SPCE Trade on Jul 12, 2021 15:43 from Marius: Tradervue User Stock Trades.

First week of 2Q earnings with banks reporting. Some broad market selling price action seen in the ticks and across risk-on assets and some bids in risk-off assets. Corporate news and sentiment pivot set-ups for binary catalyst still providing pockets of opportunity. Big picture, markets have seen to be pricing in peak reflation + inflation data as more economic reports roll out and now further pricing in as monetary policies are reviewed and with corporate earnings.

Fundamentals In Play Analysis

Virgin Galactic had a successful fully crewed spaceflight over the weekend. This event was known and expected with strong bids leading into it. The company also announced a 500M shelf offering of common stock at the opening. The company was trading at a valuation Price/Book ratio of 23.2x LTM. Earnings is scheduled for August 5th of next month.

Quantitative Analysis

Intraday Fundamentals

RVOL 4.02
AVOL 34.11M
ATR 4.98
Short Float 20.26%
Shs Float 169.44M
Inst Own 26%
Market Cap 12.68B

Options Statistics + Tape Reading + Order Flow + Dark Pool Levels

SI 2.065
IV 138.48%
IVP 56%
P/C 0.557
VWAP 43.774

Elevated options order flow with weight on B/BB calls + A/AA puts confirming the strong price momentum.

Unusual options activity 50k+ with mixed analysis but noting the large put order.

Order flow 100k+ weeklies with notable put order confirming momentum + statistical order flow while providing more specific details and conviction.

Notable dark pool level of 83.04M / 1.7M shares since June 7th rally at 46.31 which was aggressively flushed through by the sellers.

Options Positioning

OI 11653/14122
VOL 14952/14946
Delta .04/.02
Theta -.10/-.07
Vega .00/.00
Gamma 0.1/.01
Prob T 5.02%/2.22%
Prob ITM 2.38%/1.05%
MMM +/- 6.115
IV Series 165.18%

Stepping up my delta in my trades but in-line with new updated risk parameters of around notable supply/demand levels + 3 ATR's. This will be highly discretionary but new risk management + profit targets in progress. Sizing was still very conservative due to the new parameters. Need to forward test the system and get a feel of the updated trades before pressing and leaning into size but I can see the next steps to improvement.

Technical Analysis

Notable HTF breakdown of support with elevated RVOL on the BID + decreasing IV implying a more sustained move. Close at the LOD.

Double top with back side short at 53. Pivot high AVWAP's noted + supply VPOC above and below trading area.

Trade Risk + Position + Size + Allocation Management & Review

(A+) setup being added into the playbook as "classic sell the news". Execution was adequate with risk managed in high liquidity + supply levels. This will be a trade to size into with similar parameters in the future. Capital allocation to the trade was less the 1% so there is plenty of room here. Not going to be too hard on the size grading as this is a new parameter execution in progress. Executing the trade and defining the variables for scaling was part of the main idea for the trade.