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Morning Brief

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Morning Quant Ride

Jul 03, 2018

US Stocks                                                                                                                                                               Start Your Free Trial Today

  • Global stocks are bouncing back going into the US Fourth of July Holiday following news that the German coalition government remained intact following an agreement on immigration and comments by People’s Bank of China (PBOC) Governor Yi Gang that the bank’s policy is for a stable renminbi
  • US stocks index futures are advancing going into the half day of trading in the US with the Dow Jones minis +0.49%, S&P500 minis +0.40% and Nasdaq 100 minis +0.60% -- we don’t recommend our readers interpret too much from market movements in the US given the expected light volume
  • The VIX is currently at 15.08 after closing at 15.60 yesterday
  • Bank of America (BAC) OTM July 6 and OTM January 2019 Calls, SPY July OTM July 6 and OTM July 20 Puts, and QQQ August 17 OTM Puts are the most heavily traded options contracts in the US pre-market
  • The yield on the US 10-year government bond is little changed at 2.875%
  • Global sovereign bonds are flat this morning with little movement in yields across all tenors
  • The USD$ Index (DXY) is -0.24% on the back of a strengthening  GBP£ (+0.38% to 1.3194) and EUR€ (+0.20% to 1.1663)
  • Oil prices are rallying this AM on speculation that the increase in production by Saudi Arabia last month was only enough to maintain OPEC’s total production target: WTI +1.14% to USD$74.78/bbl and Brent +0.98% to USD$78.06/bbl

International Stocks

  • European stocks are rebounding this morning on decent volume following news that German Chancellor Angela Merkel’s Christian Democratic Union (CDU) and its coalition partner Bavarian Christian Social Union (CSU) were able to come to an agreement over an immigration policy: Euro Stoxx 600 +0.89%, FTSE 100 +0.51%, DAX 1.19%, and CAC 40 0.93%
  • Market breadth in Europe is positive with stocks on 49 of the 50 large-cap stocks in the Euro Stoxx 50 advancing (Euro Stoxx 50 +1.23%)
  • VSTOXX, the European stocks equivalent of the VIX, is back down to 16.3392 after closing at 17.9959 yesterday
  • Asian stocks finished mixed following comments from PBOC Governor Yi Gang driving sentiment across major Asia markets: Nikkei 225 –0.12%,  CSI 300 +0.04%, HSI -1.41% and Hang Seng China Enterprise -1.81%
  • PBOC Governor Yi Gang said that that the bank’s policy is to keep the renminbi “stable and reasonable” – the CNY/USD is trading in a range of 6.7181 to 6.6453 today and currently is +0.27% to 6.6503
  • 1-week implied volatility on CNY/USD has spiked up to 7.8985% after holding below 5.0% for the past 3-months; 1-month implied volatility has jumped up to 6.335% after staying below 5.0% for the past 3 months

Cryptos

  • DigiTimes, a premier Asia technology news source has reported that there has been a large decrease in interest for mining hardware, reflecting a potentially important decline in mining capacity. Last year, Ethereum’s hash rate grew by over 25 times, and prices for mining hardware increased substantially. However, falling cryptocurrency prices combined with a notable increase in mining difficulty has caused mining growth to stall. The news source claims that GPU prices could drop by over 20% because of decreased demand and an overstocking in GPU cards
  • Coinbase has recently launched a new cold storage custody option called Coinbase custody. According to Bloomberg, Coinbase has accepted 10 deposits from hedge funds and family offices for the new service. Coinbase is currently offering custody for more than USD$20bn in crypto assets according to Sam Mcingvale, head of Coinbase custody. The new custody service requires a minimum balance of USD$10mm and charges a 0.10% monthly fee and a USD$100,000 set up charge
  • A group of European banks have announced that they have completed a cross-border financial trade using IBM’s blockchain platform, we.trade. The transaction was completed over the last week and involved 10 companies and four partner banks
  • The initial coin offering (ICO) market is still setting records with almost USD$12bn raised in the first half of 2018, according to Coinschedule. In comparison, USD$3.8bn of ICO funding was raised in 2017. ICOs remain controversial as a recent study claims that 20% of ICOs are scams. Bitcoinist is reporting that there are now 800 ICO tokens that are dead, meaning there is no liquidity

*Data in Price Return, Source: Stockdio

S&P 500 Sector Performance

*Data in Total Return, Source: Stockdio

Conviction Buy Laggards From Yesterday We Are Watching Today

Click name for Q-Factor rating and financial data.

Allison Transmission Holdings, Inc. - 12.08% off its 52wkH on 10/31/2017, reports earnings on 07/27/2018

Broadcom Inc. - 10.95% off its 52wkH on 01/00/1900, reports earnings on 09/06/2018

Lam Research Corporation - 26.32% off its 52wkH on 03/13/2018, reports earnings on 07/26/2018

Photronics, Inc. - 25.47% off its 52wkH on 11/29/2017, reports earnings on 08/15/2018

SMART Global Holdings, Inc. - 43.96% off its 52wkH on 01/00/1900, reports earnings on 09/28/2018

Texas Instruments Incorporated - 8.70% off its 52wkH on 01/23/2018, reports earnings on 07/24/2018

Stocks Trending in the News

Click name for Q-Factor rating and financial data.

AZZ Inc (AZZ) reported 1Q2018 EPS that was higher than expected ($0.60 vs $0.49). Shares of AZZ Inc are trading 0.23% higher to $43.60 pre-market

CK Hutchison Holdings (SEHK:1) has agreed to take full control of its Italian mobile phone joint venture, and will pay $2.9 billion to Veon Ltd (VEON) for its 50% stake in the company’s Wind Tre SpA joint venture

According to a Washington Post report, US Department of Justice’s investigation into Facebook’s (FB) data sharing with Cambridge Analytica has been joined by the FBI, the SEC, and the FTC

Glencore Plc (LSE:GLEN) is down 9.32%  to €3.16 per share today, following reports that the US Department of Justice has subpoenaed the company to turn over documents related to possible corruption and money laundering practices

Lockheed Martin (LMT) has been chosen to develop Japan’s advanced radar for its multi-billion dollar missile defense system. Under the agreement, Japan would purchase and deploy two Aegis Ashore batteries for deployment in 2023

PepsiCo (PEP) has been downgraded from a buy to a hold rating at Deutsche Bank. PepsiCo shares are trading 0.41% lower to $109.08 pre-market

Roku Inc (ROKU) shares are trading 3.16% higher to $44.66 before the open, after the company was upgraded to outperform from a market perform rating at Oppenheimer & Co, with a price target set at $50

TechnipFMC (FTI) shares are trading 0.95% higher to $30.96 before the open, despite the company being downgraded to neutral from buy rating a Citigroup

Cryptocurrencies Today

*Source: Stockdio

Stock Movers

Conviction Buy Winners and Losers

On Mobile/Tablet scroll to the right. 

Winners  Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Micron Technology, Inc. MU Information Technology Semiconductors 3.89% 4.25% 32.49%
Fortinet, Inc. FTNT Information Technology Systems Software 2.40% 3.45% 46.33%
VeriSign, Inc. VRSN Information Technology Internet Software and Services 2.04% 3.56% 22.53%
Ligand Pharmaceuticals Incorporated LGND Healthcare Biotechnology 1.94% 6.33% 54.22%
Cintas Corporation CTAS Industrials Diversified Support Services 1.93% 2.33% 21.06%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Jefferies Financial Group Inc. JEF Financials Multi-Sector Holdings -1.06% -0.97% -1.06%
Tractor Supply Company TSCO Consumer Discretionary Specialty Stores -0.98% -2.72% -0.98%
Burlington Stores, Inc. BURL Consumer Discretionary Apparel Retail -0.80% -0.87% -0.80%
PVH Corp. PVH Consumer Discretionary Apparel, Accessories and Luxury Goods -0.72% -1.90% -0.72%
Allison Transmission Holdings, Inc. ALSN Industrials Construction Machinery and Heavy Trucks -0.79% 0.60% -0.79%

Source: S&P Capital IQ

Conviction Short Winners and Losers

On Mobile/Tablet scroll to the right. 

Winners Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Airborne Wireless Network ABWN Telecommunication Services Alternative Carriers -54.17% -81.67% -54.17%
Domo, Inc. DOMO Information Technology Application Software -12.27% 12.35% -12.27%
Avalara, Inc. AVLR Information Technology Application Software -8.71% 6.61% -8.71%
Rowan Companies plc RDC Energy Oil and Gas Drilling -4.56% -3.97% -4.56%
Apache Corporation APA Energy Oil and Gas Exploration and Production -4.43% -2.64% -4.43%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
ACADIA Pharmaceuticals Inc. ACAD Healthcare Biotechnology 9.43% 5.29% -44.50%
Sangamo Therapeutics, Inc. SGMO Healthcare Biotechnology 6.69% 8.21% -7.62%
AnaptysBio, Inc. ANAB Healthcare Biotechnology 6.35% 7.91% -24.99%
Madrigal Pharmaceuticals, Inc. MDGL Healthcare Biotechnology 5.83% 7.92% 222.46%
Intercept Pharmaceuticals, Inc. ICPT Healthcare Biotechnology 5.71% 12.59% 51.83%

Source: S&P Capital IQ

Events Calendar

On Mobile/Tablet scroll to the right. 

Company Name Ticker Event Date Event Type Q-Factor Score
CT Environmental Group Limited SEHK:1363 7/3/2018 Estimated Earnings Release Date China All-Cap: C
Apex Ace Holding Limited SEHK:6036 7/3/2018 Estimated Earnings Release Date China All-Cap: F
Razer Inc. SEHK:1337 7/3/2018 Estimated Earnings Release Date China All-Cap: F
Nissin Foods Company Limited SEHK:1475 7/3/2018 Estimated Earnings Release Date China All-Cap: C
SIG plc SHI 7/4/2018 Estimated Earnings Release Date China All-Cap: A
Healthcare Services Group, Inc. HCSG 7/9/2018 Estimated Earnings Release Date US Large-Cap: D, US Industrials: C