Nick Chiu's  Instablog

Date: February 20, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

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Source: Google Finance

Economic Calendar

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Source: Briefing

Options Market Recap

The market sentiment was driven by extreme greed with Fear & Greed Index at 78, which had decreased from the previous day closing of 86. As reported by CBOE, the total put/call ratio was 1.14 for the day. The index put/call ratio was 1.18, and the equity put/call ratio was 0.72. The CBOE volatility index (VIX) put/call ratio was 0.50. The stocks with unusual call activities had been identified through our daily options scanning process, with the scanning criteria where the daily call option volume ratio was above 2.00 (2x of the average call option volume) with a call option volume above 20,000. Unusual option activities can be an indicator or precursor of a major movement for the underlying stock.

For the complete list, please visit Optionity.com

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend but the MACD difference continues to converge. RSI (14) closed at 53.37 (increased from 45.74). It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.

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SPDR S&P 500 ETF Trust (SPY)

SPY opened slightly lower and closed at $151.26 (-1.27%). The volume was 37.75M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend but the MACD Histogram decreased and closed at 0.739 (decreased from 0.861). SPY is currently trading above its 200-day MA of $118.40 and its 50-day MA of $139.59. RSI (14) decreased to 67.21 from 71.06 with decreasing buying momentum. The next resistance is $154.09 (R1), followed by $161.81 (R2).

Optionity Core-20 Options Portfolio (Credit Put Strategy)

Stock criteria:

1. Large Cap with low beta
2. Fair/Under-valued
3. Consistent, strong earnings
4. Dividend distribution
5. High liquidity, large volume
6. Good/strong economic moat

This options portfolio consists of 20 core stocks. The portfolio will employee mainly the credit put strategy with the primary objective of generating consistent cash flow. The portfolio focuses on 1) sufficient sector diversification 2) risk/reward ratio control 3) margin of safety by leveraging options.

Daily portfolio performance will be updated at Seeking Alpha Instablog and Optionity.com.

Transaction details will be updated whenever new position is opened or the existing position is closed/expired/adjusted.

Core-20 Stocks Update

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Pending transaction(s) to be setup:

For the complete list, please visit Optionity.com

Existing Position(s):

For the complete list, please visit Optionity.com

Closed Position(s):

Core 20 Positions:

GLW credit short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013) => Closed short put $12 at $0.07 on February 20, 2013. $0.16 profit (20.78% Return on Margin, 13 days, including non-trading days). $11 put position remains open.

Other Options Positions:

N/A

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