Date: April 19, 2013
Daily Market Statistics
S&P 500 5-Day Daily Chart
Source: Google Finance
Options Market Recap
The market sentiment was driven by fear with Fear & Greed Index at 42, which had increased from the previous day closing of 35. As reported by CBOE, the total put/call ratio was 1.10 for the day. The index put/call ratio was 1.14, and the equity put/call ratio was 0.85. The CBOE volatility index (VIX) put/call ratio was 0.61. 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.
Source: Schaeffer's Research
Stocks with Unusual Volume
Below is the top 10 list obtained from AVAFIN.com for options alert with the following screening criteria:
- Unusual Volume
- 300% spike in volume
- In all sectors and all industries
Market Volatility and Analysis
For Option Equity Put/Call Ratio, the MACD (12, 26, 9) continues to be bullish. RSI (14) is increasing and indicating a bullish lean. RSI (14) closed at 59.28 (previous closing of 55.01). MACD Histogram is currently at 0.021. The market is expected to decline if both MACD and RSI are bullish. Watch out for "Sell in May and Go Away" effect.
SPDR S&P 500 ETF Trust (NYSEARCA:SPY)
SPY opened slightly higher and closed higher at $155.48 (+0.87%). The volume was 37.36M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend and the MACD Histogram increased in the last trading day and closed at 0.311. SPY is currently trading above its 200-day MA of $120.72 and its 50-day MA of $142.08. RSI (14) increased and closed at 64.55. The next resistance is $161.10 (R2).
Optionity Core-20 Options Portfolio (Credit Put Strategy)
- Large Cap with low beta
- 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
Source: Seeking Alpha
For the complete list, please visit Optionity.com
Core 20 Positions:
GLW credit short put spread $11/$12 Mar. 15, 2013 ($0.23 credit, established on February 7, 2013) => Closed short put $12 at $0.07 on February 20, 2013. $0.16 profit (20.78% Return on Margin, 13 days, including non-trading days). $11 put position was sold for $0.04 on February 26, 2013, adding $0.04 to the total profit.
ORCL credit short put spread $29/$31 May 17, 2013 ($0.32 credit, established on March 21, 2013) => Closed position on April 11, 2013. $0.23 profit (13.69% Return on Margin, 21 days, including non-trading days).
CHL credit short put spread $50/$52.5 April 19, 2013 ($0.55 credit, established on March 6, 2013) => Closed position on April 16, 2013. $0.15 profit (7.69% Return on Margin, 40 days, including non-trading days).
CHL credit short put spread $50/$52.5 April 19, 2013 ($0.75 credit, established on March 19, 2013) => Closed position on April 16, 2013. $0.35 profit (20% Return on Margin, 27 days, including non-trading days).
CHL credit short put spread $50/$52.5 April 19, 2013 ($0.30 credit, established on February 25, 2013) => Closed short put $52.5 put at $0.05 on April 19, 2013. $0.25 profit (11.36% return on margin, 55 days, including non-trading days)
TEVA credit short put spread $35/$37.5 April 20, 2013 ($0.19 credit, established on March 7, 2013) => Closes short put $37.5 at $0.02 on April 19, 2013. $0.17 profit (7.36% return on margin, 42 days, including non-trading days)
Other Options Positions:
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