Markets continued momentum from the prior week with some selling mid and buying higher to end the month. Seasonal market trends favor buyers into the end of the year but will be watching closely for notable changes if the rate of buying and positive sentiment increases with more momentum. Very notable week in regards of total company earnings reports. Supply constraints were noted in multiple areas. Hyperinflation and cryptocurrency are also seen in high public relation sentiment but noteworthy fundamental and market structure developments are continuing to be observed. (ie. ETF/SEC regulations, FED updates on policies + global central banks)
Fundamentals In Play Analysis
Visa reported EPS and revenues in-line. Around the same time of reporting there was a separate report that the US DOJ was to investigate the companies relationships with other fintech firms to see if Visa's deals prevented the payments firms from using other card networks or money-movement technologies.
Quantitative Analysis
Intraday Fundamentals
RVOL 3.21
AVOL 7.13M
ATR 5.48
Beta 0.97
VIX 16.98
Volatility 2.31% 2.12%
Short Float 1.47%
Shs Float 1.82B
Inst Own 96.80%
Market Cap 456.96B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 4.411
IV 30.10%
IVP 41%
P/C 0.567
VWAP 220.192
Options Positioning
OI 2125 5707
VOL 1562 3213
Delta .05 .01
Theta -.13-.04
Vega .02 .01
Gamma .01 .00
Prob T 9.03% 2.41%
Prob ITM 4.48% 1.20%
MMM +/- 5.151
IV Series 33.99%
Earnings Statistics
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation + Dynamic Management & Review
Trade Setup : A
Execution : A
Risk/Premium : 0.4/1
Positioning Risk | Std Dev : moderate | 2.838
Size/Allocation Risk : 10%
Dynamic Risk : No
I original had acted on the earnings fundamentals and market positioning of the stock. In review I did not place enough emphasis on the DOJ investigation. It did trigger a sector sympathy offer on MA. With more weight on this variable I would have scaled closer to 15% allocation to this trade. In future trades I need to pay more attention to the main catalyst driving the trade.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-10-27 14:37:35 | 29 OCT 21 230 CALL | sell | $0.1400 | short |
2021-10-27 14:37:35 | 29 OCT 21 240 CALL | buy | $0.0500 | long |
2021-10-29 15:59:59 | 29 OCT 21 230 CALL | buy | $0.0000 | 0 |
2021-10-29 15:59:59 | 29 OCT 21 240 CALL | sell | $0.0000 | 0 |
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