· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on March 27, 2023. In the style of Hermione Granger.

Plays for Execution on March 27, 2023. In the style of Hermione Granger.

Tickers of Interest - TL;DR

Gamma Max Cross

  • AAPL 04/21 160P for $3.85 or less
  • GDX 04/21 31.5P for $0.95 or less
  • GOLD 04/21 18.5P for $0.70 or less
  • PG 04/21 146P for $2.85 or less
  • TTD 04/21 60P for $3.05 or less

Delta Neutral Cross

  • RIVN 04/21 13.5P for $1.00 or less
  • COIN 04/21 68C for $7.25 or less
  • FCX 04/21 38P for $1.75 or less
  • CMCSA 04/21 37.5P for $0.35 or less
  • XPEV 04/21 9P for $0.45 or less

Trading Thesis - Why These Crayons Have That Magical Flavor ✨

Muggles dabble in technical analysis and indicator-based trading, using past price performances to predict today’s crucial price levels, much like wandering the halls of Hogwarts without a Marauder’s Map.

This bewitching analysis is concocted with the essence of the current option open interest. We then stir in portfolio-level greeks (Delta and Gamma, not to be confused with Dobby and Grawp!). With this enchanting potion brewing, we can now simulate the change in greeks at various price points, revealing the most magical price levels.

Some tickers might have their prices swerve like a nimble Snitch, reacting vigorously to delta neutral, gamma max, or even both. These (almost) time-turner-like reactions from the past are what drive our trading signals.

The plays and target entry prices are calculated using a supernatural binomial option pricing model, displaying the expected size and duration of the reaction from gamma max or delta neutral. Many of these tricks are fruitful with underlying stock moves, while the best plays benefit from both the directional move and the increased IV.

Notes - Hermione’s Secret Grimoire 📚

  • If the price apparates past the entry price, be cautious. Time has advanced, and changes may have occurred.
  • Upon doubling your position, consider selling half as if it’s a well-timed Accio! charm, leaving the rest to exit at your discretion.
  • I typically risk 1% of my capital on trades I take. If I’m feeling like a cautious Hermione, I’ll allocate 0.5% or even 0.25% of my capital and gently use Hermione’s infamous Time-Turner to dollar cost average in.
  • These trades were calculated pre-market open, based on information from the Restricted Section. Keep this in mind and seek fresher insights from The Daily Prophet.

FAQ - The Leviosa of Curiosities 🧙‍♀️

  • Are most of these plays puts? Are you a dementor of the bear variety?
    • Not at all! It just so happens that these companies have had a recent run-up mimicking a game of exploding snap! These trades readjust the balance like a time-tested countercharm.
  • Are you engaging in all these magical plays?
    • No, I simply offered spells from my book of mystical trades to lead fellow wizards to the Gringotts vaults. Use your Divination skills to find the right play!
  • What if there’s a new spell for the same ticker from the past?
    • The old spell fizzled—embrace the new one. Yesterday’s enchantment doesn’t account for today’s revelations.
  • Do these charms include actual crayons or just words?
    • Seek the magic within the links above.
  • Have these spells been tested in the Chamber of Secrets?
    • Yes, with a moderate Sharpe Ratio (1.76) and an expected win rate of 63% of trades (7% margin of error).
  • How well do these potions fare in the Hogwarts history books?
    • The realized Sharpe Ratio is 1.88 with a 66% win rate. Based on the trade performance, there’s a 95% chance the expected win rate will be between 62% and 77% (Stats as of 2023-02-28). Just ask Professor Trelawney!
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