Data through close

· wrinkle brain plays · 3 min read

Wrinkle Brain Plays

Plays for Execution on April 25, 2023. In the style of a Weather Girl.

Plays for Execution on April 25, 2023. In the style of a Weather Girl.

Tickers of Interest - TL;DR

Gamma Max Cross

  • UWMC 05/19 5P for $0.10 or less
  • MLCO 05/19 13P for $0.30 or less
  • NVO 05/19 170P for $3.80 or less
  • RPD 05/19 45P for $2.25 or less
  • CLX 05/19 165P for $4.70 or less

Delta Neutral Cross

  • BABA 05/19 87C for $3.65 or less
  • KWEB 05/19 28C for $0.90 or less
  • XLI 05/19 100P for $1.25 or less
  • FCX 05/19 40C for $1.20 or less
  • COP 05/19 104C for $3.05 or less

Trading Thesis - Crayons So Delicious, You’ll Need Sunscreen 💋

Picture this, sugar: technical analysis is like predicting where lightning ⚡ will strike based on past storms. Sure, it’s flirty, but don’t get yourself burnt 🔥.

Our current options open interest is spicing things up by calculating sizzling portfolio-level greeks like Delta and Gamma 📈. From there, we’re having some fun simulating changes in greeks at different price points 🎉. We want to find those sweet spots where portfolio-level gamma is soaring and delta is playing shy (close to 0) 😉

For some tickers, the underlying price gets super passionate around delta neutral, gamma max, or both 💗. It’s the steamy past reactions off these price levels giving us the best trading signals today 🥰.

We’re serving up plays and target entry prices calculated with a binomial option pricing model, making every moment feel like a sultry candlelit dinner 🍷. Lots of these plays are profitable on the dance floor, but the best ones get extra flirty with directional moves and increased IV 💃.

Notes - The Weather Forecast’s Flirtiest Tips 💁‍♀️

  • Price moved past your entry? Hold on to your umbrella, honey, something changed behind the scenes 🌦️.
  • Sell half when you see a double rainbow 🌈, and freeroll with the rest, exiting at your leisure 😉.
  • Risk up to 1% of your capital to dance with these trades. Feeling shy? Use 0.5% or 0.25% instead, and take it slow 💕.
  • Trades started before the sun rose, so if you’re a latecomer, check for cloudy skies or new conditions ☁️.

FAQ - Sweet & Spicy Answers 🍬🌶️

  • Mostly puts? Do we bear it all? 🐻
    • Nope, just some companies partied too hard and now we’re seeking a mean-reversion to get back to the good times 🎊.
  • Are you playing too? 🎯
    • Nah, just giving you the compass to navigate through the sexiest plays out there. Find your favorite and enjoy the ride 🏄‍♀️.
  • New play on the same ticker? 🔄
    • Out with the old, in with the new, darling. Trust the freshest data to keep things exciting and up to date 🍹.
  • Where’s my crayon forecast? 🖍️
    • Click those steamy links above 😏.
  • Do the back-testing mambo? 💃
    • Yes! Moderate Sharpe Ratio (1.76), expecting a 63% win rate on trades (with a 7% margin of error) 🎲.
  • What’s our historical hotness? 🔥
    • Realized Sharpe Ratio of 1.85 with a 68% win rate. There’s a 95% chance of an expected win rate between 63% and 75% 🌅. (Stats as of 2023-03-31)
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