期权预示参与者对市场的看法 （zt)

Options Show S&P 500 Profit Shortage Amid Stock Gains (Update3)

Share Business ExchangeTwitterFacebook| Email | Print |A A A

By Lynn Thomasson and Jeff Kearns

April 12 (Bloomberg) -- The biggest rally in seven decadeshas left investors so skittish that even forecasts for a 30percent surge in U.S. earnings are failing to keep them fromhedging bets on equities.

The premium on options that insure against losses in theStandard & Poor’s 500 Index over those wagering on gains, knownas skew, rose to the highest level since June 2008, datacompiled by Bloomberg show. Traders sought protection as sharesrallied for six weeks, pushing a measure of momentum thatcompares stocks with their 50-day average to the most bearishreading in 13 months, according to Bespoke Investment Group LLC.

While forecasts for the fastest profit growth in 16 yearsrestored $6.63 trillion to U.S. equities since March 2009, theworst times to own stocks were when companies reported quarterlyresults. The S&P 500 dropped more than 5 percent after earningsseason began in October and January, rebounding after better-than-estimated income held valuations below historical averages.

“There’s a lot of room for disappointment,” said CharlesStamey, who helps oversee $30 billion as a managing director atManning & Napier Advisors Inc. in St. Petersburg, Florida.“When you’re in the middle of a recovery, the big question ishow long can it be sustained, and in our mind, the easy moneyhas already been made.”

Companies in the S&P 500 may report the second-fastestprofit growth since 1998 for the first quarter after theprevious period’s 176 percent advance, according to forecastsfrom more than 1,500 analysts compiled by Bloomberg. Earningsare projected to climb 27 percent for all of 2010 and 20 percentnext year, the biggest two-year increase since 1994, data show.

Earnings Season

If the past is any indication, investors have reason to beconcerned as earnings season begins today with Alcoa Inc. TheS&P 500 slipped 5.6 percent starting 12 days after the New York-based company reported results that topped estimates Oct. 7. Theindex began an 8.1 percent decrease three months later after thebiggest U.S. aluminum maker missed projections. Following theclose of U.S. stock exchanges, Alcoa reported first-quarterprofit excluding items that topped the average analyst estimatewhile falling short of sales forecasts.

The S&P 500’s retreats in January and October were morethan 20 times greater than the average earnings-season loss of0.3 percent in the past decade, according to Bespoke data. Bothdeclines were erased and stocks rose to the bull market’shighest levels after more than 72 percent of profit reportsexceeded predictions. Stocks are about as likely to rise as fallduring the average earnings season, Bespoke’s data shows.

Trouble Ahead

The reaction to earnings season may be “mixed and tepid,”says Jeremy Zirin, chief equity strategist of wealth managementresearch for the Americas at UBS Financial Services Inc., whichoversees $663 billion.

“It’s already in the price, it’s already in the estimates,so the surprise factor has been greatly reduced,” said NewYork-based Zirin, whose firm cut its allocation to equities to“neutral” this month. “We’re not saying there’s going to be asignificant 10 percent-plus correction from here. We just don’tsee the same kind of drivers that have pushed markets higher inline anymore.”

The S&P 500 rose 0.2 percent to 1,196.48 at 4 p.m. in NewYork, building on its longest stretch of weekly gains in a year.The benchmark index for U.S. equities has climbed 13 percentsince Feb. 8 and is 24 percent below its record of 1,565.15 onOct. 9, 2007.

Buying Opportunity

Any losses in stocks at the start of the reporting seasonwill represent another chance to buy, says Richard Sichel, whooversees $1.4 billion as chief investment officer atPhiladelphia Trust Co. He’s bullish on technology providers suchas Santa Clara, California-based Intel Corp., the world’sbiggest semiconductor maker, and industrial companies becausedata show the economy is accelerating.

Analysts estimate Intel will report earnings of 38 cents ashare on April 13, more than triple its income in the year-earlier period. Its shares gained 4 percent on March 16, thebiggest rally since August, after the company released a newline of server chips.

U.S. gross domestic product grew at a 5.6 percent annualrate in the fourth quarter, the fastest in six years, theCommerce Department said March 26 in Washington. Serviceindustries expanded at the quickest pace in almost four years,according to an April 5 report from the Institute for SupplyManagement in Tempe, Arizona. Employers added the most jobs inthree years during March, the Labor Department said April 2.

Fundamentally Strong

“Whether companies are overbought on a technical basis, Idon’t know,” Sichel said in an interview. The S&P 500 istrading at 15.3 times the analysts’ forecast for earnings in2010, compared with the average of 22.3 since August 1982,according to data compiled by Yale University Professor RobertShiller. “We’re looking at fundamentals, and the fundamentalsare relatively strong.”

The options market shows traders preparing for losses.Implied volatility for S&P 500 puts expiring in July is 68percent higher than calls that pay off when the index rallies,according to contracts priced 10 percent above and below theindex. That’s the biggest ratio since June 5, 2008, three monthsbefore New York-based Lehman Brothers Holdings Inc. filed thebiggest bankruptcy in U.S. history.

The gap between puts and calls jumped to 59 percent on Aug.16, 2007. Two months later, the S&P 500 began a 57 percentplunge through March 2009. Bearish contracts climbed to 56percent above bullish ones on Feb. 26, 2008, preceding a 7.8percent loss in two weeks.

JPMorgan, UPS

JPMorgan Chase & Co. in New York and Atlanta-based UnitedParcel Service Inc. are among companies scheduled to reportresults this month that have the highest options-market skew,according to an April 7 report by Goldman Sachs Group Inc. Putcontracts are priced at least 25 percent above calls, datacompiled by New York-based Goldman Sachs and Bloomberg show.

Profit at JPMorgan, the second-largest U.S. bank by assets,rose to 64 cents a share last quarter, according to the averageestimate of 21 analysts surveyed by Bloomberg. The shares havegained for nine straight weeks, the longest streak since atleast 1980, climbing 20 percent to $45.98 over the period.

UPS, the world’s largest package courier, will report anincrease to 57 cents a share, according to data compiled byBloomberg. The company’s price-earnings ratio has almost doubledover nine months to 27.9, the highest level in five years.

“The volatility risk premium is very high, and it’stelling you that right now there’s definitely much more fear inthe market,” said Barclays Plc’s New York-based ManeeshDeshpande, who leads the top-ranked derivatives strategy team inInstitutional Investor magazine’s 2009 survey. He cited theratio of the Chicago Board Options Exchange Volatility Index, orVIX, to the S&P 500’s price swings in the past month.

Great Recession

“The great recession has become a defining moment and as aresult people are thinking, ‘I need to protect myself,’”Deshpande said.

More than 77 percent of the stocks in the S&P 500 jumped atleast one standard deviation above their 50-day average on April5, the highest level in a year, according to Bespoke inHarrison, New York. Greater than one standard deviation isdefined as occurring less than 32 percent of the time in astatistical model. The last three times the momentum gaugereached 75 percent or more, the S&P 500 dropped 4 percent frompeak to trough in three weeks, Bespoke’s data show.

“We think equities are OK, but we’re past the sweet spotwhere you can get real, abnormally positive returns,” saidUBS’s Zirin. “The market has benefited from extraordinarymonetary and fiscal stimulus and a very sharp reacceleration onearnings. At this stage, each of those arguments is lesscompelling or reversing.”

To contact the reporters on this story:Lynn Thomasson in New York at [e-mail];Jeff Kearns in New York at [e-mail]

Last Updated: April 12, 2010 16:36 EDT