Earnings season start with financials reporting. VIX decreased going into the reports with the market finding buyers and a key pivot opening into the quarter. Seasonal trends data show edge for further bid support and momentum into the EOY. Global macro overview looking to be improving with investor risk appetite seen in multiple areas of the market. There also has been a sentiment reset and shift in favor of the bid side.
Fundamentals In Play Analysis
UnitedHealth reported adjusted EPS and revenue beats. They showed a core segment revenue growth of 11% y/y to 55.9B. Operating margin improved to 4.7% form 4.1% last year. Their pharmacy segment under OptumRX also performed well and is showing continued growth at 13.9% y/y. Operating margin was also improved. They also raised Q4 guidance.
Quantitative Analysis
Intraday Fundamentals
RVOL 2.39
AVOL 2.52M
ATR 9.97
Beta 0.80
VIX 16.86
Volatility 2.08% 2.05%
Short Float 0.68%
Shs Float 937.38M
Inst Own 89.10%
Market Cap 392.72B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 3.38
IV 24.54%
IVP 23%
P/C 0.82
VWAP 423.988
Options Positioning
OI 2465 789 3355 734
VOL 447 378 731 38
Delta -.03 -.02 .03 .01
Theta -.18 -.20 -.14 .07
Vega .01 .01 .02 .01
Gamma .00 .00 .01 .00
Prob T 6.00% 4.93% 6.60% 2.12%
Prob ITM 3.02% 2.49% 3.28% 1.05%
MMM +/- 7.106
IV Series 30.70%
Earnings Statistics
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation Management & Review
(A/B) setup / (A/B) execution. 1/0.48 RP, conservative/moderate positioning, 16% allocation. I weighted the long side heavier on this trade because of the underlying fundamentals in play. My short side was more price action bias derived. Looking in to day 2+ the short side trade was appropriate for the 1DTE but the long side could of added more lots + closer market positioning. More aggressive as far as the type of trade and overall trade but conservative/moderate looking from a a review perspective long side alone.
Weekly Review
Seeing the VIX decrease to lower longer-term levels had me anticipating lower opportunities. Profit taking on the reports was met with aggressive bids in the current market with some of the trades. The overall big picture is a strong market rising tide. In line reports should be looked into as long biased. Strong reports with raised guidances can be looked to be stronger with a more aggressive position. Early profit taking price action with follow through was limited for this week. This will be dependent on reports as if there are notable fundamental issues which will carry more weight on the offers.
I'm reviewing this a week after and this would have added more insight to the current forward week as I had been placing similar delta active trades where I incurred a slight drawdown. This may be a theme into the earnings season going forward. Look for strong underlying fundamental reports with profit taking and see if it is met with strong bids and a reversal. Reserve the short side bias initially but keep in mind the market momentum.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-10-14 15:47:43 | 15 OCT 21 390 PUT | sell | $0.1900 | short |
2021-10-14 15:47:43 | 15 OCT 21 375 PUT | buy | $0.1100 | long |
2021-10-14 15:48:31 | 15 OCT 21 390 PUT | sell | $0.1900 | short |
2021-10-14 15:48:31 | 15 OCT 21 375 PUT | buy | $0.1100 | long |
2021-10-14 15:51:36 | 15 OCT 21 440 CALL | sell | $0.1300 | short |
2021-10-14 15:51:36 | 15 OCT 21 460 CALL | buy | $0.0600 | long |
2021-10-15 15:59:59 | 15 OCT 21 440 CALL | buy | $0.0000 | 0 |
2021-10-15 15:59:59 | 15 OCT 21 390 PUT | buy | $0.0000 | 0 |
2021-10-15 15:59:59 | 15 OCT 21 460 CALL | sell | $0.0000 | 0 |
2021-10-15 15:59:59 | 15 OCT 21 375 PUT | sell | $0.0000 | 0 |
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