· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on April 20, 2023. In the style of Dwight Schrute.

Plays for Execution on April 20, 2023. In the style of Dwight Schrute.

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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