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Optionity Daily Report 06/24/2013

|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: June 24, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

(click to enlarge)Click to enlarge

Source: Google Finance

Economic Calendar

(click to enlarge)Click to enlargeSource: Briefing

Options Market Recap

The market sentiment was driven by extreme fear where Fear & Greed Index closed at 11, which had decreased from the previous day closing of 18. As reported by CBOE, the total put/call ratio was 1.017 for the day. The index put/call ratio was 1.30, and the equity put/call ratio was 0.65. The CBOE volatility index (VIX) put/call ratio was 0.75.

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

(click to enlarge)Click to enlarge

Source: AVAFIN.COM

Market Volatility and Analysis

(click to enlarge)Click to enlarge

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is still bullish. RSI (14) has decreased and indicates a slightly bearish lean. RSI (14) closed at 49.13 (previous closing of 57.09). MACD is closing at 0.012. The market is expected to decline further if both MACD and RSI are bullish. (click to enlarge)Click to enlarge

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

SPY opened lower and closed lower at $156.99 (-1.30%). The volume was 57.11M. On weekly basis, the MACD (12, 2, 9) is bearish. The MACD Histogram decreased in the last trading day and closed at -0.677. SPY is currently trading above its 200-day MA of $123.70 and its 50-day MA of $147.63. RSI (14) decreased and closed at 53.73.

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

N/A

Source: Seeking Alpha

Existing Position(s):

Core 20 Positions:

CHL short put $50/$52.5 June 21, 2013 (at average credit of $0.7875: $0.47 credit, established on May 6, 2013; $0.35 credit, established on May 13, 2013; $0.40 credit, established on May 22, 2013; $1.93 credit, established on June 12, 2013). Bought back at $1.75 => Roll over to credit short put $47.5/$52.5 July 19, 2013 (for the credit for $3.37, rolled over on June 20, 2013)

CHL short put $50/$52.5 July 19, 2013 ($0.3 credit, established on May 21, 2013)

CHL short put $50/$52.5 July 19, 2013 ($0.95 credit, established on May 23, 2013)

ORCL short put $27/$29 July 19, 2013 ($0.31 credit, established on June 24, 2013)

Other Options Positions:

HL credit short put spread $3.5/$4.5 April 19, 2013 ($0.32 credit, established on March 11, 2013) => Acquired HL share at cost of $4.18

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)

NOK credit short put spread $2.5/$3.5 May 17, 2013 ($0.37 credit, established on April 18, 2013) *High Reward/High Risk Position => Reduced the position by 1/3, closed at $0.23 with a profit on May 3, 2013. => Closed the remaining NOK short put spread $2.5/$3.5 at $0.08 on May 7, 2013. $0.29 profit (46% return on margin, 19 days, including non-trading days)

WFM credit put spread $80.5/$83 May 17, 2013 ($0.68 credit, established on March 13, 2013) => Closed WFM short put $83 May 17, 2013 at $0.05 on May 8, 2013. $0.63 profit (34.62% return on margin, 56 days, including non-trading days)

MDLZ credit short put spread $22/$25 June 21, 2013 ($0.31 credit, established on February 15, 2013) => Closed MDLZ credit short put spread $22/$25 at $0.10 on May 20, 2013. $0.21 profit (7.80% return on margin, 35 days, including non-trading days)

ZNGA credit short put spread $2.5/$3 June 21, 2013 ($0.16 credit, established on March 25, 2013) => Closed 2/3 of the position at the cost of $0.07, with a profit of $0.09 on May 13, 2013. => Closed the remaining 1/3 of the position at the cost of $0.06, with a profit of $0.10 on May 20, 2013.

PBI credit short put spread $11/$13 June 21, 2013 ($0.375 credit, established on May 1, 2013) *Buying on Weakness => Reduced the position by 1/2, closed at $0.20 with a profit of $0.175 on May 3, 2013 => Closed the remaining 1/2 of the position at the cost of $0.10 with a profit of $0.275 on May 20, 2013

ORCL short put $30/$32 June 21, 2013 ($0.345 credit, established on May 6, 2013) => Closed ORCL credit put spread $30/$32 at the cost of $0.10 on May 20, 2013. $0.245 profit (14.80% return on margin, 14 days, including non-trading days)

CHL short put $50/$52.5 June 21, 2013 ($0.90 credit, established on May 29, 2013) => Closed CHL credit put spread $50/$52.5 at the cost of $0.65 on May 30, 2013. $0.25 profit (15.62% return on margin, 1 day)

CHKP credit short put spread $43/$45 July 20, 2013 ($0.40 credit, established on May 9, 2013) => Closed CHKP credit put spread $43/$45 at the cost of $0.15 on June 7, 2013. $0.25 profit (15.62% return on margin, 28 days, including non-trading days)

INTC short put $21 May 17, 2013 ($0.34 credit, established on April 17, 2013) => Closed short put $21 at $0.10 on April 22, 2013. $0.24 profit => Set up a new INTC short put $22 May 17, 2013 position ($0.30 credit, established on April 22, 2013) => Closed short put $22 at $0.09 on April 29, 2013. $0.21 profit => Set up a new INTC credit short put $21/$23 May 17, 2013 position ($0.24 credit, established on April 29, 2013). => Closed INTC short put $21/$23 May 17 position at $0.06 on May 7, 2013. $0.18 profit (10.23% return on margin, 8 days, including non-trading days). Setup a new credit short put spread $21/$23 June 21, 2013 ($0.19 credit, established on May 7, 2013) => INTC $21/$23 June 21, 2013 credit put spread expired worthless. $0.19 profit (10.50% return on margin, 44 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