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
Nike reported revenue growth of 15.6% y/y at 12.25B and was short of expectations due to supply chain issues. Upside consensus EPS beats was reported but not as robust as prior quarters. There has been notable factory closures and guidance for Q2 and FY22 was lowered.
Quantitative Analysis
Intraday Fundamentals
RVOL 1.74
AVOL 6.57M
ATR 3.57
Beta 0.87
VIX 18.76 23.25
Volatility 1.77% 1.70%
Short Float 0.93%
Shs Float 1.27B
Inst Own 83.10%
Market Cap 250.01B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 0.878 0.673
IV 26.92% 29.40%
IVP 22% 29%
P/C 0.412 0.835
VWAP 148.323 146.081
Options Positioning
OI 3752 4934 3794 5250
VOL 1591 1542 1354 358
Delta .03 .01 .02 .01
Theta -.03 -.01 -.04 -.01
Vega .01 .00 .01 .00
Gamma .01 .00 .01 .00
Prob T 4.60% 1.03% 4.01% 0.93%
Prob ITM 2.28% 0.51% 0.93% 0.46%
MMM +/- 3.39 4.042
IV Series 25.16% 34.36%
Earnings Statistics
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation Management & Review
(A) setup / (A) execution. 1/2RP, conservative positioning, 13% scaling allocation. (A) playbook trade with scaled positioning. Working on adapting this trade to control risk and size in and out when appropriate if the market indicates the parameters to do so. This is will be key into growing my trades further and adding size into trades while managing risk dynamically. Also another key to a market that is more volatility. Keeping in mind that positions will be scaled down due to volatility but can pivot to more risk on.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-09-27 15:20:49 | 1 OCT 21 160 CALL | sell | $0.0600 | short |
2021-09-27 15:20:49 | 1 OCT 21 170 CALL | buy | $0.0100 | long |
2021-09-28 15:35:19 | 1 OCT 21 160 CALL | sell | $0.0500 | short |
2021-09-28 15:35:19 | 1 OCT 21 170 CALL | buy | $0.0100 | long |
2021-10-01 15:59:59 | 1 OCT 21 160 CALL | buy | $0.0000 | 0 |
2021-10-01 15:59:59 | 1 OCT 21 170 CALL | sell | $0.0000 | 0 |
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