Wrinkle Brain Plays

Tickers of Interest - TL;DR

Gamma Max Cross

JPM 05/19 140P for $2.05 or less
LLY 05/19 370P for $8.35 or less
DHI 05/19 105P for $1.95 or less
HIMS 05/19 10P for $0.50 or less
MAXN 05/19 30P for $1.90 or less

Delta Neutral Cross

C 05/19 49P for $1.05 or less
DIS 05/19 100C for $2.65 or less
XBI 05/19 80P for $2.05 or less
AI 05/19 22.5C for $1.45 or less
LI 05/19 24C for $0.80 or less

🎩 Trading Thesis - Why These Crayons Have a Magical Flavor ✨

Darlings, let me tell you about the mystical world of technical analysis and indicator-based trading. They’re like fortune tellers, using the past to predict the future! 🔮

Now, our magical analysis is based on the current option open interest. With that, we can calculate portfolio-level greeks—Delta and Gamma being the stars of the show. 🌟 Once we have those, we can simulate changes in greeks at different price points. This is where the real magic happens! ✨

For some tickers, the underlying price reacts strongly off of delta neutral, gamma max, or sometimes both. It’s the reaction from these price levels in the past that drives our trading signals. 📈

Now, our plays and target entry prices are calculated using a binomial option pricing model, which reflects the expected size and duration of the reaction from gamma max or delta neutral. Many of these plays are profitable by underlying moves in stock, and the best plays benefit from both the directional move and the increase in IV. 🎯

📜 Notes - A Wrinkle in Time

If the price has moved past the entry price, be cautious, my dear. Something has changed since these plays were generated. Remember to sell half your position on a double and freeroll the rest at your discretion. Risk up to 1% of your total capital on any trades you take, or less if your conviction is lower. And keep in mind that the trades were calculated before market open, so new price movement may invalidate the original thesis. 🌪️

🦉 FAQ - Wisdom from Madame Zeroni

Are these plays mostly puts? Are you a gay bear? 🐻 No, darling. These trades are primarily some form of mean-reversion either toward or away from an important price level.
Are you entering all these plays? 🎭 No, my child. Go through this curated list of plays, pick the ones you like, and get that gain porn. 🚀
What about new plays on the same ticker? 🔄 The new play should replace the old play, as the old play is likely now invalid.
Where are the crayons? 🖍️ Click the links above, sweetie.
Have you back-tested this? 🧪 Yes, with a moderate Sharpe Ratio (1.76) and an expected win rate of 63% of trades (7% margin of error).
What is the historical performance? 📚 Realized Sharpe Ratio is 1.85 with a 68% win rate. There’s a 95% chance the expected win rate will be between 63% and 75%. (Stats as of 2023-03-31) 📊

Now go forth, my darlings, and may the magic of the market be with you! 🔮✨

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