Second week into earnings season with continued momentum from the prior week. SPY reached new highs to end the week. Busy week with more corporate reports and announcements. The first futures backed Bitcoin ETF started trading. Next couple weeks will be filled with more earnings scheduled and the technology industry reporting.
Fundamentals In Play Analysis
Bloomberg reported that PayPal Holdings Inc was exploring the purchase of social media firm Pinterest. The M&A deal would be potential price of 70/share which would value Pinterest at ~39B. There is uncertainty of the fundamental effect on PayPal because Pinterest is a social media company while the former is in the financial technology industry. Pinterest is within the communications industry sector and aggressive bids were seen after the report.
Quantitative Analysis
Intraday Fundamentals
RVOL 6.60
AVOL 6.40M
ATR 8.10
Beta 1.20
VIX 15.01
Volatility 3.94% 2.89%
Short Float 0.98%
Shs Float 1.17B
Inst Own 82.50%
Market Cap 283.76B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 3.911
IV 41.10%
IVP 40%
P/C 0.428
VWAP 246.834
Options Positioning
OI 1927 550
VOL 953 124
Delta .02 .00
Theta -.09 -.02
Vega .01 .00
Gamma .00 .00
Prob T 3.35% 0.49%
Prob ITM 1.66% 0.24%
MMM +/- 6.992
IV Series 52.17%
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation + Dynamic Management & Review
Trade Setup : A
Execution : B
Risk/Premium : 0.5/1
Positioning Risk | Std Dev : conservative | -3.84
Size/Allocation Risk : 15%
Dynamic Risk : No
This was a 2nd day setup and a flush of longs from day 1. There is a mis pricing within the market on the deal. Overall the market is pricing in that the deal is a mistake by the company with aggressive selling. I initially wanted to also add a long on PINS to run as a pairs trade but the latter did not fit my parameters. Seeing more aggressive selling on day 2 was notable as there was no increase buying on PINS. This may set up as a mean reversion trade where the market prices in a better value for PYPL. I should consider positioning closer to the market in these type of trades in the future by at least by a 0.5 Std dev. This is a trade to lean and press into.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-10-21 15:44:43 | 22 OCT 21 272.5 CALL | sell | $0.1000 | short |
2021-10-21 15:44:43 | 22 OCT 21 295 CALL | buy | $0.0200 | long |
2021-10-22 15:59:59 | 22 OCT 21 272.5 CALL | buy | $0.0000 | 0 |
2021-10-22 15:59:59 | 22 OCT 21 295 CALL | sell | $0.0000 | 0 |
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