Commentary

9/9/20 Probable x30

The r13r21 signal xFM (2nd last entry in xFF5) is a bit negative. The decline wasn’t strong enough to take out the 21 day natural log rate of change and today the 13 day rate of change is positive. r13r21 is the third best performing strategy over the last 3 years.

x30 , the Consenso signal is quite negative as mentioned previously. A long put position could be considered at the close here if it stays at x30. I need to do more work on option selection, but think the closest expirations at or slightly OTM (out of the money) are the instruments to look at.

For one day plays, it is good to have no time value and a high gamma. Gamma is a number that measures the rate of change of the option delta or hedge ratio. Gamma seems highest ATM (at the money) where the option delta is .5. The price of the option is the maximum loss, knowing that up front is worth something.

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