CRI Forecast + Trading Strategies


Bullish Case: CRI's historical price return suggests potential for mean reversion upward, with holding periods often reflecting a return to baseline. Lower market implied volatility for higher strike prices supports near-term bullish sentiment.


Bearish Case: The implied volatility surface indicates higher uncertainty for lower strike prices and shorter durations, suggesting potential downward risk. Historical data also shows frequent negative returns, particularly over shorter holding periods.


Potential Outcomes:

1) CRI rebounds to near previous highs: 55%, driven by mean reversion (historical returns).

2) Continued or increased volatility leads to further decline: 30%, inferred from implied volatility.

3) Status quo, minimal change: 15%.


Trading Oracle: Deploy a long volatility play via bull call spreads, buying $65 calls and selling $70 calls expiring in ~30 days. This leverages potential mean reversion and implied volatility patterns. Strategy has limited downside, high reward:risk, and a positive edge.


July 18, 2024










Correlated Assets

Assets that tend to move strongly with CRI



WY Forecast + Options Trading Strategies   WY  Weyerhaeuser (0.89)


BC Forecast + Options Trading Strategies   BC  Brunswick (0.87)


DLTR Forecast + Options Trading Strategies   DLTR  Dollar Tree (0.86)


ZBH Forecast + Options Trading Strategies   ZBH  Zimmer Biomet (0.85)


WGO Forecast + Options Trading Strategies   WGO  Winnebago Industries (0.85)



Uncorrelated Assets

Assets with little price relationship to CRI



HQY Forecast + Options Trading Strategies   HQY  Healthequity (-0.0)


GEO Forecast + Options Trading Strategies   GEO  Geo Group (0.0)


DB Forecast + Options Trading Strategies   DB  Deutsche (-0.0)


RTX Forecast + Options Trading Strategies   RTX  Raytheon (0.0)


NU Forecast + Options Trading Strategies   NU  Nu Holdings (-0.0)



Anticorrelated Assets

Assets that tend to move strongly against CRI



BILI Forecast + Options Trading Strategies   BILI  Bilibili (-0.63)


OHI Forecast + Options Trading Strategies   OHI  Omega Healthcare Investors (-0.64)


LNTH Forecast + Options Trading Strategies   LNTH  Lantheus (-0.66)


NVAX Forecast + Options Trading Strategies   NVAX  Novavax (-0.69)


ARLP Forecast + Options Trading Strategies   ARLP  Alliance Resource (-0.76)





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