Markets with continued momentum into the week at just past the peak of earnings season. FED meeting added more momentum into the mid to end of the week to the upside. Markets having been moving more in the a directional term and in some areas squeezing higher. Aggressive bids in play with profit taking. Longer-term breakouts in IWM and other areas. Breadth is very strong.
Fundamentals In Play Analysis
Penn National Gaming reported Q3 0.52 EPS which showed a 44.09% decrease y/y. Revenues were inline. Operating expenses increased by 36.3% y/y due to the impact of Hurricane Ida and regional flare-ups of the Delta variant. The reported lowered margins due to this as well.
Quantitative Analysis
Intraday Fundamentals
RVOL 11.01
AVOL 4.72M
ATR 4.04
Beta 2.45
VIX 15.44
Volatility 8.89% 4.81%
Short Float 10.64%
Shs Float 153.15M
Inst Own 80%
Market Cap 9.90B
Options Statistics + Tape Reading + Order Flow + Dark Pool Levels + Flow Sentiment
SI 12.109
IV 71.97%
IVP 42%
P/C 0.575
VWAP 60.374
Options Positioning
OI 209 3535
VOL 1582 2152
Delta .06 .01
Theta -.17 -.04
Vega .00 .00
Gamma .02 .00
Prob T 8.86% 1.81%
Prob ITM 4.31% 0.588%
MMM +/- 4.381
IV Series 136.25%
Earnings Statistics
Technical Analysis
Trade Setup/Execution Grade + Risk (risk:premium) + Positioning + Size/Allocation + Dynamic Management & Review
Trade Setup : A+
Execution : B
Risk/Premium : 0.33/1
Positioning Risk | Std Dev : moderate/aggressive | +3.56
Size/Allocation Risk : 24%
Dynamic Risk : Yes
I added more risk into the trade EOD seeing the aggressive selling at VWAP. My thesis adapted seeing more news after hours regarding scandals from a parter of the company. I was not sure how much this was priced into the selling on D1. I decided to take some risk off at the open in case it reversed sharply. I did not factor in the earnings of Draft Kings the next morning.
The market overall was strong and the pre-market + opening drive warranted some risk off. I had only left 30% of the position on for the rest of the day. My thesis of price to trade lower D2 did not take place but price did range/consolidate after the open. There was added risk into the open and risk was managed responsibly.
Execution detail:
Date/time | Symbol | Side | Price | Position |
---|---|---|---|---|
2021-11-04 14:57:27 | 5 NOV 21 71 CALL | sell | $0.1500 | short |
2021-11-04 14:57:27 | 5 NOV 21 80 CALL | buy | $0.0300 | long |
2021-11-04 15:48:59 | 5 NOV 21 71 CALL | sell | $0.1300 | short |
2021-11-04 15:48:59 | 5 NOV 21 80 CALL | buy | $0.0200 | long |
2021-11-04 15:58:49 | 5 NOV 21 71 CALL | sell | $0.0800 | short |
2021-11-04 15:58:49 | 5 NOV 21 80 CALL | buy | $0.0100 | long |
2021-11-05 09:43:32 | 5 NOV 21 71 CALL | buy | $0.0500 | short |
2021-11-05 09:43:32 | 5 NOV 21 80 CALL | sell | $0.0100 | long |
2021-11-05 09:58:06 | 5 NOV 21 71 CALL | buy | $0.0400 | short |
2021-11-05 09:58:06 | 5 NOV 21 80 CALL | sell | $0.0200 | long |
2021-11-05 10:06:55 | 5 NOV 21 71 CALL | buy | $0.0400 | short |
2021-11-05 10:06:55 | 5 NOV 21 80 CALL | sell | $0.0100 | long |
2021-11-05 15:59:59 | 5 NOV 21 71 CALL | buy | $0.0000 | 0 |
2021-11-05 15:59:59 | 5 NOV 21 80 CALL | sell | $0.0000 | 0 |
You need to log into your Tradervue account to leave a comment. If you don't have one,
it takes
just a few seconds to sign up, and it's free!