· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on April 13, 2023. In the style of Cookie Monster.

Plays for Execution on April 13, 2023. In the style of Cookie Monster.

Tickers of Interest - TL;DR

Gamma Max Cross

  • WM 05/19 165P for $3.25 or less
  • CRSR 05/19 17.5P for $0.80 or less
  • BMO 05/19 90P for $2.40 or less

Delta Neutral Cross

  • AMZN 05/19 100C for $3.85 or less
  • SNAP 05/19 11C for $0.85 or less
  • MU 05/19 60P for $1.85 or less
  • ROKU 05/19 65C for $4.35 or less
  • AMAT 05/19 115C for $4.85 or less

Trading Thesis - Why These Crayons Yummier 🖍️🍪

Me in Cookie Monster mode, here to tell you why these crayons taste better! 🍪🍪

Technical analysis and indicator-based trading like cookie recipe, use past yumminess to predict future deliciousness. 📈🍪

This analysis based on current option open interest. It calculates portfolio-level greeks, like Delta and Gamma. Once we got those greeks, we can simulate changes at different price points. Then, we find price levels where portfolio-level gamma is highest and delta close to 0. 🎯

For some tickers, underlying price reacts strongly off delta neutral, gamma max, or both, like Cookie Monster to cookies. 🍪💥

We use past reactions to drive trading signals, like cookie cravings drive cookie consumption. 🚦🍪

Plays and target entry prices calculated using binomial option pricing model, reflecting expected size and duration of reaction from gamma max or delta neutral. Many plays profitable by underlying moves in stock. Best plays benefit from directional move and increase in IV. 🎲📊

Notes - New Wrinkles for Your Cookie Brain 🧠🍪

  • If price moved past entry price, be careful. Something changed between play generation and market open. 🚧
  • Sell half position on double, and freeroll rest to exit at your discretion. 🎰
  • Me risk up to 1% of total capital on trades. If conviction lower, me allocate 0.5% or 0.25% and dollar cost average in. 💸
  • Trades calculated before market open, based on info up to yesterday. Keep in mind when entering after the fact. New price movement may invalidate original thesis. 🔄

FAQ - Because Others Already Asked 🗣️🍪

  • Mostly puts. Are you a gay bear? 🐻
    • No. Companies had recent run-up, maybe overextended. Trades mostly mean-reversion toward or away from important price level. 🔁
  • Are you entering all these plays? 🎮
    • No. Me opened up bag of tools wider to point out more plays with probable edge, to help apes find more gain porn. Pick ones you like, and get that gain porn. 🦍💰
  • Mentioned new play on same ticker in past. What does that mean? 🔄
    • New play replaces old play. Old play likely invalid, don’t chase price. New play reflects new day’s data. 📅
  • Where are crayons? Me only see words. 🖍️
    • Click links above. 🔗
  • Have you back-tested this? 🧪
    • Yes. Results show moderate Sharpe Ratio (1.76), with expected win rate of 63% of trades (7% margin of error) 📊
  • What is historical performance? 📜
    • Realized Sharpe Ratio is 1.85 with 68% win rate. Based on trade performance, 95% chance expected win rate between 63% and 75%. (Stats as of 2023-03-31) 📈🍪
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