Markets opened on selling momentum from last week with continued agenda's. More notably there was persistent elevated volatility until mid-week when the debt ceiling was addressed and extended until December 3rd to allow more time. The market strongly rallied here but mid to higher time frame price action still showing sellers in control. Earnings season starts next week with financials reporting.
Fundamentals In Play Analysis
Netflix has been showing notable relative strength in the communications services sector and overall market. This is also in sympathy play with Facebook seeing relative weakness. More notably Netflix has seen positive reaction since last earnings. Upcoming earnings on October 19th will provide more info.
Quantitative Analysis
Intraday Fundamentals
RVOL 2.77
AVOL 3.42M
ATR 18.42
Beta 0.71
VIX 21.30
Volatility 3.85% 2.81%
Short Float 2.36%
Shs Float 435.83M
Inst Own 82%
Market Cap 279.68B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 1.887
IV 39.89%
IVP 42%
P/C 0.482
VWAP 629.77
Options Positioning
OI 819 338
VOL 895 142
Delta -.02 .00
Theta -.21 -.06
Vega .03 .01
Gamma .00 .00
Prob T 4.07% 1.08%
Prob ITM 2.06% 0.55%
MMM +/- 20.223
IV Series 39.24%
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation Management & Review
(B/C) setup / (B) execution. 1/0.5RP conservative positioning, 16% allocation. Conservative execution and positioning due to overall market weakness but strong individual stock strength. Earnings in 1 week with market volatility. Additional positioning was not considered due to allocation and other trade opportunities. Keeping in mind overall portfolio positioning intra-week.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-10-05 15:24:08 | 8 OCT 21 560 PUT | sell | $0.2200 | short |
2021-10-05 15:24:08 | 8 OCT 21 530 PUT | buy | $0.0600 | long |
2021-10-05 15:39:44 | 8 OCT 21 560 PUT | sell | $0.2300 | short |
2021-10-05 15:39:44 | 8 OCT 21 530 PUT | buy | $0.0700 | long |
2021-10-08 15:59:59 | 8 OCT 21 560 PUT | buy | $0.0000 | 0 |
2021-10-08 15:59:59 | 8 OCT 21 530 PUT | sell | $0.0000 | 0 |
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