Optionity Daily Report 02/06/2013

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 87, which had increased from the previous close of 85. As reported by CBOE, the total put/call ratio was 0.97 for the day. The index put/call ratio was 1.28, and the equity put/call ratio was 0.60. The CBOE volatility index (VIX) put/call ratio was 0.87. The stocks with unusual call activities 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
FSLR 26,888 13,206 2.04 Analyst Upgrade
DDD 12,890 6,201 2.08
NFLX 78,616 37,296 2.11 Gain from No Sat Mail
PHM 11,832 5,577 2.12
XOM 38,156 16,534 2.31 Ex-dividend
VMED 10,578 4,459 2.37 Buyout $16B
LCC 41,352 15,084 2.74 Good Jan Result
GPS 11,871 3,940 3.01
V 18,045 5,924 3.05 Earnings
X 48,380 14,911 3.24 Ex-dividend
EXPE 10,112 3,061 3.30 Earnings Effect
DIS 18,044 5,449 3.31 Earnings
ANF 31,100 8,890 3.50 RL beats
FTNT 16,554 4,437 3.73
CMG 27,035 6,753 4.00 Earnings
WAG 23,968 5,508 4.35 Good Jan Sales
EA 40,901 9,225 4.43 New game release
GMCR 81,111 17,943 4.52 Earnings
EXC 16,896 3,661 4.62 Earnings
UAL 28,463 5,484 5.19
MPEL 20,149 3,853 5.23 Earnings
ZNGA 126,965 23,261 5.46 Good Earnings
MBI 12,114 2,071 5.85 Case against BoA strengthens
AKAM 17,129 2,854 6.00 Earnings
GME 14,456 2,391 6.05 Xbox will bock used games
GDP 10,766 1,708 6.30 Good Drilling Result
SU 22,015 3,344 6.58 Earnings
MHP 10,184 1,416 7.19 S&P Lawsuit
BX 209,621 15,104 13.88 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 but the MACD difference converged. RSI (14) had increased to 46.73 from 46.20. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.

SPY opened lower and closed slightly higher with 0.07% gain. The volume was 24.79M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased slightly and closed at 0.833 (increased from 0.826). SPY is currently trading above its 200-day MA of $117.69 and its 50-day MA of $138.89. RSI (14) increased to 68.23 from 67.93 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 (Target $0.19-$0.20)
Credit short put INTC Mar. 16, 2013 $19/20 put (Target $0.20)

Core-20 Stocks Update

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