Market found buyers end of last week with VIX retracing and continued to open the week. This pivoted sharply into the next trading day with rising yields + inflation, and political hold ups on the government funding to remain open, debt ceiling, and funding for the infrastructure bill. This is also ending the current quarter and starting day 1 of the new quarter on Friday. Key economic reports and the start of next quarter's corporate earnings report will be of attention going into 1H22 where bond tapering and interest rates are expected to be adjusted to rise.
Fundamentals In Play Analysis
Costco reported upside Q421 results w/ adj sales growth of 9.4% and gross earnings growth of 23%. There is strong retention + continued growth of membership. The supply chain constraints, inflation, and labor shortage also have been efficiently managed and is showing leadership among other reporting peers. Margins were effected but productivity has been seen to remain strong.
Quantitative Analysis
Intraday Fundamentals
RVOL 1.48
AVOL 1.74M
ATR 8.14
Beta 0.65
VIX 23.25
Volatility 2.16% 1.57%
Short Float 1.19%
Shs Float 441.36M
Inst Own 69.40%
Market Cap 191.43B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 0.871
IV 23.41%
IVP 33%
P/C 0.797
VWAP 450.048
Options Positioning
OI 233 342 457 298
VOL 134 110 127 268
Delta -.03 -.01 .04 .02
Theta -.12 -.06 -.19 -.11
Vega .02 .01 .03 .02
Gamma .00 .00 .00 .00
Prob T 5.62% 2.48% 7.19% 5.02%
Prob ITM 2.83% 1.25% 3.56% 1.77%
MMM +/- 9.416
IV Series 25.97%
Earnings Statistics
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation Management & Review
(A/B) setup / (A/B) execution. 1/0.5RP conservative/moderate positioning, 13% allocation. The delta neutral positioning is showing edge and in addition can be managed dynamically. In my initial entry I had more of a bias on the short side due to the market weakness but noted the earnings report and bid support. In the future I'm going to look into weighing more size on the biased end. I did this while managing the strike but I can see where I can add size as well.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-09-28 15:33:17 | 1 OCT 21 480 CALL | sell | $0.2300 | short |
2021-09-28 15:33:17 | 1 OCT 21 490 CALL | buy | $0.1200 | long |
2021-09-28 15:33:17 | 1 OCT 21 420 PUT | sell | $0.1400 | short |
2021-09-28 15:33:17 | 1 OCT 21 410 PUT | buy | $0.0700 | long |
2021-10-01 15:59:59 | 1 OCT 21 480 CALL | buy | $0.0000 | 0 |
2021-10-01 15:59:59 | 1 OCT 21 420 PUT | buy | $0.0000 | 0 |
2021-10-01 15:59:59 | 1 OCT 21 490 CALL | sell | $0.0000 | 0 |
2021-10-01 15:59:59 | 1 OCT 21 410 PUT | sell | $0.0000 | 0 |
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