Morning Quant Ride

May 01, 2018

Traders' Corner

Key Highlights

  • US equity futures are flat this morning ahead of Apple (AAPL) earnings later today
  • Pfizer (PFE) reports 1Q2018 Adjusted EPS ahead of Street expectations
  • The yield on the US 10-year is unchanged with the FOMC decision tomorrow
  • The total market capitalization of cryptocurrencies is flat from Friday with some coins like Verge, EOS and Stellar making gains, diverting from a brief drop in Bitcoin
  • Chinese and Indian markets closed, Japanese and Aussie markets end higher
  • European markets higher with Euro Stoxx +0.36%, significant closures in regional markets for May Day

US Stocks Before the Open

US equity futures are relatively flat this morning with the S&P 500 e-mini futures +0.0.019%, Nasdaq 100 e-minis +0.01% and Dow Jones e-minis +0.48%.   Pre-market trading is quiet with major internal exchanges closed for May Day.  Earnings results should dominate investor with Apple (AAPL) reporting earnings after the market close today and Pfizer reporting results pre-market.  Pfizer, this AM, reported 1Q2018 Adjusted Diluted EPS of $0.77, 2 pennies ahead of Consensus.  Adjusted Diluted EPS grew 11.6% Y/Y.  Pfizer is flat in pre-market trading.

The yield on the US 10-year is relative unchanged this AM at 2.953% ahead of the FOMC rate decision on Wednesday.  Presently, fed fund futures are pricing in a low probability for a rate hike tomorrow with the market apparently assuming the next rate hike will come at the June FOMC meeting.  The USD$ index continues it strength from yesterday with the notable movers EUR€/USD$ -0.42%, GBP£/USD$ -0.62% and USD$/ZAR$ -1.17%.  

The VIX is relatively unchanged this morning, currently at 15.98 after closing at 15.93 yesterday.  OTM May 5 Calls on USO, OTM May 4 Calls and Puts on SPY, OTM May 4 Puts on QQQ,  September Puts on QQQ, OTM June 15 Calls on XLF are the most actively traded options in the US this morning.

Some pre-market highlights from this morning:

  • Aetna (AET) reported 1Q2018 EPS well ahead of Consensus.  Pre-market, AET is +0.5%.
  • Cummins (CMI) reported 1Q2018 results below Street expectations but raised its FY outlook for CY2018.  CMI is down 3.0% in pre-market trading.
  • Merck (MRK) 1Q2018 EPS was 5 pennies ahead of market expectations at USD$1.05.  MRK boosted it FY guidance for CY2018.  Pre-market, MRK is flat.
  • Under Armour (UAA) reported 1Q2018 EPS of USD$0.00 vs. expectations for a loss of USD$0.06.  UAA made no change to its CY2018 guidance.  UAA is +0.3% in pre-market trading

Major companies reporting earnings over the next 24 hours:

Cryptocurrency Morning Brief

Cryptocurrency Market Data
Major cryptocurrencies are mostly negative as of 7:05AM EST this morning with Bitcoin at USD$9,041.24, down 1.84% from yesterday’s UTC close. Bitcoin is up 1.87% over the past 5 days, yet flat from Friday’s close. Notable top performers from the thirty cryptocurrencies which our machine learning signals follow include: Verge +9.53%, EOS +6.58%, and Stellar +5.21%, from yesterday’s UTC close using volume-weighted exchange pricing (VWEP). Total market capitalization for cryptocurrencies is now at USD$417.14bn, down from USD$430.18bn yesterday. Of the 30 cryptocurrencies on which Quantamize produces buy/don’t own machine learning signals (see Crypto Signals), 18 signals are buys. 

Cryptocurrency Market News
The Japanese Financial Services Agency (FSA) noted that eight companies have expressed the intention to withdraw applications for operating a cryptocurrency exchange, while ~100 more are seeking to enter the market. Alibaba has just rolled out new technology that uses a blockchain database to track the authenticity of food products. The technology tracks the food item from manufacturer to consumer and users can scan their bar code to check authenticity. Morgan Stanley is reportedly looking to take the lead on Wall Street in Cryptocurrency trading. Their goal is to create a cryptocurrency desk for institutional traders, ICOs and arbitrage. US Commodity Futures Trading Commission (CFTC) chairman Chris Giancarlo, has said that he does not see comprehensive cryptocurrency regulation coming from the Federal level any time soon. He cited that the complicated nature of Bitcoin makes it difficult to regulate.

Europe at Midday

European equities are higher with the Euro Stoxx 600 +0.36% and the FTSE 100 +0.45%. The DAX and CAC40 are closed today (only UK, Ireland, and Denmark markets are open today). Utilities (+0.70%), consumer discretionary (+0.52%), and energy (+0.52%) are the best performing sectors in the Euro Stoxx 600, with consumer staples (-0.05%), telecommunications (+0.02%), and materials (+0.02%) being the most significant underperformers. Notable movers in the Euro Stoxx 600 included: Ocado Group PLC (+4.98%), Just Eat PLC (+4.03%), Wm Morrison (-2.10%), and B&M European Value Retail (-2.05%). Market breath for the Euro Stoxx 600 with 150 stocks advancing to only 37 declines. 

President Trump announced that the US has extended the EU’s exemption from steel and aluminum tariffs until June 1st. The EC responded with comments that the extensions only “prolongs market uncertainty, which is already affecting business decisions”, and that the “EU should be fully and permanently exempted from these measures”.  

Asia & Australia While You Were Sleeping

Japanese equities advanced with the Nikkei 225 +0.18%. Healthcare (+0.57%), materials (+0.52%), and consumer discretionary (+0.38%) were the largest outperformers in the Nikkei 225, with financials (-0.47%), consumer staples (-0.01%), and the telecommunications (+0.26%) being the best performing sectors. Notable movers in the Nikkei 225 included: Okuma Corp (+8.29%), West Japan Railway (+6.53%), TOTO Ltd (-11.76%), and Sony Corp (-6.06%). Market breadth in the Nikkei 225 is decidedly positive with the 125 of 225 stocks in the black. President Trump’s postponement of steel and aluminum tariffs is being cited as a driver of positive sentiment. Japan’s manufacturing PMI for April came in modestly stronger than expected (53.8 vs 53.1 prior). 

Chinese and Hong Kong markets are closed for Labor Day. Chinese officials will reportedly refuse to negotiate with President Trump regarding his demands to cut the US’s annual trade deficit with China by $100 billion, and a reduction in China’s $300 billion investment into advanced technologies including artificial intelligence.

Indian markets are closed for Maharashtra Day, which celebrates the anniversary of the formation of the state of Maharashtra, in which Mumbai is located.

Australian equities rose with the ASX 200 +0.54%. Financials (+1.37%), real estate (+0.83%), and telecommunications (+0.65%) were the best performing sectors in the ASX 200, with consumer staples (-0.69%), healthcare (-0.67%), and consumer discretionary (+0.08%) being the most significant laggards. Notable movers in the ASX 200 included: WiseTech Global (+5.28%), Credit Corp Group (+3.67%), Ramsay Health Care (-4.50%), and Treasury Wine Estates (-1.84%). Market breadth in the ASX 200 was positive with 113 stocks advancing against 75 declines.

Stocks Trending in the News

Aetna (AET) announced 1Q2018 EPS that was higher than expectations ($3.19 vs $2.97 consensus).
Archer-Daniels-Midland (ADM) released 1Q2018 EPS that firmly beat the highest estimates ($0.68 vs $0.49 consensus). 
Boeing Co (BA) will reportedly be acquiring aerospace parts manufacturer KLX (KLXI) for $4.25 billion, but Boeing will first have to sell off its Energy Services Group.
Cummins (CMI) released 1Q2018 EPS that was firmly below consensus ($2.43 vs $2.93 estimated).
Eaton Corp (ETN) has adjusted its 2Q2018 EPS forecast to a range of $1.25 to $1.35, with the consensus being $1.30.
While most of the auto industry reports auto sales for April, General Motors (GM) will not be reporting sales today as the company switches its reporting practices in favor of quarterly reporting. 
Just Eat’s (JE.LN) shares are 4.19% higher today after the company released 1Q2018 revenue that was 49% higher y/y.
Pfizer (PFE) released 1Q2018 EPS that modestly beat the consensus ($0.77 vs $0.74 expected).
Twitter (TWTR) will reportedly be entering into a partnership with companies including Disney (DIS), NBC Universal (CMCSA), and Viacom (VIAB), which would allow Twitter to bring original content to its platform.