Morning Quant Ride Feb 9, 2018

Feb 09, 2018

Traders’ Corner

US equity futures are pointing to another volatile trading session in NY today.  S&P500 March 18 futures were up almost 1.0% this morning; currently, the March 18 futures contract is relatively flat.  The VIX appears to be pointing to a more “quiet” day in equity derivatives with VIX current flat at ~33.44.  Bloomberg, this morning, highlights buying the S&P500 after VIX spikes pays 80% of the time.  While this may be a prudent strategy, buying the Russell 2000 iShare (IWM) may offer upside given its exposure to any domestic infrastructure stimulus package.  The outlook for Russell 2000 stocks remains positive with earnings expected to grow ~130.4% over the next 12-months  Pre-market, forward 30-day ATM implied volatility implies a 6 standard deviation downward move in IWM while the spread between implied and realized volatility is at the ~90% percentile.  These data points would suggest the risk premium for IWM is too high.  90-110 Skew points to a similar conclusion with IWM Skew at the 99% percentile.  Given these factors, would suggest investors consider the following:
  • IWM March 153/138 Risk Reversal
  • IWM March 146/154/161 Call Butterfly
Global stocks are falling again today with the MSCI World Index headed for its largest weekly drop since 2011; currently, it is down 6.40%. Asian Markets closed significantly lower with the Shanghai composite experiencing the biggest drop, down 4.05%. The Nikkei 225 was down 2.32%, with trading volume was 24.52% above its 100-day average. In Hong Kong equity markets, the Hang Seng fell 3.10%.

 

European stocks are dropping this morning, with the STOXX Europe 600 down 1.10%.  Financials are the biggest laggards in European equity markets with Financials and Energy the biggest sector laggards. Trading volume is also elevated in Europe, with the European Composite’s volume 28.52% above its 100-day average.  The FTSE 100, Dax and CAC40 are also significantly lower, down 0.63%, 1.37%, and 1.16% respectively.

Yesterday, US equity markets declined again with the S&P500 down 3.75% while the Russel 2000 was down 2.93%.  Financial stocks were biggest sector laggard in the S&P 500 down, 4.51% - even after NY Fed President Dudley’s comment about the probability of 4 rate hikes in CY2018.  Higher rates should lead to expanding net interest margin, a key driver of profitability for banks.  As a result, we suggest investors consider some of our A-Rated Laggards in the Financials sector that should benefit from rate hikes:

QuantShot: Citizen’s Financial Group – 18.69% off its 52wkH

QuantShot: Prudential Financial – 12.52% off its 52wkH, reports earnings on 2/08

Zion’s Bancorp –8.81% off its 52wkH

Tech, Consumer Discretionary, and Industrials stocks were also laggards today, down 4.22%, 4.02%, and 3.95% respectively. We will we watching to see how these stocks perform after the market open:

QuantShot: Comcast – 13.20% off its 52wkH

QuantShot: Cummins Inc. – 14.65% off its 52wkH

QuantShot: Domino’s Pizza – 10.52% off its 52wkH, reports earnings on 2/20

QuantShot: Euronet – 21.36% off its 52wkH

QuantShot: Facebook – 12.15% off its 52wkH

QuantShot: FedEx – 12.89% off its 52wkH, reports earnings on 3/21

QuantShot: Home Depot – 12.71% off its 52wkH, reports earnings on 2/20

QuantShot: Lowe’s – 12.82% off its 52wkH, reports earnings on 2/28

QuantShot: Micron Technology –19.82 off its 52wkH, reports earnings on 3/22

QuantShot: Stanley Black & Decker – 13.45% off its 52wkH

QuantShot: Vishay Intertechnology – 24.32% off its 52wkH

QuantShot: Wingstop – 11.51% off its 52wkH, reports earnings on 2/23

QuantShot: Wynn Resorts – 16.87% off its 52wkH

Yum! Brands – 12.23% off its 52wkH 

Blog Posts from Yesterday:

Goldman Says Most Cryptocurrencies to Hit Zero

 

Volatility “May be a Healthy Thing” Says Fed’s Kaplan

Risk-parity Funds and The Selloff

Our Top Picks in the News

Click headline for story
In-Store Tracking Tech Gets Personalized (PYMNTS.com)

Walmart (WMT)

Walmart in talks to spend billions for Flipkart stake (The Edge Markets)
Top Conviction Short in February, please see Quantamize Global Top Picks US Consumer Staples report

 

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

Fiserv (FISV)

Fiserv upgraded to Buy at SunTrust on bottoming revenue and 'next-gen' solutions (TheFly)
Top Conviction Short in February, please see Quantamize Global Top Picks US Large Cap report

Motorola Solution (MSI)

Motorola Solutions initiated with a Neutral at JPMorgan (TheFly)
Top Conviction Short in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Motorola QuantShot company report from February 5th

Tesla Inc (TSLA)

Tesla is plummeting as it continues to ‘wade through the weeds’ (Markets Insider)
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

Prudential Financial (PRU)

Prudential Financial Sees Profit Boost From Tax Overhaul (WSJ)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Prudential QuantShot company report from February 7th      

BlackRock (BLK)

BlackRock seeks to raise $10 billion to make direct investments in companies (MarketWatch)
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   

Priceline (PCLN)

Priceline: Don't Jump On This Ship Without Knowing All The Facts (seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

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

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2581.00

0.00%

-4.97%

-5.03%

0.30%

Russell 2000

1463.79

0.00%

-4.55%

-4.25%

-1.79%

DJ Industrial Average

23860.46

0.00%

-4.94%

-4.80%

0.70%

NASDAQ Composite Index

6777.16

0.00%

-4.52%

-4.85%

2.15%

CBOE Market Volatility Index

33.69

-

-

-

-

Germany DAX (TR)

12047.09

-1.74%

-3.18%

-5.59%

-2.53%

France CAC 40

5071.38

-1.56%

-3.64%

-4.82%

-1.07%

Japan Nikkei 225

21382.62

-2.32%

-7.84%

-5.23%

-4.92%

Hang Seng Index

29507.42

-3.10%

-7.10%

-7.41%

1.35%

Hang Seng China Enterprises

11901.67

-3.87%

-7.45%

-8.71%

6.18%

S&P ASX 200

5838.00

-0.89%

-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
FISERV INC FISV Information Technology IT Services

3.00%

-7.80%

-1.49%

SNYDERS-LANCE INC LNCE Consumer Staples Food Products

-0.22%

0.00%

-0.14%

SCRIPPS NETWORKS INTERACTIVE SNI Consumer Discretionary Media

-0.85%

-1.60%

2.13%

SS&C TECHNOLOGIES HLDGS INC SSNC Information Technology Software

-1.12%

-2.62%

19.27%

AMDOCS DOX Information Technology IT Services

-1.56%

-4.92%

-1.04%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
PRUDENTIAL FINANCIAL INC PRU Financials Insurance

-7.01%

-7.76%

-3.31%

UNITED RENTALS INC URI Industrials Trading Companies & Distributors

-6.68%

-3.38%

0.97%

ZIONS BANCORPORATION ZION Financials Banks

-6.13%

-1.75%

6.28%

HP INC HPQ Information Technology Technology Hardware, Storage & Peripherals

-5.53%

-8.15%

0.87%

SNAP-ON INC SNA Industrials Machinery

-5.95%

-1.91%

-4.40%

Source: FactSet            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
TAKE-TWO INTERACTIVE SFTWR TTWO Information Technology Software

-11.67%

-5.98%

6.75%

LAREDO PETROLEUM INC LPI Energy Oil, Gas & Consumable Fuels

-9.34%

-11.53%

-18.28%

EDITAS MEDICINE INC EDIT Health Care Biotechnology

-9.24%

0.27%

19.33%

TESLA INC TSLA Consumer Discretionary Automobiles

-8.63%

-1.22%

10.81%

SERVICENOW INC NOW Information Technology Software

-8.53%

0.24%

17.47%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
SYNAPTICS INC SYNA Information Technology Semiconductors & Semiconductor Equipment

7.20%

-3.60%

2.65%

RIOT BLOCKCHAIN INC RIOT Health Care Biotechnology

3.98%

16.42%

-49.58%

ARMO BIOSCIENCES INC -REDH ARMO Health Care Biotechnology

3.28%

33.73%

-
LONGFIN CORP -REDH LFIN Financials Capital Markets

1.71%

-12.45%

-41.81%

SOUTHWESTERN ENERGY CO SWN Energy Oil, Gas & Consumable Fuels

1.11%

-14.69%

-35.48%

Source: FactSet            

Upcoming Earnings

Company Name Ticker Earnings Date
Entercom Communications Corp. Class A ETM 02/09/2018
First Data Corporation Class A FDC 02/12/2018
Louisiana-Pacific Corporation LPX 02/13/2018
Service Corporation International SCI 02/14/2018
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
Ligand Pharmaceuticals Incorporated LGND 02/21/2018
HP Inc. HPQ 02/21/2018
Zebra Technologies Corporation Class A ZBRA 02/22/2018
Toro Company TTC 02/22/2018
Pinnacle Foods, Inc. PF 02/22/2018
PRA Health Sciences, Inc. PRAH 02/22/2018
Leucadia National Corporation LUK 02/26/2018
NuVasive, Inc. NUVA 02/27/2018
Scripps Networks Interactive, Inc. Class A SNI 02/27/2018
United Therapeutics Corporation UTHR 02/27/2018
Priceline Group Inc PCLN 02/28/2018
Carter's, Inc. CRI 02/28/2018
TJX Companies Inc TJX 02/28/2018

Line for QuantShots

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