Date: March 4, 2013
Daily Market Statistics
Source: Barrons
S&P 500 5-Day Daily Chart
Source: Google Finance
Economic Calendar
Source: Briefing
Options Market Recap
The market sentiment was driven by greed with Fear & Greed Index at 60, which remained the same as previous day closing of 60. As reported by CBOE, the total put/call ratio was 1.12 for the day. The index put/call ratio was 1.48, and the equity put/call ratio was 0.67. The CBOE volatility index (VIX) put/call ratio was 0.65. The stocks with unusual call activities had been identified through our daily options scanning process, with the scanning criteria where the daily call option volume ratio was above 2.00 (2x of the average call option volume) with a call option volume above 10,000. Unusual option activities can be an indicator or precursor of a major movement for the underlying stock.
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Market Volatility and Analysis
For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bullish trend now. RSI (14) is indicating a slightly bullish lean and closed at 50.76 (previous closing of 54.81). MACD Histogram is currently at 0.003. Option Equity Put/Call Ratio ($CPCE) turned bullish (bullish RSI and MACD), market is now expected to decline.
SPDR S&P 500 ETF Trust (SPY)
SPY opened lower and closed higher at $152.92 (+0.53%). The volume was 24.84M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend but the MACD Histogram decreased and closed at 0.585. SPY is currently trading above its 200-day MA of $119.09 and its 50-day MA of $140.20. RSI (14) increased to 70.44 from 69.20 with an increasing buying momentum. The next resistance is $154.09 (R1), followed by $161.81 (R2).
Optionity Core-20 Options Portfolio (Credit Put Strategy)
Stock criteria:
- Large Cap with low beta
- Fair/Under-valued
- Consistent, strong earnings
- Dividend distribution
- High liquidity, large volume
- 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
Pending transaction(s) to be setup:
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Existing Position(s):
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Closed Position(s):
Core 20 Positions:
GLW credit short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013) => Closed short put $12 at $0.07 on February 20, 2013. $0.16 profit (20.78% Return on Margin, 13 days, including non-trading days). $11 put position was sold for $0.04 on February 26, 2013, adding $0.04 to the total profit.
Other Options Positions:
N/A
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