Optionity Daily Report 02/08/2013

Date: February 8, 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 83, which had decreased from the previous close of 84. As reported by CBOE, the total put/call ratio was 0.90 for the day. The index put/call ratio was 1.21, and the equity put/call ratio was 0.57. The CBOE volatility index (VIX) put/call ratio was 0.64. 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
AMAT 20,845 10,397 2.00 Upcoming Earnings
GOOG 81,888 40,823 2.01
LCC 33,579 14,999 2.24 Analyzed
MGM 15,144 6,696 2.26
MRVL 11,581 5,100 2.27
DNDN 17,000 6,834 2.49
SWY 17,074 6,715 2.54
CSTR 16,560 5,560 2.98 Earnings
BP 51,027 16,704 3.05
DGIT 16,146 4,933 3.27
MPEL 19,455 5,537 3.51 Earnings
ZNGA 97,517 27,030 3.61 After earnings rally
NXY 29,651 4,748 6.24 Earnings
AMGN 69,754 10,492 6.65 Ex-dividend
LNKD 101,858 12,423 8.20 Earnings
VLO 164,983 17,907 9.21 Ex-dividend
ATVI 30,548 2,925 10.44 Earnings
BYD 30,689 2,838 10.81 Hope of online gaming
LUV 12,165 1,087 11.19 52 week high, Analyzed

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) had decreased to 45.09 from 49.75. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory. Right now, the bullish sentiment in the market is still maintained.

SPY opened higher and closed higher with 0.56% gain. The volume was 23.03M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased slightly and closed at 0.874 (increased from 0.820). SPY is currently trading above its 200-day MA of $117.69 and its 50-day MA of $138.90. RSI (14) increased to 69.16 from 67.69 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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