei 225 closed overbought while 13 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 1.17x
  • 4 stocks in the Hang Seng hit 4-week highs while 11 stocks reached 4-week lows
  • 0 stocks in the Hang Seng closed overbought while 6 stocks closed oversold according to the 16-day RSI Measure
  • Japan 2-Year Government Bonds are higher with yields down -1.7 basis points to -0.141%
  • Japan 10-Year Government Bonds are higher with yields down -2.3 basis points to 0.003%
  • JGBs 2s-10s Spread has narrowed 0.6 basis points to 0.14%
  • JPY¥ is currently down -0.64% against the USD$ to 110.3
     

 

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

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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 139 4.57 -6 1 -2.09% -5.65%
Morgan Stanley 120 2.29 -2 3 -2.3% 2.47%
International Business Machines Corp 114 2.71 -1 -3 0.43% 0.91%
Goldman Sachs Group Inc/The 82 1.86 -9 12 -3.33% 0.69%
JPMorgan Chase & Co 78 2 -2 8 0.07% 2.8%

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
Occidental Petroleum Corp 3 5 -10 9 -14.07% -18.94%
Visa Inc 56 4.86 -1 2 -0.03% 4.59%
Walt Disney Co/The 8 4.71 -4 -14 -0.85% -3.08%
BlackRock Inc 139 4.57 -6 1 -2.09% -5.65%
Procter & Gamble Co/The 10 4.57 2 -4 0.15% 1.66%

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 27.23 99.6% 23.27 99.21% 0.85 3.17% -3.1 23.02% -0.88 38.89%
QQQ 32.95 99.6% 28.9 99.21% 0.88 6.94% -5.33 22.62% -4.51 24.6%
IWM 29.79 99.6% 25.96 99.21% 0.87 3.97% -1.31 25.6% -0.11 33.93%
FEZ 23.28 98.41% 21.74 99.21% 0.93 18.45% 2.53 75.4% 2.95 83.33%
EEM 24.58 88.89% 24.31 96.83% 0.99 38.89% 3.51 85.32% -1.07 40.28%

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
NORTHROP GRUMMAN CORP NOC Industrials Aerospace & Defense 2.94% -5.59% -22.68%
FORTINET INC FTNT Information Technology Software 2.62% 0.53% 46.19%
MSCI INC MSCI Financials Capital Markets 2.61% 1.48% 14.12%
S&P GLOBAL INC SPGI Financials Capital Markets 2.53% 1.27% 1.64%
MOODY'S CORP MCO Financials Capital Markets 2.39% 0.32% -3.25%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
EXPRESS SCRIPTS HOLDING CO ESRX Health Care Health Care Providers & Services -3.69% -6.92% 20.48%
DUNKIN' BRANDS GROUP INC DNKN Consumer Discretionary Hotels, Restaurants & Leisure -1.32% -4.3% -1.21%
SYNOVUS FINANCIAL CORP SNV Financials Banks -1.27% 2.19% -40.6%
STERLING BANCORP STL Financials Banks -1.09% 3.46% -38.03%
LIGAND PHARMACEUTICAL INC LGND Health Care Biotechnology -0.71% 3.04% -1.26%

Source: S&P Capital IQ, StockDio

Top Short Winners and Losers

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Winners Ticker Sector Industry 1D Return 5D Return YTD
IMMUNOMEDICS INC IMMU Health Care Biotechnology -9.89% -14.89% -4.63%
PENNEY (J C) CO JCP Consumer Discretionary Multiline Retail -7.92% -20.44% -128.32%
ROWAN COMPANIES PLC RDC Energy Energy Equipment & Services -4.65% 0.47% -63.15%
PLAINS ALL AMER PIPELNE  -LP PAA Energy Oil, Gas & Consumable Fuels -4.1% -7.49% -0.75%
PORTOLA PHARMACEUTICALS INC PTLA Health Care Biotechnology -3.63% -4.1% -110.0%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
FOSSIL GROUP INC FOSL Consumer Discretionary Textiles, Apparel & Luxury Goods 3.57% -4.83% 61.19%
OASIS PETROLEUM INC OAS Energy Oil, Gas & Consumable Fuels 3.47% 5.35% -43.09%
WHITING PETROLEUM CORP WLL Energy Oil, Gas & Consumable Fuels 3.47% -2.92% -19.15%
CALIFORNIA RESOURCES CORP CRC Energy Oil, Gas & Consumable Fuels 2.79% 1.27% -13.53%
FOCUS FINANCL PRTNR LLC-REDH FOCS Financials Capital Markets 2.71% -11.05% -40.4%

Source: S&P Capital IQ, StockDio

Cryptos

  • Cryptocurrency losses deepened overnight with all major coins in the red and the price of Bitcoin (BTC) down 3.47% in the last 24 hours to USD$3,664.73. Bitcoin Cash (BCH) and Bitcoin SV (BSV) are falling the most among major coins, down 10.91% and 8.89% in the last 24 hours to USD$149.07 and USD$84.11, respectively. IOTA (MIOTA) appears to be the most resilient to losses among major coins, down just 0.42% in the last 24 hours to USD$0.32989.  
  • The National Bank of Kuwait (NBK) is launching a cross-border blockchain remittance platform based on RippleNet, according to an official announcement Thursday. The NBK, which is the largest financial institution in Kuwait with USD$86.3bn of assets under management, will launch NBK Direct Remit in order to increase efficiencies for international transactions. NBK Deputy CEO of group operations and technology, Dimitrios Kokosioulis, explained the financial institution’s reasoning for joining RippleNet by citing an ability for customers to, “make money transfers within seconds,” and at, “any time of the day.” 
  • Huobi, the third-largest cryptocurrency exchange in the world by daily trading volume, has added support to altcoin EOS (EOS) on its derivative market, according to an official press release today. Huobi users will now be able to enter both long and short positions on EOS with a capability to leverage positions up to 20x. Huobi’s decision to add EOS support on its derivatives market comes as part of, “ongoing efforts to address customer demand.” 
     

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
SIG plc SHI 12/28/2018 Estimated Earnings Release Date China All-Cap: C
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
Fastenal Company FAST 1/13/2019 Estimated Earnings Release Date US Large-Cap: A, US Industrials: B
Bank OZK OZK 1/13/2019 Estimated Earnings Release Date US Large-Cap: F
Johnson Electric Holdings Limited SEHK:179 1/13/2019 Estimated Earnings Release Date China All-Cap: C
Citigroup Inc. C 1/14/2019 Earnings Release Date US Large-Cap: C
India Globalization Capital, Inc. IGCC 1/14/2019 Estimated Earnings Release Date US Large-Cap: D

Source: S&P Capital IQ

 

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