MRNA Trade on Jul 16, 2021 10:05 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

Moderna has been one of the leading Covid-19 vaccine producers is being added to the S&P 500 index replacing Alexion Pharmaceuticals effective July 21st. Benchmarked funds will have to allocate shares of MRNA either before or on the effective date. At this point there are hedge funds front running and buying up shares in anticipation to sell supply to the buyers. This was shorter-term bullish as seen when TSLA was added. There had been strong selling action seen in ALXN and AZN (acquirer of ALXN) a day prior which may have been recognized by funds as a drop off the index. I had noticed this also but could not find news related to AZN. (This could possibly be a merger/acquisition trade for a future playbook.) In turn the fund may have figured based on the news that MRNA would have been a likely replacing candidate. The strong bid and order flow prior to the announcement is noteworthy. Their was also a tier 1 analyst coverage price target upgrade. Earnings is scheduled August 5th.

Quantitative Analysis

Intraday Fundamentals

RVOL 4.36
AVOL 9.41M
ATR 13.56
Beta -
Volatility 5.30% 5.38%
Short Float 3.44%
Shs Float 362.66M
Inst Own 54.20%
Market Cap 115B

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

SI 5.451
IV 66.52%
IVP 12%
P/C 0.495
VWAP 281.405

Notable elevated order flow with B/BB puts + equal call side action. Large B puts mid session.

Day prior had orders implying news being priced in with the A/AA calls + 1k calls EOD.

OF 500k+ orders on the call side. Notable golden sweep noted with the first large sweep order. The bullish sentiment order flow continued into the EOW.

OF 100k+ orders on A/AA calls for the expiry week 1DTE. UOA AA COB block order highlighted in blue. This was executed at the closing session around the same time the 1k blocks shown on the main tape above.

Outsized call premium for the 2 days implying continuing upside momentum and possible gap-up.

DP level 257.30 with 1.5M volume at 388.9M. This is something t0 keep in mind for future trades. 55.76M sell print at 286.43.

Options Positioning

OI 2196
VOL 601
Delta .00
Theta .00
Vega .00
Gamma .00
Prob T 0.24%
Prob ITM .12%
MMM +/- 5.281
IV Series 48.99%

Single leg position with current progressive risk parameters but need to adjust for 0DTE scalp trades because of theta. Keeping in mind the levels in relation to the delta's to manage risk and gamma as expiration is closer.

Technical Analysis

Price expansion extension into ATH's with IV low.

HTF VPOC at 220 which was an original position bid for the trade. Will have to work to bring strikes closer while managing risk. Need to keep in mind the momentum and the stocks characteristics.

LTF 280 level support at around intraday VWAP. 257.30 DP level

Trade Risk + Position + Size + Allocation Management & Review

(B) setup due to the extension and semi-priced in movement. Buyers still remained in aggressive control but this is in a market that has been seeing more selling and negative breadth as of recent and into the start of 2Q. (C) execution due to possibly large improvement in intraday/ODTE trading. I can be closer to the market here but I have to manage risk with another leg and or specific and better LTF levels such as the DP level. The trade was a single leg option trade and not considered overnight due to expiration. This is partly the reason I chose a further OTM strike.

I did most of the research and planning at the previous days close after the news and did not have GTC orders due to the increased overall risk. I had my orders in place after seeing the opening session. There is more opportunity at the open but I was also managing the entry on mobile and with decreased sleep. This effects performance overall but risk are mitigated while learning and adding to the business. Size/allocation wise the stock had a 70% special margin requirement. Knowing this was a 0DTE scalp I did oversize by mistake as the model calculated the position special margin after. The position had higher probability to stay OTM and expiry EOD clearing OCC within 24 hours. My margin call was temporary and dropped. The position was margined at 125% of capital which is risk definitely not acceptable by the firm.

Weekly Trading Review

Overall a good and busy week of trading with focus on updated parameters and more screen time to allow more trades to execute when my edges show up. Next week will be a start of a more notable amount of corporate earnings. There is a starting underlying theme of strong rallies into known events. My bearish trades this week traded with more aggressive selling by the market. One bullish trade ended up finding aggressive selling almost giving back the bullish development. And the recent MRNA trade is rallying heavily into the known even next week. Keeping this mind as 2Q earnings develops with the overall market.