Reports

The oil price has been a primary focus this year with three main schools of thought about its importance and impact on markets. The first sees falling prices as a negative for equities, because falls reflect weakening demand for commodities as a result of a coordinated global slowdown in economic growth. The second views energy prices as a quasi-tax and expects stronger economic growth as a result of price falls, with the overall impact on equities beneficial despite the carnage in the energy and basic materials sectors. The third school sees most things as a function of excessive global debt, exacerbated by central bank policy and treats an oil price fall as a consequence of the inevitable over-capacity that results from mispricing credit.

Whichever camp you are in, OTAS tracks the indicators that foretell of any recovery in equities linked to energy and commodity prices, whether this has to do with suppliers going bust, improving demand or tighter monetary policies (okay, maybe not the last one). The oil producers considered most at risk are the shale field producers of North America, where production costs are high and leverage even higher. The median credit default swap for North American companies is 280 bps (remember European banks are around 105 bps).

NA Energy CDS 2 yr view

Credit risk remains high in the US

Option market implied volatility, a measure of uncertainty, has reduced from a peak five weeks ago, but remains elevated compared to recent history and suggests that the average energy share could rise or fall 25% over the next three months. Investors are asking whether they can afford that volatility, but also whether they can afford to miss out if the sector were to rally so much.

NA Energy IV 2 yr view

One way or another, the shares are going to move

There are some very small stocks impacting the analysis above, but the median large cap stock is still predicted by those with skin in the game to move +/- 20% by mid-June. Companies such as Williams, Continental Resources and Baker Hughes are expected to move at least 50% more than average. Exxon, Chevron and Schlumberger, in contrast, should be relatively sedate.

Short interest provides a third risk indicator for the sector. While short interest is back at the average level of the past two years overall, for the large caps there is a clear upward trajectory, in spite of the recent pullback. This is in keeping with broader market reports, such as CFTC data, that short covering has not been a feature of the recent equity market rise.

NA Energy SI 2 yr view

Short interest is trending upwards year-to-date

In Europe, the risk indicators for Energy are more benign. This is because there are fewer wildcat operations listed and as Europe lacks the deep option, CDS and short interest markets that define the US. Credit risk among Europe’s energy giants is a little over a third of the North American average and barely differentiated from Europe’s banks. Short interest is at relatively low levels and implied volatility suggests stock moves of +/- 15% in the coming three months.

European energy stocks should move around thwo thirds as much as the US

European energy stocks should move around two thirds as much as in the US

All of this suggests that acute problems in the Energy sector are a peculiarly US trait, as a function of the high borrowing and extraction costs of multiple smaller oil producers. Both sectors yield a similar amount at around 4.3% 12 months’ forward, although US large caps promise only 2.8% as a reflection of their haven status within a troubled industry. European energy equity investors are happy to ride out low oil prices, comforted that the income from their holdings is a rare bonus in an environment of ever-lower interest rates.

None of this should provide grounds for complacency and OTAS continues to track individual names to see where risk is hiding. One particularly powerful analytical tool is divergence, a bespoke measure of by how much equity prices are divorced from the other risk indicators of credit, option volatility and short interest. Do you have a holding that is becoming riskier faster than its peer group; contact us to find out.

Short Interest movers: Neste Oil, Mitie, Antofagasta, Kone

Director Buys/Sells: OPAP, Whitbread, Kingfisher, Unilever

CDS spread movers: Adecco, RWE, Vinci, Valeo

Implied Volatility movers: Swatch, Baloise, Georg Fischer, Boliden

Stocks trading unusually High Volume today
1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

Stock

Buy / Sell

Director Job Titles

Day Reported

Backtested return
OPAP GA Buy Non-Executive Vice Chairman Thursday 22nd (Jan) Excellent 20D return, Untested 6M return
CAST SS Buy CEO of Subsidiary Thursday 22nd (Jan) Good 20D return, Good 6M return
WTB LN Buy Non-Executive Director Thursday 22nd (Jan) Poor 20D return, Good 6M return
KGF LN Buy Executive Director Thursday 22nd (Jan) N/A (untested)
UNA NA Sell HR Director Thursday 22nd (Jan) Poor 20D return, Poor 6M return

CDS

Significant risers in past week10

Significant fallers in past week11

Implied Volatility

Significant risers in past week

12
Significant fallers in past week
13

What to watch for on Monday…

14

Short Interest movers: EMS-Chemie, AXA

Director Buys/Sells: Lonza Group

CDS spread movers: Fresenius, Carrefour, ThyssenKrupp, Aegon

Implied Volatility movers: Julius Bar, RWE, Societe Generale, Total

Stocks trading unusually High Volume today
image2015-1-22 8-54-32

…and names in the news today…

image2015-1-22 8-31-50

image2015-1-22 8-32-33

…and finally those with High Volume traded yesterday  

image2015-1-22 8-27-54

image2015-1-22 8-28-35

6 most positively ranked stocks
image2015-1-22 8-25-59

6 most negatively ranked stocks

image2015-1-22 8-26-38

Short Interest

Significant risers in past week*
image2015-1-22 8-8-6

Significant fallers in past week*
image2015-1-22 8-7-32

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

Stock
Buy / Sell
Director Job Titles
Day Reported
Backtested return
LONN VX
Buy
Executive Director / Committee
Wednesday 21st (Jan)
Good 20D return, Good 6M return

CDS

Significant risers in past week

image2015-1-22 8-24-41

Significant fallers in past week

image2015-1-22 8-23-13

Implied Volatility

Significant risers in past week

image2015-1-22 8-13-8
Significant fallers in past week
image2015-1-22 8-12-29

What to watch for on Friday…

image2015-1-22 8-0-37

Short Interest movers: Clariant, Tullow Oil, Ladbrokes, Hunting 

Director Buys/Sells: BPE, British Land

CDS spread movers: Rio Tinto, Infineon, Glencore, Tesco

Implied Volatility movers: Swatch, Holcim, Shell, PSP Swiss Property

Stocks trading unusually High Volume today

1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
7

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

Stock
Buy / Sell
Director Job Titles
Day Reported
Backtested return
BPE IM
Sell
Non-Executive Vice Chairman
Monday 19th (Jan)
Excellent 20D return, Mixed 6M return
BLND LN
Sell
Executive Director
Monday 19th (Jan)
Average 20D return, Poor 6M return

CDS

Significant risers in past week10

Significant fallers in past week11

Implied Volatility

Significant risers in past week

12
Significant fallers in past week
13

What to watch for on Thursday…

14

Short Interest movers: Bayer, Catlin, Ingenico, Vopak

Director Buys/Sells: Richemont, Aberdeen, Schibsted, Geberit

CDS spread movers: Volkswagen, BMW, Erste Bank, Statoil

Implied Volatility movers: Zurich Insurance, Nestle, Sainsbury, ING

Stocks trading unusually High Volume today
image2015-1-20 8-50-52

…and names in the news today…

image2015-1-20 8-41-35

image2015-1-20 8-41-56

…and finally those with High Volume traded yesterday  

image2015-1-20 8-43-13

image2015-1-20 8-43-30

6 most positively ranked stocks
image2015-1-20 8-40-20

6 most negatively ranked stocks

image2015-1-20 8-41-9

Short Interest

Significant risers in past week*
image2015-1-20 8-23-36

Significant fallers in past week*
image2015-1-20 8-23-0

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK

BUY / SELL

DIRECTOR JOB TITLES

Day Reported

Backtested return
CFR VX Buy Executive Director / Committee Friday 16th (Jan) Good 20D return, Good 6M return
ADN LN Buy Non-Executive Director Friday 16th (Jan) Poor 20D return, Good 6M return
UBI IM Buy Independent Director Friday 16th (Jan) Mixed 20D return, Mixed 6M return
SCH NO Sell Senior Vice President Monday 19th (Jan) N/A (untested)
GEBN VX Sell Executive Director / Committee Friday 16th (Jan) Poor 20D return, Poor 6M return
AMS SM Sell CEO Thursday 15th (Jan) Poor 20D return, Poor 6M return

CDS

Significant risers in past week

image2015-1-20 8-24-47

Significant fallers in past week

image2015-1-20 8-24-11

Implied Volatility

Significant risers in past week

image2015-1-20 8-19-43
Significant fallers in past week
image2015-1-20 8-20-20

What to watch for on Wednesday…

image2015-1-20 8-16-56

Short Interest movers: Sonova, Tullow Oil, Aggreko

Director Buys/Sells: Banco de Sabadell, Helvetia Holding, OPAP

CDS spread movers: Arcelormittal, Statoil, Total, Tesco

Implied Volatility movers: Vopak, DSM Koninklijke, SAP, Metro

Stocks trading unusually High Volume today
1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK

BUY / SELL

DIRECTOR JOB TITLES

Day Reported

Backtested return
SAB SM Buy Director Tuesday 13th (Jan) Mixed 20D return, Mixed 6M return
HELN SW Sell Executive Director / Committee Wednesday 14th (Jan) Good 20D return, Good 6M return
OPAP GA Sell Non-Executive Vice Chairman Tuesday 13th (Jan) Good 20D return, Untested 6M return

CDS

Significant risers in past week10

Significant fallers in past week11

Implied Volatility

Significant risers in past week

12
Significant fallers in past week
13

What to watch for on Monday…

14

Short Interest movers: Alstom, Assicurazioni Generali, Cap Gemini

Director Buys/Sells: Deutsche Wohnen, Abertis Infrastructuras

CDS spread movers: Rio Tinto, Anglo American, ThyssenKrupp

Implied Volatility movers: Sandvik, Teliasonera, Nestle

Stocks trading unusually High Volume today
1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK
BUY / SELL
DIRECTOR JOB TITLES
Day Reported
Backtested return
DWNI GY
Sell
Chairman of the Supervisory Board
Tuesday 13th (Jan)
Poor 20D return, Poor 6M return
ABE SM
Sell
CEO of Subsidiary
Monday 12th (Jan)
N/A (untested)

CDS

Significant risers in past week10

Implied Volatility

Significant risers in past week

11
Significant fallers in past week12

What to watch for on Friday…

13

Short Interest movers: Aggreko, Neste Oil, Alstom, Vopak

Director Buys/Sells: Intesa Sanpaolo

CDS spread movers: Alpha Bank, Rolls Royce 

Implied Volatility movers: Getinge, SBM Offshore, Volvo, Anheuser-Busch Inbev

Stocks trading unusually High Volume today
1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK
BUY / SELL
DIRECTOR JOB TITLES
Day Reported
Backtested return
ISP IM
Sell
Chief Level Officer
Friday 9th (Jan)
Good 20D return, Flat 6M return

CDS

Significant risers in past week10

Implied Volatility

Significant risers in past week

11
Significant fallers in past week12

What to watch for on Thursday…

13

Short Interest movers: Sonova, Aggreko, Suez, Vallourec
Director Buys/Sells: Atlantia, Johnson Matthey, Axel Springer, Tate and Lyle
CDS spread movers: Rolls Royce, Marks and Spencer, BAE, Smiths Group
Implied Volatility movers: Corio, Svenska Handelsbanken, Enel, Nordea Bank
Stocks trading unusually High Volume today
1
…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6
6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK
BUY / SELL
DIRECTOR JOB TITLES
Day Reported
Backtested return
BPE IM
Buy
Non-Executive Vice Chairman
Friday 9th (Jan)
Excellent 20D return, mixed 6M return
TATE LN
Buy
Independent Director
Friday 9th (Jan)
Mixed 20D return, mixed 6M return
SPR GY
Buy
Non-Executive Vice Chairman
Friday 9th (Jan)
N/A (untested)
TPEIR GA
Sell
Manager
Friday 9th (Jan)
Good 20D return, good 6M return
ATL IM
Sell
Managing Director
Friday 9th (Jan)
Mixed 20D return, poor 6M return
JMAT LN
Sell
Group Director
Friday 9th (Jan)
Poor 20D return, poor 6M return
SCH NO
Sell
Group Executive
Friday 9th (Jan)
N/A (untested)

CDS

Significant risers in past week10

Significant fallers in past week11

Implied Volatility

Significant risers in past week12

Significant fallers in past week13

What to watch for on Wednesday…

14

Short Interest movers: Sika, Seadrill, Michael Page

Director Buys/Sells: Osram Licht

CDS spread movers: Rolls Royce, BAE Systems, Clariant

Implied Volatility movers: Intesa Sanpaolo, Ericsson, Swedish Match

Stocks trading unusually High Volume today
1

…and names in the news today…

2

3

…and finally those with High Volume traded yesterday  

4

5

6 most positively ranked stocks
6

6 most negatively ranked stocks7

Short Interest

Significant risers in past week*
8

Significant fallers in past week*
9

*D next to flag denotes dividend

Director Dealings

Recently Reported Priority Trades

STOCK

BUY / SELL

DIRECTOR JOB TITLES

Day Reported

Backtested return
OSR GY Buy CEO Monday 5th (Jan) N/A (untested)

CDS

Significant risers in past week

Significant fallers in past week11

Implied Volatility

Significant risers in past week12

Significant fallers in past week13

What to watch for on Monday…

14