Agent 6 — Options Momentum
Buys calls on upward 5-day pressure, puts on downward — synthetic Black-Scholes pricing.
- Triggers when a stock moves ≥5% in 5 days AND the close has crossed past its 20-day moving average in the same direction (momentum confirmed by trend).
- Buys ATM calls on upward pressure, ATM puts on downward. 30-day expiry. Strike rounded to nearest standard increment ($5 above $100, $1 below).
- Synthetic premium via Black-Scholes using 20-day realized volatility as IV (locked at entry to isolate the directional bet from IV regime shifts). Risk-free rate sourced from the FRED 10-year Treasury yield via the macro layer.
- Sizing: 1% NAV per position. Exits: -50% premium stop, +100% premium target, close 5 days before expiry to escape the worst of theta decay.
- Universe
- S&P 500 starter set (same as the dip buyers)
- Starting capital
- $100,000