Trading Desk

1958 total posts

CAPIS European Close June 26, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/26/2015 at 11:28 am
by Matthew Kiselica on 06/26/2015

Europe spent the majority of the afternoon trading to the upside which is fairly surprising given the latest updates from the Greek talks combined with the terrorist attack in France.  A stronger U.S. open was a help.   Greece has rejected a Eurogroup proposal to a 5 month, €15.5b extension of the current program while creditors have issues with the Greek VAT and pension proposals.  EU Finance Ministers meet tomorrow and statements continue to indicate June 30th is a firm deadline.  Greek PM Tsipras has insinuated some creditors are taking advantage of the situation to “blackmail” his nation.   Having said all of the that, Greece ended the day higher. There was little conviction in today’s gains though with volumes off by c. 20.0%.  Most sectors gained with retail +0.9% followed by chemicals, banks and autos.  Basic resource were lower by 1% with energy off c. 0.5%.  The weakness in those two key sectors were why the FTSE was lower on the day. The energy sector was impacted by lower crude prices.  Negotiators have apparently offered Iran further concessions in an attempt to reach regarding Iran’s nuclear energy program.   However, “Texas Tea” has managed to recoup most of those losses.…

Europe spent the majority of the afternoon trading to the upside which is fairly surprising given the latest updates from the Greek talks combined with the terrorist attack in France.  A stronger U.S. open was a help.   Greece has rejected a Eurogroup proposal to a 5 month, €15.5b extension of the current program while creditors have issues with the Greek VAT and pension proposals.  EU Finance Ministers meet tomorrow and statements continue to indicate June 30th is a firm deadline.  Greek PM Tsipras has insinuated some creditors are taking advantage of the situation to “blackmail” his nation.   Having said all of the that, Greece ended the day higher. There was little conviction in today’s gains though with volumes off by c. 20.0%.  Most sectors gained with retail +0.9% followed by chemicals, banks and autos.  Basic resource were lower by 1% with energy off c. 0.5%.  The weakness in those two key sectors were why the FTSE was lower on the day. The energy sector was impacted by lower crude prices.  Negotiators have apparently offered Iran further concessions in an attempt to reach regarding Iran’s nuclear energy program.   However, “Texas Tea” has managed to recoup most of those losses.…

Russell Index Reconstitution Day

News Trading Desk Morning Macro News

Morning Macro News

posted by CAPIS on 06/26/2015 at 7:27 am
by CAPIS on 06/26/2015

Happy Friday one and all! My Wednesday prediction of a fall in our market to at least 2100 has worked out well so far, and I think there’s still good potential to see 2060-2072 for ultimate lows… but man this market has NO volume to push us higher or lower right now, and therefore it’s hard for me to have massive conviction on much of anything. Ultimately, as I’m sure many are feeling, when the Greek headline risk is finally past, we’ll begin to focus back on earnings / US eco for real movement (earnings season again next month). NOTE: I stated that the index rebalance was last Friday with quad witching; my apologies as today is officially the Russell Index Reconstitution. My brain was not in the right place when looking at my calendar! Without major eco today (Revised UofMich Sentiment at 10:00 am ET), a terrorist attack on an Air Products and Chemicals Inc. gas plant near Lyon in southeastern France, some positive earnings form Finish Line and NKE, as well as the Russell volumes at the Close, I’m generally expecting a very low volume intraday market with big volume / volatility at the End of Day (EOD).…

Happy Friday one and all! My Wednesday prediction of a fall in our market to at least 2100 has worked out well so far, and I think there’s still good potential to see 2060-2072 for ultimate lows… but man this market has NO volume to push us higher or lower right now, and therefore it’s hard for me to have massive conviction on much of anything. Ultimately, as I’m sure many are feeling, when the Greek headline risk is finally past, we’ll begin to focus back on earnings / US eco for real movement (earnings season again next month). NOTE: I stated that the index rebalance was last Friday with quad witching; my apologies as today is officially the Russell Index Reconstitution. My brain was not in the right place when looking at my calendar! Without major eco today (Revised UofMich Sentiment at 10:00 am ET), a terrorist attack on an Air Products and Chemicals Inc. gas plant near Lyon in southeastern France, some positive earnings form Finish Line and NKE, as well as the Russell volumes at the Close, I’m generally expecting a very low volume intraday market with big volume / volatility at the End of Day (EOD).…

CAPIS International Summary June 26, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/26/2015 at 6:53 am
by Clayton Duff on 06/26/2015

Asian Headlines Chinese markets again led lower, closing out a particular tough week with the entire region seeing weakness today.  Much like last Friday, Shanghai moved lower throughout the day, accelerating losses into the close. For the week, Shanghai finished down over 12% with Shenzhen over 14% weaker. The slew of IPO’s this week was cited much of the loss but no doubt traders getting out from margin calls a concern as well.  See the Shanghai Compite 6 mo chart below. Morgan Stanley said the Chinese stock market rally has peaked and predicts the Shanghai Index will fall as much 30% over the next year and said not to buy on dips. Goldman expects the market to remain volatile. Guotai Junan Securities +44%, the nation’s biggest domestic IPO since 2010, closed higher as the shares rose by the daily limit.  Jewel retailer Luk Fook +1.1% said FY net fell 13.4% YoY but will add 100 outlets this year in China. Japan finished down small post mixed economic data. Unemployment is at an 18 year low with household spending on the upswing. However, CPI hit a 2 year low.  On this, the ¥ strengthened slightly as Material names finished up while the Energy…

Asian Headlines Chinese markets again led lower, closing out a particular tough week with the entire region seeing weakness today.  Much like last Friday, Shanghai moved lower throughout the day, accelerating losses into the close. For the week, Shanghai finished down over 12% with Shenzhen over 14% weaker. The slew of IPO’s this week was cited much of the loss but no doubt traders getting out from margin calls a concern as well.  See the Shanghai Compite 6 mo chart below. Morgan Stanley said the Chinese stock market rally has peaked and predicts the Shanghai Index will fall as much 30% over the next year and said not to buy on dips. Goldman expects the market to remain volatile. Guotai Junan Securities +44%, the nation’s biggest domestic IPO since 2010, closed higher as the shares rose by the daily limit.  Jewel retailer Luk Fook +1.1% said FY net fell 13.4% YoY but will add 100 outlets this year in China. Japan finished down small post mixed economic data. Unemployment is at an 18 year low with household spending on the upswing. However, CPI hit a 2 year low.  On this, the ¥ strengthened slightly as Material names finished up while the Energy…

CAPIS European Closing June 25, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/25/2015 at 12:06 pm
by Matthew Kiselica on 06/25/2015

Europe remained to the downside post our morning comments, hitting the afternoon lows shortly after the U.S. open.  The headlines out of Europe at that point were pessimistic regarding Greece.  However, various people involved continue to comment a deal is possible.  What appears to be frustrating the credit negotiators is a lack of “substance” with the financials from the Greek delegates along with failure to give ground on key measures.  Since the close,  EU Parliament member Schulz declared “implementation of a Greek deal would be difficult” and that “agreement with Greece isn’t the solution.”  The IMF declared it is still expecting Greece to pay the $1.17b due next Tuesday.  As we have said ad nauseam, the markets will continue to hang and swing on every statement. While the majority of markets were down, Italy outperformed with the banking sector providing support.  A number of positive broker comments lifted the sector including the Natixis upgrade of Unicredit +1.6% to buy.  Germany was also a relative outperformer with telecoms and consumer goods providing the support. Other than the names we highlighted this morning (Vivendi +1.8%, Telecom Italia flat, H&M -3.2% and Electrolux -1.8%) there was little in the way of major corporate news.…

Europe remained to the downside post our morning comments, hitting the afternoon lows shortly after the U.S. open.  The headlines out of Europe at that point were pessimistic regarding Greece.  However, various people involved continue to comment a deal is possible.  What appears to be frustrating the credit negotiators is a lack of “substance” with the financials from the Greek delegates along with failure to give ground on key measures.  Since the close,  EU Parliament member Schulz declared “implementation of a Greek deal would be difficult” and that “agreement with Greece isn’t the solution.”  The IMF declared it is still expecting Greece to pay the $1.17b due next Tuesday.  As we have said ad nauseam, the markets will continue to hang and swing on every statement. While the majority of markets were down, Italy outperformed with the banking sector providing support.  A number of positive broker comments lifted the sector including the Natixis upgrade of Unicredit +1.6% to buy.  Germany was also a relative outperformer with telecoms and consumer goods providing the support. Other than the names we highlighted this morning (Vivendi +1.8%, Telecom Italia flat, H&M -3.2% and Electrolux -1.8%) there was little in the way of major corporate news.…

CAPIS International Summary June 25, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/25/2015 at 6:56 am
by Clayton Duff on 06/25/2015

Asian Headlines Post the weaker session in the States, Asian markets fell overnight as Greek talks fell apart yesterday.  Another meeting occurred last night which ran late as talks continue today. The PBOC offered 35b yuan of seven day reverse repos to make up for a sovereign bond sale that failed to raise the amount planned.  The yuan fell the most in two weeks as a result of the cash infusion.  Shanghai was up small for much of the morning but worked lower in the afternoon.  Much of the selloff was explained as market disappointment that the PBoC action was in exchange for no rate or RRR cut.  In addition to the government looking to scrap the 75% loan-to-deposit ratio TTN is noting speculation that banks will be allowed to obtain brokerage licenses later this year.  As we have been noting recently, margin trading has been on the upswing in China but today’s selling was somewhat attributed to margin traders looking to cut positions. Margin debt fell 2% on Wednesday.  Bloomberg today noted that the CSI 300 IT index has fallen 20% since June 2nd. The ¥ strengthened for much of the session with all sectors except Consumer Discretionary names lower. Japan’s June Small Business…

Asian Headlines Post the weaker session in the States, Asian markets fell overnight as Greek talks fell apart yesterday.  Another meeting occurred last night which ran late as talks continue today. The PBOC offered 35b yuan of seven day reverse repos to make up for a sovereign bond sale that failed to raise the amount planned.  The yuan fell the most in two weeks as a result of the cash infusion.  Shanghai was up small for much of the morning but worked lower in the afternoon.  Much of the selloff was explained as market disappointment that the PBoC action was in exchange for no rate or RRR cut.  In addition to the government looking to scrap the 75% loan-to-deposit ratio TTN is noting speculation that banks will be allowed to obtain brokerage licenses later this year.  As we have been noting recently, margin trading has been on the upswing in China but today’s selling was somewhat attributed to margin traders looking to cut positions. Margin debt fell 2% on Wednesday.  Bloomberg today noted that the CSI 300 IT index has fallen 20% since June 2nd. The ¥ strengthened for much of the session with all sectors except Consumer Discretionary names lower. Japan’s June Small Business…

CAPIS European Close June 24, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/24/2015 at 11:20 am
by Clayton Duff on 06/24/2015

A small negative bias to markets today with denials of a Greek deal weighing. With both sides supposedly providing offers with rejections on both, markets not surprisingly fell but the loss was relatively benign.    The UK finished up small with Energy and Basic Resource names seeing some decent gains. Only Energy, Basic Resources, and Travel Names saw any strength with the Technology and Construction sectors both weaker by over a percent. Julius Baer +3.3% trading higher today as the firm will set aside $350M for an expected DOJ fine, considerably less than what the market was looking for. Shell +1.5% post a couple broker upgrades thus lending strength to the FTSE. The deal with BG cited as a driver. Miners rallied despite CS cutting estimates on iron ore miners as they noted 2H pricing pressure.  Chinese steel production is expected to fall 1.5% this year but they did note that cost cuts are allowing for dividends to be maintained.   Anglo American +1.1%, BHP Billiton +1.3%. Tonight, Japan will release Small business confidence data along with activity in equity/bonds. After the close tonight, Hong Kong will report trade data.  German GfK Consumer confidence is expected with Spanish PPI as well.  Earnings expected from DS…

A small negative bias to markets today with denials of a Greek deal weighing. With both sides supposedly providing offers with rejections on both, markets not surprisingly fell but the loss was relatively benign.    The UK finished up small with Energy and Basic Resource names seeing some decent gains. Only Energy, Basic Resources, and Travel Names saw any strength with the Technology and Construction sectors both weaker by over a percent. Julius Baer +3.3% trading higher today as the firm will set aside $350M for an expected DOJ fine, considerably less than what the market was looking for. Shell +1.5% post a couple broker upgrades thus lending strength to the FTSE. The deal with BG cited as a driver. Miners rallied despite CS cutting estimates on iron ore miners as they noted 2H pricing pressure.  Chinese steel production is expected to fall 1.5% this year but they did note that cost cuts are allowing for dividends to be maintained.   Anglo American +1.1%, BHP Billiton +1.3%. Tonight, Japan will release Small business confidence data along with activity in equity/bonds. After the close tonight, Hong Kong will report trade data.  German GfK Consumer confidence is expected with Spanish PPI as well.  Earnings expected from DS…

Russell 2000 Implied Volatility at Decade Lows

News Trading Desk Volatility Monitor

Volatility Monitor

posted by CAPIS on 06/24/2015 at 8:05 am
by CAPIS on 06/24/2015

SPX futures are off 5.7 points to 2110.80.  First quarter GDP now shows smaller decline than previously estimated.  Gold is slightly lower while crude is flat.  The VIX futures are  all higher this morning on the negative tone.  The spot VIX finished 12.11 which matches the low for the year. Russell 2000 implied volatility has hit rock bottom.  IWM (iShares Russell 2000) 1- and 3-month implied volatilities are the lowest they have been in over a decade.  As of the close yesterday, 1- and 3-month IV are sitting at 12.2 and 14.2, respectively.  Of course levels of IV will chase realized volatility.  If nothing is moving, nothing is moving.  One-month realized volatility is 10.3% and sits in the bottom 3% of readings going back a decade.  As stated in previous Vol Monitors, IWM IV is extremely cheap relative to the S&P 500 Index.  The 1-month vol spread between the two has dropped to 1.49 vol points (IWM > SPY).  The mean for the past 10-years has been 6.56.  This seems like good value, especially in hedging.  In times of stress, the spread seems to widen to at least over 10 points and back in 2011 it hit a decade high…

SPX futures are off 5.7 points to 2110.80.  First quarter GDP now shows smaller decline than previously estimated.  Gold is slightly lower while crude is flat.  The VIX futures are  all higher this morning on the negative tone.  The spot VIX finished 12.11 which matches the low for the year. Russell 2000 implied volatility has hit rock bottom.  IWM (iShares Russell 2000) 1- and 3-month implied volatilities are the lowest they have been in over a decade.  As of the close yesterday, 1- and 3-month IV are sitting at 12.2 and 14.2, respectively.  Of course levels of IV will chase realized volatility.  If nothing is moving, nothing is moving.  One-month realized volatility is 10.3% and sits in the bottom 3% of readings going back a decade.  As stated in previous Vol Monitors, IWM IV is extremely cheap relative to the S&P 500 Index.  The 1-month vol spread between the two has dropped to 1.49 vol points (IWM > SPY).  The mean for the past 10-years has been 6.56.  This seems like good value, especially in hedging.  In times of stress, the spread seems to widen to at least over 10 points and back in 2011 it hit a decade high…

GDP, VIX and more.

News Trading Desk Morning Macro News

Morning Macro News

posted by CAPIS on 06/24/2015 at 7:29 am
by CAPIS on 06/24/2015

Good Morning and Happy Wednesday! I wrote Monday that I expected the market to find resistance at R2 and maybe a move up to 2130+ with an eventual Close near 2120; ultimately this is exactly what happened. SPX opened at R2; fell immediately and found buyers to push us through R2 with a slow volume build up to a HOD of 2129.87 around 11:20 am. From there we moved steadily lower until making lows during lunch at 2120.93. From there we went sideways between 2120-2125 with an eventual close up +0.61% at 2122.85. Tuesday, the SPX rose to a HOD of 2128.03 where we immediately found sellers back to the PP and 2120 for support. SPX eventually closed up 0.06% to 2124.20 with a basic zero move on incredibly low volume (ESU5 only traded 835k contracts the entire day… if felt like the day before a holiday with volume). Speaking of, this very low volume up here leads me to feel a couple concerns. While I am generally bullish on the market, and believe we should bleed higher over the MT and LT, at these specific moments in time with Greece etc I have a funny feeling. 1)   Low volume typically…

Good Morning and Happy Wednesday! I wrote Monday that I expected the market to find resistance at R2 and maybe a move up to 2130+ with an eventual Close near 2120; ultimately this is exactly what happened. SPX opened at R2; fell immediately and found buyers to push us through R2 with a slow volume build up to a HOD of 2129.87 around 11:20 am. From there we moved steadily lower until making lows during lunch at 2120.93. From there we went sideways between 2120-2125 with an eventual close up +0.61% at 2122.85. Tuesday, the SPX rose to a HOD of 2128.03 where we immediately found sellers back to the PP and 2120 for support. SPX eventually closed up 0.06% to 2124.20 with a basic zero move on incredibly low volume (ESU5 only traded 835k contracts the entire day… if felt like the day before a holiday with volume). Speaking of, this very low volume up here leads me to feel a couple concerns. While I am generally bullish on the market, and believe we should bleed higher over the MT and LT, at these specific moments in time with Greece etc I have a funny feeling. 1)   Low volume typically…

CAPIS International Summary June 24, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/24/2015 at 7:02 am
by Matthew Kiselica on 06/24/2015

Asian Headlines Most Asia nudged higher on the day with Mainland China the exception, outperforming again, the Shanghai exchange adding 2.5%.   While not as extreme as yesterday, the mainland markets remained volatile.  The Shanghai Composite swung more than 3% intraday erasing initial gains before moving back into the green again late in the session.  Some of the volatility was attributed to mixed macro data.  The Westpac business index rose to 112.3 from 111.1 but the Conf. Board Leading Index slowed. The rebound on the day was thanks to a report regulators have approved the removal of the loan/deposit cap. Also, in the wake of yesterday’s Flash PMI reading caused analysts to predict further interest rate and rrr cuts by the PBoC.  Petrochina +2.7% President Wang  said H1 profit to reach about 40b yuan and H1 performance better than expected. Japan had a modest advance but still saw the Nikkei 225 close at its highest level since 1996 (see chart below). It also puts the Nikkei 225 above the dot.com highs at the turn of the century.  The BoJ minutes from May indicated the majority of the board members remain committed to an expansive monetary policy until the nation’s inflation rate steadies at 2.0%.  On that topic, Services PPI was 0.6%…

Asian Headlines Most Asia nudged higher on the day with Mainland China the exception, outperforming again, the Shanghai exchange adding 2.5%.   While not as extreme as yesterday, the mainland markets remained volatile.  The Shanghai Composite swung more than 3% intraday erasing initial gains before moving back into the green again late in the session.  Some of the volatility was attributed to mixed macro data.  The Westpac business index rose to 112.3 from 111.1 but the Conf. Board Leading Index slowed. The rebound on the day was thanks to a report regulators have approved the removal of the loan/deposit cap. Also, in the wake of yesterday’s Flash PMI reading caused analysts to predict further interest rate and rrr cuts by the PBoC.  Petrochina +2.7% President Wang  said H1 profit to reach about 40b yuan and H1 performance better than expected. Japan had a modest advance but still saw the Nikkei 225 close at its highest level since 1996 (see chart below). It also puts the Nikkei 225 above the dot.com highs at the turn of the century.  The BoJ minutes from May indicated the majority of the board members remain committed to an expansive monetary policy until the nation’s inflation rate steadies at 2.0%.  On that topic, Services PPI was 0.6%…

CAPIS European Close June 23, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/23/2015 at 11:50 am
by Clayton Duff on 06/23/2015

European indices again closed higher today but gave up some gains over the hour and a half with the US also giving up early strength.  All sectors finished to the upside with Retailers, Media, and Financials names leading. Volume was slower in the afternoon as we pulled back.   The Euro ticked lower throughout the session before finding support at the 50 day, near the mid 1.11’s. As noted earlier, headlines today pointing toward a possible agreement with Greece or at least enough of an agreement to kick the can down the street for a few more months.   TTN noted the bailout will be extended by 9 months with the current bailout to only last through the end of August.   As has been highlighted, all agreements though will have to be voted on by Greece’s anti-austerity-majority parliament. The BOE / UK FCA announced they were extending their bonus clawback period to 10 years from three vs bankers at firms that are facing regulatory investigations. Carnival -.9% fell after they said the 3Q adj eps will miss estimates despite solid bookings. Food retailer Ahold +1.8% moved higher with Bloomberg reporting they and Delhaize (suspended, up +8.4%) are in talks concerning a merger. Bunzl -2.1 %…

European indices again closed higher today but gave up some gains over the hour and a half with the US also giving up early strength.  All sectors finished to the upside with Retailers, Media, and Financials names leading. Volume was slower in the afternoon as we pulled back.   The Euro ticked lower throughout the session before finding support at the 50 day, near the mid 1.11’s. As noted earlier, headlines today pointing toward a possible agreement with Greece or at least enough of an agreement to kick the can down the street for a few more months.   TTN noted the bailout will be extended by 9 months with the current bailout to only last through the end of August.   As has been highlighted, all agreements though will have to be voted on by Greece’s anti-austerity-majority parliament. The BOE / UK FCA announced they were extending their bonus clawback period to 10 years from three vs bankers at firms that are facing regulatory investigations. Carnival -.9% fell after they said the 3Q adj eps will miss estimates despite solid bookings. Food retailer Ahold +1.8% moved higher with Bloomberg reporting they and Delhaize (suspended, up +8.4%) are in talks concerning a merger. Bunzl -2.1 %…

CAPIS International Summary June 23, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/23/2015 at 6:50 am
by Matthew Kiselica on 06/23/2015

Asian Headlines Asia advanced as hopes of a Greek deal continue to lift the markets and the U.S. set new highs.  Mainland China was in focus following  its 3 day weekend and the HSBC Chinese Flash PMI reading for June.  The gauge returned the 4th consecutive contraction of 49.6; however, that was better than consensus of 49.4 and the prior reading of 49.2.  Trading in the Mainland markets were not for the faint of heart today.  After a sluggish start, the markets fell sharply, losing over 4% at their lows. So given the declines at the end of last week, the Shanghai Composite had fallen over 17.0% in 3 days of trading!  After hitting the low of the day, buyers stepped in helping the market rally back to close +2.19%.  When all was said and done, the Shanghai Composite swung over 7% intraday (see chart below).  China Mobile +3.2% with 4G user growth accelerating. Japan had a solid session trading to the upside since the open and the Nikkei closed at its highest level since April  of 2000.  All major sectors had gains in excess of 1% with advances of over 2% seen among consumer services, financials, healthcare and basic resources.  After yesterday’s close, the Finance Ministry announced…

Asian Headlines Asia advanced as hopes of a Greek deal continue to lift the markets and the U.S. set new highs.  Mainland China was in focus following  its 3 day weekend and the HSBC Chinese Flash PMI reading for June.  The gauge returned the 4th consecutive contraction of 49.6; however, that was better than consensus of 49.4 and the prior reading of 49.2.  Trading in the Mainland markets were not for the faint of heart today.  After a sluggish start, the markets fell sharply, losing over 4% at their lows. So given the declines at the end of last week, the Shanghai Composite had fallen over 17.0% in 3 days of trading!  After hitting the low of the day, buyers stepped in helping the market rally back to close +2.19%.  When all was said and done, the Shanghai Composite swung over 7% intraday (see chart below).  China Mobile +3.2% with 4G user growth accelerating. Japan had a solid session trading to the upside since the open and the Nikkei closed at its highest level since April  of 2000.  All major sectors had gains in excess of 1% with advances of over 2% seen among consumer services, financials, healthcare and basic resources.  After yesterday’s close, the Finance Ministry announced…

CAPIS European Close June 22, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/22/2015 at 11:58 am
by Clayton Duff on 06/22/2015

European indices closed at highs with Athens up 9% on the session as volume ticked up 20% today.  All sectors finished well into the green with Autos, Telecoms, Construction, Chemicals, and Banks finishing up over 3%.  Bits are trickling out concerning Greece’s concessions that are said to include increasing the retirement age to 67 and VAT increases per TTN.  The ECB increased the ELA by €3.7B.  No doubt there is still much to figure out and all may be for naught if not agreed to by Greece’s parliament as well as Germany and other creditors. Both Alpha Bank and National Bank of Greece finished up over 20% with banks and insurers nicely higher on the day. VW +3.8% finished up despite a news story adding that they see “limited growth” in the US over the next two years. Unilever +2.6% said the global packaged good industry is stable with organic operating growth up 3-4%. SABMiller +1.8% is making a new push in Latin America with total volume growth expected between 3-6%. Tonight, watch for the HSBC China Manufacturing PMI reading, expected at 49.4.  Markit Japanese Manufacturing PMI is expected at 50.5, that vs the 50.9 reading prior.  Markit PMI data due out across Europe.

European indices closed at highs with Athens up 9% on the session as volume ticked up 20% today.  All sectors finished well into the green with Autos, Telecoms, Construction, Chemicals, and Banks finishing up over 3%.  Bits are trickling out concerning Greece’s concessions that are said to include increasing the retirement age to 67 and VAT increases per TTN.  The ECB increased the ELA by €3.7B.  No doubt there is still much to figure out and all may be for naught if not agreed to by Greece’s parliament as well as Germany and other creditors. Both Alpha Bank and National Bank of Greece finished up over 20% with banks and insurers nicely higher on the day. VW +3.8% finished up despite a news story adding that they see “limited growth” in the US over the next two years. Unilever +2.6% said the global packaged good industry is stable with organic operating growth up 3-4%. SABMiller +1.8% is making a new push in Latin America with total volume growth expected between 3-6%. Tonight, watch for the HSBC China Manufacturing PMI reading, expected at 49.4.  Markit Japanese Manufacturing PMI is expected at 50.5, that vs the 50.9 reading prior.  Markit PMI data due out across Europe.

SPX Volatility Skew

News Trading Desk Volatility Monitor

Volatility Monitor

posted by CAPIS on 06/22/2015 at 7:41 am
by CAPIS on 06/22/2015

Skew– The elevated skew levels remain entrenched in the S&P 500 Index (SPX).  Skew is roughly defined as the degree in volatility points to which downside puts trade in excess of upside calls.  You can see this daily, as a matter of fact, in the Index Collar Tracker.  The Index Collar Tracker gauges the premium cost for a 5% out-of-the-money put purchase in excess of the 5% out-of-the-money call sale for a three-month term.  It also shows the premium as a percent of the underlying index as well as the exact spread in volatility points.  Volatility skew is also often measured as a ratio.  In the graph below, you can see that the 90%/110% of spot strike skew is 2.03 (ratio), which is in the top 11% of readings over the past 5-years. It is fairly well known that the implied volatility of the SPX index has historically traded in excess of realized volatility when looking at a rolling one month time frame, the time encompassed by the VIX.  Implied levels have typically averaged 3 volatility points higher than realized going back twenty years.  The 90% of spot strike, or the 10% out-of-the-money put, has a spread (implied to realized)…

Skew– The elevated skew levels remain entrenched in the S&P 500 Index (SPX).  Skew is roughly defined as the degree in volatility points to which downside puts trade in excess of upside calls.  You can see this daily, as a matter of fact, in the Index Collar Tracker.  The Index Collar Tracker gauges the premium cost for a 5% out-of-the-money put purchase in excess of the 5% out-of-the-money call sale for a three-month term.  It also shows the premium as a percent of the underlying index as well as the exact spread in volatility points.  Volatility skew is also often measured as a ratio.  In the graph below, you can see that the 90%/110% of spot strike skew is 2.03 (ratio), which is in the top 11% of readings over the past 5-years. It is fairly well known that the implied volatility of the SPX index has historically traded in excess of realized volatility when looking at a rolling one month time frame, the time encompassed by the VIX.  Implied levels have typically averaged 3 volatility points higher than realized going back twenty years.  The 90% of spot strike, or the 10% out-of-the-money put, has a spread (implied to realized)…

Greek bailout = risk liftoff?

News Trading Desk Morning Macro News

Morning Macro News

posted by CAPIS on 06/22/2015 at 7:09 am
by CAPIS on 06/22/2015

Happy Monday, Well my prediction Friday that we’d close at / near 2120 proved to be quite incorrect as the market decided, smartly, to take some profits before the Greek discussion today. The SPX slowly declined over the session, testing the PP level for support like I thought and rising to 2120 by 10:30 am… but could not hold it. With massive MOO and MOC volumes due to both quad witching and the Russell Index rebalances, the volume in between the Open and Close was really quite subdued. 2115 was tested for a while during lunch (this was the previous weeks highs) before making late in the session moves lower to a Close at 2109.99; down -0.53%. For the week we settled higher by 0.76%. I’m still of the general view that once this Greece headline risk is out of the way, our equity / risk markets should begin trudging higher again. The chop (2080-2120) still exists and hasn’t been broken yet, so play appropriately until some real news is found. This morning ESU5 (M5’s expired Friday) is trading higher by +15.50 points to 2113.25, which is roughly 2121.25 on spot pre-market (7:46 am ET). ES gapped higher with the…

Happy Monday, Well my prediction Friday that we’d close at / near 2120 proved to be quite incorrect as the market decided, smartly, to take some profits before the Greek discussion today. The SPX slowly declined over the session, testing the PP level for support like I thought and rising to 2120 by 10:30 am… but could not hold it. With massive MOO and MOC volumes due to both quad witching and the Russell Index rebalances, the volume in between the Open and Close was really quite subdued. 2115 was tested for a while during lunch (this was the previous weeks highs) before making late in the session moves lower to a Close at 2109.99; down -0.53%. For the week we settled higher by 0.76%. I’m still of the general view that once this Greece headline risk is out of the way, our equity / risk markets should begin trudging higher again. The chop (2080-2120) still exists and hasn’t been broken yet, so play appropriately until some real news is found. This morning ESU5 (M5’s expired Friday) is trading higher by +15.50 points to 2113.25, which is roughly 2121.25 on spot pre-market (7:46 am ET). ES gapped higher with the…

CAPIS Dragon Boat Festival International Summary June 22, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/22/2015 at 7:00 am
by Matthew Kiselica on 06/22/2015

Asian Headlines Asia traded higher following the submission of a new proposal from the Greek government that is raising hopes of a deal being reached.  We will address more on that matter in the European section.   Mainland China was closed to observe the Dragon Boat Festival holiday.  Chinese investors may have been glad to have the three day weekend after last week’s 13,0% decline.  Of concern for the market is Xinan Secs. estimating up to CNY 41.7b ($6.72b) of shares will come out of lockup.  However, Hong Kong had a solid session, seeing highs during the last hour of trading.  Investors looked to scoop up some of the H share listings that suffered sharp declines last week.  Anhui Conch +4.8% expects 12% sales volume growth in 2015.  Zijin Mining -2.6% has made an all cash offer for Phoenix Gold +12.2%. Japan saw all sectors advance with financials, consumer service and telecoms among those that rose by well over 1%.  Softbank +0.9% sold 1,000 of its companion droid Pepper in 1 minute.  The company is also establishing a robotics jv with Foxconn +2.3% and Alibaba. Honda +2.2% confirmed a Takata -0.4% airbag related death.  GungHo Online Ent. +2.6% will retire up to 8.0% of…

Asian Headlines Asia traded higher following the submission of a new proposal from the Greek government that is raising hopes of a deal being reached.  We will address more on that matter in the European section.   Mainland China was closed to observe the Dragon Boat Festival holiday.  Chinese investors may have been glad to have the three day weekend after last week’s 13,0% decline.  Of concern for the market is Xinan Secs. estimating up to CNY 41.7b ($6.72b) of shares will come out of lockup.  However, Hong Kong had a solid session, seeing highs during the last hour of trading.  Investors looked to scoop up some of the H share listings that suffered sharp declines last week.  Anhui Conch +4.8% expects 12% sales volume growth in 2015.  Zijin Mining -2.6% has made an all cash offer for Phoenix Gold +12.2%. Japan saw all sectors advance with financials, consumer service and telecoms among those that rose by well over 1%.  Softbank +0.9% sold 1,000 of its companion droid Pepper in 1 minute.  The company is also establishing a robotics jv with Foxconn +2.3% and Alibaba. Honda +2.2% confirmed a Takata -0.4% airbag related death.  GungHo Online Ent. +2.6% will retire up to 8.0% of…

Quad Witching and Greece (of course).

News Trading Desk Morning Macro News

Morning Macro News

posted by CAPIS on 06/19/2015 at 7:19 am
by CAPIS on 06/19/2015

Happy Friday! Well… the market followed my thought process to a “T” from Monday and Wednesday’s comments (yes I’m patting myself on the back… humor me, as it doesn’t always happen). On Wednesday I noted my Monday comments accuracy, and so I’ll do the same today. To wit, Wedensday I wrote: “Ultimately, though, the daily chart has made a “double bottom” pattern the last two weeks at 2072, so if the bulls wanted to “complete” it we would  It would, also, confirm the 100 AND 125 DMA supports again (as they’ve both been truly nice support for some time now; see below “SPX Current” chart). In this respect, I’d look for longs to lean longer near the PDC level today, as well as the PP (~ 2092) with a move above 2100 / R1 getting us to R2 where the 20 DMA is near.” Wednesday, before Fed, we fell to the PP and below to 2090, where I thought support would be found. We made a quick new LOD post-Fed decision, which was faded (typical) and then rose to test the 20 DMA and R2 from below (also as stated that morning). Wednesday we closed up 0.20% at 2100.44 and held…

Happy Friday! Well… the market followed my thought process to a “T” from Monday and Wednesday’s comments (yes I’m patting myself on the back… humor me, as it doesn’t always happen). On Wednesday I noted my Monday comments accuracy, and so I’ll do the same today. To wit, Wedensday I wrote: “Ultimately, though, the daily chart has made a “double bottom” pattern the last two weeks at 2072, so if the bulls wanted to “complete” it we would  It would, also, confirm the 100 AND 125 DMA supports again (as they’ve both been truly nice support for some time now; see below “SPX Current” chart). In this respect, I’d look for longs to lean longer near the PDC level today, as well as the PP (~ 2092) with a move above 2100 / R1 getting us to R2 where the 20 DMA is near.” Wednesday, before Fed, we fell to the PP and below to 2090, where I thought support would be found. We made a quick new LOD post-Fed decision, which was faded (typical) and then rose to test the 20 DMA and R2 from below (also as stated that morning). Wednesday we closed up 0.20% at 2100.44 and held…

CAPIS International Summary June 19th, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/19/2015 at 6:56 am
by Matthew Kiselica on 06/19/2015

Asian Headlines While most of the region traded higher following the solid U..S. performance, the attention grabber of the day was Mainland China.   For the second day in row, the Shanghai Composite saw heavy selling into the close and ended the day down over 6.0%.  Today’s declines put the index in technical correction territory, falling by over 10% from the highs set back on June 12. (see chart below)  It was also was the worst weekly performance since ’08.  While many point to money coming out of the market for IPOs that were occurring today, we believe the pullback  was mainly due to reports of regulators reviewing margin rules.  All sectors were firmly in the red with tech and small caps seeing especially heavy selling.  It should be noted that there was a disconnect between the Mainland and Hong Kong .  While the Hang Seng did trail off it still manage to maintain a gain for the second consecutive day. In Japan, the BoJ concluded its two day meeting with no changes to policy as expected.  The ¥ initially strengthened on the release but then gradually weakened over the course of the day and has a 123 figure on it again.…

Asian Headlines While most of the region traded higher following the solid U..S. performance, the attention grabber of the day was Mainland China.   For the second day in row, the Shanghai Composite saw heavy selling into the close and ended the day down over 6.0%.  Today’s declines put the index in technical correction territory, falling by over 10% from the highs set back on June 12. (see chart below)  It was also was the worst weekly performance since ’08.  While many point to money coming out of the market for IPOs that were occurring today, we believe the pullback  was mainly due to reports of regulators reviewing margin rules.  All sectors were firmly in the red with tech and small caps seeing especially heavy selling.  It should be noted that there was a disconnect between the Mainland and Hong Kong .  While the Hang Seng did trail off it still manage to maintain a gain for the second consecutive day. In Japan, the BoJ concluded its two day meeting with no changes to policy as expected.  The ¥ initially strengthened on the release but then gradually weakened over the course of the day and has a 123 figure on it again.…

CAPIS European Close June 18, 2015

News Trading Desk International Summary

International Summary

posted by Clayton Duff on 06/18/2015 at 11:49 am
by Clayton Duff on 06/18/2015

European indices reversed course roughly 3 hours into the session on word the EU and ECB were looking to draft debt relief for Greece assuming an agreement is met with creditors. It is speculated to be a continuation of the 2012 Eurogroup agreement for debt relief.   Later, the IMF’s Lagarde noted the month-end payment is definitive with no grace period allowed.   Note that after the close, rumors circulated that aid could be extended to Greece for the balance of the year without input from the IMF (London broker). Speculation that €10B from the bank recap fund could go toward payments with Greece then able to issue €2B in short term debt.  Angela Merkel has denied any knowledge of this “new offer” from Greek creditors. Market-wise, the Euro has seemed to settle near the 1.14 level with indices closing at highs near yesterday’s top levels. It is a fairly even mix of sectors up/down with Chemicals finishing up 1.34%.  Energy finished off .7% despite oil ticking higher. On the chemical side, Arkema +1.4% up as the firm will offload its Sunclear plastic/aluminum unit to BF Investments. Allianz +1.8% said it will increase its investment into clean-energy with the US wind market a target. …

European indices reversed course roughly 3 hours into the session on word the EU and ECB were looking to draft debt relief for Greece assuming an agreement is met with creditors. It is speculated to be a continuation of the 2012 Eurogroup agreement for debt relief.   Later, the IMF’s Lagarde noted the month-end payment is definitive with no grace period allowed.   Note that after the close, rumors circulated that aid could be extended to Greece for the balance of the year without input from the IMF (London broker). Speculation that €10B from the bank recap fund could go toward payments with Greece then able to issue €2B in short term debt.  Angela Merkel has denied any knowledge of this “new offer” from Greek creditors. Market-wise, the Euro has seemed to settle near the 1.14 level with indices closing at highs near yesterday’s top levels. It is a fairly even mix of sectors up/down with Chemicals finishing up 1.34%.  Energy finished off .7% despite oil ticking higher. On the chemical side, Arkema +1.4% up as the firm will offload its Sunclear plastic/aluminum unit to BF Investments. Allianz +1.8% said it will increase its investment into clean-energy with the US wind market a target. …

CAPIS International Summary June 18th, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/18/2015 at 6:48 am
by Matthew Kiselica on 06/18/2015

Asian Headlines The majority of Asia gave ground despite the higher U.S. markets post the FOMC decision from yesterday. Many markets were negatively impacted due to the strength of their currencies following the Fed meeting.  All sectors were in the red with the majority by way more than 1%.  Losses among industrials exceeded 2% with financials close behind. Oracle’s results were no help to the tech sector. Japan was a perfect example of a market impacted due to local currency strength.   The ¥ was trading around 123.50 shortly after the Fed decision and continued to strengthen throughout the Japanese trading session.  It is currently trading with a 122 handle! This naturally put pressure on the exporters.  Among that group, sentiment for autos was also hurt by  the latest J. D. Powers Initial Quality Study which indicated Japanese vehicle manufacturers fell below average for the first time in 29 years.  The Nikkei reported the president and chairman of Toyo Tire -2.3% will step down in the wake of the earthquake products scandal.  The BoJ’s two day policy meeting commenced with no changes expected. Mainland China saw sharp selling pressure into the close (see chart below).   CNBC attributed the decline to…

Asian Headlines The majority of Asia gave ground despite the higher U.S. markets post the FOMC decision from yesterday. Many markets were negatively impacted due to the strength of their currencies following the Fed meeting.  All sectors were in the red with the majority by way more than 1%.  Losses among industrials exceeded 2% with financials close behind. Oracle’s results were no help to the tech sector. Japan was a perfect example of a market impacted due to local currency strength.   The ¥ was trading around 123.50 shortly after the Fed decision and continued to strengthen throughout the Japanese trading session.  It is currently trading with a 122 handle! This naturally put pressure on the exporters.  Among that group, sentiment for autos was also hurt by  the latest J. D. Powers Initial Quality Study which indicated Japanese vehicle manufacturers fell below average for the first time in 29 years.  The Nikkei reported the president and chairman of Toyo Tire -2.3% will step down in the wake of the earthquake products scandal.  The BoJ’s two day policy meeting commenced with no changes expected. Mainland China saw sharp selling pressure into the close (see chart below).   CNBC attributed the decline to…

CAPIS European Close June 17, 2015

News Trading Desk International Summary

International Summary

posted by Matthew Kiselica on 06/17/2015 at 12:02 pm
by Matthew Kiselica on 06/17/2015

Having spent the day in the red, European markets started to rebound around 8AM Eastern and for the next 3 hours gradually crept higher erasing all of the days losses helped by a stronger open in U.S markets. However, as the U.S. indices began to fade, Europe did so as well, falling 60bps over the last  30 minutes of the day, The Eurostoxx closing -0.73%. The energy sector was the only one to end the day in the green while autos were off well over 1% and retail pulled back by 1%.  With the FOMC meeting pending, volumes were lower by c. 10.0% although that was an improvement from earlier in the day. Roughly 30 minutes after the European close, reports stated the the ECB has once again raised the ELA ceiling €1.1b to €84.1b.  Greece continued to slide today and reports suggest some derision within Athens.  While PM Tsipras continues to posture against any “unfair” deals, BoG Gov. Stournaras warned a failure in the debt talks “would lead to a default” and eventually “exit from the Euro.”   Mr. Stournaras then tried to present the central bank’s monetary policy report to the speaker of parliament who refused to accept it!. The ASE fell 3.15%.…

Having spent the day in the red, European markets started to rebound around 8AM Eastern and for the next 3 hours gradually crept higher erasing all of the days losses helped by a stronger open in U.S markets. However, as the U.S. indices began to fade, Europe did so as well, falling 60bps over the last  30 minutes of the day, The Eurostoxx closing -0.73%. The energy sector was the only one to end the day in the green while autos were off well over 1% and retail pulled back by 1%.  With the FOMC meeting pending, volumes were lower by c. 10.0% although that was an improvement from earlier in the day. Roughly 30 minutes after the European close, reports stated the the ECB has once again raised the ELA ceiling €1.1b to €84.1b.  Greece continued to slide today and reports suggest some derision within Athens.  While PM Tsipras continues to posture against any “unfair” deals, BoG Gov. Stournaras warned a failure in the debt talks “would lead to a default” and eventually “exit from the Euro.”   Mr. Stournaras then tried to present the central bank’s monetary policy report to the speaker of parliament who refused to accept it!. The ASE fell 3.15%.…

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