Morning Quant Ride

May 03, 2018

Traders' Corner

Key Highlights

  • US trade delegation has arrived in Beijing this morning for negotiations with Beijing officials
  • Risk-off feel driving rates and global currency markets this morning
  • Quantamize GLD Q-Options strategy to protect against inflation released yesterday
  • European equities broadly declining, Euro Stoxx 600 -0.30%
  • Japanese markets closed, Hang Seng sharply lower (-1.34%)
  • Major Cryptocurrencies are mostly positive this morning and Quantamize has updated its Machine Learning Crypto Signals for a new rolling 3-day forecast

Lastest from the Quantamize Blog

US Stocks Before the Open

US equity futures are relatively flat this AM with the S&P 500 e-mini futures +0.07%, Nasdaq 100 e-minis -0.01% and Dow Jones e-minis +0.03%.  Outside of earnings, there is limited news flow to impact US stocks going into the NY Open this morning.  The US trade delegation has arrived in Beijing this morning for negotiations with Beijing officials regarding the Sino-US trade dispute.  Investor expectations for anything meaningful coming from these talks is very low. 

US government bond yields are down 1.5 to 3 bps across the curve with the yield on the 10-ear currently sitting 2.938%.  The move in US government yields this morning is seen as concurrent with the move in the USD$/JPY¥: the JPY¥ is +0.49% vs. the USD$.  On the whole, the USD$ is relatively unchanged with the only notable move outside of the USD$/JPY¥ the ZAR$/USD$ with the ZAR$ strengthening 0.53% against the USD$.  US Jobless claims for the week ending April 28 come out this morning at 8:30am.  Following a more hawkish commentary coming out of the US FOMC rate decision (decided to keep the Fed target policy rate unchanged which was in-line with expectations), expect investors to really zero in on economic data points which support or contradict the argument that inflation is beginning to accelerate.

Yesterday, in the context of an environment with rising inflation in the US, we released a GLD Q-Options trade that is a hedge idea for investors looking to protect their portfolios.  You can see the GLD trade idea here.

Ahead of the Jobless Claims print this morning, the VIX is up to 16.14 after closing at 15.97 yesterday.  OTM June 15 Puts on WFT, OTM May 18 Puts on EEM, OTM May 04 Puts on QQQ, OTM May 18 Puts on QQQ, OTM June 15 Call on HYG, OTM December 18 Call on KRE are the most actively traded options in the US this morning.  Under Armour (UAA), Expedia (EXPE), Qualcom (QCOM), and Xilnix (XLNX) are seeing some of the biggest jumps in 3M vs 1M implied volatility levels among US stocks going into the NY Open.  This would imply investors are expecting higher volatility for these 4 stocks ahead over the medium-term (vs. the next 30 days).

Some pre-market highlights from this morning:

  • Beckton Dickinson (BDX) reported F2Q2018 earnings results slightly ahead of expectations.  In pre-market trading, Beckton Dickinson (BDX) is flat.
  • Church & Dwight (CHD) reported 1Q2018 earnings results slightly ahead of expectations.  Consensus expectations for CY2018 earnings is in the mid-point of Church & Dwight (CHD) management guidance.  Church & Dwight (CHD) isn’t trading in the pre-market.
  • DowDuPont (DWDP) reported positive 1Q018 earnings results on the back rising oil prices.  2Q2018 DowDuPont (DWDP) management guidance is well ahead of Consensus estimates.  In pre-market trading, DowDuPont (DWDP) is +0.3%.
  • Global Payments (GPN) reports 1Q2018 earning results well ahead of expectations. Consensus estimates for CY2018 are near the low range of Global Payments (GPN) management guidance.  At the moment, Global Payments (GPN) is +1.2% on light volume in pre-market trading.
  • Quanta Services (PWR) reports blow-out 1Q2018 earnings results.  CY2018 Quanta Services (PWR) management guidance for revenues is 1.5% ahead of the Street.  Quanta Services (PWR) isn’t trading in pre-market.

Major companies reporting earnings over the next 24 hours:

In today's market action we are watching the following Conviction Buy market laggards (Click name for Q-Factor rating and financial data).

Express Scripts Holding Company - 12.95% off its 52wkH on 03/08/2018, reports earnings on NA

Intel Corporation - 6.24% off its 52wkH on 04/27/2018, reports earnings on 07/26/2018

Micron Technology, Inc. - 27.64% off its 52wkH on 03/13/2018, reports earnings on 06/22/2018

SMART Global Holdings, Inc. - 30.52% off its 52wkH on 01/00/1900, reports earnings on 06/19/2018

Verizon Communications Inc. - 12.82% off its 52wkH on 01/25/2018, reports earnings on 07/24/2018

WestRock Company - 18.16% off its 52wkH on 01/26/2018, reports earnings on 08/03/2018

Cryptocurrency Morning Brief

Major cryptocurrencies are mostly positive this morning as of 7:15AM EST with Bitcoin (BTC) at USD$9,219.90, down 0.35% from yesterday’s UTC close. Bitcoin (BTC) is up 3.36% over the past 5 days however, trading lower than the USD$9,700 level it hit on April 24. Notable top performers from the thirty cryptocurrencies which our machine learning signals model include: Bytecoin (BCN) +20.50%, Icon (ICON) +8.27%, and Nano (XRB) +9.29%, from yesterday’s UTC close. The total market capitalization for cryptocurrencies is now at ~USD$438bn, still notably down from the high of USD$829bn reached earlier this January. Quantamize’s Crypto Signals have started a new rolling 3-day signal forecast on the 30 cryptocurrencies we model (see Crypto Signals), and 12 signals are buys.

Cryptocurrency Market News

Goldman Sachs has announced that it will use its own money to trade cryptocurrencies with clients on a variety of products based on the price of Bitcoin. Goldman is looking to create a more flexible version of a future, known as a non-deliverable forward. Eventually the firm seeks to trade Bitcoin and other cryptocurrencies once it can find regulatory clarity. Social media platform Reddit will be reinstating cryptocurrency as a payment option for its gold members, and there will be more than just Bitcoin available for use in payments. Telegram, initially planned to raise funds for an ICO, has now changed those plans and aims to create a new form of a digital payment system on their own network. Telegram claims to have raised so much money from private investors, it no longer needs to do an ICO. In the Monero (XMR) subreddit yesterday, a known user announced the launch of a new online wallet for the cryptocurrency. Quantamize recently published a blog post on Monero detailing its forks/hard-forks this month (see Quantamize Blog)

Europe at Midday

European equities are broadly lower with the Euro Stoxx 600 -0.30%, the FTSE 100 -0.06%, the DAX -0.32%, and the CAC 40 -0.31%. Telecommunications services (-0.92%), financials (-0.61%), and consumer discretionary (-0.39%) are the biggest underperformers in the Euro Stoxx 600, with utilities (+0.58%), energy (+0.25%), and information (+0.16%) being the largest outperforming sectors. Market breadth in the Euro Stoxx 600 is negative with 178 of 600 stocks advancing. 

Euro Sotxx 600 Movers

Security Ticker Name Price Chg % Chg Volume
NOKIA FH Equity Nokia OYJ 4.91 0.07 1.47% 7.78M
EOAN GY Equity E.ON SE 9.3 0.09 0.92% 4.07M
SU FP Equity Schneider Electric SE 73.88 0.52 0.71% 303.16k
AD NA Equity Koninklijke Ahold Delhaize NV 19.79 0.12 0.61% 2.26M
VIV FP Equity Vivendi SA 22.89 0.15 0.66% 1.49M
CS FP Equity AXA SA 22.6 -1.24 -5.22% 3.53M
BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA 6.67 -0.09 -1.36% 7.52M
UNA NA Equity Unilever NV 45.74 -0.63 -1.36% 1.26M
INGA NA Equity ING Groep NV 13.9 -0.19 -1.32% 3.82M
BNP FP Equity BNP Paribas SA 63.53 -0.82 -1.27% 913.32k
ADS GY Equity adidas AG 205 -2.2 -1.06% 600.47k

 

Eurozone CPI for April came in slightly softer than expected (+1.2% Y/Y vs +1.3% Y/Y consensus). Eurozone PPI for March was in-line with projections (+2.1% Y/Y vs +2.1% Y/Y forecasted). Of the 28 EU member nations, 15 have begun to support new legislation that would limit foreign investment into the Eurozone. China’s growing trade dominance has been cited as one of the main catalysts for potentially restrictive actions (China has invested over $318 billion into Europe over the past decade). Jans Weidman, Governor of Germany’s Central Bank, remarked that interest rate increases in the middle of 2019 are still a possibility.

 

Asia & Australia While You Were Sleeping

Japanese equities markets were closed today for Constitution Day.

Chinese and Hong Kong stocks were mixed with the Hang Seng -1.34%, the CSI 300 +0.78%, and the Shanghai Composite +0.64%. All sectors in the Hang Sang were negative. Information technology (-2.00%), real estate (-1.81%), and telecommunications services (-1.61%) were the biggest underperformers in the Hang Seng, with utilities (-0.57%) and industrials (-0.62%) being relative outperformers. Market breadth in the Hang Seng was overwhelmingly negative with only 1 of 50 stocks finishing higher. 

Hang Seng Movers

Security Ticker Name Price Chg % Chg Volume
66 HK Equity MTR Corp Ltd 44.2 0.35 0.80% 5.49M
2319 HK Equity China Mengniu Dairy Co Ltd 26.05 0 0.00% 19.01M
688 HK Equity China Overseas Land & Investment Ltd 26.5 0 0.00% 16.84M
2018 HK Equity AAC Technologies Holdings Inc 113.5 -0.1 -0.09% 5.44M
2388 HK Equity BOC Hong Kong Holdings Ltd 41.1 -0.05 -0.12% 10.98M
1109 HK Equity China Resources Land Ltd 28.65 -1.35 -4.50% 14.36M
2007 HK Equity Country Garden Holdings Co Ltd 15.86 -0.54 -3.29% 65.71M
101 HK Equity Hang Lung Properties Ltd 18.22 -0.52 -2.77% 5.47M
83 HK Equity Sino Land Co Ltd 13.18 -0.36 -2.66% 4.01M
2382 HK Equity Sunny Optical Technology Group Co Ltd 133 -3.5 -2.56% 6.24M

US Treasury Secretary Steve Mnuchin, Commerce Secretary Wilbur Ross, and NEC head Larry Kudlow arrived in Beijing to engage in trade negotiations with Chinese officials. The US Commerce Department is considering a restriction on Chinese firms, which would limit them from selling telecommunications equipment in the US. National-security concerns have been cited as a reason for possible restrictions. 

Indian equities declined with the Sensex -0.21%, and the Nifty 50 -0.36%. Financials (+0.34%) and materials (+0.15%) were the only positive sectors, while industrials (-1.69%), energy (-0.93%), and consumer staples (-0.78%) were the worst performing sectors. Market breadth in the Sensex was relatively mixed with 14 stocks advancing, while 16 stocks declined. 

Sensex Movers

Security Ticker Name Price Chg % Chg Volume
SUNP IB Equity Sun Pharmaceutical Industries Ltd 534.5 18.95 3.68 541.00k
NTPC IB Equity NTPC Ltd 174.4 3.95 2.32 107.71k
TATA IB Equity Tata Steel Ltd 585.65 10.6 1.84 395.23k
AXSB IB Equity Axis Bank Ltd 532.4 8.95 1.71 586.57k
ICICIBC IB Equity ICICI Bank Ltd 281.8 4.7 1.7 650.19k
WPRO IB Equity Wipro Ltd 270.15 -5.35 -1.94 509.51k
KMB IB Equity Kotak Mahindra Bank Ltd 1233.4 -23.85 -1.9 106.81k
LT IB Equity Larsen & Toubro Ltd 1380.25 -21.35 -1.52 75.93k
INFO IB Equity Infosys Ltd 1181.85 -15.95 -1.33 88.99k
APNT IB Equity Asian Paints Ltd 1206.5 -15.25 -1.25 40.47k

 

Australian equities advanced with the ASX 200 +0.79%. Materials (+1.27%), consumer staples 9 (1.21%), and telecommunications services (+1.20%) were the best performing sectors in the ASX 200, with real estate (+0.01%), financials (+0.59%), and healthcare (+0.66%) being the largest laggards. Market breadth in the ASX 200 was notably positive with 145 of 200 stocks in the black. 

ASX 200 Movers

Security Ticker Name Price Chg % Chg Volume
SWM AT Equity Seven West Media Ltd 0.66 0.07 11.86 11.26M
SUL AT Equity Super Retail Group Ltd 7.57 0.6 8.61 3.92M
MYX AT Equity Mayne Pharma Group Ltd 0.775 0.055 7.64 9.14M
CGF AT Equity Challenger Ltd/Australia 12.23 0.8 7 7.02M
GEM AT Equity G8 Education Ltd 2.34 0.15 6.85 4.57M
IVC AT Equity InvoCare Ltd 11.65 -0.49 -4.04 2.06M
HSO AT Equity Healthscope Ltd 2.4 -0.07 -2.83 12.41M
CSR AT Equity CSR Ltd 5.61 -0.12 -2.09 3.27M
QAN AT Equity Qantas Airways Ltd 6.17 -0.1 -1.59 15.42M
AMC AT Equity Amcor Ltd/Australia 13.31 -0.21 -1.55 6.44M

 

Australia’s March trade balance was reported at a$1.5 billion, which was above expectations (A$1.0 billion estimated). Australian imports for March increased 1% M/M, in-line with Australian export growth in March (+1.0% M/M). Former Australian Treasurer Peter Costello warned that Australian banks have become too willing to accept significant risks, and that the Australian banking system is a precarious position. 

 

Stocks Trending in the News

Click name for Q-Factor rating and financial data.

Avon Products (AVP) reported 1Q2018 EPS that was marginally better than forecasted (-$0.02 vs -$0.03)

Ball Corp (BLL) released 1Q2018 EPS that was above estimates ($0.50 vs $0.45 consensus).

Beckton Dickinson (BDX) announced 1Q2018 EPS that was relatively in-line with consensus ($2.65 vs $2.63 projected).

Cardinal Health (CAH) released 1Q2018 EPS that was significantly lower than expected ($1.39 vs $1.51 consensus).

Church & Dwight (CHD) announced 1Q2018EPS that was slightly above estimates ($0.63 vs $0.61 projected).

Cigna (CI) released 1Q2018EPS that was well above consensus ($4.11 vs $3.39 expected).

DowDuPont (DWDP) reported 1Q2018 EPS that was softly above expectations ($1.12 vs $1.10 estimated).

NetScout Systems (NTCT) released 1Q 2018 EPS that edged higher than was forecasted ($0.36 vs $0.35 estimated).

Tesla (TSLA) shares are down 5.22% pre-market after making remarks during a conference call suggesting investors should “sell our stock and don’t buy it”.

Stock Movers

Conviction Buy Winners and Losers
Winners  Ticker Sector Industry 1 Day Return 5 Day Return  YTD
CDW Corporation CDW Information Technology Technology Distributors 5.10% 6.21% 9.45%
Marathon Petroleum Corporation MPC Energy Oil and Gas Refining and Marketing 4.03% -6.86% 14.94%
Automatic Data Processing, Inc. ADP Information Technology Data Processing and Outsourced Services 2.74% 1.82% 4.16%
Eagle Materials Inc. EXP Materials Construction Materials 1.70% -1.76% -11.93%
AMETEK, Inc. AME Industrials Electrical Components and Equipment 1.29% -1.13% -3.20%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Verisk Analytics, Inc. VRSK Industrials Research and Consulting Services -6.27% -6.65% -6.06%
The Allstate Corporation ALL Financials Property and Casualty Insurance -4.22% -4.21% -3.84%
Zoetis Inc. ZTS Healthcare Pharmaceuticals -4.20% -5.82% -4.29%
Fiserv, Inc. FISV Information Technology Data Processing and Outsourced Services -3.30% -3.10% -2.35%
Jack Henry & Associates, Inc. JKHY Information Technology Data Processing and Outsourced Services -2.88% -1.82% -1.30%

Source: S&P Capital IQ

Conviction Short Winners and Losers
Winners Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Neurocrine Biosciences, Inc. NBIX Healthcare Biotechnology -5.11% -1.96% -1.23%
Coty Inc. COTY Consumer Staples Personal Products -4.14% -4.82% -6.63%
Portola Pharmaceuticals, Inc. PTLA Healthcare Biotechnology -2.97% 1.20% -4.23%
American Airlines Group Inc. AAL Industrials Airlines -2.58% -2.67% -1.61%
AnaptysBio, Inc. ANAB Healthcare Biotechnology -2.40% 0.84% 0.26%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Tenet Healthcare Corporation THC Healthcare Healthcare Facilities 9.71% 28.92% 106.40%
nLIGHT, Inc. LASR Information Technology Electronic Equipment and Instruments 8.22% 16.27% 0.00%
Devon Energy Corporation DVN Energy Oil and Gas Exploration and Production 5.61% 6.94% -7.66%
Arena Pharmaceuticals, Inc. ARNA Healthcare Biotechnology 5.58% 4.95% 23.55%
Sangamo Therapeutics, Inc. SGMO Healthcare Biotechnology 4.59% 2.09% 4.27%

Source: S&P Capital IQ

US Large Cap Conviction Buy Upcoming Earnings

Company Name Ticker Earnings Date Event Type
Becton, Dickinson and Company BDX 5/3/2018 Earnings Release Date
Intercontinental Exchange, Inc. ICE 5/3/2018 Earnings Release Date
Berry Global Group, Inc. BERY 5/3/2018 Earnings Release Date
Ingredion Incorporated INGR 5/3/2018 Earnings Release Date
Marriott Vacations Worldwide Corporation VAC 5/3/2018 Earnings Release Date
Teledyne Technologies Incorporated TDY 5/3/2018 Earnings Release Date
Assurant, Inc. AIZ 5/3/2018 Earnings Release Date
FleetCor Technologies, Inc. FLT 5/3/2018 Earnings Release Date
Motorola Solutions, Inc. MSI 5/3/2018 Earnings Release Date
Berkshire Hathaway Inc. BRK.B 5/3/2018 Estimated Earnings Release Date
The Chemours Company CC 5/3/2018 Estimated Earnings Release Date