Optionity Daily Report 03/11/2013

Date: March 11, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

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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 81, which had increased from the previous day closing of 80. As reported by CBOE, the total put/call ratio was 0.93 for the day. The index put/call ratio was 1.07, and the equity put/call ratio was 0.65. The CBOE volatility index (VIX) put/call ratio was 0.76. 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 20,000. 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
HD 168,111 19,351 8.69 Ex-dividend
BBRY 166,726 76,840 2.17 AT&T Launch and Buyout rumor
F 156,124 42,787 3.65 Strong China Sales
ZNGA 78,011 34,550 2.26 Yahoo buy out rumors
TJX 60,127 6,754 8.90  
EMC 56,103 15,165 3.70 EMC and VMware Host Strategic Forum
KORS 54,458 18,854 2.89 Sales slow down rumor
GNW 22,045 8,219 2.68 Housing rebound
AKAM 22,005 6,235 3.53 Reaffirmed Q1 guidance
NOV 20,287 5,833 3.48 Ex-dividend

Source: Schaeffer’s Research

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) turned positive now. RSI (14) is indicating a bearish lean and closed at 49.84 (previous closing of 48.21). MACD Histogram is currently at 0.002. If MACD and RSI both become bullish, then market is expected to decline.(click to enlarge)

SPDR S&P 500 ETF Trust (SPY)

SPY opened lower and closed higher at $156.03 (+0.38%). The volume was 21.47M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram increased and closed at 0.766. SPY is currently trading above its 200-day MA of $119.48 and its 50-day MA of $140.61. RSI (14) increased to 74.44 from 73.72 with an increasing buying momentum. The next resistance is $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

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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:

N/A

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)

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.55 credit, established on March 6, 2013)

TEVA credit short put spread $35/$37.5 April 20, 2013 ($0.19 credit, established on March 7, 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)

HL credit short put spread $3.5/$4.5 April 19, 2013 ($0.32 credit, established on March 11, 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:

N/A

 

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