Optionity Daily Report 03/15/2013

Date: March 15, 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 77, which had decreased from the previous day closing of 79. As reported by CBOE, the total put/call ratio was 0.85 for the day. The index put/call ratio was 1.13, and the equity put/call ratio was 0.56. The CBOE volatility index (VIX) put/call ratio was 0.42. 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 30,000. 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
BAC 529,581 183,604 2.88 Stress Test Result
ATVI 149,490 10,908 13.70 Ex-dividend
AGNC 110,428 9,176 12.03 Ex-dividend
JPM 103,578 35,849 2.89 Stress Test Result
PBR 53,480 15,050 3.55
WFC 52,856 19,733 2.68 Stress Test Result
CHK 51,279 17,848 2.87
MU 48,617 23,088 2.11
DTV 39,027 4,608 8.47 DTV-DISH Merger?
ORCL 35,885 11,103 3.23 Earnings Coming Mar 20, 2013

Source: Schaeffer’s Research

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) turned bearish again. RSI (14) is declining and indicating a slightly bearish lean. RSI (14) closed at 45.28 (previous closing of 49.31). MACD Histogram is currently at -0.004. 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 lower at $155.88 (-0.10%). The volume was 42.40M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend but the MACD Histogram decreased and closed at 0.794. SPY is currently trading above its 200-day MA of $118.95 and its 50-day MA of $139.99. RSI (14) decreased to 75.01 from 75.24 with a decreasing buying momentum, where above 70 is considered as over-bought. The next resistance is $161.10 (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)

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)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 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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