· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on April 14, 2023. In the style of Sherlock Holmes.

Plays for Execution on April 14, 2023. In the style of Sherlock Holmes.

Tickers of Interest - TL;DR

Gamma Max Cross

  • MRK 05/19 115P for $2.45 or less
  • EPD 05/19 26P for $0.25 or less
  • PSTG 05/19 26P for $0.85 or less
  • PXD 05/19 225P for $6.50 or less
  • EWU 05/19 33.5P for $0.30 or less

Delta Neutral Cross

  • FXI 05/19 30C for $0.50 or less
  • XBI 05/19 79P for $2.50 or less
  • AR 05/19 23P for $0.95 or less
  • GS 05/19 335C for $9.75 or less
  • CAT 05/19 220P for $8.15 or less

Trading Thesis - Elementary, My Dear Watson: Why Crayon Flavors Matter 🖍🤔

Hark! Technical analysis and indicator-based alchemy 🔮 oft rely on historical prices to predict crucial values today. Behold this thesis, crafted with care, observing the present option open interest.

Through such means, we calculate those curious greeks – Delta and Gamma, mind you – for the entire portfolio. Then, simulating changes in these metrics at various price points, we unveil price levels where the all-encompassing gamma reaches its peak, and delta comes perilously close to naught.

Indeed, certain tickers show tremendous response from the fabled delta neutral, gamma max, or perchance, both. The reactions from these price points of yore propel our trading signals into the unknown 🕵️‍♂️.

Thus, our plays and entry prices materialize from the binomial option pricing model, reflecting expectations of the size and duration of the effect from gamma max or delta neutral. Many profit from shifts in the stock itself. But the crème de la crème impacts not only the direction but the increase in IV, as well 💰.

Notes - From the Memoirs of a Savvy Sleuth 📔💡

  • If Lady Fortune has carried the price past our entry points, tread carefully. Say not that we didn’t warn you; time-travel ⏳ has its limitations.
  • Sell half your position after doubling, then freeroll as you please. Decisions, decisions…
  • I tend to stake no more than 1% of my capital on these risk-laden ventures. Less conviction means less allocation.
  • Prices and calculations stem from premarket intel. Always keep recent developments in mind when investigating a trade 👀.

FAQ - The Game’s Afoot, Let’s Clarify Some Queries 🎩

  • Mostly puts? Are you a gay bear? 🐻
    • Nay! Circumstance led us to an overextended state of affairs. We’re merely seeking mean-reversion near crucial price levels.
  • Must thou partake in every venture? 🤷
    • Nought! Alas, WSB morning talks lack diversity, so we’ve broadened our horizons 🌐. Choose at your leisure, then pursue those gainful pursuits!
  • You mentioned a new play before. What gives? ✔️
    • A new play supersedes the previous one. Old plays become irrelevant; never chase that fleeting price 🏃‍♂️.
  • Where are those delectable crayons? 🖍
    • Click the links above to indulge your cravings!
  • Back-tested, is it? 📈
    • Aye! The endeavor boasts a moderate Sharpe Ratio (1.76), with a 63% win rate (plus/minus 7%), like the great detective’s cases often do.
  • What of historical performance? 📜
    • The realized Sharpe Ratio is 1.85, with a 68% win rate. Thus, with 95% certainty, one can expect a win rate between 63% and 75% (stats as of 2023-03-31). Sherlock approves! 🕵️‍♀️
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.
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