LLY Trade on Mar 15, 2021 15:48 from Marius: Tradervue User Stock Trades.

Markets opening the week flat. Same seen overnight with the overseas markets. ECB and Federal Reserve both have meetings mid-week which will update on rates, current economic conditions, and any new plan update going forward. Earnings season winding down with a few anticipated companies this week with but major economic events taking over attention.

Fundamental Analysis

LLY published its data on phase 2 drug donanemab for Alzheimer's Disease. It showed it slowed the progression of the disease by 32% in early-stage patients. There hasn't been approved drug for this in nearly two decades and the patient population effected is notable. The only other company working on a similar drug is BIIB which did not receive a great review form the FDA last November. LLY has rallied 25% since the announcement on Jan 11. Investors seem to be notably selling and taking profits into this event.

Quantitative Analysis

Intraday Fundamentals

RVOL 2.91
AVOL 4.22M
ATR 5.78
Short Float 0.66%
Shs Float 856.57M
Inst Own 83.80%
Market Cap 178.80B

Options Statistics + Tape Reading

SI 2.686
IV 38.36%
IVP 15%
P/C 0.743
VWAP 190.095

Seeing more calls traded and at the BID. Notable call write orders in the 200's in the AM session. Both confirming momentum of trade.

Options data stats/notes day prior to catalyst (n/a)

Options Positioning

OI 10908/1202
VOL 589/88
Delta .02/.01
Theta -.05/-.02
Vega .01/.00
Gamma .00/.00
Prob T 2.90%/0.86%
Prob ITM 1.43%/0.42%
MMM +/- 6.645
IV Series 38.67%

B+ grade setup here but with changing fundamentals from breaking news. Adding a feeler trade position and within my risk parameters. Putting positions on Monday requires more variables in check and process.

Options data stats/notes day prior to catalyst (n/a)

Technical Analysis

IV drop, elevated volume gap down, and more volume on BID. Gap down over 200 support. Stock shows gaps historically.

Notable sellers in control and holding below 200 S and AVWAP from initial announcement of study. Seeing heavy supply above current trading price. Next support further down if sellers resume control.

Trade/Risk Management & Review

Trade executed as planned. Sellers remained control of the price action. The markets were also weak so this also a tailwind. Overall grade as a B. I think there is opportunity in brining in the short strike closer ATM to extract more premium. This will be more observational and will keep my discretionary process in place. Will keep in mind going forward as I tend to lean on the conservative side and risk adverse especially with multi-day trades. Can possibly split order into different strikes/spread and even out risks. Trade also used a good amount of margin capital compared to the return however variables were skewed in favor of my playbook. Have to put the whole trading week/month/quarter in perspective.