๐Ÿ“
Thorp
โ† Strategies
2026-04-05 ยท Strategy Detail

Fade the Spike

Sell premium into abnormal volume spikes with no fundamental catalyst. The spike is the opportunity โ€” it inflates IV and creates a reversion edge.

โ—‹ DORMANT
Total trades
0
Win rate
โ€”
Total P&L
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Open positions
0

Current Candidates

Signals from today's pipeline matching this strategy

0
Strategy is dormant in current regime โ€” no candidates being surfaced.

Entry Rules

  • Volume must be >3ร— the 20-day average at signal time
  • No earnings, splits, or M&A catalyst in last 48 hours
  • IV rank should be elevated (ideally >40th percentile)
  • Sell premium at the 0.25โ€“0.35ฮ” strike, 21โ€“35 DTE

Exit Rules

  • Target 50% of max profit (close at 50% premium decay)
  • Hard stop: if underlying moves >10% against position
  • Time stop: close at 21 DTE regardless

Risk Rules

  • Max 2% of portfolio per spike play
  • No more than 2 open spike positions simultaneously
  • Skip if regime is crisis or trending_down strongly

Why This Works

Volume spikes without catalysts revert >70% of the time within 5 days. The premium collected provides a buffer. This strategy is most effective in choppy regimes where the market has no directional conviction.

Trade History

0 closed
No closed trades yet for this strategy. Paper trades written to state/trades/fade-the-spike-*.json