Optionity Daily Report 02/11/2013

Date: February 11, 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 was the same as the previous day. As reported by CBOE, the total put/call ratio was 1.07 for the day. The index put/call ratio was 1.39, and the equity put/call ratio was 0.56. The CBOE volatility index (VIX) put/call ratio was 0.58. 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
KO 16,921 8,261 2.05 Earnings
BP 34,867 16,640 2.10 Ex-dividend
DD 11,419 5,262 2.17 Ex-dividend
AKAM 10,224 4,477 2.28
PBR 30,826 12,842 2.40
T 40,274 16,117 2.50
FSLR 40,206 14,659 2.74 Earnings 2/25
MU 45,441 14,148 3.21
ZNGA 103,031 30,967 3.33 Analyzed
WYNN 20,415 5,862 3.48 Revenue Rise
WAG 22,958 6,524 3.52 Ex-dividend
GME 13,660 3,777 3.62
TSLA 16,711 4,082 4.09 Earnings
PXD 17,540 4,225 4.15
KORS 51,298 11,939 4.30 Earnings
MBI 12,584 2,796 4.50 Earnings 02/18
MGM 38,050 7,888 4.82 Analyzed
LNKD 62,037 12,736 4.87 Analyzed
CSX 18,120 3,424 5.29
HAS 14,165 2,665 5.32
HUN 13,169 1,880 7.00 Earnings

Source: Schaeffer’s Research

For the complete list, please visit Optionity.com

Market Volatility and Analysis

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend and the MACD difference converged. RSI (14) had decreased to 44.59 from 45.09. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.

SPY had a flat day and closed with 0.02% loss. The volume was 19.76M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend but the MACD Histogram decreased slightly and closed at 0.842 (increased from 0.874). SPY is currently trading above its 200-day MA of $118.04 and its 50-day MA of $139.25. RSI (14) decreased to 69.07 from 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.

Core-20 Stocks Update

Pending transaction(s) to be setup:

Core 20 Positions:

Credit short put GE May 20, 2013 $20/$21 put (opens if GE pulls back to $21.50 range, Target $0.20)
Credit short put INTC Mar. 16, 2013 $19/20 put (Target $0.20)

Other Options Positions:

N/A

Existing Position(s):

Core 20 Positions:

N/A

Other Options Positions:

GLW short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013)

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