Monthly Archives: September 2013

Optionity Daily Report 09/27/2013

Date: September 27, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)

Source: Google Finance

Economic Calendar

(click to enlarge)

(click to enlarge)

Source: Briefing

Options Market Recap

The market sentiment was driven by fear where Fear & Greed Index closed at 33, which had decreased from the previous day closing of 39. As reported by CBOE, the total put/call ratio was 0.94 for the day. The index put/call ratio was 0.98, and the equity put/call ratio was 0.70. The CBOE volatility index (VIX) put/call ratio was 0.37.

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) is less bearish. MACD is closing at -0.011, but the MACD histogram is turning positive at 0.003. RSI (14) has increased and is now bullish. RSI (14) closed at 53.48 (previous closing of 43.55). The market is expected to decline if both MACD and RSI are bullish; now, MACD and RSI are mixed. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened lower and closed lower at $168.95 (-0.44%). The volume was 27.12M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.315. SPY is currently trading above its 200-day MA of $127.61 and its 50-day MA of $154.32. RSI (14) decreased and closed at 61.75.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/26/2013

Date: September 26, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 where Fear & Greed Index closed at 38, which had decreased from the previous day closing of 39. As reported by CBOE, the total put/call ratio was 0.70 for the day. The index put/call ratio was 0.92, and the equity put/call ratio was 0.49. The CBOE volatility index (VIX) put/call ratio was 0.30.

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) is bearish. RSI (14) has decreased and is bearish. RSI (14) closed at 43.55 (previous closing of 49.65). MACD is closing at -0.027. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened higher and closed higher at $169.69 (+0.34%). The volume was 19.59M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram increased in the last trading day and closed at -0.265. SPY is currently trading above its 200-day MA of $127.61 and its 50-day MA of $154.34. RSI (14) increased and closed at 63.41.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/25/2013

Date: September 25, 2013

Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 where Fear & Greed Index closed at 40, which had decreased from the previous day closing of 43. As reported by CBOE, the total put/call ratio was 0.96 for the day. The index put/call ratio was 1.19, and the equity put/call ratio was 0.62. The CBOE volatility index (VIX) put/call ratio was 0.46.

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) is slightly bearish. RSI (14) has increased and is still slightly bearish. RSI (14) closed at 49.65 (previous closing of 46.63). MACD is closing at -0.002. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are slightly bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened slightly higher and closed lower at $169.11 (-0.27%). The volume was 34.92M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.306. SPY is currently trading above its 200-day MA of $127.61 and its 50-day MA of $154.32. RSI (14) decreased and closed at 62.02.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/24/2013

Date: September 24, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 where Fear & Greed Index closed at 42, which had decreased from the previous day closing of 50. As reported by CBOE, the total put/call ratio was 0.87 for the day. The index put/call ratio was 1.17, and the equity put/call ratio was 0.56. The CBOE volatility index (VIX) put/call ratio was 0.74.

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) has turned bearish. RSI (14) has decreased and is now bearish. RSI (14) closed at 46.63 (previous closing of 53.48). MACD is closing at -0.022. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened lower and closed lower at $169.57 (-0.22%). The volume was 22.38M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.275. SPY is currently trading above its 200-day MA of $127.61 and its 50-day MA of $154.33. RSI (14) decreased and closed at 63.06.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/23/2013

Date: September 23, 2013

Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 neutral where Fear & Greed Index closed at 51, which had decreased from the previous day closing of 58. As reported by CBOE, the total put/call ratio was 0.99 for the day. The index put/call ratio was 1.35, and the equity put/call ratio was 0.70. The CBOE volatility index (VIX) put/call ratio was 0.55.

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) is now bullish. RSI (14) has increased and is now bullish. RSI (14) closed at 53.48 (previous closing of 48.59). MACD is closing at 0.003. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bullish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened lower and closed lower at $169.64 (-0.40%). The volume was 23.53M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram increased in the last trading day and closed at -0.249. SPY is currently trading above its 200-day MA of $127.61 and its 50-day MA of $154.34. RSI (14) decreased and closed at 63.94.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/20/2013

Date: September 20, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.Daily Market Statistics(click to enlarge)

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)

Source: Google Finance

Economic Calendar

(click to enlarge)

(click to enlarge)

Source: Briefing

Options Market Recap

The market sentiment was driven by greed where Fear & Greed Index closed at 57, which had decreased from the previous day closing of 62. As reported by CBOE, the total put/call ratio was 1.05 for the day. The index put/call ratio was 1.26, and the equity put/call ratio was 0.60. The CBOE volatility index (VIX) put/call ratio was 0.68.

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) is bearish. RSI (14) has increased and is still bearish. RSI (14) closed at 48.59 (previous closing of 47.21). MACD is closing at -0.020. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened higher and closed strongly lower at $170.62 (-0.79%). The volume was 40.64M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.323. SPY is currently trading above its 200-day MA of $127.27 and its 50-day MA of $153.74. RSI (14) decreased and closed at 65.75. $0.838 dividend was distributed for SPY today.

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:

N/A

Other Options Positions:

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

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013) => Acquired SQNM shares at cost of $2.86

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013) => Position expired with full $0.18 profit. (21.95% return on margin, 48 days, including non-trading days)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 36 days, including non-trading days)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013) => Position expired with full $0.35 profit. (21.21% return on margin, 35 days, including non-trading days)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013) => Position expired with full $0.29 profit. (25% return on margin, 35 days, including non-trading days)

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013) => Position expired with full $0.29 profit. (16.96% return on margin, 56 days, including non-trading days)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 49 days, including non-trading days)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013) => Position expired with full $0.30 profit. (17.65% return on margin, 41 days, including non-trading days)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013) => Position expired with full $0.54 profit. (27.55% return on margin, 37 days, including non-trading days)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013) => Position expired with full $0.45 profit. (21.95% return on margin, 35 days, including non-trading days)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013) => Position expired with full $0.75 credit. (60% return on margin, 29 days, including non-trading days)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013) => Position closed on Sep 20, 2013. $0.25 profit. (55.56% return on margin, 27 days, including non-trading days)

All rights reserved © Optionity 2013

Optionity Daily Report 09/19/2013

Date: September 19, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)

Source: Google Finance

Economic Calendar

(click to enlarge)

(click to enlarge)

Source: Briefing

Options Market Recap

The market sentiment was driven by greed where Fear & Greed Index closed at 63, which had increased from the previous day closing of 61. As reported by CBOE, the total put/call ratio was 0.76 for the day. The index put/call ratio was 0.78, and the equity put/call ratio was 0.57. The CBOE volatility index (VIX) put/call ratio was 0.37.

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) is bearish. RSI (14) has increased and is still bearish. RSI (14) closed at 47.21 (previous closing of 45.48). MACD is closing at -0.022. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened higher and closed lower at $172.81 (-0.19%). The volume was 31.02M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.247. SPY is currently trading above its 200-day MA of $127.89 and its 50-day MA of $154.51. RSI (14) decreased and closed at 67.06.

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:

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013)

Other Options Positions:

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

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013)

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013)

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/18/2013

Date: September 18, 2013

Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 where Fear & Greed Index closed at 57, which had increased from the previous day closing of 54. As reported by CBOE, the total put/call ratio was 0.84 for the day. The index put/call ratio was 0.91, and the equity put/call ratio was 0.53. The CBOE volatility index (VIX) put/call ratio was 0.72

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

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is bearish. RSI (14) has decreased and is still bearish. RSI (14) closed at 45.48 (previous closing of 47.21). MACD is closing at -0.025. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened nearly flat and closed strongly higher at $173.14 (+1.21%). The volume was 48.72M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram increased in the last trading day and closed at -0.229. SPY is currently trading above its 200-day MA of $127.89 and its 50-day MA of $154.52. RSI (14) increased and closed at 67.36.

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:

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013)

Other Options Positions:

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

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013)

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013)

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/17/2013

Date: September 17, 2013
Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 neutral where Fear & Greed Index closed at 54, which had increased from the previous day closing of 50. As reported by CBOE, the total put/call ratio was 0.80 for the day. The index put/call ratio was 0.88, and the equity put/call ratio was 0.57. The CBOE volatility index (VIX) put/call ratio was 0.52.

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) is bearish. RSI (14) remained the same and is still bearish. RSI (14) closed at 47.21 (previous closing of 47.21). MACD is closing at -0.022. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened higher and closed higher at $171.07 (+0.40%). The volume was 18.23M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram increased in the last trading day and closed at -0.355. SPY is currently trading above its 200-day MA of $127.88 and its 50-day MA of $154.48. RSI (14) increased and closed at 65.19.

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:

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013)

Other Options Positions:

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

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013)

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013)

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

 

All rights reserved © Optionity 2013

Optionity Daily Report 09/16/2013

Date: September 16, 2013

Optionity Daily Report offers daily market recap, providing data from leading financial websites and exchanges. Optionity’s daily options positions are also updated in the report.

Daily Market Statistics(click to enlarge)

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 neutral where Fear & Greed Index closed at 51, which had increased from the previous day closing of 48. As reported by CBOE, the total put/call ratio was 0.91 for the day. The index put/call ratio was 1.02, and the equity put/call ratio was 0.57. The CBOE volatility index (VIX) put/call ratio was 0.57.

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) is bearish. RSI (14) has decreased and is still bearish. RSI (14) closed at 47.21 (previous closing of 48.59). MACD is closing at -0.022. The market is expected to decline if both MACD and RSI are bullish; now, both MACD and RSI are bearish. 

SPDR S&P 500 ETF Trust (SPY)

(click to enlarge)

SPY opened higher and closed higher at $170.38 (+0.62%). The volume was 31.72M. On weekly basis, the MACD (12, 26, 9) is bearish. The MACD Histogram increased in the last trading day and closed at -0.404. SPY is currently trading above its 200-day MA of $127.88 and its 50-day MA of $154.46. RSI (14) increased and closed at 64.28.

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:

INTC short put $21/22 spread Sep 20, 2013 ($0.18 credit, established on Aug 2, 2013)

CHL short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 14, 2013)

CSCO short put $22/$24 spread Sep 20, 2013 ($0.35 credit, established on Aug 15, 2013)

SYY short put $31/$32 spread Sep 20, 2013 ($0.20 credit, established on Aug 15, 2013)

Other Options Positions:

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

MO short put $32/$34 spread Sep 20, 2013 ($0.29 credit, established on July 24, 2013)

JIVE short put $10/$12.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 1, 2013)

AOL short put $32/$34 spread Sep 20, 2013 ($0.30 credit, established on Aug 9, 2013)

SQNM short put $2.5/$3 spread Sep 20, 2013 ($0.14 credit, established on Aug 9, 2013)

DTV short put $57.5/$60 spread Sep 20, 2013 ($0.54 credit, established on Aug 13, 2013)

CREE short put $50/$52.5 spread Sep 20, 2013 ($0.45 credit, established on Aug 15, 2013)

LM short put $31/$33 spread Sep 20, 2013 ($0.75 credit, established on Aug 21, 2013)

JBLU short put $6/$7 spread Sep 20, 2013 ($0.55 credit, established on Aug 23, 2013)

Closed Position(s):

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) => Closed 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)

AKAM credit short put spread $30/$32 May 17, 2013 ($0.38 credit, established on February 13, 2013) => Closed AKAM short put $32 at $0.03 on April 25, 2013. $0.35 profit (21.60% return on margin, 72 days, including non-trading days)

ORCL credit short put spread $29/$31 May 17, 2013 ($0.38 credit, established on March 25, 2013) => Closed ORCL short put $31 at $0.06 on May 1, 2013. $0.32 profit (19.75% return on margin, 36 days, including non-trading days)

QCOM credit short put spread $57.5/$60 May 17, 2013 ($0.30 credit, established on April 25, 2013) => Closed QCOM short put spread $29/$31 at $0.06 on May 3, 2013. $0.24 profit (10.91% return on margin, 8 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.51 credit, established on February 14, 2013) => Closed NOV short put spread $60/$62.5 at $0.14 on May 3, 2013. $0.37 profit (18.60% return on margin, 79 days, including non-trading days)

NOV credit short put spread $60/$62.5 May 17, 2013 ($0.36 credit, established on March 19, 2013) => Closed NOV short put spread $60/$62.5 at $0.156 on May 3, 2013. $0.204 profit (9.53% return on margin, 44 days, including non-trading days)

TEVA credit short put spread $35/$37.5 May 18, 2013 ($0.32 credit, established on April 1, 2013) => Closed TEVA short put spread $35/$37.5 at $0.13 on May 3, 2013. $0.19 profit (8.72% return on margin, 32 days, including non-trading days)

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 => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

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) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013) => Expired worthless on July 19, 2013. $0.30 profit (13.63% return on margin, 58 days, including non-trading days)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013) => Expired worthless on July 19, 2013. $0.95 profit (61.29% return on margin, 56 days, including non-trading days)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013) => Expired worthless on July 19, 2013. $0.31 profit (18.34% return on margin, 25 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013) => Expired worthless on July 19, 2013. $3.37 profit. (206.7% return on margin)

GG short put $21/$23 Aug 17, 2013 ($0.27 credit, established on July 16, 2013) => Closed GG credit put spread on July 22, 2013 at the cost of $0.07. $0.20 profit. (11.56% return on margin, 6 days, including non-trading days)

BRCM short put $24/$26 spread Aug 16, 2013 ($0.31 credit, established on July 25, 2013) => Closed BRCM credit put spread on July 31, 2013 at the cost of $0.12. $0.19 profit. (11.24% return on margin, 7 days, including non-trading days)

SI short put $95/$100 spread Sep 20, 2013 ($0.85 credit, established on July 29, 2013) => Closed SI credit put spread on July 31, 2013 at the cost of $0.55. $0.30 profit (7.23% return on margin, 2 days)

MCD short put $92.5/$95 spread Aug 17, 2013 ($0.31 credit, established on July 23, 2013) => Closed MCD credit put spread on Aug 1, 2013 at the cost of $0.10. $0.21 profit (9.59% return on margin, 10 days, including non-trading days)

EXPE short put $44/$46 spread Sep 20, 2013 ($0.70 credit, established on July 31, 2013) => Closed EXPE credit put spread on Aug 6, 2013 at the cost of $0.30. $0.40 profit (30.77% return on margin, 6 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.21 credit, established on July 19, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.13 profit (7.26% return on margin, 20 days, including non-trading days)

MSFT short put $29/$31 spread Aug 17, 2013 ($0.38 credit, established on July 22, 2013) => Closed MSFT credit put spread on Aug 8, 2013 at the cost of $0.08. $0.30 profit (18.52% return on margin, 17 days, including non-trading days)

BAX short put $65/$67.5 spread Sep 20, 2013 ($0.41 credit, established on Aug 5, 2013) => Closed BAX credit put spread on Aug 9, 2013 at the cost of $0.17. $0.24 profit (11.48% return on margin, 4 days)

TEVA short put $35/$37.5 spread Sep 20, 2013 ($0.41 credit, established on July 30, 2013) => Closed TEVA credit put spread on Aug 9, 2013 at the cost of $0.15. $0.26 profit (12.44% return on margin, 11 days, including non-trading days)

ZNGA short put $2/$2.5 spread Sep 20, 2013 ($0.07 credit, established on July 26, 2013) => Closed ZNGA short put position on Aug 9, 2013 at the cost of $0.03. $0.04 profit (9.3% return on margin, 15 days, including non-trading days)

GG short put $25/$26 spread Aug 16, 2013 ($0.20 credit, established on July 26, 2013) => Closed GG short put position on Aug 12, 2013 at the cost of $0.05. $0.15 profit (18.75% return on margin, 17 days, including non-trading days)

CHL short put $50/$52.5 spread Aug 17, 2013 ($0.50 credit, established on July 24, 2013) => Closed CHL short put position on Aug 14, 2013 at the cost of $0.10. $0.40 profit (20% return on margin, 21 days, including non-trading days)

POT short put $25/$27 spread Sep 20, 2013 ($0.43 credit, established on Aug 6, 2013) => Closed POT short put position on Aug 15, 2013 at the cost of $0.21. $0.22 profit (14.01% return on margin, 9 days, including non-trading days)

CLH short put $45/$50 spread Sep 20, 2013 ($0.90 credit, established on Aug 7, 2013) => Closed CLH short put position on Aug 19, 2013 at the cost of $0.50. $0.40 profit (9.76% return on margin, 12 days, including non-trading days)

CVS short put $55/$57.5 spread Sep 20, 2013 ($0.52 credit, established on Aug 7, 2013) => Closed CVS short put position on Aug 20, 2013 at the cost of $0.41. $0.11 profit (5.56% return on margin, 13 days, including non-trading days)

EXPE short put $40/$45 spread Sep 20, 2013 ($1.02 credit, established on July 29, 2013) => Closed EXPE short put position on Aug 23, 2013 at the cost of $0.25. $0.77 profit (19.35% return on margin, 25 days, including non-trading days)

RIG short put $43/$45 spread Sep 20, 2013 ($0.34 credit, established on Aug 13, 2013) => Closed RIG short put position on Aug 23, 2013 at the cost of $0.29. $0.05 profit (3% return on margin, 10 days, including non-trading days)

CRUS short put $16/$18 spread Sep 20, 2013 ($0.30 credit, established on Aug 6, 2013) => Closed CRUS short put position on Aug 23, 2013 at the cost of $0.10. $0.20 profit (11.76% return on margin, 17 days, including non-trading days)

PSX short put $52.5/$55 spread Sep 20, 2013 ($0.60 credit, established on Aug 5, 2013) => Closed PSX short put position on Aug 29, 2013 at the cost of $0.39. $0.21 profit (11.05% return on margin, 24 days, including non-trading days)

 

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