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Optionity Daily Report 05/06/2013

|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: May 6, 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 greed with Fear & Greed Index at 73, which had decreased from the previous day closing of 74. As reported by CBOE, the total put/call ratio was 0.78 for the day. The index put/call ratio was 0.86, and the equity put/call ratio was 0.53. The CBOE volatility index (VIX) put/call ratio was 0.58. 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.

(click to enlarge)Click to enlargeSource: 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:

  1. Unusual Volume
  2. 300% spike in volume
  3. In all sectors and all industries

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Source: AVAFIN.COM

Market Volatility and Analysis

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For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is slightly bearish. RSI (14) has decreased and indicates a bearish lean. RSI (14) closed at 44.12 (previous closing of 47.47). MACD is turning bearish and closing at -0.008. The market is expected to decline if both MACD and RSI are bullish. Watch out for "Sell in May and Go Away" effect.(click to enlarge)Click to enlarge

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

SPY opened higher and closed higher at $161.78 (+0.29%). The volume was 18.25M. 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 0.450. SPY is currently trading above its 200-day MA of $121.88 and its 50-day MA of $143.94. RSI (14) increased and closed at 72.59.

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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Source: Seeking Alpha

Existing Position(s):

For the complete list, please visit Optionity.com

*New position opened

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)

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