Optionity Daily Report 02/12/2013

Date: February 12, 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 86, which had increased from the previous day of 83. As reported by CBOE, the total put/call ratio was 0.92 for the day. The index put/call ratio was 1.05, and the equity put/call ratio was 0.61. The CBOE volatility index (VIX) put/call ratio was 0.75. 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
PBR 27,639 13,612 2.03
NTAP 15,569 6,871 2.27 Earnings
AKAM 11,224 4,900 2.29
KO 20,957 8,817 2.38 Earnings
C 103,141 43,174 2.39 Ex-dividend
GME 10,043 4,195 2.39
CLF 36,790 15,332 2.40 Earnings
MDT 12,193 5,049 2.41 Earnings on Feb 19, 2013
BAC 371,276 149,713 2.48
AVP 10,800 4,145 2.61 Earnings
BRCM 36,880 13,620 2.71 Ex-dividend
OPK 10,976 3,305 3.32
USB 13,149 3,736 3.52
KORS 51,753 14,561 3.55 Earnings
BA 53,204 14,880 3.58 Ex-dividend
S 39,234 9,754 4.02 CLWR Earnings
WAG 32,499 7.975 4.08 Ex-dividend
BP 80,737 18,826 4.29
IP 16,977 3,957 4.29 Ex-dividend
MMM 17,144 3,908 4.39 Ex-dividend
BKD 10,899 2,372 4.59 Earnings
WU 10,161 2,059 4.93 Earnings
UTX 38,071 5,394 7.06 Ex-dividend
CVX 66,477 9,195 7.23 Ex-dividend
DD 75,719 8,800 8.60 Ex-dividend
LLY 60,832 6,560 9.27 Ex-dividend
BWLD 16,501 1,631 10.12 Earnings
ZIOP 15,677 1,546 10.14 Positive Phase III result
DUK 12,534 1,064 11.78 Ex-dividend
SE 69,433 5,877 11.81 Ex-dividend
EMR 29,615 2,506 11.82 Ex-dividend
PCL 13,321 940 14.17 Ex-dividend
PBI 91,089 5,952 15.30 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 converged. RSI (14) had increased to 47.42 from 44.59. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.

SPY opened flat and closed higher with 0.15% gain. The volume was 13.56M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased slightly and closed at 0.858 (increased from 0.842). SPY is currently trading above its 200-day MA of $118.05 and its 50-day MA of $139.26. RSI (14) increased to 69.45 from 69.07 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.

Core-20 Stocks Update

Pending transaction(s) to be setup:

Core 20 Positions:

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

Other Options Positions:

Credit short put spread AKAM May 18, 2013 $30/$32 (Target $0.50)

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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