Busiest week in current earnings season with large/mega cap companies reporting. There has been a narrow leadership trend and continued breadth deteriorations and moderate expansions in lows within the indices. There is currently not a strong rotational flow seen in the prior quarters. With the packed corporate calendar week there was also a FED meeting and more economic reports. Bonds continued to see BID support will other risk-on assets have ranged to mixed price action. It is mid-earnings season with more reports but also mid-year. Delta variant has been a concern but market is pricing in better recovery than last year's with less slow down. There has been a theme of lowered guidance starting to show up on leaders and this will be noted continuing into 2H21. However there have been raised guidances on cyclical and consumer related areas.
Fundamentals In Play Analysis
QCOM reported adjusted EPS of 1.92 beating by 0.24. Revenue increased y/y at 63.5% to 8B. It is the companies fourth straight quarter of revenue growth. There was a notable shift in tone from a cautious outlook starting the year to now being able to meet those demands. They will be also have growth tailwinds from segments including 5G, IoT devices, and now in automotive's into 2H21.
Quantitative Analysis
Intraday Fundamentals
RVOL 2.44
AVOL 7.96M
ATR 3.40
Beta 1.32
Volatility 2.5% 2.08%
Short Float 1.31%
Shs Float 1.13B
Inst Own 75.10%
Market Cap 167.45B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 3.913
IV 28.06%
IVP 10%
P/C 0.294
VWAP 149.727
Elevated OOF calls A/AA.
1.6M call A sweep opening session.
Order flow stats w/ conc. on calls ~6:1 ratio.
DP sell prints at open. MHTF DP level at ~141.
Options Positioning
OI 897 513
VOL 371 249
Delta -.03 -.01
Theta -.07 -.02
Vega .01 .00
Gamma .01 .00
Prob T 6.60% 1.91%
Prob ITM 3.33% 0.97%
MMM +/- 3.18
IV Series 38.11%
Earnings Statistics
Technical Analysis
Gap up over HTF resistance on RVOL + ASK + IV crush.
AVWAP from ATH + ER prior quarter. DP levels above MTF range. VPOC area below trading price.
Trade Risk (risk:premium) + Position + Size + Allocation Management & Review
(A+) setup w/ sector sympathy, a theme currently in play noticed in this earnings season. AMD had reported a day prior with upbeat metrics and follow through. This may be a continuing theme as SMH is showing relative strength in the market. (A) execution and management.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-07-29 15:17:50 | 30 JUL 21 141 PUT | sell | $0.0600 | short |
2021-07-29 15:17:50 | 30 JUL 21 131 PUT | buy | $0.0200 | long |
2021-07-30 16:00:00 | 30 JUL 21 141 PUT | buy | $0.0000 | 0 |
2021-07-30 16:00:00 | 30 JUL 21 131 PUT | sell | $0.0000 | 0 |
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