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Optionity Daily Report 03/27/2013

|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 27, 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 68, which had decreased from the previous day closing of 75. As reported by CBOE, the total put/call ratio was 0.92 for the day. The index put/call ratio was 0.71, and the equity put/call ratio was 0.68. The CBOE volatility index (VIX) put/call ratio was 0.31. 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.

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:

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

Source: AVAFIN.COM

Market Volatility and Analysis

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) continues to be slightly bullish. RSI (14) is increasing and indicating a slightly bullish lean. RSI (14) closed at 51.55 (previous closing of 48.58). MACD Histogram is currently at 0.006. If MACD and RSI both become bullish, then market is expected to decline.

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

SPY opened lower and closed slightly higher at $156.16 (+0.01%). The volume was 21.08M. On weekly basis, the MACD (12, 2, 9) is showing a bullish trend and the MACD Histogram did not change in the last trading day and closed at 0.669. SPY is currently trading above its 200-day MA of $119.67 and its 50-day MA of $140.81. RSI (14) stayed the same at 74.94. 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

Source: Seeking Alpha

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

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