Optionity Daily Report 03/28/2013

Date: March 28, 2013
Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

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Source: Google Finance

Economic Calendar(click to enlarge)

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Source: Briefing

Options Market Recap

The market sentiment was driven by greed with Fear & Greed Index at 72, which had increased from the previous day closing of 68. As reported by CBOE, the total put/call ratio was 0.90 for the day. The index put/call ratio was 0.98, and the equity put/call ratio was 0.68. The CBOE volatility index (VIX) put/call ratio was 0.25. 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.

(click to enlarge)Source: Schaeffer’s Research

Stocks with Unusual Volume

Below is the top 10 list obtained from AVAFIN.com for options alert with the following screening criteria:

  1.  Unusual Volume
  2.  300% spike in volume
  3.  In all sectors and all industries

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Source: AVAFIN.COM

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) continues to be slightly bullish. RSI (14) is decreasing and indicating a slightly bearish lean. RSI (14) closed at 48.58 (previous closing of 51.55). 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 flat and closed higher at $156.55 (+0.25%). The volume was 26.64M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend and the MACD Histogram increased in the last trading day and closed at 0.700. SPY is currently trading above its 200-day MA of $119.68 and its 50-day MA of $140.82. RSI (14) increased and closed at 75.53. 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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Source: Seeking Alpha

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)

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.75 credit, established on March 19, 2013)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.32 credit, established on March 21, 2013)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 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)

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

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 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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