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Morning Brief

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Morning Quant Ride Feb 8, 2018

Feb 08, 2018

Traders’ Corner

Asian equities were mixed this morning with the Nikkei 225 leading the way higher, up 1.13%. Mainland China fell 1.43% and Hong Kong was up 0.42%. China reported a weaker than expected trade surplus, which led to a falling yuan overnight.

European markets are down today. The BOE released their policy decision earlier today and gave an optimistic outlook for economic growth. They said they will likely need to raise interest rates earlier than initially expected as the economy heats up.

After some slight profit taking yesterday today US Equity futures are flat.

After yesterday’s close, we priced two macro-related options trades to take advantage of extremely rich implied volatility:

March 23 63.50/57.50 EWJ Risk Reversal

March 23 51.00/46.50 FXI Risk Reversal

Both the MSCI Japan iShare (EWJ) and China Large-cap H-shares iShare (FXI) were pricing in 5 to 6 standard deviation downward moves over the next 30 days.  In both cases, there are no macro imbalances to explain such rich implied volatility.  We expect the implied volatility curves for both the EWJ and FXI to shift downwards to “normal” levels over the next few weeks.  Both risk reversal trades offer a levered exposure to a correction in stock prices in Japanese and Chinese equity markets following Monday’s “technical”-driven global equities sell-off.

US equity markets finished yesterday’s trading session mixed with a negative bias: while both the S&P500 (-50 bps) and the Nasdaq Composite (-90 bps) were down, the Russell 200 closed up 5 bps.  US Tech was one of the top underperformers in the S&P 500 yesterday, finishing down 1.37%.

Yum! Brands, an A-rated stock on our Consumer Discretionary model, released mixed earnings, but shares are ~1% higher pre-market. The company also announced a partnership with Grubhub to drive sales at KFC and Tao Bell in the US. See our Yum! Brands Bull Call:

QOption: Yum! Bull Call

Take-Two Interactive, an F stock on our Large Cap Quant model, released disappointing earnings after the close yesterday. Shares are down 2.7% pre-market. See our Take-Two Bear Call:

QOption: Take-Two Bear Call

This morning, we encourage investors to take advantage of the recent pull-back and focus on a few of our A-rated Tech stocks as the US Equity Markets:

Adobe Systems – 5.92% off its 52wkH, reports earnings on 3/15

QuantShot: Alphabet – 11.90% off its 52wkH

Applied Optoelectronics – 69.51% off its 52wkH

QuantShot: Euronet – 18.19% off its 52wkH

QuantShot: Facebook – 7.75% off its 52wkH

QuantShot: Micron Technology – 15.79 %off its 52wkH, reports earnings on 3/22

QuantShot: Roper Technologies – 8.34% off its 52wkH

QuantShot: Vishay Intertechnology – 20.34% off its 52wkHWe also suggest investors take a look at these A-Rated Laggards from yesterday:

QuantShot: Alibaba – 12.56% off its 52wkH

QuantShot: Costco Wholesale Corporation – 8.35% off its 52wkH, reports earnings on 3/08

QuantShot: Cummins – 11.04% off its 52wkH

Dunkin’ Brands – 14.01% off its 52wkH

Kellogg – 16.27% off its 52wkH, reports earnings on 2/08

QuantShot: Kimberly-Clark – 17.51% off its 52wkH

Las Vegas Sands – 8.03% off its 52wkH

Petmed Express – 23.67% off its 52wkH

QuantShot: Stanley Black & Decker – 9.56% off its 52wkH

QuantShot: Thor Industries – 19.34% off its 52wkH, reports earnings on 3/08

QuantShot: World Wrestling Entertainment – 5.19% off its 52wkH, reports earnings on 2/08

Yum! Brands – 7.82% off its 52wkH, reports earnings on 2/08YY – 16.07% off its 52wkH, reports earnings on 3/08

Our Top Picks in the News

Click headline for story

Cognizant (CTSH)

Cognizant Tech CEO Sees Beginning of Rebound Among Banking Customers (Barron’s)

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

Tesla (TSLA)

Tesla Slows Red-Hot Cash Burn on Model 3 Progress, Deposit Boost Bloomberg)

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

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

Take Two Interactive Software (TTWO)

Take-Two Halted, Drops 7% on FYQ3 Revenue Miss (Barron’s)

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

See more on our Take Two Bear Call Spread and Take Two Call Write trade ideas from February 2nd   

Yum! Brands (YUM)

Yum! Brands and Grubhub Announce New U.S. Growth Partnership (Yum! Brands)

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

See more on our Yum! Brands Bull Call Spread trade idea from February 1st

BlackRock (BLK)

BlackRock looks to raise over $10B for direct investments, WSJ reports (TheFly)

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

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

Tyson Foods (TSN)

Tyson Foods shares jump 4.9% premarket as earnings blow past estimates (MarketWatch)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Staples report   

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2681.66

0.00%

-4.97%

-5.03%

0.30%

Russell 2000

1507.97

0.00%

-4.55%

-4.25%

-1.79%

DJ Industrial Average

-

0.00%

-4.94%

-4.80%

0.70%

NASDAQ Composite Index

7051.98

0.00%

-4.52%

-4.85%

2.15%

CBOE Market Volatility Index

26.97

-

-

-

-

Germany DAX (TR)

12452.56

-1.10%

-3.18%

-5.59%

-2.53%

France CAC 40

5216.76

-0.74%

-3.64%

-4.82%

-1.07%

Japan Nikkei 225

21890.86

1.13%

-7.84%

-5.23%

-4.92%

Hang Seng Index

30451.27

0.42%

-7.10%

-7.41%

1.35%

Hang Seng China Enterprises

12380.38

-0.43%

-7.45%

-8.71%

6.18%

S&P ASX 200

5890.70

0.24%

-3.50%

-2.43%

-3.10%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
COGNIZANT TECH SOLUTIONS CTSH Information Technology IT Services

3.55%

-5.23%

4.06%

ZIONS BANCORPORATION ZION Financials Banks

2.86%

-2.79%

3.32%

CHILDRENS PLACE INC PLCE Consumer Discretionary Specialty Retail

2.38%

-3.34%

-0.38%

ALLIANCE DATA SYSTEMS CORP ADS Information Technology IT Services

2.19%

-5.92%

-4.74%

ABBVIE INC ABBV Health Care Biotechnology

2.18%

-0.91%

14.98%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
EURONET WORLDWIDE INC EEFT Information Technology IT Services

-4.75%

-7.53%

3.00%

ADVANCED ENERGY INDS INC AEIS Information Technology Semiconductors & Semiconductor Equipment

-3.36%

-5.76%

-0.67%

ALIGN TECHNOLOGY INC ALGN Health Care Health Care Equipment & Supplies

-2.95%

-7.84%

8.67%

FACEBOOK INC FB Information Technology Internet Software & Services

-2.52%

-0.77%

4.56%

ALPHABET INC GOOGL Information Technology Internet Software & Services

-2.68%

-8.27%

2.95%

Source: FactSet            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
M/ACOM TECHNOLOGY SOLUTIONS MTSI Information Technology Semiconductors & Semiconductor Equipment

-36.73%

-2.38%

-6.70%

SOUTHWESTERN ENERGY CO SWN Energy Oil, Gas & Consumable Fuels

-8.63%

-7.08%

-29.39%

LONGFIN CORP -REDH LFIN Financials Capital Markets

-7.72%

-11.56%

-36.94%

WHITING PETROLEUM CORP WLL Energy Oil, Gas & Consumable Fuels

-7.71%

-6.63%

-1.55%

CNX RESOURCES CORPORATION CNX Energy Oil, Gas & Consumable Fuels

-7.58%

-8.64%

-12.51%

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

10.58%

-5.82%

-54.40%

ROKU INC ROKU Consumer Discretionary Household Durables

9.05%

3.15%

-19.08%

SPRINT CORP S Telecommunication Services Wireless Telecommunication Services

8.04%

-4.32%

-13.41%

ARRAY BIOPHARMA INC ARRY Health Care Biotechnology

7.80%

9.85%

27.19%

ULTIMATE SOFTWARE GROUP INC ULTI Information Technology Software

7.19%

-7.00%

-0.75%

Source: FactSet            

Upcoming Earnings

Company Name Ticker Earnings Date
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

Line for QuantShots

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