Optionity Daily Report 03/04/2013

Date: March 4, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)

Source: Google Finance

Economic Calendar

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Source: Briefing

Options Market Recap

The market sentiment was driven by greed with Fear & Greed Index at 60, which remained the same as previous day closing of 60. As reported by CBOE, the total put/call ratio was 1.12 for the day. The index put/call ratio was 1.48, and the equity put/call ratio was 0.67. The CBOE volatility index (VIX) put/call ratio was 0.65. 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
YHOO 63,429 26,289 2.41 52-week New High
JCP 46,559 22,051 2.11 Earnings
BBY 28,871 9,670 2.99 Earnings
GFI 26,778 2,829 9.47 Ex-dividend
DECK 21,630 5,523 3.92 Earnings
CRM 18,321 6,725 2.72 Earnings
MHP 15,951 4,512 3.54 Investors Conference
MTG 14,617 2,502 5.84 Post Earnings
AMD 12,768 4,712 2.71  
DAL 11,291 4,387 2.57 Projects Profit
ATHX 11,142 634 17.57 Earnings Mar. 27
DG 10,358 1,965 5.27 Earnings Mar. 18

Source: Schaeffer’s Research

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bullish trend now. RSI (14) is indicating a slightly bullish lean and closed at 50.76 (previous closing of 54.81). MACD Histogram is currently at 0.003. Option Equity Put/Call Ratio ($CPCE) turned bullish (bullish RSI and MACD), market is now expected to decline.(click to enlarge)

SPDR S&P 500 ETF Trust (SPY)

SPY opened lower and closed higher at $152.92 (+0.53%). The volume was 24.84M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend but the MACD Histogram decreased and closed at 0.585. SPY is currently trading above its 200-day MA of $119.09 and its 50-day MA of $140.20. RSI (14) increased to 70.44 from 69.20 with an 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

(click to enlarge)

Pending transaction(s) to be setup:

Core 20 Positions:

Credit short put GE May 18, 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:


Existing Position(s):

Core 20 Positions:

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013)

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.30 credit, established on February 25, 2013)

Other Options Positions:

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)

Closed Position(s):

Core 20 Positions:

GLW credit short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013) => Closed short put $12 at $0.07 on February 20, 2013. $0.16 profit (20.78% Return on Margin, 13 days, including non-trading days). $11 put position was sold for $0.04 on February 26, 2013, adding $0.04 to the total profit.

Other Options Positions:



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