Optionity Daily Report 02/14/2013

Date: February 14, 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 was the same as the previous day. As reported by CBOE, the total put/call ratio was 0.83 for the day. The index put/call ratio was 0.75, and the equity put/call ratio was 0.62. The CBOE volatility index (VIX) put/call ratio was 0.28. 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
LCC 35,419 17,665 2.01 Merger, Analyzed
GRPN 22,699 11,287 2.01 Position added by Tiger Global Management, Analyzed
CLF 38,171 18,917 2.02 Earnings
AA 27,324 1,586 2.35
AXP 10,975 4,433 2.48 Analyzed
HPQ 50,812 20,172 2.52 Earnings Feb. 21
NVDA 31,513 12,305 2.56 Earnings
BBY 23,350 8,788 2.66 Earning Feb. 28
RIG 11,706 4,325 2.71 Earnings Feb. 24
APA 27,395 9,860 2.78 Earnings
GM 57.407 20,104 2.86 Earnings
BTU 20,269 7,057 2.87
CSCO 131,967 44,867 2.94 Earnings
STZ 53,094 17,831 2.98 Revised beer deal
CBS 21,444 7,173 2.99 Earnings
CSTR 24,420 7,879 3.10 Buy List, low PEG
ANR 43,541 13,934 3.12 Earnings
ABX 40,339 10,899 3.70 Earnings
NTAP 40,673 10,726 3.79 Earnings
MBI 13,602 3,565 3.82 Earnings Mar 1
WFM 12,389 3,144 3.94 Earnings
MPC 23,074 5,783 3.99 Ex-dividend
WFR 15,439 3,670 4.21 Earnings
GNC 11,719 2,719 4.31 Earnings
PXD 28,121 6,465 4.35 Earnings
QLIK 11,321 2,150 5.27 Earnings
WM 28,137 4,729 5.95 Earnings
MRO 27,739 4,336 6.40 Ex-dividend
TWX 17,850 2,508 7.12 Eying Time Inn. Sale
TGT 35,639 3,816 9.34 Ex-dividend
AMAT 211,049 21,648 9.75 Ex-dividend
SLB 176,261 17,544 10.05 Ex-dividend
ADM 92,698 6,238 14.86 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 continues to converge. RSI (14) closed at 47.97. 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 higher with 0.11% gain. The volume was 18.99M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased slightly and closed at 0.876 (increased from 0.867). SPY is currently trading above its 200-day MA of $118.05 and its 50-day MA of $139.26. RSI (14) increased to 69.79 from 69.61 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 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 credit short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013)

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