Morning Quant Ride

May 04, 2018

Traders' Corner

Key Highlights

  • US equity futures negative ahead of April Nonfarm payrolls announcement at 8:30am
  • Major cryptocurrencies have experienced a solid rally yesterday and are on track to post a strong week of gains with the total market cap up to a recent high of ~USD$456.9bn
  • European equities mostly higher, Euro Stoxx 600 +0.32%
  • Asian stocks broadly lower, Hang Seng -1.28%

US Stocks Before the Open

US equity futures are drifting down this morning ahead of the April Nonfarm payrolls number at 8:30am with the S&P 500 e-mini futures -0.21%, Nasdaq 100 e-minis -0.22% and Dow Jones e-minis -0.18%.  Sino-US trade talks ended with an agreement to keep talking and nothing more.  While the lack of an agreement may disappoint investors, the sentiment coming out of the trade summit appears to be that the US and China will eventually reach a negotiated solution. 

Ahead of the April Nonfarm payrolls print this AM, the US Treasury Curve flattening slightly with the yield on the 10-year currently at 2.931% (closed at 2.947% yesterday) and the 2s-10s falling 1 basis point to 0.322%.  In global sovereign markets, the yield on the Aussie 10-year has 4 basis points this morning to 2.767% while Italian 10-year yields have move up +2.6 basis points to 1.583%.  The USD$ index is +0.15% on the back of a weakening the EUR€/USD$ and GBP£/USD$

The VIX is currently sitting at 16.21 after closing at 15.90 yesterday.  The slight rise in the VIX this morning can be attributed to investor risk aversion ahead of the April Nonfarm payrolls number.  OTM May 04 Calls on BAC, OTM May 04 Puts on SPY, OTM May 18 Puts on SPY, June 15 Puts on QQQ, OTM June 15 OTM Calls on ETP, June 15 OTM Calls on MYL, and May 04 OTM Puts on AAPL are the move actively traded options in the US this morning. 

Some pre-market highlights from this morning:

  • Alibaba (BABA) reported F4Q2018 EPS CNY$0.23 ahead of Consensus at CNY$5.73 driven by strong top-line growth.  For FY2019, Alibaba (BABA) seeing top-line growth exceeding 60%.  In pre-market trading, Alibaba (BABA) is +2.7%.
  • CBOE Global Markets (CBOE) reports strong earnings results for 1Q2018.  EPS was USD$0.10 ahead of Consensus with CBOE Global Markets (CBOE) beating on strong trading volumes.  In very light pre-market trading, CBOE Global Markets (CBOE) is +1.3%.
  • Celgene (CELG) reports positive 1Q2018 earnings results but cuts its CY2018 guidance.  Celgene (CELG) CY2018 guidance is now in-line with Street expectations.  Celgene (CELG) is +2.3% in pre-market trading.
  • Newell Brands (NWL) reports 1Q2018 earnings results ahead of Consensus on a normalized basis but sees CY2018 normalized eps at the lower-range of its initial guidance.  Newell Brands (NWL) also announced that it is selling its Waddington Group unit to Novolex for USD$2.3bn.  Newell Brands (NWL) is +4.0% in pre-market trading.
  • VF Corp (VFC) reports 1Q2018 earnings results (earnings results for the “transition period” ending March 31, 2018) that were in-line with Consensus.  On a fiscal basis, VF Corp (VFC) see FY2019 EPS in range of USD$3.48 – USD$3.53 with Consensus at the lower-end of that range.  VF Corp (VFC) is not trading in the 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).

Aflac Incorporated - 3.77% off its 52wkH on 04/26/2018, reports earnings on 07/26/2018

Axcelis Technologies, Inc. - 42.91% off its 52wkH on 11/24/2017, reports earnings on 08/02/2018

CVS Health Corporation - 25.87% off its 52wkH on 09/19/2017, reports earnings on 08/09/2018

Ennis, Inc. - 16.74% off its 52wkH on 11/29/2017, reports earnings on 06/20/2018

Finjan Holdings, Inc. - 27.59% off its 52wkH on 06/23/2017, reports earnings on 05/09/2018

Louisiana-Pacific Corporation - 11.06% off its 52wkH on 04/17/2018, reports earnings on 05/07/2018

Stocks Trending in the News

Click name for Q-Factor rating and financial data.

Alibaba (BABA) reported 1Q2018 EPS that was firmly higher than expected ($0.91 vs $0.84 consensus).

adidas AG (ADS.GR) has been downgraded to Market Perform at Oppenheimer & Co. Oppenheimer’s price target for adidas was lowered from €220 to €180.

BASF (BAS.GR) released 1Q2018 EPS that was below estimates (€1.93 vs €1.97 projected).

Bayerische Motoren Werke AG (BMW.GR) reported 1Q2018 Ebit that beat estimates (€2.73 billion vs €2.58 billion)

Berkshire Hathaway (BRK.A) acquired 75 million shares of Apple Inc (AAPL) stock in 1Q2018

CBOE Global Markets (CBOE) announced 1Q2018 EPS that was above projections ($1.38 vs $1.28 estimated).

Celgene (CELG) reported 1Q2018 EPS that better than expected ($2.05 vs $1.96 consensus).

Qualcomm’s (QCOM) joint venture bid with Chinses state-owned Datang Telecom Technology has been approved by Chinese regulators.

Twitter’s (TWTR) shares are 1.04% lower pre-market after the company announced yesterday that a bug was found in their system that may have exposed user passwords. While Twitter does not believe any of this information was breached, the company has advised users to change their account’s password.

Walmart’s (WMT) proposal for a 75% equity stake in India’s Flipkart has been accepted. The deal is expected to be valued at nearly $15 billion. Walmart was facing heavy competition for Flipkart from Amazon.com (AMZN).

Cryptocurrency Morning Brief

Major cryptocurrencies are mostly positive this morning as of 7:10AM EST with Bitcoin (BTC) at USD$9,707.50, down 0.95% from yesterday’s UTC close. Bitcoin (BTC) is up 3.73% over the past 5 days. Bitcoin has reached its recent high of USD$9,700 level it hit on April 24 after yesterday’s rally. Notable top performers from the thirty cryptocurrencies which our machine learning signals model include: Ripple (XRP) +2.36%, VeChain (ICON) +1.70%, and Ethereum (ETH) +1.55%, from yesterday’s UTC close. With the cryptocurrency market rally over the past 5 weeks, 10 of the 30 cryptocurrencies Quantamize models are positive year-to-date. The total market capitalization for cryptocurrencies is now at ~USD$456.9bn, which is a recent high. Quantamize’s Crypto Signals are on day two of a rolling 3-day signal forecast (see Crypto Signals), and 12 signals are buys.

Cryptocurrency News

Mastercard reported that there was a decrease in the number of customers purchasing cryptocurrencies with the company’s credit cards in 1Q2018. Customers can use Mastercard to purchase cryptocurrencies, while banks such as JPMorgan Chase, Citigroup and Bank of America prohibit these purchases. The CEO of Monex Group has said that the cryptocurrency market resembles the derivatives market in the early 1980s and that the cryptocurrency market will experience similar growing pains and market sentiment. BMW, General Motors, Ford and Renault have all announced they will form a group to explore the potential of blockchain in the automotive industry. They will partner together to form a consortium with the aim of applying blockchain technology to the automotive sector.

Europe at Midday

European equities are mostly advancing with the Euro Stoxx 600 +0.32%, the FTSE 100 +0.43%, the DAX +0.44%, while only the CAC40 (-0.04%) is lower. Information technology (+0.87%), energy (+0.68%), and utilities (+0.65%) are the best performing sectors in the Euro Stoxx 600, with financials (-0.28%), telecommunications (-0.16%), and health care (+0.26%) being the largest laggards, Market breath in the Euro Stoxx 600 is positive with 367 of 600 stocks in the black. Notable movers in the Euro Stoxx 600 included:  

The EU has warned that it will cease Brexit negotiations if British Prime Minster Theresa May does not pass a customs pact, which if passed would eliminate a border between Ireland and Northern Ireland. 

Eurozone services PMI for April came in softer than expected (54.7 vs 55.0 consensus). Retail sales growth in the Eurozone for March was weaker than projected (+0.8% vs +1.9% forecasted).

France’s March trade balance was reported at -€5.26 billion, below the expectation of a -€4.8 billion trade balance.

Spain’s unemployment in April declined less rapidly than the consensus (-86.7k vs -100.2k forecasted).

Euro Stoxx 600 Movers

In local currency

Security Ticker Name Price Chg % Chg Volume
NOKIA FH Equity Nokia OYJ 5.01 0.16 3.19% 7.00M
EOAN GY Equity E.ON SE 9.45 0.16 1.72% 4.99M
CRH ID Equity CRH PLC 30.12 0.39 1.31% 228.97k
ABI BB Equity Anheuser-Busch InBev SA/NV 81.46 0.81 1.00% 640.49k
GLE FP Equity Societe Generale SA 42.21 -2.69 -5.99% 5.96M
BN FP Equity Danone SA 64.94 -1.84 -2.76% 581.68k
VOW3 GY Equity Volkswagen AG 172.52 -3.52 -2.00% 420.00k
BNP FP Equity BNP Paribas SA 62.19 -1.21 -1.91% 1.92M

Asia & Australia While You Were Sleeping

Japanese markets were closed today for Greenery Day, a national holiday in Japan celebrating the Emperor Showa's birthday. The Nikkei Asian Review reported that Japan’s Q12018 GDP likely declined by 0.2% Y/Y, according to assessments from 12 private research firms. A 0.2% decline would sharply contrast Japan’s 1.6% Y/Y growth in GDP in 4Q2017.

Chinese and Hong Kong markets finished broadly lower with the Hang Seng -1.28%, the CSI 300 -0.49%, and the Shanghai Composite -0.32%. All sectors in the Hang Seng were negative. Consumer discretionary (-1.95), financials (-1.80%), and telecommunications services (-0.92%) were the biggest underperformers, with utilities (-0.01%), energy (-0.62%), and industrials (-0.88%) being the best performing sectors. Market breath in the Hang Seng was overwhelmingly negative as 43 of 50 stocks were in the red.

China is planning to provide foreign investors with increased access to its futures market. This news comes after the China Securities Regulatory Commission’s decision to open Iron Ore futures to international investors. According to a State Administration of Foreign Exchange report, China had a current account deficit in 1Q2018 of $28.2 billion. A Wall Street Journal report suggested that China plans to create a $47 billion fund to transform its semiconductor industry to close the gap between the US and other rivals. China’s significant investment into advanced technology has been a source of Sino-American friction. 

Hang Seng Movers

In local currency

Security Ticker Name Price Chg % Chg Volume
1997 HK Equity Wharf Real Estate Investment Co Ltd 58.2 1.60% 2.83 2.76M
1044 HK Equity Hengan International Group Co Ltd 68.2 0.85% 1.26 4.74M
992 HK Equity Lenovo Group Ltd 3.72 0.02% 0.54 47.54M
883 HK Equity CNOOC Ltd 13.06 0.06% 0.46 64.81M
5 HK Equity HSBC Holdings PLC 74.95 -2.75% -3.54 54.75M
175 HK Equity Geely Automobile Holdings Ltd 20.9 -0.60% -2.79 42.95M
2319 HK Equity China Mengniu Dairy Co Ltd 25.35 -0.70% -2.69 13.49M
762 HK Equity China Unicom Hong Kong Ltd 10.66 -0.24% -2.2 22.59M

Indian equities declined today with the Sensex -0.53%, and the Nifty 50 -0.57%.  Market breadth in the Sensex was notably negative with only 9 stocks advancing (21 declines). Sectors in the Sensex finished down across the board. Consumer staples (-2.75%), materials (-1.10%), and energy (-0.87%) were the largest laggards, with financials (-0.04%) and industrials (-0.11%) being relative outperformers. The Securities and Exchange Board of India (SEBI) significantly extended the trading hours for equity derivatives (from 9:00 a.m-3:30 p.m prior, to 9:00 a.m-11: 55p.m)

Sensex Movers

In local currency

Security Ticker Name Price Chg % Chg Volume
ADSEZ IB Equity Adani Ports & Special Economic Zone Ltd 408.2 11.40% 2.87 295.87k
HDFCB IB Equity HDFC Bank Ltd 1987.85 20.30% 1.03 49.68k
HUVR IB Equity Hindustan Unilever Ltd 1465 10.15% 0.7 24.88k
PWGR IB Equity Power Grid Corp of India Ltd 207.75 1.20% 0.58 277.77k
SUNP IB Equity Sun Pharmaceutical Industries Ltd 518.75 -15.75% -2.95 323.99k
BJAUT IB Equity Bajaj Auto Ltd 2890.5 -81.40% -2.74 19.19k
YES IB Equity Yes Bank Ltd 345.4 -8.60% -2.43 625.18k
ITC IB Equity ITC Ltd 277.5 -6.75% -2.37 466.29k

Australian equities retreated, with the ASX 200 -0.58%. Real estate (-1.20%), consumer discretionary (-0.88%), and financials (-0.87%) were the worst performing sectors in the ASX 200, with telecommunications services (+0.36%) and consumer staples (+0.09%) being the only sectors to finish in positive territory. Market breath in the ASX 200 was strongly negative with 48 stocks advancing, while 152 stocks declined. Notable movers in the ASX 200 Included:

The RBA raised its near-term inflation forecast to 2.0% for June 2018, up from 1.75%. GDP forecasts were left unchanged

ASX 200 Movers

In local currency

Security Ticker Name Price Chg % Chg Volume
WTC AT Equity WiseTech Global Ltd 12.28 0.77 6.69% 1.22M
SWM AT Equity Seven West Media Ltd 0.7 0.04 6.06% 12.19M
SRX AT Equity Sirtex Medical Ltd 29.42 1.57 5.64% 1.00M
ORI AT Equity Orica Ltd 20.29 0.64 3.26% 1.03M
APO AT Equity APN Outdoor Group Ltd 5.2 -0.34 -6.14% 1.60M
MIN AT Equity Mineral Resources Ltd 19.67 -0.67 -3.29% 1.93M
MYX AT Equity Mayne Pharma Group Ltd 0.75 -0.025 -3.23% 4.26M
ARB AT Equity ARB Corp Ltd 21.3 -0.7 -3.18% 276.37k

Stock Movers

Conviction Buy Winners and Losers
Winners  Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Republic Services, Inc. RSG Industrials Environmental and Facilities Services 4.46% 2.66% -0.55%
Church & Dwight Co., Inc. CHD Consumer Staples Household Products 3.66% 1.65% -5.22%
Kirby Corporation KEX Industrials Marine 2.73% 1.20% 32.34%
Waste Management, Inc. WM Industrials Environmental and Facilities Services 2.60% 0.78% -3.89%
Jack Henry & Associates, Inc. JKHY Information Technology Data Processing and Outsourced Services 2.48% 0.62% 3.33%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Belden Inc. BDC Information Technology Electronic Components -6.72% -9.38% -6.06%
Marriott Vacations Worldwide Corporation VAC Consumer Discretionary Hotels, Resorts and Cruise Lines -3.24% -11.48% -2.94%
Intercontinental Exchange, Inc. ICE Financials Financial Exchanges and Data -3.09% -3.55% -3.20%
Express Scripts Holding Company ESRX Healthcare Healthcare Services -2.27% -5.90% -4.20%
Ingredion Incorporated INGR Consumer Staples Agricultural Products -2.36% -7.27% -4.48%

Source: S&P Capital IQ

Conviction Short Winners and Losers
Winners Ticker Sector Industry 1 Day Return 5 Day Return  YTD
Zscaler, Inc. ZS Information Technology Systems Software -7.95% -3.97% -7.76%
Roku, Inc. ROKU Consumer Discretionary Consumer Electronics -7.01% -5.14% -4.67%
Apache Corporation APA Energy Oil and Gas Exploration and Production -6.14% -4.08% -5.89%
Under Armour, Inc. UAA Consumer Discretionary Apparel, Accessories and Luxury Goods -5.39% -2.58% -2.20%
Sangamo Therapeutics, Inc. SGMO Healthcare Biotechnology -4.97% -2.99% 2.85%

 

Losers Ticker Sector Industry 1 Day Return 5 Day Return  YTD
DocuSign, Inc. DOCU Information Technology Internet Software and Services 6.71% 5.61% 0.00%
Formula One Group FWON.K Consumer Discretionary Movies and Entertainment 5.87% 7.06% -7.64%
Box, Inc. BOX Information Technology Internet Software and Services 3.22% 7.92% 15.48%
Ceridian HCM Holding Inc. CDAY Information Technology Internet Software and Services 3.18% 10.71% 0.00%
Hyatt Hotels Corporation H Consumer Discretionary Hotels, Resorts and Cruise Lines 3.15% 1.22% 6.08%

Source: S&P Capital IQ

US Large Cap Conviction Buy Upcoming Earnings

Company Name Ticker Earnings Date Event Type
Berkshire Hathaway Inc. BRK.B 5/5/2018 Earnings Release Date
Sysco Corporation SYY 5/7/2018 Earnings Release Date
Louisiana-Pacific Corporation LPX 5/7/2018 Earnings Release Date
Black Knight, Inc. BKI 5/7/2018 Earnings Release Date
Expeditors International of Washington, Inc. EXPD 5/7/2018 Earnings Release Date
US Foods Holding Corp. USFD 5/8/2018 Earnings Release Date
KAR Auction Services, Inc. KAR 5/8/2018 Earnings Release Date
ICU Medical, Inc. ICUI 5/9/2018 Earnings Release Date