Optionity Daily Report 04/22/2013

Date: April 22, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)

Source: Google Finance

Economic Calendar

(click to enlarge)Source: Briefing

Options Market Recap

The market sentiment was driven by fear with Fear & Greed Index at 42, which had increased from the previous day closing of 41. As reported by CBOE, the total put/call ratio was 1.03 for the day. The index put/call ratio was 1.14, and the equity put/call ratio was 0.66. The CBOE volatility index (VIX) put/call ratio was 0.44. 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.

(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

(click to enlarge)

Source: AVAFIN.COM

Market Volatility and Analysis

(click to enlarge)

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) continues to be bullish. RSI (14) is decreasing and indicating a slightly bearish lean. RSI (14) closed at 49.63 (previous closing of 59.28). MACD different is converging. The market is expected to decline if both MACD and RSI are bullish. Watch out for “Sell in May and Go Away” effect.(click to enlarge)

SPDR S&P 500 ETF Trust (SPY)

SPY opened slightly higher and closed higher at $156.20 (+0.46%). The volume was 29.40M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend but the MACD Histogram decreased in the last trading day and closed at 0.147. SPY is currently trading above its 200-day MA of $121.08 and its 50-day MA of $142.55. RSI (14) increased and closed at 65.60. 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

(click to enlarge)

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)

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

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013)

INTC short put $21 May 17, 2013 ($0.34 credit, established on April 17, 2013) => Closed short put $21 at $0.10 on April 22, 2013. $0.24 profit => Set up a new INTC short put $22 May 17, 2013 position ($0.30 credit, established on April 22, 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) => Acquired HL share at cost of $4.18

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)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013)

NOK credit short put spread $2.5/$3.5 May 17, 2013 ($0.37 credit, established on April 18, 2013) *High Reward/High Risk Position

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.

ORCL credit short put spread $29/$31 May 17, 2013 ($0.32 credit, established on March 21, 2013) => Closed position on April 11, 2013. $0.23 profit (13.69% Return on Margin, 21 days, including non-trading days).

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.55 credit, established on March 6, 2013) => Closed position on April 16, 2013. $0.15 profit (7.69% Return on Margin, 40 days, including non-trading days).

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.75 credit, established on March 19, 2013) => Closed position on April 16, 2013. $0.35 profit (20% Return on Margin, 27 days, including non-trading days).

CHL credit short put spread $50/$52.5 April 19, 2013 ($0.30 credit, established on February 25, 2013) => Closed short put $52.5 put at $0.05 on April 19, 2013. $0.25 profit (11.36% return on margin, 55 days, including non-trading days)

TEVA credit short put spread $35/$37.5 April 20, 2013 ($0.19 credit, established on March 7, 2013) => Closes short put $37.5 at $0.02 on April 19, 2013. $0.17 profit (7.36% return on margin, 42 days, including non-trading days)

Other Options Positions:

N/A

 

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