Morning Quant Ride Jan 08, 2018

Jan 08, 2018

Traders’ Corner

 

US equity futures are pointing to a mixed open this morning in NY.  Investor sentiment is shifting from a macro focus on tax reform to earnings season.  On our end, to begin the week, we are focused on stock-specific plays:

Momo (MOMO) February 2nd Bull Call Spread

Boeing (BA) January 26th Bull Put Spread

Comcast (CMCSA) February 2nd Bull Put Spread 

Juniper (JNPR) February 2nd Butterfly Spread

We remain biased to options trade opportunities where the “implied probabilities” for price moves for a stock (derived from a its implied volatility) is disconnected from the expected returns of our quant models.

 

Our Top Picks in the News

 

Click headline for story

Apple (AAPL)

Apple’s $300M New Year App Sales Show ‘Strength,’ Says Baird (Barron’s)
Top Conviction Buy in January, please see our Quantamize Global Top Picks US Info Tech report

 

See more on our Apple QuantShot company report from January 5th

Jabil (JBL)Apple (AAPL)

Why Apple iPhone X Worries Maybe Overblown (Yahoo)
Top Conviction Buys in January, please see our Quantamize Global Top Picks US Info Tech report

 

See more on our Apple QuantShot company report from January 5th 

See more on our Jabil QuantShot company report from November 13th 

YY (YY)

YY's Chinese Game-Streaming Service to Seek U.S. IPO (Bloomberg)
Top Conviction Buy in January, please see our Quantamize Global Top Picks China report

 

See more on our YY QuantShot company report from November 9th  

Micron Technology (MU)

Micron: DRAM, NAND Trends 'Neutral to Good,' says KeyBanc (Barron's)
Top Conviction Buy in January, please see our Quantamize Global Top Picks US Info Tech report

FedEx Corporation (FDX)

FedEx on Track to Deliver Outsize Retunrs (Barron's)
Top Conviction Buy in January, please see our Quantamize Global Top Picks US Industrials report

Sony (SNE) 

Sony's Deal with YouTube is Music to Analyst's Ears
Top Conviction Buys in January, please see our Quantamize Global Top Picks Nikkei 225 report

 

See more on our SNE QuantShot company report from November 13th  

 

The Morning Recap

 

Asian markets have seen moderately higher levels at closing, shrugging off soft US jobs data on Friday.  Japan was closed for a holiday.  European markets extended gains from last week at the midday check.  UK was the exception with weak data and indications Theresa May is considering a “no deal” cabinet post as a contingency leading to lower stock prices.  Germany still struggles to form a government.

US stocks start the week a elevated levels with significant momentum behind them.  The soft jobs data last week was generally ignored though could easily reemerge as a reason to take profits.  President Trump met with Republicans this weekend to chart legislative strategy for 2018 with immigration and infrastructure likely high on the list.

 

Index

Price

1 Day Return

5 Day Return

MTD

YTD

S&P 500 $ 2,743.15 0.70% 2.60% 2.60% 2.60%
Russell 2000 $ 1,560.01 0.28% 1.60% 1.60% 1.60%
DJ Industrial Average $ 25,295.87 0.88% 2.33% 2.33% 2.33%
NASDAQ Composite Index $ 7,136.56 0.83% 3.38% 3.38% 3.38%
CBOE Market Volatility Index 9.81 - - - -
Germany DAX (TR) € 13,344.57 0.19% 3.11% 3.30% 3.11%
France CAC 40 € 5,482.36 0.21% 2.98% 3.19% 2.98%
Japan Nikkei 225 ¥ 23,714.53 0.00% 4.17% 4.17% 4.17%
Hang Seng Index ¥ 30,899.53 0.28% 2.99% 3.28% 2.99%
Hang Seng China Enterprises ¥ 12,235.19 0.19% 4.29% 4.49% 4.29%
S&P ASX 200 AUD 6,130.40 0.13% 0.94% 1.08% 0.94%
Source: FactSet          

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