· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on March 31, 2023. In the style of Goofy.

Plays for Execution on March 31, 2023. In the style of Goofy.

Tickers of Interest - TL;DR

Gamma Max Cross

  • AI 04/21 27P for $1.85 or less
  • JBLU 04/21 7P for $0.25 or less
  • YPF 04/21 11P for $0.45 or less
  • GSK 04/21 35P for $0.50 or less
  • CL 04/21 75P for $1.15 or less

Delta Neutral Cross

  • EWZ 04/21 27P for $0.50 or less
  • USO 04/21 66C for $1.60 or less
  • DAL 04/21 35C for $0.80 or less
  • CVNA 04/21 8.5P for $1.05 or less
  • VFC 04/21 22P for $0.70 or less

🖍️ Trading Thesis - Why These Crayons Are Finger-Lickin’ Good

Gawrsh, folks! Let’s talk about how we can predict the tastiest crayon colors using some fancy-shmancy technical analysis and indicator-based trading. 📈🌈

You see, we’re gonna use the current option open interest to calculate some big ol’ numbers called portfolio-level greeks, like Delta and Gamma. Then we’ll simulate how these greeks change at different price points, and find the levels where the gamma is the highest and the delta is close to 0. 📊

Sometimes, the price of our crayons reacts strongly to these levels, and that’s what we’ll use to drive our trading signals. 📡

Now, the plays and target entry prices are calculated using a binomial option pricing model, which helps us figure out the expected size and duration of the reactions. Most of these plays are profitable, but the best ones benefit from the directional move and the increase in IV. 🎯

📝 Notes - Wrinkles and All

If the price has moved past the entry price, be careful! Make sure to sell half your position on a double, and freeroll the rest. I usually risk up to 1% of my total capital on trades, but if I’m less confident, I’ll allocate less and dollar cost average in. And remember, the trades are based on info up to yesterday, so new price movements might change the whole game. 🔄

❓ FAQ - ‘Cause Y’all Keep Askin’

Q: Are these plays mostly puts? Are you a gay bear? 🐻
A: Nope! It just so happens that the companies are overextended, so these trades are mean-reverting.

Q: Are you entering all these plays? 🤔
A: No siree! I’m just sharin’ more plays with a probable edge to help you apes find more gain porn. 🦍💰

Q: What if you mentioned a new play on the same ticker in the past? 🎢
A: The new play should replace the old one. Don’t chase the price, and remember that new data changes things.

Q: Where are the crayons? I only see words. 🖍️
A: Click the links above, partner!

Q: Have you back-tested this? 🧪
A: Yup! Results show a moderate Sharpe Ratio (1.76) and a 63% win rate (±7% margin of error).

Q: What’s the historical performance? 📜
A: The realized Sharpe Ratio is 1.88 with a 66% win rate. There’s a 95% chance the expected win rate will be between 62% and 77%. (Stats as of 2023-02-28) 📅

So, folks, that’s the scoop on how we can find the tastiest crayons in the box! Now go out there, do your own research, and get that gain porn! 🚀🌕

Share:
Use of HalfOnADouble's research is at your own risk. In no event should HalfOnADouble or any affiliated party be liable for any direct or indirect trading losses caused by any information in this report. You further agree to conduct your own research and due diligence, consult your own financial, legal, and tax advisors before making any investment decision concerning the transaction of any securities covered herein. You should assume that as of the publication date of any content, HalfOnADouble (possibly along with or through our members, partners, affiliates, employees, and/or consultants) along with our clients and/or investors has a position in all stocks (and/or options of the stock) covered herein, and therefore stands to realize significant gains in the event that the price of any stock covered herein moves as predicted. Following the publication of any report or letter, we intend to continue transacting in the securities covered herein, and we may be long, short, or neutral at any time hereafter regardless of our initial recommendation, conclusions, or opinions. This is not an offer to sell or a solicitation of an offer to buy any security, nor shall any security be offered or sold to any person, in any jurisdiction in which such offer would be unlawful under the securities laws of such jurisdiction. HalfOnADouble is not registered as an investment advisor in the United States or have similar registration in any other jurisdiction. To the best of our ability and belief, all information contained herein is accurate and reliable, and has been obtained from public sources we believe to be accurate and reliable, and who are not insiders or connected persons of the stock covered herein or who may otherwise owe any fiduciary duty or duty of confidentiality to the issuer. However, such information is presented "as is," without warranty of any kind - whether express or implied. HalfOnADouble makes no representation, express or implied, as to the accuracy, timeliness, or completeness of any such information or with regard to the results to be obtained from its use. All expressions of opinion are subject to change without notice, and HalfOnADouble does not undertake to update or supplement this report or any of the information contained herein.
Back to Blog