Papale on the Vertical Skew

I am mostly a weekend football fan.  I root for the Bears and my Michigan State Spartans but that’s pretty much it.  But I have to admit this year’s NFL Draft has gotten my attention.   All the talk about Johnny Manziel is no surprise.  What is interesting to me is the wide disparity of opinion on where this guy will get drafted.  Some have him a top 3 pick while others not even a first rounder.   I guess we’ll find out tonight.  Either way, it won’t be long until he can sign those autographs and legally get paid.

The relative pricing between options within a month is called the vertical skew.  The skew measures the difference between implied volatility across the strikes.   If you have been trading options for more than a short time you know that the puts trade at a higher volatility in equities than the calls.  If we use the at the money options volatility level as a base, the calls typically trade for a lower volatility and the puts trade at a higher vol.  There are a few reasons for this, all based on the idea that the investing world is generally long the underlying.  This makes sense as most people are long stocks via directly owning individual holdings or through a mutual fund.

So if we are long stocks there are two ways options can help us – income generation and protection.  Income generation is usually done by selling calls against the stock.  Often times this done via the out of the money calls.  Money managers and individuals selling these calls tend to push down prices and hence IV.  In addition, there is less a perception and fear of a rapid rise in stocks, which tends to limit the buyers.  There is however a fear of a rapid selloff and the need to protect holdings.  For that reason puts tend to get bid up more and hold their value.  The rule of thumb for the skew is options in the direction of panic tend to hold value higher and longer.  For equities that is the downside and the puts, for commodities it is the upside and the calls.

The Prepared Mind: May 5, 2014

Sell in May.  It does not look that way. The bulls are back again..  The Dow Jones Industrial Average (DJIA) reached a record closing high on Wednesday and retraced to close on Friday at 16,512.89 up 0.93% on the week.  The financial news focused on the positives last week.   The positives included relatively upbeat Q1 earnings results, a 6.2% unemployment rate – the lowest in 5½ years, the largest monthly job growth in 2½ years. and ramped up growth in the economy in April.  The Friday sell-off was attributed to investor concern about the Ukraine.  Investor concerns about geopolitical tension and holding risk over the weekend have made the Friday afternoon sell-off a weekly ritual.

A review of the past week confirms the absence of “real” fear in the markets.

Technical indicators continue to give mixed signals.  Equity put-call ratios give divided indication with the stand ratio giving a sell signal and the weighted ration sending out a buy signal.  Market breadth indicators are giving different signals depending on the specific market.  The NYSE-based indicator is a “buy”, while the NASDAQ-based indicator is a “sell.” The behavior of the VIX and associated VIX-based indexes and futures also gave mixed indications.

The VIX spot is at recent lows indicating a lack of concern about the market.  However, the spread between the VIX spot and the volatility futures expanded this past week.  Volatility traders closely monitor the difference between the cash VIX and the most actively traded VIX futures.  The expansion in future premium  indicates investor concern about current levels for the cash/spot VIX.  The expansion in the spread is viewed by many students of volatility as an argument for the downward move in May.

 

 

 

 

 

The coming week will continue to focus on economic reports and earnings.  The situation in the Ukraine remains a wild card and will be for weeks to come.  Economic reports will focus on the service sector and employment.  Thursday’s job report will be parsed in detail to determine if April’s job growth was a one-time seasonal reaction to easing of inclement weather.  Data on job openings, hires, and separations will be inxkuded in Friday’s release of JOLTS.

Earnings will start to tail-off after the coming week.  Notable earnings this week include: Pfizer, Sysco, Disney, Allstate, Whole Foods, Mosaic, Marathon Oil, Duke Energy, Perrigo, Chesapeake Energy, Prudential Financial, Allergan, CBS, Priceline,com, The volume of announcements will remain at high levels for the next 2 weeks. If you trade a stock, always know when earnings announcements will occur. I scan stocks announcing earnings the coming week using the following criteria:  Price > 20, 30 Day Implied Volatility > 20, and Average Daily Option Volume > 400 contracts.  It is your responsibility to confirm these earnings dates. Earnings dates can and do change.

 

Trading advice to remember:

  “Chance favors the Prepared Mind.” – Louis Pasteur

“”The Stock market is never wrong.  Traders are wrong” –Jesse Livermore

 

Monday May 5:

Economic:  Gallup US Consumer Spending Measure – 8:30, PMI Services Index – 9:45, Global Manufacturing PMI – 11:00, TD Ameritrade IMX – 12:30.

International Economic:  EMU PPI – 5:00 AM.

Optionable Earnings: 

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

AUXL Auxilium Pharmaceuticals, Inc.

$22.07

58.1

B

($0.14)

RLGY Realogy Holdings Corp

$42.73

33.1

B

($0.19)

TSN Tyson Foods, Inc.

$42.41

29.6

B

$0.61

AIG American International Group Inc

$52.94

25.6

A

$1.08

APC Anadarko Petroleum Corporation

$99.55

28.2

A

$1.19

AXLL Axiall Corp

$46.03

39.3

A

$0.02

CFN CareFusion Corporation

$38.92

25.5

A

$0.62

CRK Comstock Resources Inc

$26.62

49.3

A

$0.06

DATA Tableau Software Inc

$58.32

69.2

A

($0.19)

ECOM ChannelAdvisor Corp

$26.80

94.5

A

($0.45)

EMES Emerge Energy Services LP

$74.28

46.3

A

$0.65

EOG EOG Resources Inc

$97.12

33.2

A

$1.17

FLDM Fluidigm Corporation

$37.55

63.4

A

($0.31)

MED Medifast Inc

$31.10

43.3

A

$0.37

MR Mindray Medical International Ltd

$34.40

42.9

A

$0.36

OAS Oasis Petroleum Inc.

$45.38

40.2

A

$0.64

RGR Sturm, Ruger & Company

$66.72

41.6

A

$1.11

ROSE Rosetta Resources Inc.

$46.20

42.6

A

$0.83

SALE RetailMeNot Inc

$32.48

78.1

A

$0.14

THC Tenet Healthcare Corp

$45.51

43.5

A

($0.15)

VECO Veeco Instruments Inc.

$36.78

48.2

A

($0.26)

YY YY Inc (ADR)

$60.22

79.5

A

$0.44

 

Tuesday May 6:

Economic:  ICSC-Goldman Store Sales – 7:45, Gallup US ECI- 8:30, International Trade – 8:30, Redbook – 8:55.

International Economic:  EMU PMI Composite – 4:00 AM, EMU Retail Sales – 5:00 AM, Japan PMI Composite – 7:15 PM, Bank of Japan Minutes – 7:50 PM, China PMI Composite – 9:45 PM.

Other:  Federal Reserve Gov. Jeremy Stein speech in New York – 6:15 PM.

Optionable Earnings: 

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

AER AerCap Holdings N.V.

$42.75

35.6

B

$0.62

CBOE CBOE Holdings, Inc

$53.46

25.4

B

$0.55

CRZO Carrizo Oil & Gas, Inc.

$53.67

39.8

B

$0.27

DISCA Discovery Communications Inc.

$76.12

27.5

B

$0.71

DTV DIRECTV

$80.76

37.2

B

$1.49

EXH Exterran Holdings, Inc.

$42.68

39.0

B

$0.14

GDP Goodrich Petroleum Corporation

$24.49

80.7

B

($46.00)

HFC HollyFrontier Corp

$52.30

28.1

B

$0.77

ISIS ISIS Pharmaceuticals, Inc.

$25.57

87.8

B

($0.23)

MONT Montage Technology Group Ltd

$20.47

46.0

B

$0.28

NUS Nu Skin Enterprises, Inc.

$87.53

51.1

B

$0.94

RDC Rowan Companies PLC

$31.02

26.7

B

$0.21

UBS UBS AG

$21.02

26.6

B

$0.40

VMC Vulcan Materials Company

$64.78

35.7

B

($0.34)

WCG WellCare Health Plans, Inc.

$66.38

48.6

B

$0.04

WNR Western Refining, Inc.

$43.44

36.0

B

$0.41

ACAD ACADIA Pharmaceuticals Inc.

$20.12

71.1

A

($0.13)

AEGR Aegerion Pharmaceuticals, Inc.

$45.53

87.5

A

($0.35)

ARRS Arris Group Inc

$26.38

52.0

A

$0.41

BOFI BofI Holding, Inc.

$81.48

49.3

A

$0.97

CNVR Conversant Inc

$25.13

53.1

A

$0.35

CYH Community Health Systems

$39.33

39.3

A

$0.21

DLR Digital Realty Trust, Inc.

$53.54

27.0

A

$1.18

EA Electronic Arts Inc.

$28.74

42.3

A

$0.03

ETE Energy Transfer Equity LP

$46.80

27.5

A

$0.32

FEYE FireEye Inc

$40.77

87.3

A

($0.60)

FSLR First Solar, Inc.

$67.27

53.9

A

$0.50

GNC GNC Holdings Inc

$44.54

43.2

A

$0.76

LBTYA Liberty Global PLC

$40.91

28.3

A

$0.07

MCHP Microchip Technology Inc.

$46.66

26.6

A

$0.55

MTDR Matador Resources Co

$27.54

49.0

A

$0.25

MYGN Myriad Genetics, Inc.

$39.97

59.5

A

$0.46

PXD Pioneer Natural Resources

$193.11

33.3

A

$1.05

THOR Thoratec Corporation

$33.48

42.4

A

$0.27

THRX Theravance Inc

$26.79

56.7

A

($0.53)

TRIP Tripadvisor Inc

$83.50

61.4

A

$0.46

TSRA Tessera Technologies, Inc.

$21.64

35.6

A

$0.50

WFM Whole Foods Market, Inc.

$50.35

38.4

A

$0.41

ZU Zulily Inc

$45.33

92.6

A

($0.01)

 

Wednesday May 7:

Economic:  MBA Purchase Application – 7:00. Gallup US Job Creation Index – 8:30, Productivity and Costs – 8:30, EIA Petroleum Status Report – 10:30, Global Composite PMI – 11:00, Global Services PMI – 11:00.

International Economic: No major announcements.

Other:  Federal Reserve Chair Janet Yellen to appear before the Joint Economic Committee in Washington – 10:00.

Optionable Earnings:

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

AOL AOL, Inc.

$43.88

49.8

B

$0.33

BID Sothebys

$42.29

39.3

B

($0.08)

CHK Chesapeake Energy Corporation

$28.42

37.9

B

$0.47

CLH Clean Harbors Inc

$59.48

37.4

B

$0.12

CLMT Calumet Specialty Products Partners, L.P

$28.14

26.8

B

$0.09

CTSH Cognizant Technology Solutions Corp

$48.60

34.1

B

$0.55

GWPH GW Pharmaceuticals PLC- ADR

$73.92

111.3

B

($0.30)

HNT Health Net, Inc.

$34.59

49.7

B

$0.43

HTZ Hertz Global Holdings, Inc.

$28.86

40.8

B

$0.10

HUM Humana Inc

$109.42

34.5

B

$1.94

LGND Ligand Pharmaceuticals Inc.

$63.46

70.5

B

$0.17

PRGO Perrigo Company PLC

$146.02

37.6

B

$1.53

ROC Rockwood Holdings, Inc.

$71.67

30.2

B

$0.45

SBGI Sinclair Broadcast Group, Inc.

$27.41

56.5

B

$0.16

VSI Vitamin Shoppe Inc

$46.97

52.4

B

$0.68

WPX WPX Energy Inc

$21.42

39.0

B

$0.01

ARP Atlas Resource Partners, L.P.

$21.18

31.7

A

($0.13)

ATLS Atlas Energy LP

$41.15

36.8

A

$0.13

BKD Brookdale Senior Living, Inc.

$31.93

36.6

A

$0.06

CAR Avis Budget Group Inc.

$53.36

42.5

A

$0.08

CF CF Industries Holdings, Inc.

$242.00

30.6

A

$4.44

CLR Continental Resources, Inc.

$134.11

38.5

A

$1.54

CTRP Ctrip.com International, Ltd. (ADR)

$47.50

70.7

A

$0.11

EXPD Expeditors International of Wash

$41.33

27.1

A

$0.42

FNV Franco-Nevada Corporation

$47.49

32.9

A

$0.22

GMCR Keurig Green Mountain Inc

$92.40

67.2

A

$0.95

GPOR Gulfport Energy Corporation

$72.65

46.5

A

$0.20

HAIN The Hain Celestial Group, Inc.

$86.44

34.9

A

$0.86

MWE Markwest Energy Partners LP

$62.93

25.4

A

$0.26

OFIX Orthofix International NV

$30.01

50.9

A

$0.13

PHH PHH Corporation

$23.88

36.1

A

$0.26

PRU Prudential Financial Inc

$81.17

26.1

A

$2.27

QEP QEP Resources Inc

$30.44

31.1

A

$0.25

RIG Transocean LTD

$42.34

28.3

A

$1.00

SCTY SolarCity Corp

$54.60

66.2

A

$0.20

SFM Sprouts Farmers Market Inc

$31.99

41.3

A

$0.20

TROX Tronox Ltd

$24.57

37.9

A

($0.32)

TSLA Tesla Motors Inc

$207.73

71.0

A

($0.10)

XEC Cimarex Energy Co

$118.22

35.5

A

$1.50

Z Zillow Inc

$107.02

80.5

A

($0.22)

 

Thursday May 8:

Economic:  Chain Store Sales, Weekly Jobless Claims – 8:30, Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30.

International Economic: China Merchandise Trade Balance, European Central Bank Announcement – 7:45 AM.

Other:  Philadelphia Federal Reserve Bank President Charles Plosser speech on monetary policy in New York – 8:00 AM, Federal Reserve Gov. Daniel Tarullo speech at the Chicago Fed’s banking conference – 8:30, Federal Reserve Chair Janet Yellen to appear before the Joint Economic Committee in Washington – 9:30, t Louis Federal Reserve Bank President James Bullard remarks to household finance conference in St. Louis – 2:00 PM.

Optionable Earnings: 

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

AGIO Agios Pharmaceuticals Inc

$43.92

92.5

B

($0.37)

AGO Assured Guaranty Ltd.

$24.04

29.0

B

$0.63

APO Apollo Global Management LLC

$27.00

43.5

B

$0.58

BITA Bitauto Hldg Ltd (ADR)

$36.57

81.0

B

$0.15

DISH DISH Network Corp

$60.21

57.6

B

$0.43

GOLD Randgold Resources Ltd. (ADR)

$78.80

31.7

B

$0.68

LINTA Liberty Interactive (Interactive group)

$29.19

29.1

B

$0.25

LPI Laredo Petroleum Inc

$28.92

44.1

B

$0.14

MGA Magna International Inc. (USA)

$98.94

26.3

B

$1.95

MNK Mallinckrodt PLC

$70.59

59.4

B

$0.79

MPEL Melco Crown Entertainment Ltd

$34.34

48.1

B

$0.41

NPSP NPS Pharmaceuticals, Inc.

$26.34

62.9

B

($0.04)

NSM Nationstar Mortgage Holdings Inc

$31.76

58.5

B

$0.75

NXST Nexstar Broadcasting Group, Inc.

$40.87

52.3

B

$0.34

PCLN Priceline.com Inc

$1,180.60

39.1

B

$6.26

REGN Regeneron Pharmaceuticals Inc

$299.08

44.1

B

$0.99

SRPT Sarepta Therapeutics Inc

$36.88

63.3

B

($0.80)

SUNE Sunedison Inc

$20.32

67.7

B

($0.21)

TDC Teradata Corporation

$45.85

39.2

B

$0.41

VRX Valeant Pharmaceuticals Intl Inc

$138.13

32.0

B

$1.72

WAC Walter Investment Management Corp

$25.60

58.7

B

$0.62

WWAV WhiteWave Foods Co

$27.41

35.4

B

$0.20

ALNY Alnylam Pharmaceuticals, Inc.

$54.43

64.6

A

($1.18)

CBS CBS Corporation

$57.48

36.0

A

$0.75

CLVS Clovis Oncology Inc

$54.54

89.5

A

($0.87)

CSC Computer Sciences Corporation

$59.35

41.6

A

$1.03

ENOC EnerNOC, Inc.

$23.77

57.4

A

($1.15)

FUEL Rocket Fuel Inc

$33.48

84.5

A

($0.44)

MDVN Medivation Inc

$60.46

50.0

A

($0.03)

MELI Mercadolibre Inc

$89.42

58.5

A

$0.58

MNST Monster Beverage Corp

$66.98

38.3

A

$0.49

OLED Universal Display Corporation

$25.93

67.6

A

$0.02

PPO Polypore International, Inc.

$35.11

51.5

A

$0.26

SLW Silver Wheaton Corp. (USA)

$22.26

32.6

A

$0.22

SLXP Salix Pharmaceuticals, Ltd.

$111.45

48.9

A

$0.42

SYMC Symantec Corporation

$20.16

37.4

A

$0.38

UBNT Ubiquiti Networks Inc

$40.26

78.2

A

$0.48

 

Friday May 9:

Economic:  JOLTS – 10:00 AM, Wholesale Trade – 10:00..

International Economic:  No major announcements.

Other:  Minneapolis Federal Reserve Bank President Narayana Kocherlakota speech in St. Paul, Minnesota.

Optionable Earnings: 

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

HLT Hilton Worldwide Holdings Inc

$22.08

30.3

B

$0.08

RL Ralph Lauren Corp

$153.40

35.9

B

$1.64

SSYS Stratasys Ltd

$98.80

54.9

B

$0.33

 

Monday May 12:

Economic:  No major announcements.

International Economic:  China Industrial Production 10:PM.

Optionable Earnings:  

Symbol

Company Name

May 2 Close

IV30

B/A

XEPS

CXO Concho Resources Inc

$130.03

32.9

B

$0.95

MCK McKesson Corporation

$168.20

26.7

A

$2.29

RAX Rackspace Hosting, Inc.

$28.96

63.2

A

$0.12

 

 

 

The Prepared Mind: April 28, 2014

We had more of the same last week.  Every move in the indexes greater than 0.50 percent engendered noise from the chorus of the financial news media.  The first four days of the week market cheerleaders were in full voice.  The key words heard were “trending upwards”, “bullish volatility levels”, “technical indicators are bullish”, “challenge new highs”,  and “breakout to new highs.”  A change in direction on Friday had the same people using “Overbought”, “put-call ratios are bearish”, “sell signals”, “tired”, “nearing a confirmation of a head and shoulders move.”  It has become readily obvious the these “experts” are flummoxed by the current trading range of 1810 to 1900.   Their obligation to create media content forces them to respond to crises – whether they are real or imagined.

A review of the past week confirms the absence of “real” crises in the markets.

 

 

 

 

If we look back at the past three weeks, you will see there has been minimal net change in the indexes.  It has been more of the same – again and again.

 

 

 

 

 

Complacent markets are dangerous for traders.  It is very easy for any trader to become complacent themselves in this type of market.  The market will eventually move outside of this trading range.    Be wary. Be nimble.  Have a plan for your response to moves to the upside and downside.   Trade with a plan and have the discipline to follow it.

The spread between the VIX spot and the volatility futures narrowed this past week.  Volatility traders closely monitor the difference between the Cash VIX and the most actively traded VIX future.  On Friday April 11, the cash VIX was trading at a premium to the MAY VIX future.  Last week the spread was 2.  This week the spread narrowed to 1.60 %. Last week’s minor increase in the VIX and VIX future is was the result the Friday sell-off.  Traders are wary about going home short volatility for a weekend precede by a sell-off

Index

Ticker

4/25 Close

Change

% Change

4//17 Close

CBOE Volatility Index VIX

14.06

0.70

5.24%

13.36

VIX May Future VXK4

15.60

0.00

0.00%

15.60

VIX June Future VXM4

16.20

0.10

0.62%

16.10

VIX July Future VXN4

16.65

-0.05

-0.30%

16.70

CBOE Short-term Volatility Index VXST

13.94

2.26

19.35%

11.68

CBOE 3 Month Volatility Index VXV

15.18

0.34

2.29%

14.84

CBOE Mid-term Volatility Index VXMT

16.64

0.02

0.12%

16.62

VIX of VIX VVIX

70.49

0.41

0.59%

70.08

 

The coming week will continue to focus on economic reports and earnings.  The FOMC meeting will be the wild card.  Analysts have been disappointed by earnings with a projected 0.3%year-over-year decline    Single-family housing sales numbers were a disappointment last week coming in lower than expected.   Confirmation of this trend by Monday’s Pending Home Sales Index has the potential to send the market lower. This week is “employment week.”  April’s unemployment numbers will be dissected in order to get a sense of the state of the economy.  The situation in the Ukraine will be a constant for weeks to come.

 

The coming week will bring the largest number of earnings announcements for the quarter. I have adjusted my weekly earnings can to include stocks with a daily option value of over 400 contracts per day.  The previous level of 200 contracts per day included to many stocks with questionable option liquidity.   Liquidity is important for price discovery and ease of position entry and exit. Notable earnings this week include  Loews. Corning, Aflac, eBay, Marriott, Bristol Myers, Express Scripts, Exelon, MetLife, Conoco Phillips, Kellogg, Kraft Foods, ExxonMobil, MasterCard, Chevron and CVS Caremark.   The volume of announcements will remain at high levels for the next 2 weeks. If you trade a stock, always know when earnings announcements will occur. I scan stocks announcing earnings the coming week using the following criteria:  Price > 20, 30 Day Implied Volatility > 20, and Average Daily Option Volume > 400 contracts.  It is your responsibility to confirm these earnings dates. Earnings dates can and do change.

 

Trading advice to remember:

  “Chance favors the Prepared Mind.” – Louis Pasteur

“The only thing to do when a person is wrong is to be right, by ceasing to be wrong.

Cut your losses quickly, without hesitation.” –Jesse Livermore

 

Monday April 28:

Economic:  Pending Homes Sale Index 10:00, Dallas Fed Manufacturing Survey – 10:30.

International Economic:  No major announcements.

Optionable Earnings: 

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

CHTR Charter Communications, Inc.

$130.49

33.1

B

$0.15

CRI Carter’s, Inc.

$73.90

30.8

B

$0.71

CYOU Changyou.Com Ltd (ADR)

$26.75

63.7

B

($0.36)

EDU New Oriental Education & Tech Grp

$26.61

50.1

B

$0.25

GLW Corning Incorporated

$21.19

32.2

B

$0.30

LH Laboratory Corp. of America Holdings

$100.42

26.0

B

$1.60

SOHU Sohu.com Inc

$59.46

54.7

B

($1.45)

BWLD Buffalo Wild Wings

$139.58

40.8

A

$1.35

FTK Flotek Industries Inc

$30.02

42.6

A

$0.23

HLF Herbalife Ltd.

$57.59

66.9

A

$1.29

N NetSuite Inc

$81.00

52.6

A

($0.24)

QCOR Questcor Pharmaceuticals Inc

$82.30

45.5

A

$1.71

RRC Range Resources Corp.

$93.56

30.4

A

$0.38

SSW Seaspan Corporation

$21.90

26.0

A

$0.21

TCS Container Store Group Inc

$30.67

58.4

A

$0.26

TV Grupo Televisa SAB (ADR)

$32.63

30.0

A

$0.13

 

Tuesday April 29:

Economic:  ICSC-Goldman Store Sales – 7:45, Redbook – 8:55, S&P Case-Shiller HPI – 10:00, Consumer Confidence – 10:00, State Street Investor Confidence – 10:00.

International Economic:  Bank of Japan Announcement, Great Britain GDP – 4:30 AM, EMU EC Economic Sentiment – 5:00 AM, Japan PMI Manufacturing Index – 7:15 PM, Japan Industrial Production – 7:50 PM. 

Other:  FOMC meeting begins.

 

Optionable Earnings: 

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

AGCO AGCO Corporation

$57.28

28.8

B

$0.79

BMY Bristol-Myers Squibb Co

$50.71

34.8

B

$0.44

CCJ Cameco Corporation (USA)

$22.86

32.6

B

$0.06

CHKP Check Point Software Technologies

$67.29

29.3

B

$0.78

CMI Cummins Inc.

$149.06

26.8

B

$1.67

CNX CONSOL Energy Inc.

$43.31

27.6

B

$0.20

COH Coach, Inc.

$50.00

35.3

B

$0.63

DBD Diebold Inc

$39.35

32.5

B

$0.25

DDD 3D Systems Corporation

$51.44

62.4

B

$0.12

GT Goodyear Tire & Rubber

$28.20

41.1

B

$0.60

GTLS Chart Industries, Inc.

$78.12

45.9

B

$0.62

HCA HCA Holdings Inc

$50.53

31.1

B

$0.85

HUN Huntsman Corporation

$24.77

32.5

B

$0.40

MGM MGM Resorts International

$24.55

43.3

B

$0.10

MHFI McGraw Hill Financial Inc

$75.99

25.4

B

$0.87

MLM Martin Marietta Materials, Inc.

$126.64

32.3

B

($0.31)

PH Parker-Hannifin Corporation

$124.46

26.9

B

$1.61

SAVE Spirit Airlines Incorporated

$60.61

42.2

B

$0.52

VLO Valero Energy Corporation

$56.55

33.9

B

$1.36

WRLD World Acceptance Corp.

$80.35

49.7

B

$3.55

BRFS BRF SA (ADR)

$21.99

30.3

A

$0.16

CHRW C.H. Robinson Worldwide, Inc.

$56.92

29.5

A

$0.62

CNQR Concur Technologies, Inc.

$89.25

57.3

A

($0.15)

DNB Dun & Bradstreet Corp

$105.59

29.0

A

$1.31

DWA Dreamworks Animation Skg Inc

$28.15

50.6

A

($12.00)

EBAY eBay Inc

$54.84

29.5

A

$0.57

ESRX Express Scripts Holding Co

$71.43

27.6

A

$1.01

GPRE Green Plains Renewable Energy Inc.

$29.58

62.4

A

$0.71

MEOH Methanex Corporation (USA)

$62.77

38.8

A

$1.86

NCR NCR Corporation

$34.19

43.5

A

$0.49

NDLS Noodles & Co

$36.98

55.9

A

$0.05

NFX Newfield Exploration Co.

$32.96

36.6

A

$0.40

PNRA Panera Bread Co

$170.72

33.9

A

$1.52

SLCA U.S. Silica Holdings Inc

$41.94

43.3

A

$0.35

SM SM Energy Co.

$79.30

37.7

A

$1.47

STX Seagate Technology PLC

$53.94

41.4

A

$1.26

SWI SolarWinds Inc

$43.53

52.0

A

$0.30

TRLA Trulia Inc

$34.49

84.4

A

($0.41)

TRN Trinity Industries Inc

$75.07

42.5

A

$2.55

TWTR Twitter Inc

$44.82

84.3

A

($0.26)

X United States Steel Corporation

$27.47

36.5

A

$0.37

 

Wednesday April 30:

Economic:  MBA Purchase Applications – 7:00, ADP Employment Report – 8:15, GDP – 8:30, Employment Cost Index – 8:30,  Chicago – PMI – 9:45, EIA Petroleum Status Report – 10:30, Farm Prices – 3:00.

International Economic: EMU HICP Flash – 5:00 AM.

Other:  FOMC Meeting Announcement.

Optionable Earnings:

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

AB AllianceBernstein Holding LP

$26.39

33.7

B

$0.41

ACT Actavis PLC

$202.63

32.3

B

$3.29

ADT ADT Corp

$29.63

42.6

B

$1.08

ALKS Alkermes Plc

$46.28

44.7

B

($0.01)

CG The Carlyle Group LP

$34.69

35.9

B

$0.98

GRMN Garmin Ltd.

$55.49

35.1

B

$0.44

IACI IAC/InterActiveCorp

$69.03

43.4

B

$0.48

LL Lumber Liquidators Holdings Inc

$87.42

50.2

B

$0.63

LVLT Level 3 Communications, Inc.

$37.50

41.7

B

$0.28

PBF PBF Energy Inc

$29.27

38.6

B

$0.91

PBI Pitney Bowes Inc.

$25.52

47.9

B

$0.39

PNK Pinnacle Entertainment, Inc

$22.99

43.2

B

$0.38

PSX Phillips 66

$82.57

25.1

B

$1.34

SEE Sealed Air Corp

$33.13

31.3

B

$0.24

ARII American Railcar Industries, Inc.

$68.41

49.5

A

$1.13

ASH Ashland Inc

$97.68

30.2

A

$1.56

BGC General Cable Corporation

$25.16

44.8

A

($0.08)

CAVM Cavium Inc

$43.47

47.7

A

$0.12

CHMT Chemtura Corp

$22.85

37.4

A

$0.16

EGN Energen Corporation

$81.31

32.6

A

$1.24

EQIX Equinix Inc

$180.54

32.2

A

$0.73

HOLX Hologic, Inc.

$20.73

33.3

A

$0.33

LNC Lincoln National Corporation

$48.57

28.1

A

$1.30

MET Metlife Inc

$51.95

25.3

A

$1.40

MUR Murphy Oil Corporation

$64.75

25.4

A

$0.96

PPC Pilgrim’s Pride Corporation

$22.33

43.2

A

$0.37

PRAA Portfolio Recovery Associates, Inc.

$58.44

36.7

A

$0.86

ROVI Rovi Corporation

$22.54

57.5

A

$0.28

SFLY Shutterfly, Inc.

$42.03

58.2

A

$0.93

TEX Terex Corporation

$42.62

40.0

A

$0.34

TSO Tesoro Corporation

$54.21

34.5

A

$0.39

WBMD WebMD Health Corp.

$45.31

53.3

A

$0.10

WDC Western Digital Corp

$89.80

40.4

A

$1.88

WLL Whiting Petroleum Corp

$75.42

36.3

A

$0.97

WMGI Wright Medical Group Inc

$28.40

40.8

A

($0.42)

WTW Weight Watchers International, Inc.

$21.03

63.9

A

$0.09

YELP Yelp Inc

$62.70

86.5

A

($0.06)

 

Thursday May 1:

Economic:  Motor Vehicle Sales, Challenger Job-Cut Report – 7:30, Gallup Payroll to Population – 8:30, Jobless Claims – 8:30,  Personal Income and Outlays – 8:30, PMI Manufacturing Index – 9:45, Bloomberg Consumer Comfort Index – 9:45, ISM Manufacturing Index – 10:00, Construction Spending – 10:00.

International Economic: No major announcements.

Optionable Earnings: 

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

AFSI Amtrust Financial Services, Inc.

$37.60

48.7

B

$0.93

CAH Cardinal Health Inc

$68.61

25.2

B

$1.00

CI CIGNA Corporation

$79.48

27.3

B

$1.63

CTRX Catamaran Corp (USA)

$38.99

39.3

B

$0.44

CVI CVR Energy, Inc.

$48.86

37.3

B

$0.71

DPZ Domino’s Pizza, Inc.

$75.09

33.5

B

$0.66

ENDP Endo International PLC

$61.86

46.5

B

$0.84

ESI ITT Educational Services, Inc.

$27.59

69.1

B

$0.71

FCN FTI Consulting, Inc.

$33.40

46.9

B

$0.26

GG Goldcorp Inc. (USA)

$24.55

31.8

B

$0.14

GNRC Generac Holdings Inc.

$59.03

44.8

B

$0.73

HAR Harman International Industries Inc./DE/

$112.01

43.7

B

$1.00

IDCC InterDigital, Inc.

$34.66

42.4

B

($0.16)

IEP Icahn Enterprises LP

$102.25

39.4

B

$1.71

INCY Incyte Corporation

$47.30

86.7

B

($0.17)

IRM Iron Mountain Incorporated

$28.09

56.4

B

$0.26

IVZ Invesco Ltd.

$35.38

26.5

B

$0.55

LINE Linn Energy LLC

$28.80

29.8

B

$0.39

LNCO LinnCo LLC

$27.91

29.1

B

$0.58

MA Mastercard Inc

$74.35

27.9

B

$0.72

MD MEDNAX Inc

$59.38

25.6

B

$0.63

MDC M.D.C. Holdings, Inc.

$28.31

31.9

B

$0.23

MPC Marathon Petroleum Corp

$90.74

31.7

B

$1.05

MYL Mylan Inc

$50.35

43.4

B

$0.63

OCN Ocwen Financial Corp

$38.00

51.0

B

$0.96

PRLB Proto Labs Inc

$61.07

57.2

B

$0.37

PWR Quanta Services Inc

$35.70

31.0

B

$0.37

RGLD Royal Gold, Inc USA)

$65.12

34.2

B

$0.23

STRZA Starz

$32.04

35.1

B

$0.53

TEVA Teva Pharmaceutical Industries Ltd

$49.84

30.2

B

$1.22

TMUS T-Mobile Us Inc

$29.39

57.8

B

($0.09)

TXT Textron Inc.

$39.73

33.1

B

$0.40

UPL Ultra Petroleum Corp.

$30.10

39.8

B

$0.73

WWE World Wrestling Entertainment, Inc.

$22.21

87.4

B

($0.18)

YRCW YRC Worldwide Inc

$20.65

69.7

B

($1.28)

AEM Agnico Eagle Mines Ltd (USA)

$28.29

41.7

A

$0.21

AKAM Akamai Technologies, Inc.

$53.35

54.2

A

$0.44

BBG Bill Barrett Corporation

$24.79

44.5

A

$0.08

BMRN BioMarin Pharmaceutical Inc.

$59.23

51.2

A

($0.49)

BYI Bally Technologies Inc.

$63.75

42.4

A

$1.14

DGI DigitalGlobe Inc

$29.34

42.7

A

($0.07)

DRC Dresser-Rand Group Inc.

$60.89

30.4

A

$0.17

DXCM DexCom, Inc.

$34.68

62.2

A

($0.08)

EXPE Expedia Inc

$72.10

65.8

A

$0.02

FLR Fluor Corporation (NEW)

$76.92

25.8

A

$0.96

FLT FleetCor Technologies, Inc.

$113.56

43.3

A

$1.01

IMPV Imperva Inc

$25.62

68.9

A

($0.76)

INVN InvenSense Inc

$21.82

67.2

A

$0.07

ITMN InterMune Inc

$30.45

77.5

A

$0.62

LNKD LinkedIn Corp

$171.59

59.4

A

$0.01

MHK Mohawk Industries, Inc.

$137.62

32.9

A

$1.19

MTW Manitowoc Company, Inc.

$31.58

40.1

A

$0.22

OPEN OpenTable Inc

$70.23

53.5

A

$0.31

OUTR Outerwall Inc

$67.71

48.8

A

$0.92

PCYC Pharmacyclics, Inc.

$94.48

64.5

A

$0.03

SGEN Seattle Genetics, Inc.

$39.33

64.6

A

($0.20)

SWIR Sierra Wireless, Inc. (USA)

$23.00

57.0

A

($0.02)

SWN Southwestern Energy Company

$48.37

28.2

A

$0.63

TPX Tempur Sealy International Inc

$50.83

50.6

A

$0.52

VRTX Vertex Pharmaceuticals Incorporated

$66.18

83.2

A

($0.71)

XPO XPO Logistics Inc

$27.82

45.8

A

($0.28)

 

Friday May 2:

Economic:  Employment Situation – 8:30, Factory Orders – 10:00.

International Economic:  EMU PMI Manufacturing – 4:00 AM, EMU Unemployment – 5:00.

Earnings:

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

B Spirit AeroSystems Holdings, Inc.

$30.17

40.6

B

$0.62

CTB Cooper Tire & Rubber Co

$26.54

37.3

B

$0.49

EL Estee Lauder Companies Inc

$72.09

27.0

B

$0.55

 

Monday May 5:

Economic:  Pending Home Sale Index 10:00, Dallas Fed Manufacturing Survey = 10:30.

International Economic:  No major announcements.

Optionable Earnings:  

Symbol

Company Name

4/25/2014 Close

IV30

B/A

XEPS

RLGY Realogy Holdings Corp

$42.44

33.4

B

($0.19)

TSN Tyson Foods, Inc.

$42.50

28.8

B

$0.62

APC Anadarko Petroleum Corporation

$100.19

26.7

A

$1.18

APL Atlas Pipeline Partners, L.P.

$31.52

25.5

A

($0.07)

CFN CareFusion Corporation

$38.39

25.1

A

$0.62

CRK Comstock Resources Inc

$27.82

47.2

A

$0.07

DATA Tableau Software Inc

$59.94

78.1

A

($0.19)

ECOM ChannelAdvisor Corp

$29.54

86.3

A

($0.45)

EMES Emerge Energy Services LP

$73.70

47.0

A

$0.65

EOG EOG Resources Inc

$103.48

32.0

A

$1.18

FLDM Fluidigm Corporation

$37.80

62.0

A

($0.31)

MED Medifast Inc

$32.61

42.5

A

$0.37

MR Mindray Medical International Ltd

$32.40

43.0

A

$0.36

OAS Oasis Petroleum Inc.

$46.95

38.1

A

$0.64

RGR Sturm, Ruger & Company

$61.95

37.7

A

$1.11

SALE RetailMeNot Inc

$31.74

76.2

A

$0.14

THC Tenet Healthcare Corp

$42.26

45.5

A

($0.15)

VECO Veeco Instruments Inc.

$40.35

43.9

A

($0.26)

YY YY Inc (ADR)

$64.80

82.6

A

$0.44

 

Papale on the Mini Options

I admit it I am pretty tired this morning.  Last night we got things started by seeing a movie at 6:20 when that was over my boys and I headed over to the church for some basketball until around 10.  Got home, showered and watched the Blackhawks even up the series in OT against the Blues, finally getting to bed just after 12.  Late for me.  So the coffee is flowing and I’ll try to finish this before I doze off.

A product that is gaining some traction are the new mini options.  On some  high priced stocks investors and traders can trade options that control 10 shares of stock rather than the standard 100 shares.   The stocks these are available on are AMZN, AAPL and GOOG (combined pre and post shares).  ETF’s include SPY and GLD.  The mini symbol is the ticker followed by a “7”.    Markets, while not as actively traded on minis, theoretically are the same as the standard options.

However, because the multiple is 10 rather than 100, the cost of the option is 1/10 of the standard option.  Breakevens are the same as standard options however when delivering or receiving the stock, we will only be dealing with 10 shares.  If you are trading mini’s on GOOG or GOOGL (the new and old shares), the minis represent 10 shares of each stock, for  a total of 20 shares.  In addition if you want to determine the appropriate strike price you will need to add the price of both shares to get a hybrid underlying price.

The Prepared Mind: April 21, 2014

Chicken Little was wrong again.  An impressive rebound was staged by the major indexes and in the positive narrative by the financial news talking heads.   This weekend the financial news has been dominated by positive stories.  There is once again joy in Mudville.  Casey has not struck out.  All the indexes were up over 2%.  The bull market is back….or so the analysts say.  Here are last week’s results

 

Investors should be confused.  Last weekend the some of the more astute financial experts were enumerating all the reasons that the bear market was upon us.  More than one analyst used the previous two weeks market behavior, combined with a host of economic indicators, to prove the bear market had begun.  If we look back at the past two weeks, you will see there has been minimal net change in the indexes.

 

I am very hesitant about drawing any conclusions about the future from this thicket of information.  It is readily apparent the experts can “prove” any conclusion they want to using “statistics.”  Be wary. Be nimble.  Above all else be your own person.  Trade with a plan and discipline.

The past three weeks of market gyrations has created an environment where the Volatility Futures are lagging the spot cash prices they are associated with.  Volatility traders closely monitor the difference between the Cash VIX and the most actively traded VIX future.  On Friday April 11, the cash VIX was trading at a premium to the MAY VIX future.  This week the May future is trading at a premium to the spot cash.  Volatility traders in the VIX option and futures pits are taking a “show me’ approach to moving their expectations for volatility.  The lagging behavior of the VIX futures and options is an indicator of  traders’ uncertainty about market direction.

The focus will be on economic reports and housing.    Single-family housing is considered a strong indicator of the economic environment.  Existing home sale, new home sales, and FHFA home prices will provide important insight into the state of the US economy.  Permabears (analysts and traders who are always bearish) are warning that weakness in these reports may provide fuel for another market sell-off.

This is a very important week for earnings.  This is the first week we will see earnings from many of the momentum stocks which led the previous weeks’ sell-offs.   The week will start with an earnings announcement from Netflix.  Other notable earnings this week include  Halliburton, Kimberley-Clark, Netflix, Lockheed Martin, McDonald’s, Comcast, Boeing, Apple, EMC, Biogen Idec, Qualcomm, Lilly, Starbucks, Amazon, Caterpillar, Microsoft, Visa, UPS, Colgate-Palmolive and Ford.   The volume of announcements will remain at high levels over  the next 3 weeks. If you trade a stock, always know when earnings announcements will occur. I scan stocks announcing earnings the coming week using the following criteria:  Price > 20, 30 Day Implied Volatility > 20, and Average Daily Option Volume > 200 contracts.  It is your responsibility to confirm these earnings dates. Earnings dates can and do change.

 

Trading advice to remember:

  “Chance favors the Prepared Mind.” – Louis Pasteur

 

Monday April 21:

Economic:  Chicago Fed National Activity Index – 8:30.

International Economic:  No major announcements.

Optionable Earnings: 

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

HAL Halliburton Company

$60.50

25.1

B

$0.75

HAS Hasbro, Inc.

$53.85

23.3

B

$0.11

CE Celanese Corporation

$57.02

26.6

A

$1.21

NFLX Netflix, Inc.

$331.41

58.8

A

$0.83

RCII Rent-A-Center Inc

$26.19

41.1

A

$0.55

ZION Zions Bancorporation

$29.88

25.7

A

$0.42

STI SunTrust Banks, Inc.

$38.16

22.2

.B

$0.67

 

Tuesday April 22 :

Economic:  ICSC-Goldman Store Sales – 7:45, Redbook – 8:55, FHFA House Price Index – 9:00, Existing Home Sales – 10:00, Richmond Fed Manufacturing Index – 10:00.

International Economic:  China PMI Flash Manufacturing Flash Index – 9:45PM.

Optionable Earnings: 

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

ATI Allegheny Technologies Incorporated

$41.01

30.5

B

($0.06)

BK The Bank of New York Mellon Corp

$33.42

22.4

B

$0.54

CP Canadian Pacific Railway Limited (USA)

$147.26

26.2

B

$1.39

HOG Harley-Davidson Inc

$66.55

25.5

B

$1.08

LXK Lexmark International Inc

$46.41

37.3

B

$0.87

MDSO Medidata Solutions Inc

$50.51

72.8

B

$0.08

OMC Omnicom Group Inc.

$71.02

24.1

B

$0.79

TCK Teck Resources Ltd (USA)

$22.16

34.1

B

$0.27

AMGN Amgen, Inc.

$115.54

28.0

A

$1.81

BCR C.R. Bard, Inc.

$139.26

24.8

A

$1.86

CBST Cubist Pharmaceuticals Inc

$63.93

48.4

A

$0.34

CREE Cree, Inc.

$56.38

56.2

A

$0.29

DFS Discover Financial Services

$56.52

23.8

A

$1.25

FBC Flagstar Bancorp Inc

$20.15

41.3

A

$0.17

FTI FMC Technologies, Inc.

$54.63

28.0

A

$0.50

GILD Gilead Sciences, Inc.

$69.28

38.1

A

$0.75

ILMN Illumina, Inc.

$136.22

62.0

A

$0.44

IRBT iRobot Corporation

$38.29

64.3

A

$0.16

ISRG Intuitive Surgical, Inc.

$415.13

43.5

A

$3.34

JNPR Juniper Networks, Inc.

$25.05

35.9

A

$0.19

NBR Nabors Industries Ltd.

$24.13

34.8

A

$0.16

PKG Packaging Corp Of America

$67.36

26.3

A

$0.99

SKX Skechers USA Inc

$34.98

44.3

A

$0.33

SWKS Skyworks Solutions Inc

$35.81

45.3

A

$0.51

UIS Unisys Corporation

$28.89

54.5

A

$0.37

VMW VMware, Inc.

$102.34

43.1

A

$0.56

YUM Yum! Brands, Inc.

$76.86

26.5

A

$0.84

 

 

 

Wednesday April 23:

Economic:  MBA Purchase Applications – 7:00, PMI Manufacturing Index Flash – 9:45, New Home Sales – 10:00, EIA petroleum Status Report – 10:30.Book – 2:00.

International Economic: EMU PMI Composite Flash – 4:00 AM.

Optionable Earnings:

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

AMTD TD Ameritrade Holding Corp.

$31.29

27.4

B

$0.34

APD Air Products & Chemicals, Inc.

$118.68

24.1

B

$1.62

APH Amphenol Corporation

$93.38

23.7

B

$0.95

ARMH ARM Holdings plc (ADR)

$48.01

47.6

B

$0.23

BA The Boeing Company

$126.04

21.9

B

$1.54

BABY Natus Medical Inc

$23.75

56.6

B

$0.23

BEAV B/E Aerospace Inc

$83.68

27.6

B

$1.01

BIIB Biogen Idec Inc

$291.48

42.8

B

$2.58

BPOP Popular Inc

$29.13

30.1

B

$0.65

DAL Delta Air Lines, Inc.

$33.62

41.4

B

$0.29

DOW The Dow Chemical Company

$48.50

25.2

B

$0.70

EAT Brinker International, Inc.

$51.20

31.5

B

$0.84

EMC EMC Corporation

$26.70

23.0

B

$0.27

GCI Gannett Co., Inc.

$26.64

31.7

B

$0.46

GRA W.R. Grace & Co.

$99.08

26.7

B

$0.71

IR Ingersoll-Rand PLC

$57.98

26.1

B

$0.25

JCI Johnson Controls Inc

$46.73

26.7

B

$0.65

MAN ManpowerGroup Inc.

$75.87

36.2

B

$0.67

MDCO The Medicines Company

$24.90

50.0

B

($0.13)

MTH Meritage Homes Corp

$42.30

39.7

B

$0.64

NOC Northrop Grumman Corporation

$120.60

21.3

B

$2.15

NS NuStar Energy L.P.

$54.71

25.9

B

$0.37

NSC Norfolk Southern Corp.

$95.25

20.8

B

$1.14

NSH NuStar GP Holdings, LLC

$33.48

33.3

B

$0.34

OC Owens Corning

$41.96

32.2

B

$0.35

OCR Omnicare, Inc.

$57.76

30.9

B

$0.90

PII Polaris Industries Inc.

$136.83

32.4

B

$1.16

R Ryder System, Inc.

$80.60

26.5

B

$0.87

RAI Reynolds American, Inc.

$54.99

27.3

B

$0.74

RES RPC, Inc.

$20.98

36.0

B

$0.22

TEL TE Connectivity Ltd

$60.81

23.0

B

$0.97

TMO Thermo Fisher Scientific Inc.

$119.71

25.0

B

$1.40

TUP Tupperware Brands Corporation

$85.77

27.1

B

$1.16

AAPL Apple Inc.

$519.01

24.2

A

$10.21

ALGN Align Technology, Inc.

$51.68

53.8

A

$0.36

CAKE The Cheesecake Factory Incorporated

$47.48

28.4

A

$0.49

CBI Chicago Bridge & Iron Company

$85.51

27.2

A

$1.12

CCI Crown Castle International Corp.

$74.00

24.4

A

$0.28

CLB Core Laboratories N.V.

$211.48

30.3

A

$1.46

CTXS Citrix Systems, Inc.

$55.91

39.9

A

$0.38

ETFC E TRADE Financial Corporation

$20.84

41.3

A

$0.23

FB Facebook Inc

$59.72

61.7

A

$0.18

FFIV F5 Networks, Inc.

$108.31

46.0

A

$0.95

FLS Flowserve Corp

$78.37

26.9

A

$0.75

FTNT Fortinet Inc

$21.54

53.9

A

$0.04

LRCX Lam Research Corporation

$52.11

35.0

A

$1.16

NXPI NXP Semiconductors NV

$57.91

43.6

A

$0.81

OII Oceaneering International

$72.56

27.0

A

$0.80

ORLY O’Reilly Automotive Inc

$144.54

30.2

A

$1.58

QCOM QUALCOMM, Inc.

$80.18

20.5

A

$1.09

RHI Robert Half International Inc.

$41.50

30.5

A

$0.44

RJF Raymond James Financial, Inc.

$50.34

24.3

A

$0.79

RMD ResMed Inc.

$46.49

36.7

A

$0.63

TAL TAL International Group, Inc.

$42.74

33.7

A

$0.95

TSCO Tractor Supply Company

$66.89

33.3

A

$0.37

TXN Texas Instruments Incorporated

$45.21

22.0

A

$0.41

VAR Varian Medical Systems, Inc.

$80.89

26.8

A

$1.02

XLNX Xilinx, Inc.

$51.43

26.6

A

$0.65

 

Thursday April 24:

Economic:  Durable Goods Orders – 8:30, Jobless Claims – 8:30,  Bloomberg Consumer Comfort Index – 9:45, EIA Natural Gas Report – 10:30, Kansas City Fed Manufacturing Index – 11:00.

International Economic: Japan CPI – 7:30 pm.

Optionable Earnings: 

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

AAL American Airlines Group Inc

$35.51

42.2

B

$0.53

ABC AmerisourceBergen Corp.

$64.95

22.7

B

$1.00

AET Aetna Inc

$69.87

26.1

B

$1.56

ALXN Alexion Pharmaceuticals, Inc.

$149.05

55.1

B

$1.03

ASPS Altisource Portfolio Solutions S.A.

$118.63

55.0

B

$1.65

AVT Avnet, Inc.

$45.86

27.7

B

$1.07

B Carter’s, Inc.

$74.08

30.4

B

$0.71

BC Brunswick Corporation

$43.03

32.9

B

$0.60

CAB Cabelas Inc

$64.36

38.9

B

$0.38

CAM Cameron International Corporation

$63.11

30.9

B

$0.72

CAT Caterpillar Inc.

$102.93

21.7

B

$1.24

CCE Coca-Cola Enterprises Inc

$44.85

20.6

B

$0.44

CELG Celgene Corporation

$141.86

37.1

B

$1.43

CFX Colfax Corp

$70.59

28.2

B

$0.43

COG Cabot Oil & Gas Corporation

$34.05

34.4

B

$0.26

CRR CARBO Ceramics Inc.

$139.53

56.9

B

$0.87

CSH Cash America International Inc

$44.84

39.3

B

$1.52

DGX Quest Diagnostics Inc

$59.98

24.5

B

$0.89

DHI D.R. Horton, Inc.

$21.86

38.2

B

$0.34

DLPH Delphi Automotive PLC

$65.90

24.7

B

$1.07

DNKN Dunkin Brands Group Inc

$48.40

25.0

B

$0.36

DO Diamond Offshore Drilling Inc

$47.19

27.2

B

$0.69

EQT EQT Corporation

$103.57

26.7

B

$0.77

FCX Freeport-McMoRan Copper & Gold Inc.

$33.01

25.1

B

$0.46

GM General Motors Company

$33.97

27.4

B

$0.47

HOT Starwood Hotels & Resorts Worldwide

$76.52

25.0

B

$0.56

HP Helmerich & Payne, Inc.

$109.55

25.0

B

$1.47

IMAX IMAX Corporation (USA)

$27.99

34.3

B

$0.02

KKR KKR & Co. L.P.

$23.17

30.0

B

$0.54

LLY Eli Lilly and Co

$59.96

21.8

B

$0.70

LTM Life Time Fitness, Inc.

$50.55

32.2

B

$0.68

LUV Southwest Airlines Co

$23.54

29.2

B

$0.16

MJN Mead Johnson Nutrition CO

$83.74

27.6

B

$0.91

NBL Noble Energy, Inc.

$72.90

23.1

B

$0.74

NDAQ NASDAQ OMX Group, Inc.

$34.73

29.3

B

$0.71

NUE Nucor Corporation

$52.21

22.8

B

$0.36

POT Potash Corp./Saskatchewan (USA)

$35.01

23.7

B

$0.35

PTEN Patterson-UTI Energy, Inc.

$32.69

34.3

B

$0.25

RCL Royal Caribbean Cruises Ltd.

$51.11

31.2

B

$0.26

RS Reliance Steel & Aluminum

$70.00

23.6

B

$1.24

RTN Raytheon Company

$99.03

20.3

B

$1.75

RYL The Ryland Group, Inc.

$38.66

40.0

B

$0.46

SWK Stanley Black & Decker, Inc.

$81.48

24.7

B

$0.97

SXC SunCoke Energy Inc

$21.94

28.5

B

($0.01)

TKR Timken Co

$59.48

30.4

B

$0.82

TROW T. Rowe Price Group Inc

$80.34

22.9

B

$1.02

TWC Time Warner Cable Inc

$135.62

22.6

B

$1.67

UA Under Armour Inc

$53.75

55.2

B

$0.04

UFS Domtar Corp (USA)

$95.83

32.3

B

$1.80

USG USG Corporation

$31.56

42.8

B

$0.20

UTEK Ultratech, Inc.

$24.60

56.5

B

($0.20)

WYN Wyndham Worldwide Corporation

$71.35

24.6

B

$0.75

YNDX Yandex NV

$28.09

55.5

B

$0.24

ZMH Zimmer Holdings, Inc.

$91.57

23.1

B

$0.47

A DeVry Education Group Inc

$39.01

50.0

A

$0.75

ALTR Altera Corporation

$33.98

33.9

A

$0.32

AMZN Amazon.com, Inc.

$323.68

40.4

A

$0.21

AWAY HomeAway, Inc.

$35.24

59.8

A

$0.05

BAS Basic Energy Services, Inc

$28.21

47.5

A

($0.09)

BIDU Baidu Inc (ADR)

$157.23

46.7

A

$0.95

BRCM Broadcom Corporation

$29.87

28.5

A

$0.25

CAMP CalAmp Corp.

$24.47

62.9

A

$0.20

CERN Cerner Corporation

$53.98

31.9

A

$0.34

DECK Deckers Outdoor Corp

$78.31

55.4

A

($0.16)

EMN Eastman Chemical Company

$88.43

23.7

A

$1.60

EW Edwards Lifesciences Corp

$80.43

39.6

A

$0.68

FSL Freescale Semiconductor Ltd

$24.13

52.1

A

$0.21

INFA Informatica Corporation

$37.16

41.4

A

$0.25

ITRI Itron, Inc.

$35.52

41.7

A

$0.26

KLAC KLA-Tencor Corporation

$65.78

27.5

A

$1.10

LVS Las Vegas Sands Corp.

$76.39

33.6

A

$0.92

MAS Masco Corporation

$21.99

33.0

A

$0.18

MLNX Mellanox Technologies, Ltd.

$36.67

61.3

A

($21.00)

MSFT Microsoft Corporation

$40.40

24.1

A

$0.62

MXIM Maxim Integrated Products Inc.

$31.78

25.6

A

$0.39

NEM Newmont Mining Corp

$23.75

30.5

A

$0.18

NTGR NetGear, Inc.

$33.55

40.3

A

$0.45

OIS Oil States International, Inc.

$96.18

24.9

A

$1.37

OLN Olin Corporation

$28.49

23.0

A

$0.34

OTEX Open Text Corporation (USA)

$46.66

40.8

A

$0.84

P Pandora Media Inc

$27.34

80.5

A

($0.19)

PFG Principal Financial Group Inc

$44.89

24.6

A

$0.92

QLIK Qlik Technologies Inc

$25.40

63.4

A

($0.19)

SBUX Starbucks Corporation

$70.79

26.2

A

$0.56

SPN Superior Energy Services, Inc.

$31.63

31.9

A

$0.21

SPWR SunPower Corporation

$26.75

58.3

A

$0.32

SWFT Swift Transportation Co

$24.09

42.0

A

$0.13

SYNA Synaptics, Incorporated

$59.01

57.6

A

$0.39

V Visa Inc

$209.36

24.1

A

$2.18

VRSN Verisign, Inc.

$50.58

30.1

A

$0.58

 

Friday April 25:

Economic:  PMI Services Flash – 9:45, University of Michigan/Reuters Consumer Sentiment – 9:55.

International Economic:  No major announcements.

Earnings:

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

AAN Aaron’s, Inc.

$29.84

34.1

B

$0.53

ABBV AbbVie Inc

$48.12

27.0

B

$0.68

ALK Alaska Air Group, Inc.

$92.32

30.9

B

$1.12

AON Aon PLC

$82.36

24.4

B

$1.17

BKW Burger King Worldwide Inc

$25.96

25.8

B

$0.19

CVLT CommVault Systems, Inc.

$64.04

50.5

B

$0.29

DAN Dana Holding Corporation

$22.55

35.8

B

$0.38

FLIR FLIR Systems, Inc.

$35.33

29.5

B

$0.26

HMC Honda Motor Co Ltd (ADR)

$34.56

21.9

B

$0.88

LEA Lear Corporation

$82.42

30.2

B

$1.68

LH Laboratory Corp. of America

$101.95

22.0

B

$1.60

LPNT LifePoint Hospitals, Inc.

$51.27

35.1

B

$0.64

MCO Moody’s Corporation

$77.65

29.3

B

$0.90

STT State Street Corporation

$64.91

25.4

B

$1.00

TYC Tyco International Ltd.

$41.56

22.0

B

$0.40

VFC VF Corp

$60.13

25.4

B

$0.64

WHR Whirlpool Corporation

$154.76

32.2

B

$2.36

WY Weyerhaeuser Company

$27.90

20.2

B

$0.24

 

Monday April 28:

Economic:  Pending Home Sale Index 10:00, Dallas Fed Manufacturing Survey = 10:30.

International Economic:  No major announcements.

Optionable Earnings:  

Symbol

Company Name

4/17/2014 Close

IV30

B/A

XEPS

AMP Ameriprise Financial, Inc.

$104.83

25.4

A

$1.87

BWLD Buffalo Wild Wings

$143.16

41.0

A

$1.35

CHTR Charter Communications, Inc.

$118.11

32.4

B

$0.21

CMP Compass Minerals International, Inc.

$85.55

29.4

A

$1.40

CYOU Changyou.Com Ltd (ADR)

$27.76

67.2

B

($0.36)

EDU New Oriental Education & Tech Grp

$26.81

49.2

B

$0.25

FTK Flotek Industries Inc

$29.50

40.3

A

$0.23

GGP General Growth Properties Inc

$22.72

20.5

A

$0.30

GLW Corning Incorporated

$20.73

27.4

B

$0.30

HIG Hartford Financial Services Group Inc

$34.50

24.2

A

$0.93

HLF Herbalife Ltd.

$55.27

72.9

A

$1.29

JEC Jacobs Engineering Group Inc

$63.00

21.8

A

$0.89

N NetSuite Inc

$83.31

48.7

A

($0.24)

PCL Plum Creek Timber Co. Inc.

$41.60

20.7

A

$0.15

RKT Rock-Tenn Company

$98.67

32.3

A

$1.63

RRC Range Resources Corp.

$90.73

27.8

A

$0.38

SOHU Sohu.com Inc

$61.14

55.5

B

($1.48)

TCS Container Store Group Inc

$31.02

56.0

A

$0.27

TEN Tenneco Inc

$59.28

33.5

B

$0.86

TV Grupo Televisa SAB (ADR)

$33.03

29.5

A

$0.17

 

Papale on the Greeks

Ah the short holiday week.  Of course the kids love the idea of no school on Friday.  And me I must admit I don’t mind having an extra day over the weekend to get started on all the spring projects.  This one is a bit unusual as it comes over an expiration week.  We lose our last day of trading in the April options.  So before you get started on the yard this afternoon, be sure to manage your open April positions.

Time.  The subject of countless songs and products promising to stop it on our bodies.  But time is also relevant when it comes to the greeks.  We know that theta measures the affect of time on option values.  The passage of time will also impact the other greeks, namely delta, gamma and vega.  These are often referred to as the second order derivatives.

For example, we know that delta is the probability that an option will finish in the money at expiration.  One of the factors that determines that probability is time.  So an  option with a 30 delta with 50 days to go with the underlying at x, might have a delta of 10 with the underlying at the same price x with 20 day left.  Since delta and the change of delta is affected by time, we know by definition that gamma is also affected by time.  A far out of the money option with a delta of 1 will move little if any with a fairly large move in the underlying with one day until expiration.  The same strike with 30 days until expiration might have a delta of 10 and have a significantly greater gamma.  And since vega is based entirely on extrinsic value, we know that as time erodes and extrinsic value decreases, the vega of an option will also decrease.  So as you look at your risk metrics keep in mind that even if price or IV stay constant, time will have an effect on the value of your greeks.

The Prepared Mind: April 14, 2014

Echoing last week’s blog, is it an acorn or is the sky falling?  If you listened to financial media the suggestion was that it was time to batten down the hatches because the sky might be falling,  It definitely feels like the sky is falling if you recently bought into momentum stocks such as Tesla, Amazon, Priceline, Herbalife. Or Netflix.  The current sell-off continues to appear to be rotational change focused on momentum stocks in the high tech laden NASDAQ 100 (NDX) and the small-cap Russell 2000 (RUT) indexes.

The breakdown of the markets over the past two weeks is bearish.  Numerous technical signals have been locked on sell signals for the past thre to four weeks.  Mark breadth is extremely bearish and is sending out sell signals.  In the absence of one of the major confirming signals,  I am not ready to call this past week the end of the bull market or the beginning of a major correction.

 

 

 

 

The volatility indices remain is only moderately bearish.   None of the of the indicators – cash market, index futures, or indexes – indicate the same levels of market concern among professional investors as exhibited in the financial media and press.  Being  an options focused trader facilitates entry and exit to the markets.  This feels like a good time to reduce exposure and watch the markets.  Billionaire investor John Templeton once remarked “I made my money by never selling a top nor buying a bottom.”  This is very astute advice for a volatile market.

 

 

 

 

 

 

 

 

 

Economic reports will focus on manufacturing and housing.    China will report Q1 GDP and Industrial Production on Tuesday night.  Concerns about China have roiled the market in the past couple of months.  Bad numbers on Tuesday would exacerbate current selling pressure.  Earnings announcements will start to ramp up this week, The major focus for the week will be on the quality and source of earnings.   Analysts are starting to discount increased earnings resulting from decreased costs.

 

Notable earnings this week include CitiGroup, Coca-Cola, Intel, Johnson &Johnson, Capital One, Google, Yahoo, American Express, IBM, GE, Abbot Labs, Baxter, Morgan Stanley, PPG, PepsiCo, Philip Morris, DuPont, and Goldman Sachs,   The volume of announcements will increase over the next 3 weeks. The two current front month options (April and May) include the bulk of upcoming earnings announcements. If you trade a stock, always know when earnings announcements will occur. I scan stocks announcing earnings the coming week using the following criteria:  Price > 20, 30 Day Implied Volatility > 20, and Average Daily Option Volume > 200 contracts.  It is your responsibility to confirm these earnings dates. Earnings dates can and do change.

 

Trading advice to remember:

  “Chance favors the Prepared Mind.” – Louis Pasteur

 

Monday April 14:

Economic:  Retail Sales – 8:30, Business Inventories – 10:00.

International Economic:  EMU Industrial Production – 5:00 AM.

Optionable Earnings: 

Symbol

Company Name

April 11 Close

IV30

B/A

XEPS

C Citigroup Inc

$46.23

25.8

B

$1.25

JBHT J.B. Hunt Transport Services, Inc.

$71.96

26.5

B

$0.68

ADTN ADTRAN, Inc.

$24.35

45.7

B

$0.18

 

Tuesday April 15 :

Economic:  ICSC-Goldman Store Sales – 7:45, Consumer Price Index (CPI) – 8:30, Empire State Manufacturing – 8:30, Redbook – 8:55, Treasury International Capital – 9:00, Housing Market Index – 10:00.

International Economic:  EMU Merchandise Trade – 6:00 AM, China GDP – 10:00 PM, China Industrial Production – 10:00. .

Optionable Earnings: 

Symbol

Company Name

April 11 Close

IV30

B/A

XEPS

SCHW Charles Schwab Corp

$25.14

30.0

B

$0.22

CMA Comerica Incorporated

$48.91

25.3

B

$0.72

INFY Infosys Ltd ADR

$52.75

42.1

B

$0.80

NTRS Northern Trust Corporation

$61.56

22.6

B

$0.79

CSX CSX Corporation

$27.97

23.3

A

$0.42

INTC Intel Corporation

$26.43

23.8

A

$0.37

IBKR Interactive Brokers Group, Inc.

$21.27

30.6

A

$0.29

LLTC Linear Technology Corporation

$47.72

27.2

A

$0.46

YHOO Yahoo! Inc.

$33.40

44.0

A

$0.41

 

 

Wednesday April 16:

Economic:  MBA Purchase Applications – 7:00, Housing Starts – 8:30, Industrial Production – 9:15, Atlanta Fed Business Inflation Expectations – 10:00, EIA Petroleum Status Report – 10:30, Beige Book – 2:00.

International Economic: No major announcements.

Optionable Earnings:

Symbol

Company Name

April 11 Close

IV30

B/A

XEPS

ABT Abbott Laboratories

$37.26

20.6

B

$0.35

ASML ASML Holding NV (ADR)

$89.89

31.3

B

$0.81

PNC PNC Financial Services Group Inc

$82.21

21.2

B

$1.65

STJ St. Jude Medical, Inc.

$62.19

30.4

B

$0.95

GWW W.W. Grainger, Inc.

$252.23

23.6

B

$2.97

AXP American Express Company

$85.36

24.2

A

$1.63

COF Capital One Financial Corp.

$74.07

25.1

A

$1.67

CCK Crown Holdings, Inc.

$44.75

21.9

A

$0.51

GOOG Google Inc

$540.95

36.9

A

$13.27

IBM International Business Machines Corp.

$195.68

22.2

A

$2.54

KSU Kansas City Southern

$97.58

33.0

A

$1.00

KMI Kinder Morgan Inc

$32.68

23.1

A

$0.36

NSR Neustar Inc

$28.01

107.8

A

$0.78

NE Noble Corporation PLC

$29.96

31.6

A

$0.69

SNDK SanDisk Corporation

$75.69

39.8

A

$1.22

SLM SLM Corp

$24.77

26.5

A

$0.56

URI United Rentals, Inc.

$88.17

41.7

A

$0.70

 

Thursday April 17:

Economic:  Jobless Claims – 8:30,  Bloomberg Consumer Comfort Index – 9:45,  Philadelphia Fed Survey – 10:00, EIA Natural Gas Report – 10:30.

International Economic: Germany PPI – 3:00.

Optionable Earnings: 

Symbol

Company Name

April 11 Close

IV30

B/A

XEPS

BLK BlackRock, Inc.

$295.95

26.1

D

$4.15

HLSS Home Loan Servicing Solutions Ltd

$21.67

24.5

D

$0.53

ADS Alliance Data Systems Corporation

$253.76

34.7

B

$2.59

AN AutoNation, Inc.

$53.21

27.6

B

$0.75

BHI Baker Hughes Incorporated

$64.13

27.8

B

$0.82

BBT BB&T Corporation

$38.89

20.4

B

$0.71

CMG Chipotle Mexican Grill, Inc.

$534.01

43.2

B

$2.82

DHR Danaher Corporation

$74.13

21.4

B

$0.80

DOV Dover Corp

$82.18

24.3

B

$1.02

DD E I Du Pont De Nemours And Co

$66.47

21.1

B

$1.62

FITB Fifth Third Bancorp

$21.80

21.8

B

$0.42

GS Goldman Sachs Group Inc

$155.98

24.5

B

$3.94

HON Honeywell International Inc.

$91.34

21.9

B

$1.26

MAT Mattel, Inc.

$37.98

28.7

B

$0.08

MS Morgan Stanley

$29.25

31.6

B

$0.60

PPG PPG Industries, Inc.

$189.96

25.0

B

$2.00

COL Rockwell Collins, Inc.

$76.79

23.5

B

$1.06

SAP SAP AG (ADR)

$80.14

22.3

B

$0.62

SLB Schlumberger Limited.

$97.32

20.2

B

$1.08

SHW Sherwin-Williams Company

$190.03

25.4

B

$1.08

BX The Blackstone Group L.P.

$30.04

38.1

B

$0.56

UNH UnitedHealth Group Inc.

$79.99

22.7

B

$1.09

ATHN athenahealth, Inc

$142.50

59.8

A

$0.17

CPHD Cepheid

$47.30

49.3

A

($0.19)

CBST Cubist Pharmaceuticals Inc

$67.37

50.4

A

$0.36

 

Friday April 18:

Good Friday – U.S. Markets Closed, Banks Open

Economic:  Leading Indicators – 10:00.

International Economic:  No major announcements.

Earnings:  No earnings announcements.

 

Monday April 21:

Economic:  Chicago Fed National Activity Index – 8:30.

International Economic:  No major announcements.

Optionable Earnings:  

Symbol

Company Name

April 11 Close

IV30

B/A

XEPS

HAL Halliburton Company

$57.91

26.6

B

$0.75

HAS Hasbro, Inc.

$54.30

26.9

B

$0.72

STI SunTrust Banks, Inc.

$38.12

24.0

B

$0.67

NFLX Netflix, Inc.

$334.73

63.8

A

$0.90

RCII Rent-A-Center Inc

$26.81

32.5

A

$0.56

ZION Zions Bancorporation

$29.58

28.9

A

$0.39

 

 

 

Papale on Synthetics

I am not a huge golf fan.  I get out several times a year with friends or family and play.  However I do like to watch the Master’s.  It’s probably the most coveted golf tournament out there and every year it is like watching the same thing.  Same course, same announcer (Jim Nance), same green jacket even same prices I hear from years ago.  Rumor has it you can get an egg salad sandwich for $1.   No Tiger this year.  I’m pulling for Phil like I do every year.  Same as ever.

One of the pretty cool things about options is that you can combine various instruments to create another.  For example, I can buy stock and a put and create the a long call.  Both the synthetic long call (stock plus put) and an outright call will perform exactly the same.  The only difference between the outright and the synthetic will be the cost involved.  Often the option alone is significantly less costly as one might expect.

Consider this.  Suppose I could buy the stock and put for as synthetic price of $2 and the outright call was trading for $2.50.  If this was the case I could buy the synthetic and sell the outright and create an arbitrage and lock in $0.50 profit with virtually no risk.  As soon as the relationship between the stock, call and put creates such a possibility, the market pretty quickly recognizes it and will push it back in line – effectively arbitraging away the excess profit.  If you do see the opportunity to capture these profits jump on them fast.  They won’t last long.

The Prepared Mind: April 7, 2014

Henny Penny , sometimes known as Chicken Little,  is famously known for warning in response to an acorn falling from a tree, “The sky is falling.  The sky is falling.”  This refrain was echoed by the financial media on Friday as while the markets were taking a beating.   On Friday morning, I read a market summary which started with:   “ The broad stock market, as measured by the Standard & Poor 500 Index ($SPX) made new all-time intraday and closing highs on consecutive days this week.  That, coupled with some new buy signals from breadth makes our intermediate-term outlook bullish. (Larry McMillan, CBOE Options Hub)”  This seemed like a very reasonable assessment of the market when it was published at 10:20 AM on Friday morning.  Soon afterwards the markets started selling off and it was not just one Chicken Little.  The central character of the folk tale had been replaced by a movement.  The afternoon financial reporting gave us  a veritable parade of Chicken Littles and panels of Chicken Littles, each trying to warn us of impending doom.  Is the sky falling or is it merely an acorn?

Initial evidence suggests Larry McMillan’s early Friday market analysis may be correct.    All the major indexes I follow ended the week in positive territory.  These indexes, with the exception of the NDX, are all only a solid up day away from achieving more new highs.  The current sell-off appears to be rotational change focused on momentum stocks in the high tech laden NASDAQ 100(NDX) and the small-cap Russell 2000(RUT.)   Some analysts see a move from momentum and speculative issues to value based issues.  This does not mean the long awaited correction in bull market has not started.  However, the VIX and other VIX based trading vehicles exhibit investor’s lack of concern about the market.

The volatility indices remain remain neutral to bullish.  All the trading vehicles associated with volatility on the S&P 500 exhibited bullish behavior last week – every indicator exhibited  decrease in anticipated future implied volatility – current, short term, mid-term, and long-term.   The response of the volatility products on Friday was muted in comparison to the media noise and movement in the RUT and NDX.  This disconnect was highlighted by the spot VIX which remained below the Newman Line or 14%.    A VIX under 14% is indicative of a consensus “What, me worry?” attitude about any near term concern about volatility events.  Bullish (or bearish on the market) VIX treads were of a size and structure indicating  they were to protect existing bullish portfolios.

 

It will be a quiet week for economic reports.  The focus will be on retail sales, consumer credit and small business and consumer confidence.  These reports generally have minimal impact on the markets.  A number of Fed  governors and board members will be speaking this week.  Their comments and views will be dissected in hopes a getting a more accurate gauge of the timing and substance of future Fed behavior.

 

Alcoa (AA) announces earnings on Tuesday.  This announcement is traditionally viewed as the beginning of  the earnings season.  Despite this announcement, there will be few earnings announcements this week.  The number of earnings announcements will increase dramatically next week. The two current front month options (April and May) include the bulk of upcoming earnings announcements. If you trade a stock, always know when earnings announcements will occur. I scan stocks announcing earnings the coming week using the following criteria:  Price > 20, 30 Day Implied Volatility > 20, and Average Daily Option Volume > 200 contracts.  It is your responsibility to confirm these earnings dates. Earnings dates can and do change.

 

Trading advice to remember:

  “Chance favors the Prepared Mind.” – Louis Pasteur

 

Monday April 7:

Economic:  Gallup US Consumer Spending Measure – 8:30, TDAmeritrade IMX – 12:30..

International Economic:  Bank of Japan Announcement.

Other:  St Louis Federal Reserve Bank President James Bullard speech on monetary policy and the economic outlook in Los Angeles – 11;5 AM.

Optionable Earnings:  None meeting criteria.

Tuesday April 8 :

Economic:  NFIB Small Business Optimism Index – 7:30, ICSC-Goldman Store Sales – 7:45, Redbook – 8:55, JOLTS – 10:00, Construction spending – 10:00, Global Manufacturing PMI – 11:00.

International Economic:  Great Britain Industrial Production – 4:30 AM.

Other:  Minneapolis Federal Reserve Bank President Narayana Kocherlakota speech in Rochester, Minnesota – 1:30, Philadelphia Federal Reserve Bank President Charles Plosser speech on prudential regulation in Philadelphia – 2:45.

Optionable Earnings: 

Symbol

Company Name

April 4 Close

IV30

B/A

XEPS

AA Alcoa Inc

$12.63

38.8

A

$0.02

TCS Container Store Group Inc

$35.41

52.9

A

$0.27

 

 

Wednesday April 9:

Economic:  MBA Purchase Applications – 7:00, Wholesale Trade – 10:00, EIA Petroleum Status Report –10:30.

International Economic: German Merchandise Trade – 2:00 AM, Great Britain Merchandise Trade – 4:30 AM.

Other:  FOMC Minutes – 2:00, Chicago Fed President Charles Evans speech on Fed communications in Washington – 3:30, Federal Reserve Governor Daniel Tarullo dinner speech in Washington – 7:00.

Optionable Earnings:

Symbol

Company Name

April 4 Close

IV30

B/A

XEPS

STZ Constellation Brands, Inc.

$84.89

34.7

B

$0.76

BBBY Bed Bath & Beyond Inc.

$69.80

30.8

A

$1.60

 

 

Thursday April 10:

Economic:  Chain Store Sales, Jobless Claims – 8:30,  Import and Export Prices – 8:30, Bloomberg Consumer Comfort Index – 9:45,  EIA Natural Gas Report – 10:30.

International Economic: China Merchandise Trade Balance, Bank of Japan Minutes – 7:50 PM, China PPI and CPI – 8:30 PM.

Other:  Chicago Fed President Charles Evans on panel discussing central banking after the recession, in Washington – 11:50 AM.

Optionable Earnings: 

Symbol

Company Name

April 4 Close

IV30

B/A

XEPS

FDO Family Dollar Stores, Inc.

$58.02

36.4

B

$0.92

 

Friday April 11:

Economic:  Employment Situation – 8:30., Consumer Sentiment – 9:55, Farm Prices 3:00.

International Economic: Germany CPI – 2:00 AM.

Optionable Earnings: 

Symbol

Company Name

April 4 Close

IV30

B/A

XEPS

JPM JPMorgan Chase & Co.

$60.66

21.0

B

$1.45

FAST Fastenal Company

$51.20

30.3

B

$0.37

 

Monday April 14:

Economic:  Retail Sales, Business Inventories – 10:00.

International Economic:  EMU Industrial Production – 5:00 AM.

Optionable Earnings:  

Symbol

Company Name

April 4 Close

IV30

B/A

XEPS

C Citigroup Inc

$47.68

23.6

B

$1.26

JBHT J.B. Hunt Transport Services, Inc.

$73.80

24.4

B

$0.68

 

 

 

 

 

Papale on Reverse Time Decay

Sea Turtle.  Manta Ray.  Sting Ray.  Angel Fish.  These are just a few of what my son and I saw on a dive the other day here in Mexico.  I have been a diver for 15 years but my 12 year old just got certified a few months ago and we did our first official dive together.  A fairly shallow reef just north of Playa Del Carmen.  Good visibility and lots and lots of fish.  Best part.  Got to see it all with Alec.  Great day.

Time decay can work in reverse.  What I mean by that is if you buy an in the money vertical spread and it stays in the money heading into expiration, the price of the spread moves up – toward parity.  First say you are short a 40 – 50 call spread with stock at 30.  Traders love these out of the money spreads because they can collect the theta.  If the stock stays below $40, the whole spread goes out worthless and we keep the premium we collected when we sold it.

Now compare that with being long the 40-50 put spread.  Same risk profile.  This spread however is a debit spread.  We might pay say $8 for it.  If the stock behaves the same way as in the call spread example and stays below $40, the spread will settle at $10.  Here we make $2  as both options in our spread move to parity.  So remember there is no performance difference between being long a put spread and short a call spread with same strikes.  Both behave the same only in reverse.