Options Greeks + Technical Trade

Entry Logic

• Long entry: A stock is approaching a major strike price with high open interest. The delta of the options is changing rapidly, suggesting a gamma squeeze is possible. Enter long on a technical breakout above the strike price.
• Short entry: Not applicable.
• Confirmation: A surge in volume and a rapid increase in the stock price.
• Timeframe: 15-minute chart.
• Location: Near a major strike price.
• Market Condition: Options expiration week.

Exit Logic

• Profit Target: An open-ended target, as gamma squeezes can be explosive.
• Scaling Out: Scale out in 2R increments.
• Trailing Stop: A very loose trailing stop.
• Signal Failure: If the stock fails to break out above the strike price.
• Opposite Signal: Not applicable.
• Time Expiration: Exit by the end of options expiration.
• Momentum Loss: If the momentum of the squeeze stalls.

Stop Loss Structure

• Hard Stop: Below the low of the breakout candle.
• Soft Stop: If the stock closes back below the strike price.
• Max Dollar Loss: $400 per trade.
• Max Percent Loss: 2% of account.
• Structural Stop: Below the low of the day.

Risk Management Framework

• Risk Per Trade: 2% of account.
• Daily Limit: 1 losing trade.
• Weekly Limit: 4% drawdown.
• Max Drawdown: 10%.
• R:R Requirement: Minimum 3:1 on the first scale out.

Position Sizing Model

• Sizing Approach: Fixed fractional.
• Volatility Adjustment: Reduce size due to the high volatility.
• Conviction Sizing: Not recommended.
• Scaling In: Not recommended.
• Scaling Out: Scale out in 2R increments.

Trade Filtering

• Market Conditions: Only during options expiration week.
• Setups: A stock with a large open interest at a nearby strike price.
• Instruments: Stocks with very active options markets.
• Time Restrictions: The week of monthly options expiration.
• Chop/News Avoidance: Not a concern.

Context Framework

• Trend Direction: Not applicable.
• VWAP Relationship: Not a primary concern.
• MA Relationship: Not a primary concern.
• Range Location: The trade is based on a breakout from a range defined by the strike price.
• Higher TF Alignment: Not required.

Trade Management Rules

• Breakeven: Move stop to breakeven after the first scale out.
• Scale Out: In 2R increments.
• Add Size: Not recommended.
• Fast vs Slow Moves: This is an extremely fast-moving trade.

Time Rules

• Optimal Window: The days leading up to monthly options expiration.
• Times to Avoid: Non-expiration weeks.
• Session Notes: A specialized, event-driven trade.

Setup Classification

• A+ Setup: A massive open interest, a well-known stock, and a clear technical breakout.
• A Setup: A good open interest and a decent breakout.
• B Setup: A weak open interest or a messy breakout.
• C Setup: No clear setup.

Market Selection Criteria

• Instruments: TSLA, GME, AMC, and other meme stocks.
• Volume: Extremely high stock and options volume.
• Volatility: Extreme volatility is required.

Statistical Edge Metrics

• Win Rate: 30%.
• Avg Win: Very large (can be 10R or more).
• Avg Loss: 1R.
• Profit Factor: High (> 3.0).
• Expectancy: High.

Failure Conditions

• Market Conditions: If the market makers are able to contain the price below the strike price.
• Specific Scenarios: The gamma squeeze fails to materialize.

Psychological Rules

• Mental Discipline: Requires the ability to handle extreme volatility and risk.

Advanced Components

• Regime Detection: Not needed.
• Filters: Use an options analytics platform to identify potential gamma squeeze candidates.
• Correlation: Not a concern.
• MTF Alignment: Not required.

Location

• Strongest: In a speculative, retail-driven market.
• Weakest: In a quiet, professional market.