Optionity Daily Report 02/04/2013

Date: February 4, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

Source: Google Finance

Economic Calendar

Source: Briefing

Options Market Recap

The market sentiment was driven by extreme greed with Fear & Greed Index at 81, which had decreased from the previous close of 88. As reported by CBOE, the total put/call ratio was 1.10 for the day. The index put/call ratio was 1.42, and the equity put/call ratio was 0.69. The CBOE volatility index (VIX) put/call ratio was 0.80. The top bullish stocks had been identified through our daily options scanning process, with the scanning criteria where the daily call option volume ratio was above 2.00 (2x of the average call option volume) with a call option volume above 10,000. Unusual option activities can be an indicator or precursor of a major movement for the underlying stock.

Symbol Call Option Volume Average Call Option Volume Daily Volume Ratio
INTC 152,731 71,927 2.12
BIDU 57,244 24,582 2.33
DIS 10,066 4,313 2.33
DGIT 11,508 4,276 2.69
LVS 83,555 25,981 3.22
GILD 16,393 4,453 3.68
YUM 25,019 6,367 3.93
APKT 11,568 2,888 4.01
MMR 16,164 2,680 6.03
LINE 12,222 1,894 6.45
ALL 24,503 3,155 7.77
DLPH 10,160 758 13.40
EXPD 10,851 669 16.22

Source: Schaeffer’s Research

Market Volatility and Analysis

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend but the MACD difference converged. RSI (14) is picking up. It could signal a market reversal if the MACD becomes bullish.

SPY opened lower and closed lower with 1.16% loss. The volume was 30.70M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend but the MACD difference diverged and closed at 0.729 (decreased from 0.811). SPY is currently trading above its 200-day MA of $117.68 and its 50-day MA of $138.86. RSI (14) decreased to 64.02 from 68.46 with decreasing buying momentum. The next resistance is $154.09 (R1), followed by $161.81 (R2).

Optionity Core-20 Options Portfolio (Credit Put Strategy)

Stock criteria:

  1. Large Cap with low beta
  2. Fair/Under-valued
  3. Consistent, strong earnings
  4. Dividend distribution
  5. High liquidity, large volume
  6. Good/strong economic moat

This options portfolio consists of 20 core stocks. The portfolio will employee mainly the credit put strategy with the primary objective of generating consistent cash flow. The portfolio focuses on 1) sufficient sector diversification 2) risk/reward ratio control 3) margin of safety by leveraging options.

Daily portfolio performance will be updated at Seeking Alpha Instablog and Optionity.com.

Transaction details will be updated whenever new position is opened or the existing position is closed/expired/adjusted.

Pending transaction(s) to be setup:

Credit short put GE May 20, 2013 $20/$21 put
Credit short put INTC Mar. 16, 2013 $19/20 put

Core-20 Stocks Update

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