Optionity Daily Report 02/05/2013

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 85, which had increased from the previous close of 81. As reported by CBOE, the total put/call ratio was 0.95 for the day. The index put/call ratio was 0.98, and the equity put/call ratio was 0.59. The CBOE volatility index (VIX) put/call ratio was 0.31. 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 Events
APC 24,840 11,915 2.08 Earnings
FSLR 29,327 12,889 2.28
PBR 22,755 9,920 2.29 Earnings
WMT 11,035 4,739 2.33
BIDU 63,225 26,984 2.34 Earnings
KORS 25,735 10,303 2.50
GILD 13,555 4,828 2.81 Earnings
DAL 16,711 5,884 2.84
SD 30,107 9,665 3.12 Downgrade
VVUS 19,255 6,110 3.15
IBM 65,534 19,036 3.44 Ex-dividend
GLW 26,703 7,750 3.45
ZNGA 70,345 19,207 3.66 Earnings
DIS 18,909 4,789 3.95 Earnings
S 42,318 9,918 4.27 Earnings Coming
MRK 52,931 12,142 4.36
YUM 34,580 7,781 4.44 Earnings
CMG 26,282 5,839 4.50 Earnings
BBT 11,174 2,115 5.28 Upgrade
EA 35,970 6,783 5.30 Game Launch
ACI 31,759 5,781 5.49 Earnings
EXPE 56,273 9,461 5.95 Earnings Coming
WFT 56,273 9,461 5.95
RL 15,258 2,278 6.70 Earnings Coming
ECA 14,864 1,851 8.03
AEP 38,026 2,517 15.11 Ex-dividend

Source: Schaeffer’s Research

Market Volatility and Analysis

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend and the MACD difference diverged. RSI (14) is picking up at 46.20. It could signal a market reversal if the MACD difference starts to converge.

 

SPY
SPY opened higher and close higher with 1.04% loss, almost erasing Monday’s loss. The volume was 26.12M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased slightly and closed at 0.826 (increased from 0.729). SPY is currently trading above its 200-day MA of $117.68 and its 50-day MA of $138.89. RSI (14) decreased to 67.93 from 64.02 with increasing 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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