Wrinkle Brain Plays

Tickers of Interest - TL;DR

Gamma Max Cross

UAL 05/19 46P for $1.45 or less
PACW 05/19 11P for $1.15 or less
STNG 05/19 55P for $1.15 or less
WAL 05/19 40P for $2.40 or less
WPM 05/19 49P for $1.45 or less

Delta Neutral Cross

XLF 05/19 33P for $0.40 or less
EWZ 05/19 28C for $0.90 or less
NIO 05/19 10C for $0.30 or less
CSCO 05/19 50C for $0.70 or less
COIN 05/19 65C for $6.50 or less

Trading Thesis - Why These Crayons are the Schrute Special 🌈

Forget beets, folks. We’re about to dive into the delicious world of crayon-based technical analysis, where the colors are as vibrant as my love for karate. 🥋

This analysis is a secret recipe, combining the finest option open interest with a pinch of portfolio-level greeks—Delta and Gamma, to be exact. It’s like a beet salad for your portfolio, minus the dirt. 🥗

Once we’ve mixed our greeks, we can simulate their change at different price points, finding those sweet spots where portfolio-level gamma is maxed out and delta is closer to 0 than Jim is to being Assistant Regional Manager. 📊

Now, some tickers react like a Schrute at a beet auction—strongly off of delta neutral, gamma max, or both. These reactions are the secret sauce that drives our trading signals.

The plays and target entry prices are calculated using a binomial option pricing model, as sophisticated as my Dwight K. Schrute, (Acting) Manager hat. 🎩 The best plays benefit from the directional move and the increase in IV, just like how I benefit from the absence of Jim’s pranks.

Notes - Wrinkling Your Brain Like a Beet Leaf 🧠

If the price has moved past the entry price, be cautious—something changed, like the time Michael tried to cook bacon in his bed. 🥓 Adjust your position accordingly, and remember, I risk up to 1% of my total capital on trades, but if my conviction is lower, I’ll allocate less and dollar cost average in.

FAQ - Because Ignorance is as Annoying as Toby 🙄

Q: Are these plays mostly puts? Are you a gay bear? A: No. These trades are like a Schrute family reunion—some form of mean-reversion toward or away from an important price level.

Q: Are you entering all these plays? A: No. I’m sharing these plays like I share my beet knowledge—generously. Pick the ones you like, and get that gain porn.

Q: You mentioned a new play on the same ticker in the past. What does that mean? A: The new play replaces the old one, like when I replaced Jim as Assistant Regional Manager. Don’t chase the price—embrace the new data.

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

Q: Have you back-tested this? A: Yes, like I’ve tested the durability of my nunchucks. Results show a moderate Sharpe Ratio (1.76) and a 63% win rate, with a 7% margin of error.

Q: What is the historical performance? A: The realized Sharpe Ratio is 1.85 with a 68% win rate. Based on the trade performance so far, there’s a 95% chance the expected win rate will be between 63% and 75%. (Stats as of 2023-03-31)

Now, go forth and trade, like a true Schrute. Remember, fortune favors the bold, and the beet farmer. 🚜

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