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Optionity Daily Report 03/20/2013

|Includes:AXP, CHL, CSCO, F, GE, INTC, KO, MDLZ, MMM, MSFT, ORCL, PEP, PFE, QCOM, SPDR S&P 500 Trust ETF (SPY), SYY, TEVA, TSM, UTX, VOD, WM

Date: March 20, 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 70, which had increased from the previous day closing of 64. As reported by CBOE, the total put/call ratio was 0.74 for the day. The index put/call ratio was 0.62, and the equity put/call ratio was 0.59. The CBOE volatility index (VIX) put/call ratio was 0.24. 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 15,000. 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

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) turned bearish again. RSI (14) is decreasing and indicating a slightly bearish lean. RSI (14) closed at 47.02 (previous closing of 53.42). MACD Histogram is currently at -0.004. If MACD and RSI both become bullish, then market is expected to decline.

SPDR S&P 500 ETF Trust (NYSEARCA:SPY)

SPY opened higher and closed higher at $155.63 (+0.66%). The volume was 28.34M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend and the MACD Histogram increased and closed at 0.744. SPY is currently trading above its 200-day MA of $119.32 and its 50-day MA of $140.37. RSI (14) increased to 74.50 from 70.79 with an increasing buying momentum, where above 70 is considered as over-bought. The next resistance is $161.10 (R2).

Optionity Core-20 Options Portfolio (Credit Put Strategy)

Stock criteria:

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

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

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

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

Core-20 Stocks Update

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 was sold for $0.04 on February 26, 2013, adding $0.04 to the total profit.

Other Options Positions:

N/A

All rights reserved © Optionity 2013

Stocks: SPY, AXP, CHL, CSCO, F, GE, INTC, KO, MDLZ, MMM, MSFT, ORCL, PEP, PFE, QCOM, SYY, TEVA, TSM, UTX, VOD, WM