Upgrades and Downgrades This Morning
Upgrades
MWDV – MeadWestvaco upgraded to Market Perform from Underperform at BMO Capital
MS – Morgan Stanley upgraded to Buy from Hold at Collins Stewart
ALLT – Allot Comms initiated with a Buy at BofA/Merrill
MAC – Macerich upgraded to Buy from Neutral at Goldman
WMT – Wal-Mart upgraded to Overweight from Neutral at JP Morgan
DB – Deutsche Bank upgraded to Overweight from Neutral at HSBC
ARRS – Arris target raised to $13 at Kaufman Bros
VECO – Veeco Instruments upgraded to Buy from Hold at ThinkEquity
HAYN – Haynes Intl upgraded to Overweight from Neutral at JP Morgan
NTAP – NetApp upgraded to Outperform from Sector Perform at FBN Securities
HIBB- Hibbett Sporting upgraded to Buy from Neutral at Sterne Agee
CLI – Mack-Cali Realty upgraded to Buy from Neutral at Goldman
KW – Kennedy Wilson initiated with a Buy at BofA/Merrill
RGLD – Royal Gold downgraded to Sector Perform from Outperform at RBC Capital
BYI – Bally Technologies upgraded to Buy from Hold at Deutsche Bank
SBH – Sally Beauty initiated with a Neutral at BofA/Merrill
HOS – Hornbeck Offshore initiated with an Outperform at Wells Fargo
REGN – Regeneron Pharms upgraded to Neutral from Underperform at BofA/Merrill
WDC – Western Digital upgraded to Overweight from Equal Weight at Barclays
HSY – Hershey Foods upgraded to Buy at Ticonderoga
IFF – Intl Flavors upgraded to Overweight from Neutral at JP Morgan
RBS – Royal Bank of Scotland upgraded to Buy at WestLB
SXCI – SXC Health Solutions upgraded to Outperform from Neutral at Cowen
FIRE – Sourcefire target raised to $39 at Stifel Nicolaus
AMAG – AMAG Pharma resumed with an Equal Weight at Morgan Stanley
NFX – Newfield Expl upgraded to Neutral from Underperform at BofA/Merrill
FLR – Fluor upgraded to Buy from Hold at BB&T
AMNB – Am Natl Bankshares initiated with a Market Perform at Keefe Bruyette
FES – Forbes Energy Services initiated with a Buy at Canaccord Genuity
Downgrades
POT – Ticonderoga cuts estimates
GGP – Gen Growth Prop downgraded to Neutral from Buy at Goldman
TX – Ternium S.A. downgraded to Neutral from Buy at Goldman
TGT – Target downgraded to Neutral from Overweight at JP Morgan
SPG – Simon Properties downgraded to Neutral from Buy at Goldman
VNO – Vornado Rlty Trust downgraded to Sell from Neutral at Goldman
VTR – Ventas downgraded to Sell from Neutral at Goldman
UGP – Ultrapar Participacoes initiated with a Buy at BofA/Merrill
RIMM – Research In Motion downgraded to Underperform from Market Perform at JMP Securities
WAG – Walgreens downgraded to Underweight from Overweight at Morgan Stanley
HCN – Health Care REIT downgraded to Sell from Neutral at Goldman
DEST – Destination Maternity downgraded to In Line from Outperform at Imperial Capital Research
Comments »Gapping Up and Down This Morning
Gapping up
GEDU +98.9%, BSDM +5.7%, INHX +25.8%, VRTX +6.8%, GPRE +3%, REGN +6%, REGN +6.4%,
FSIN +1.3%, YGE +2.3%
Gapping down
BP -2.1%, CIM -1.5%, LVLT -1.4%, GLD -1%, TS -4.7%, MT -4.2%, RCL -4.1%, BBL -3.9%, BHP -3.5%,
LYG -7%, RIO -5.9%, FRO -5%, BCS -4.9%, DB -4.9%, HBC -3.2%, UBS -3.2%, SDRL -3.2%, SLV -3.2%,
BAC -3.1%, TOT -2.7%, C -2.6%,
Comments »In Play and On the Wires
The Turkey Gods Are Upset as Global Markets Sell Off
Asian Market Update
| Symbol | Name | Last Trade | Change | Related Info |
|---|---|---|---|---|
| ^AORD | All Ordinaries | 4,222.108:47PM EST |  24.60 (0.58%) |
Components, Chart, More |
| ^SSEC | Shanghai Composite | 2,405.928:51PM EST | 10.64 (0.44%) |
Chart, More |
| ^HSI | Hang Seng | 18,114.858:52PM EST | 376.38 (2.04%) |
Components, Chart, More |
| ^BSESN | BSE 30 | 16,371.51Nov 18 | 0.00 (0.00%) | Chart, More |
| ^JKSE | Jakarta Composite | 3,754.50Nov 18 | 0.00 (0.00%) | Components, Chart, More |
| ^KLSE | KLSE Composite | 1,437.738:52PM EST | 16.67 (1.15%) |
Components, Chart, More |
| ^N225 | Nikkei 225 | 8,353.608:47PM EST | 21.31 (0.25%) |
Chart, More |
| ^NZ50 | NZSE 50 | 3,256.228:48PM EST |  5.33 (0.16%) |
Components, Chart, More |
| ^STI | Straits Times | 2,702.778:47PM EST | 27.57 (1.01%) |
Components, Chart, More |
| ^KS11 | Seoul Composite | 1,815.779:07PM EST | 23.40 (1.27%) |
Components, Chart, More |
| ^TWII | Taiwan Weighted | 7,114.628:47PM EST | 119.16 (1.65%) |
Time Right (Again) for Mean Reversion?
By Frank Hassler, via ETF Prophet:
The two-day mean-reversion trade, i.e. RSI-2 or DV-2 has become very popular. Though the performance of this trade has weakened lately (during late 2010-2011). So the twenty thousand dollar question becomes: Is the edge of this trade gone or is it about to resume?
With this post I want to share an observation I’ve made by tracking my Trend Strength Indicator (TSI). TSI is a non-directional trend strength indicator. A lower TSI is indicating a tendency to mean-reversion while a higher TSI is indicating follow-through action. Read more about TSI [here].
Let’s start with some “chart porn”.
Above you see a SPY chart from 1998 until today (Nov. 2011). Prior 2009 TSI spent most of it’s time bellow 1.6. Post financial crisis 2008 it raised to the highest value ever of >2.0 and it allays maintained the level of > 1.6. However what you also can notice is the trend strength decrease lately. I can also confirm that by simply looking at the performance of my mean reversion strategy over the last few month.
Read the rest here, including a sample mean reversion strategy using TSI as a filter.
Comments »
This Morning’s Most Active Put/Call Options Trades
-CALLS- OPTION EXP.DATE STRIKE PRC. VOLUME LAST S/PRC. NET CHANGE EMC 11/19/11 23.0000 4753 0.2800 dn 0.1700 KOG 3/17/12 2.5000 2860 5.6000 up 0.1000 AAPL 11/19/11 380.0000 1835 1.1300 dn 0.2500 GLD 12/17/11 168.0000 1575 4.3200 dn 0.1800 KO 12/17/11 67.5000 1410 1.2400 up 0.2300 HUN 11/19/11 10.0000 1187 0.8100 up 0.0100 HUN 12/17/11 10.0000 1187 1.1100 dn 0.2400 AAPL 11/19/11 385.0000 771 0.1800 dn 0.1200 TSO 12/17/11 24.0000 750 1.6600 up 0.0100 QCOM 12/17/11 57.5000 684 1.3600 dn 0.0900 -PUTS- OPTION EXP.DATE STRIKE PRC. VOLUME LAST S/PRC. NET CHANGE CRM 11/19/11 120.0000 2030 5.0900 up 0.2600 GLD 12/17/11 167.0000 1580 4.4500 dn 0.3000 CRM 11/19/11 125.0000 1387 9.8500 up 2.8500 AAPL 11/19/11 375.0000 1339 0.8500 dn 0.6600 DB 11/19/11 37.5000 1169 1.1000 dn 0.7000 BAC 11/19/11 6.0000 1136 0.2300 up 0.0000 CRM 11/19/11 110.0000 1122 0.5700 dn 1.6100 AMR 12/17/11 2.0000 1000 0.4600 dn 0.0400 AMR 11/19/11 2.0000 1000 0.2600 dn 0.0800 CAT 11/25/11 92.5000 924 1.6300 dn 0.2000 -VOLUME- CALLS PUTS TOTAL 464229 259722 723951
-CALLS- OPTION EXP.DATE STRIKE PRC. VOLUME LAST S/PRC. NET CHANGE AAPL 11/19/11 380.0000 366 1.1300 dn 0.2500 BAC 12/17/11 8.0000 257 0.0200 dn 0.0100 DELL 1/21/12 15.0000 250 1.0000 up 0.0300 INTC 1/21/12 30.0000 200 0.0600 dn 0.0100 DD 4/21/12 52.5000 184 1.5600 dn 0.1100 MSFT 1/21/12 26.0000 170 0.8700 dn 0.0700 AAPL 11/19/11 385.0000 156 0.2500 dn 0.0500 TGT 11/19/11 52.5000 126 0.2200 dn 0.0800 GLD 11/19/11 169.0000 121 0.1500 dn 0.2000 TBT 1/21/12 33.0000 110 0.0500 up 0.0000 -PUTS- OPTION EXP.DATE STRIKE PRC. VOLUME LAST S/PRC. NET CHANGE BAC 12/17/11 6.0000 280 0.5600 up 0.0300 GLD 11/19/11 165.0000 278 0.1300 dn 0.2100 AAPL 11/19/11 360.0000 185 0.0400 dn 0.0600 AAPL 11/19/11 380.0000 177 2.3900 dn 2.0100 BAC 11/19/11 6.0000 175 0.2400 up 0.0200 CRM 11/19/11 115.0000 159 1.6500 dn 1.5000 HOT 11/19/11 48.0000 150 0.1200 dn 0.4600 AAPL 11/19/11 375.0000 145 0.8800 dn 0.9200 AAPL 11/19/11 370.0000 135 0.2300 dn 0.3500 BAC 1/21/12 4.0000 120 0.1500 up 0.0000 -VOLUME- CALLS PUTS TOTAL 22550 34681 57231Comments »
Today’s 52 Week Highs and Lows
NYSE
New Highs 7 COMPANY SYMBOL HIGH VOLUME ------- ------ ---- ------ DCP Midstream Ptnrs DPM 45.21 28,896 Enbridge Inc ENB 35.82 153,301 Gladstone Cap Corp. Pfd. GLADpA 25.55 750 Guggenh Bond Mneg Dur Tr GBAB 20.69 7,270 Healthspring HS 54.75 106,381 Invesco Qty Inv IQT 13.52 11,972 Kinder Morgan Mgmt KMR 68.69 29,216 New Lows 19 COMPANY SYMBOL LOW VOLUME ------- ------ ---- ------ Avon Products AVP 16.68 2,013,298 China Kanghui ADS KH 14.88 9,036 Christopher & Banks CBK 2.79 22,452 Computer Sciences CSC 24.79 312,920 Delphi Automotive DLPH 21.01 350,422 DigitalGlobe DGI 15.87 43,518 Dole Food Co DOLE 9.17 99,659 Elster Group SE ADS ELT 13.29 5,600 Forest Labs FRX 29.18 288,877 Invacare Corp IVC 19.73 15,245 Kenexa KNXA 23.84 20,907 Meritor MTOR 5.56 578,124 New York & Co NWY 2.25 27,991 OM Group OMG 22.55 50,327 Och-Ziff Capital Mgmt OZM 7.56 15,506,393 Old Republic Intl ORI 7.57 271,848 Sun Life Fincl SLF 19.66 71,779 Thermo Fisher Sci TMO 46.25 773,319 US Airways Grp LCC 4.36 478,406
NASDAQ
New Highs 6 COMPANY SYMBOL HIGH VOLUME ------- ------ ---- ------ Altisource Ptfl Sol SA ASPS 45.92 13,588 Calavo Growers CVGW 25.11 21,265 HealthStream HSTM 17.28 469,708 Hibbett Sports HIBB 45.90 317,744 Netlist NLST 3.95 1,360,537 Ubiquiti Networks UBNT 22.68 25,325 New Lows 32 COMPANY SYMBOL LOW VOLUME ------- ------ ---- ------ AutoNavi Holdings Ltd ADS AMAP 10.76 78,846 Avatar Hldgs AVTR 7.38 5,644 Bon-Ton Stores BONT 3.00 27,384 Casual Male Retail Group CMRG 3.14 48,715 Cornerstone Thera CRTX 4.96 4,259 Ctripcom Intl CTRP 26.09 407,814 Delcath Systems Inc DCTH 2.78 177,336 Dialogic DLGC 1.33 14,388 eDiets.com DIET 0.54 2,346 Enzon Pharmaceuticals ENZN 6.27 24,497 G-III Apparel Group GIII 20.15 32,715 Hanwha SolarOne Co Ltd HSOL 1.26 184,669 Interactive Intelligence ININ 23.24 9,652 iShr MSCI Fr Est Fnl FEFN 20.61 100 Myrexis MYRX 2.41 27,995 Pan American Silver PAAS 23.82 166,345 Peregrine Pharma PPHM 0.92 73,604 Perry Ellis Intl PERY 13.34 200,945 Princeton National Bncp PNBC 1.30 1,025 Pure Bioscience PURE 0.51 10,500 Quantum Fuel Sys Techs QTWW 1.72 26,999 Radisys RSYS 4.31 16,489 Sangamo BioSciences SGMO 2.83 65,817 Savient Pharmaceuticals SVNT 2.34 154,974 Shoe Carnival SCVL 19.19 78,700 TBS Intl Cl A TBSI 0.44 40,000 TeleComm Systems (Cl A) TSYS 2.96 55,694 Towerstream TWER 1.91 104,416 TriQuint Semiconductor TQNT 4.63 604,826 Vertex Pharm VRTX 28.15 360,966 Wet Seal (Cl A) WTSLA 3.06 156,337 XenoPort XNPT 4.74 18,169Comments »
This Morning’s Money Flows, Heat Map, and A/D Line
Money Flows
ISSUE GAINERS SYMBOL EXCH LAST PRICE MONEY FLOW RATIO
(in millions)
Chevron CVX NYSE 101.48 +115.9 6.12
Procter & Gamble PG NYSE 63.44 +100.0 13.96
Johnson & Johnson JNJ NYSE 63.83 +97.7 9.92
AT&T T NYSE 28.67 +96.2 18.73
Coca-Cola KO NYSE 67.54 +94.4 8.57
Philip Morris Intl PM NYSE 73.00 +78.3 7.43
Verizon Communications VZ NYSE 36.54 +63.7 17.98
Qualcomm QCOM NASD 56.21 +62.6 2.87
McDonald's MCD NYSE 92.61 +61.6 8.69
Schlumberger SLB NYSE 72.21 +58.3 4.61
Abbott Labs ABT NYSE 53.83 +52.2 12.61
Occidental Pete OXY NYSE 95.28 +45.0 5.28
Hewlett-Packard HPQ NYSE 28.01 +43.8 2.93
Caterpillar CAT NYSE 94.16 +41.9 3.39
Comcast CMCSA NASD 21.45 +40.1 9.97
Kraft Foods KFT NYSE 35.02 +35.8 14.90
Altria Group Inc MO NYSE 27.77 +32.2 9.01
CVS Caremark CVS NYSE 38.40 +30.4 8.20
VISA (Cl A) V NYSE 90.82 +29.9 6.68
EMC Corp EMC NYSE 23.27 +29.0 7.74
ISSUE DECLINERS SYMBOL EXCH LAST PRICE MONEY FLOW RATIO
(in millions)
Apple AAPL NASD 378.01 -264.1 0.49
ExxonMobil XOM NYSE 78.48 -206.9 0.12
Microsoft MSFT NASD 25.23 -135.1 0.12
IBM IBM NYSE 186.22 -133.6 0.12
Google GOOG NASD 603.33 -109.2 0.47
Intel INTC NASD 24.19 -106.2 0.11
Oracle ORCL NASD 30.38 -97.0 0.11
Pfizer PFE NYSE 19.54 -92.0 0.08
Cisco Systems CSCO NASD 18.35 -77.4 0.08
Wells Fargo WFC NYSE 24.80 -74.2 0.12
Berkshire Hathaway B BRK/B NYSE 74.90 -72.8 0.12
Amazoncom AMZN NASD 203.22 -65.6 0.47
Citigroup C NYSE 26.15 -63.5 0.30
PepsiCo PEP NYSE 63.48 -60.8 0.24
Merck MRK NYSE 35.20 -57.7 0.13
ConocoPhillips COP NYSE 69.86 -53.7 0.11
United Technologies UTX NYSE 75.85 -41.2 0.12
Disney DIS NYSE 35.49 -38.2 0.07
United Parcel Service B UPS NYSE 69.13 -38.1 0.10
3M MMM NYSE 80.39 -37.4 0.13
Comments »
Leading Indicators: Prior 0.2%, Market Expects 0.6%, Actual +0.9%
Volatility Chart Porn Suggests a Bullish Entry Point
Bullish Sentiment Remains Above 40%
Warren Buffett’s Favorite Indicator Suggests There is Still No Recession
“Total carloads were up 0.5% while intermodal traffic is up 5.2%. YTD carloads are up 1.8% which is about consistent with what we’ve seen from real GDP.”
Comments »Upgrades and Downgrades This Morning
Upgrades
ARUN – Aruba Networks upgraded to Buy from Neutral at Janney Montgomery Scott
MOS – Mosaic initiated with a Buy at Lazard
PERY – Perry Ellis downgraded to Neutral from Buy at Suntrust
SPRD – Spreadtrum Comms initiated with an Outperform at Credit Suisse
NLY – Annaly Capital Mgmt downgraded to Market Perform from Outperform at Keefe Bruyett
SJM – J.M. Smucker added to Focus List at JP Morgan
RCL – initiated with a Buy at Jefferies
AGU – initiated with a Buy at Lazard
PANL – Universal Display initiated with a Buy at Goldman
CF – initiated with a Buy at Lazard
CREE – Cree initiated with a Buy at Goldman
POT – initiated with a Buy at Lazard
EQY – Equity One upgraded to Buy from Hold at ISI Group
ERF – Enerplus Res Fd Trust initiated with an Underweight at Barclays
MASI – Masimo initiated with an Underperform at BofA/Merrill
HPQ – Hewlett-Packard upgraded to Buy from Neutral at Sterne Agee
SNN – Smith & Nephew initiated with a Buy at Societe Generale
BC – Brunswick initiated with a Market Perform at BMO Capital
JCI – Johnson Controls initiated with an Outperform at Macquarie
AMR – AMR upgraded to Hold at Dahlman Rose
BCSI – Blue Coat upgraded to Neutral from Sell at Miller Tabak
MSCC – Microsemi initiated with a Buy at Cantor Fitzgerald
BTE – Baytex Energy Trust initiated with an Overweight at Barclays
DXCM – Dexcom upgraded to Buy from Hold at Capstone
BCSI – Blue Coat upgraded to Neutral at Sterne Agee
FLS – Flowserve initiated with an Outperform at Wedbush
TSU – TIM Participacoes initiated with an Outperform at Bernstein
XEL – Xcel Energy upgraded to Outperform from Neutral at Macquarie
CNX – CONSOL Energy initiated with a Buy at CRT Capital
RATE – Bankrate target raised to $24 from $21 at Stifel Nicolaus
VIV – Vivo Participacoes initiated with a Market Perform at Bernstein
MRTN – Marten Transport upgraded to Buy at Stifel Nicolaus
BCSI – Blue Coat target raised to $28 from $25 at Stifel Nicolaus
PEGA – Pegasystems initiated with a Buy at The Benchmark Company
F – Ford Motor remains Ticonderoga’s top pick in the auto sector
CTAS – Cintas upgraded to Buy from Neutral at Citigroup
Downgrades
XCO – Exco Resources downgraded to Hold at Stifel Nicolaus
DRI – Darden Restaurants downgraded to Equal Weight from Overweight at Morgan Stanley
SFD – Smithfield Foods upgraded to Outperform from Neutral at Credit Suisse
TDG – Transdigm Group downgraded to Neutral from Buy at BofA/Merrill
VECO – Veeco Instruments initiated with Neutral at Goldman
IPI – Intrepid Potash initiated with a Neutral at Lazard
ESE – Esco Tech downgraded to Hold from Buy at BB&T
CHSI – Catalyst Health Solutions initiated with a Hold at Stifel Nicolaus
GRPN – Groupon initiated with a Neutral at Wedbush
ANR – initiated with Fair Value at CRT Capital
MTOR – Meritor downgraded to Hold at KeyBanc Capital Mkts
RBCN – Rubicon Tech initiated with a Sell at Goldman
ICE – IntercontinentalExchange downgraded to Underperform from Outperform at Credit Agricole
CYN – City National downgraded to Underperform from Neutral at BofA/Merrill
MRVL – Marvell downgraded to Hold from Buy at Craig Hallum
Comments »Gapping Up and Down This Morning
Gapping up
BCSI +20.6%, NLST +11.6%, MHGC +5.9%, PEIX +9.3%, ARUN +5.6%, MENT +3.4%, BA +2.1%, MHGC +5.9%,
MRVL +3.2%, UBS +2.6%, DB +2.4%, HPQ +1.1%, E +2.8%, SDRL +1.9%, TOT +1.5%, QCOR +0.8%, BP +0.4%,
BCS +1.1%, SSRI +2.3%, SLW +2.3%, SLV +2%, GPS +1.3%, ATW +3.2%, GDX +1.3%, CYBX +2.1%, GLD +1.1%,
Gapping down
CRM -7.2%, DLB -0.7%, HNZ -0.7%, OZM -3.3%, DLB -0.7%, XCO -12.5%, HNZ -0.7% , LEN -1.4%,
Comments »In Play and On the Wires
Italian and Spanish Bond Yields Relax as the ECB Makes More Bond Purchases
Bond purchases have helped to calm European markets and push U.S. futures higher.
Comments »Asia Stays Firmly Under Water, Europe Tries to Hug the Flat Line, and U.S. Futures Trade Up 1%
Europe , Italian 10 year ( –), Spanish 10 year ( + ), French 10 year ( – )
Comments »
