Morning Quant Ride Feb 7, 2018

Feb 07, 2018

Traders’ Corner

Yesterday’s trading session was volatile with the VIX trading above 50 before closing below 30.  US equities exhibited similar volatility with both the S&P500 and Russell 2000 swinging between gains and losses before settling in positive territory: the S&P500 closed up 1.74% and the Russell 2000 closed up 1.08%.  In yesterday’s note we suggested options investors/traders consider a VXX March 2 Bear Call Spread.  The VXX closed down below  our targeted spread of 45/50.  We expect the short gamma trade to continue to perform well as the VIX normalizes downward to its mean level of ~16.  As we mentioned in our note yesterday, we see no structural macro imbalances to explain a 6 standard deviation implied downward move in the S&P500 by the VIX.

Asian Equity markets closed mixed yesterday, as Australia and Japan both rallied, and Chinese equity markets fell. No market moving news came out of Asia, as the markets didn’t react much to the US Equities momentum from the day before.

European equity markets are gaining this morning after the markets fell into the oversold territory following the recent global equity sell-off. Euro Stoxx 600 is seeing most of its sectors moving higher as the index is expected to see its first gain in 8 days.

US Equity Futures are lower this morning following yesterday’s rally. The dollar is stronger against most majors, though falling against the Yen and the Australian Dollar.

Wynn Resorts, an A-rated stock on our Consumer Discretionary Quant Model is up over 8% this morning following iconic CEO Steve Wynn step down. See why it is one of the top stocks on our Quant Model:

QuantShot: Wynn Resorts

US equity markets rebounded yesterday following a sharp sell-off on Monday. Despite yesterday's rally, a lot of our A-rated stocks continue to trade at attractive entry prices. Below are a few A-rated stocks that investors should consider:

QuantShot: Cummins – 9.96% off its 52wkH

QuantShot: Darden Restaurants – 5.72% off its 52wkH, reports earnings on 3/23

QuantShot: Domino’s Pizza – 6.06% off its 52wkH, reports earnings on 2/27

Dunkin’ Brands – 12.77% off its 52wkH

QuantShot: FedEx – 8.91% off its 52wkH, reports earnings on 3/21

QuantShot: HP Inc. – 11.08% off its 52wkH, reports earnings on 2/21

QuantShot: Intel – 11.68% off its 52wkH

Momo – 39.86% off its 52wkH, reports earnings on 3/07

TJX Companies – 6.71% off its 52wkH, reports earnings on 2/28

QuantShot: Vishay Intertechnology – 18.45% off its 52wkH

QuantShot: Walmart – 8.26% off its 52wkH, reports earnings on 2/20

Wingstop – 3.04% off its 52wkH, reports earnings on 2/23

YY – 14.54% off its 52wkH, reports earnings on 3/08

Our Top Picks in the News

Click headline for story

Wyndham Worldwide Corporation (WYN)

Wyndham Nears Deal to Sell European Vacation-Rentals Business to Platinum (Wall Street Journal)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

Cognizant Technology Solutions (CTSH)

Cognizant's profit, revenue beat estimates as clients spend more (Reuters)

Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

See more on our Cognizant QuantShot company report from February 2nd

Wynn Resorts (WYNN)

Steve Wynn steps down as CEO of Wynn Resorts after misconduct allegations(CNN Money)

Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

See more on our Wynn QuantShot company report from January 10th

Dr Pepper Snapple Group (DPS)

What Happens If You Mix Keurig Coffee and Dr Pepper? Bob Gamgort Aims to Find Out (WSJ)

Top Conviction Short in February, please see Quantamize Global Top Picks US Consumer Staples report

See more on our Dr Pepper Snapple QuantShot company report from February 6th   

Cisco (CSCO)

Dividend-Hunt Buys: IBM, Kroger, Cisco Systems (Barron’s)

Top Conviction Short in February, please see Quantamize Global Top Picks US Large Cap report

See more on our Cisco QuantShot company report from February 6th  

Priceline Group (PCLN)

Priceline Group (NASDAQ:PCLN) Price Target Increased to $2,200.00 by Analysts at SunTrust Banks

Top Conviction Short in February, please see Quantamize Global Top Picks US Consumer Discretionary report

See more on our Priceline QuantShot company report from February 6th 

Global Indices

Index

Level

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2695.14

0.00%

-0.54%

0.00%

5.62%

Russell 2000

1507.17

0.00%

-1.67%

0.00%

2.57%

DJ Industrial Average

24912.77

0.00%

-0.92%

0.00%

5.79%

NASDAQ Composite Index

7115.88

0.00%

0.00%

0.00%

7.36%

CBOE Market Volatility Index

29.32

-

-

-

-

Germany DAX (TR)

12485.05

0.75%

-0.82%

-0.12%

2.10%

France CAC 40

5195.14

0.65%

0.01%

0.20%

3.19%

Japan Nikkei 225

21645.37

0.16%

-2.41%

1.68%

1.46%

Hang Seng Index

30323.20

-0.89%

0.71%

-0.75%

9.92%

Hang Seng China Enterprises

12433.29

-2.00%

1.30%

-0.94%

15.82%

S&P ASX 200

5876.80

0.75%

-0.20%

0.87%

-0.45%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
LENNAR CORP LEN Consumer Discretionary Household Durables

4.75%

-9.66%

-8.76%

CISCO SYSTEMS INC CSCO Information Technology Communications Equipment

3.58%

-8.21%

1.25%

LABORATORY CP OF AMER HLDGS LH Health Care Health Care Providers & Services

3.34%

-8.03%

2.33%

UNITED THERAPEUTICS CORP UTHR Health Care Biotechnology

3.20%

-6.51%

-14.08%

RH RH Consumer Discretionary Specialty Retail

3.06%

-11.03%

4.16%

Large Cap A Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
NUVASIVE INC NUVA Health Care Health Care Equipment & Supplies

-2.07%

-3.12%

-17.25%

XYLEM INC XYL Industrials Machinery

-1.83%

-0.56%

6.54%

FIDELITY NATIONAL INFO SVCS FIS Information Technology IT Services

-1.52%

-5.32%

3.31%

ARTHUR J GALLAGHER & CO AJG Financials Insurance

-1.19%

-4.01%

4.30%

BLACK HILLS CORP BKH Utilities Multi-Utilities

-1.26%

-5.60%

-12.81%

Source: FactSet            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
ARCONIC INC ARNC Industrials Aerospace & Defense

-4.68%

-11.36%

-2.68%

NEKTAR THERAPEUTICS NKTR Health Care Pharmaceuticals

-4.50%

-0.01%

38.04%

ADT INC -REDH ADT Industrials Commercial Services & Supplies

-2.69%

1.94%

-
PANDORA MEDIA INC P Information Technology Internet Software & Services

-1.63%

6.51%

1.87%

TAUBMAN CENTERS INC TCO Real Estate Equity Real Estate Investment Trusts (REITs)

-1.32%

-8.08%

-13.07%

Large Cap F Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
RIOT BLOCKCHAIN INC RIOT Health Care Biotechnology

21.03%

-25.07%

-62.32%

ARRAY BIOPHARMA INC ARRY Health Care Biotechnology

15.54%

-4.54%

10.08%

MENLO THERAPEUTICS INC -REDH MNLO Health Care Pharmaceuticals

13.12%

-11.68%

-
LONGFIN CORP -REDH LFIN Financials Capital Markets

10.73%

-20.55%

-43.06%

ACADIA PHARMACEUTICALS INC ACAD Health Care Biotechnology

7.02%

-12.20%

-10.63%

Source: FactSet            

Upcoming Earnings

Company Name Ticker Earnings Date
Intercontinental Exchange, Inc. ICE 02/07/2018
Jack Henry & Associates, Inc. JKHY 02/07/2018
Euronet Worldwide, Inc. EEFT 02/07/2018
Cognizant Technology Solutions Corporation Class A CTSH 02/07/2018
Cerner Corporation CERN 02/07/2018
Regeneron Pharmaceuticals, Inc. REGN 02/08/2018
Snap-on Incorporated SNA 02/08/2018
Black Knight, Inc. BKI 02/08/2018
Sealed Air Corporation SEE 02/08/2018
Fiserv, Inc. FISV 02/08/2018
Prudential Financial, Inc. PRU 02/08/2018
Torchmark Corporation TMK 02/08/2018
FleetCor Technologies, Inc. FLT 02/09/2018
Entercom Communications Corp. Class A ETM 02/09/2018
First Data Corporation Class A FDC 02/12/2018
Ligand Pharmaceuticals Incorporated LGND 02/13/2018
Louisiana-Pacific Corporation LPX 02/13/2018
Service Corporation International SCI 02/13/2018
Snyder's-Lance, Inc. LNCE 02/14/2018
DaVita Inc. DVA 02/14/2018
Zoetis, Inc. Class A ZTS 02/15/2018
Cisco Systems, Inc. CSCO 02/15/2018
Pilgrim's Pride Corporation PPC 02/15/2018
NetApp, Inc. NTAP 02/15/2018
Marriott International, Inc. Class A MAR 02/15/2018
V.F. Corporation VFC 02/16/2018
SS&C Technologies Holdings, Inc. SSNC 02/16/2018

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