Cheap Convexity: Low Cost Trades with Asymmetric Returns

Access cheap, defined-risk trades with nonlinear payouts and high reward to risk ratios. Optimized daily.


How Does it Work?

Every day, Helium looks through the options universe to find calls, puts, and debit spreads that best satisfy a balanced combination of:

  • High Convexity (gamma): You can think of this as optimizing for potential acceleration in the value of the option, relative to the price of the underlying asset.

  • Small Time Decay (theta): Helium tries to minimize the carrying-cost of being long options. Theta represents the daily money lost by holding an option if nothing else happens.

  • High Market Expected Value (expected value): Helium tries to maximize the expected terminal value of each position, as determined by market prices & Black-Scholes implied probabilities.

  • High Helium Expected Value (expected value): Using machine learning on historical options prices, Helium tries to maximize the expected value of each trade.

  • Helium Uncertainty > Market Uncertainty: By comparing market uncertainty to Helium uncertainty, we can seek out underlyings with potentially under-priced risk.

  • Low Price: Looking for cheap convexity means optimizing for cheaper options/spreads (less possible max loss).

  • AI Price Forecasts: Using machine learning price forecasts, Helium weights call options higher on bullish stocks (long delta) and weighs put options higher on bearish stocks (short delta).

  • Low Implied Volatility Rank: (IVR) Helium is looking for assets with lower IV (relative to yearly highs and lows) in order to take advantage of potential IV expansion from options priced relatively cheaply.

  • One Click Trade Execution: Automatic limit order algorithm to get filled at attractive prices

Trading Helium’s Cheap Convexity

To find the options, click the purple “Cheap Convexity” buttons on Long Call Forecasts, Long Put Forecasts, or Long Volatility Forecasts. For some stocks, Helium also has backtested options trading strategies

For each potential trade, Helium shows the estimated probability of success, cost, expected value (for spreads), kelly betting percent, and risk exposure graphs to delta (movement of the underlying), vega (changes in volatility), and theta (carry cost).

These trades have not been backtested, but are optimized daily to find potentially profitable returns

Example Trade & Risk Profile

Risk Metrics

Delta Risk

Vega Risk

Theta Risk

See Also: Premium Printer: Using Helium to Sell Options for selling options

*Disclaimer: Nothing on Helium Trades or our blog constitutes investment advice, performance data or any recommendation that any particular security, portfolio of securities, transaction or investment strategy is suitable for any specific person. Helium Trades is not responsible in any way for the accuracy of any model predictions, price data, or trading.Any mention of a particular security and related prediction data is not a recommendation to buy or sell that security. Investments in securities involve the risk of loss. Past performance is no guarantee of future results. Helium Trades is not responsible for any of your investment decisions. You should consult a financial expert before engaging in any transaction.