Chronos Square Capital

Chronos Square Capital We employ two proprietary decision tools premised on market anomalies and momentum oscillation.

The first written reference suggesting ‘there’s more than one way to skin a cat’ dates to 1840. Regardless, it’s apropos...
03/05/2026

The first written reference suggesting ‘there’s more than one way to skin a cat’ dates to 1840. Regardless, it’s apropos to trading options. How to skin a cat (make a profit) with options;
1. we immediately think of a change in option value (delta), given an increase in the underlying. And, then, there are
2. Theta positive trades, where you get paid to wait. Our preferred structure, the BuCD, is typically constructed with higher time decay (theta) in the short than in the long. Decay (theta) is negative , right? So, theta on a short (a negative long if you will) is positive, creating income. But, a less visible friend at times and foe at others is,
3. Vega, or price responses to volatility. If you ever constructed an excel Black-Scholes option pricing model, you appreciate how incredibly elegant the BSOPM is AND, the impact of the variables. Volatility is a significant factor to option values, and a migration from a lower Vega state to a higher Vega environment (read that to mean war for example), can exert an impact.

BKNG - our Booking Holdings trade on Feb 9 is a wonderful example. Price action has been quite negative since early January, depressing BKNG RSI to a flashing green light level at 21.1, well below our Oscillator’s oversold trigger. It’s flopped around since, trying to regain positive momentum.

Okay, here’s the punchline to the story, then we will summarize the trade. BKNG was at $4,235 at the opening trade and after falling further, it rebounded to $4,253 when we closed the trade. That’s a paltry increase of .4%.

Long call delta .5669
Short call delta .3564
Trade net delta .2105
BKNG increased $18, so delta (and gamma) contributed about $3.90 of the $31.10/share gain in the trade.

LC theta -1.14
SC theta -(-2.13)
Net theta = .99, so for 24 days, about $23.76.

Theta and delta/gamma accounted for roughly $27.66 or 89% of the gain. In this trade, about 11% of the gain was due to a modest increase in volatility.

BKNG
Sep $4300 x March $4500 BuCD
24 day hold with a 9.18% HPR and a 146% annROI.

Moral of this story? Theta. Benefiting from time decay, and skinning the cat.

We’ve been a bit ‘trading quiet’ the past month plus. There were two trades we did and one we thought about, but didn’t....
02/03/2026

We’ve been a bit ‘trading quiet’ the past month plus. There were two trades we did and one we thought about, but didn’t.
AAPL - we traded
??? - still marinating
SLV - silver got so far out of whack and overbought, but we had just made a substantial (largest ever) trade on AAPL, and, we wanted to stay with bullish rather than bearish trades. We passed on a very high probability put trade. When a colleague bought SLV on 1/26, we advised it had breached our upside trigger and decline was imminent. It continued to go up, until it was done and then went down. Hard. We didn’t have a horse in the race, so we just watched the tumble.

AAPL - it’s a great stock to trade AND research for so many reasons. On 1/21, AAPL RSI fell under 18, a level it’s breached only five times in AAPL history, and well below the downside trigger isolated by our momentum oscillator. Selling pressure elevated Vega (volatility) along the curve, which boosted premiums. We decided to let the price stabilize and the vol curve to contract and trend toward contango. We liked the Greeks on the 26th and voila.

The trade - Jan 27 $250 x Mar 26 $270 BuCD.

A few trade metrics - probability of a profit (according to our trading platform) = 51.91%
Breakeven AAPL Price = $250.30
Price at trade inception = $244.98
Theta (net) = $.0355
Delta (net) = .3907
Our purchase premium = $29.70
Our MOMENTUM OSCILLATOR probability = 99.84% win.

What did we like about this trade?
Decent net delta and gamma
Theta positive. In fact, had AAPL not moved, the trade theta would have yielded 3.59% on our premium on a 30-day hold, which is not bad.

What might we have preferred?
Our long call was slightly OTM. Had we been ATM, we’d have had a juicier theta, BUT, there was no $245 strike in the chain.

How did it turn out?
Holding period return (HPR) = 16.82%
Holding period = 8 (1/26 - 2/3)
annROI = 767%

Automatic Data Processing (ADP) gifted us with an interesting exercise in patience and ‘trusting the system.’ADP broke t...
12/14/2025

Automatic Data Processing (ADP) gifted us with an interesting exercise in patience and ‘trusting the system.’

ADP broke through our ANN-isolated downside trigger with a large gap down following its earnings release on October 29. The weakness continued through Halloween until finding a bottom on Nov 19.
◦ ADP beat bottom line estimates
◦ ADP beat top line estimates
◦ ADP reaffirmed 2026 estimates
◦ ADP was not overbought
So, why the tumble? Evidently, the ‘markets’ wanted more encouraging growth guidance.

And then, a number of analysts piled on, moving ADP to an ‘Underweight’ rating, a KOD (kiss of death). Translated? Sell ADP, and selling indeed ensued, dragging ADP lower and hanging over the stock like a dark cloud.

ADP closed at $257 and small change by our trade date, after a post-earnings $20+ collapse, and didn’t crawl back to that level until Nov 26.

We entered our LEAP BuCD on Nov 3 with Jan 27 $260 x Nov $265 at a $6.28 premium. Our spread was less than the premium, but the long-dated ex on the $260 gave us an uncapped return profile.

Backwardation in the volatility curve provided some juice in the short, which offset a mid-delta spread trade with a decent positive theta. Our trading platform’s analytics suggested a 53.5% profit probability, which contrasted with our model’s 99.27%.
Results?
After 23 days, delta and gamma finally kicked in and showed us a return. We continued to ride the trade til exiting on Dec 11, a 38-day hold. We had a small profit after 30 days, but it was a yawner, we liked our BuCD and felt ADP had room to run.
We notched a 25.43% HPR, for a nice 244% annROI.
The morals of this story?
1. Patience, even when it takes time.
2. Trust the system. Period.

UBSAfter hitting a peak close, momentum reversed, hard, breaching the downside trigger. Here’s the trade we entered afte...
12/11/2025

UBS
After hitting a peak close, momentum reversed, hard, breaching the downside trigger. Here’s the trade we entered after a great deal of trepidation due to a sloshy bid/ask spread, knowing that would likely impact our return and possibly our exit.
We crafted a sweet LEAP BuCD - Jan 27 $37.50 x Feb 26 $42.50, a theta positive trade with a decent delta, but with a bid/ask spread you could drive a truck through. The trading platform suggested a 53.02% probability, compared to our model at 99.72%.

The bid/ask on the long call we bought/sold was $6.85/$7.35 at exit, for a b/a spread of $.50 or, more critically, 7.0% of the mark (b/a midpoint). It was $.40 at purchase, or about 7% as well.
Contrast that with AAPL, Apple, which has a more developed and heavily traveled set of option chains. The bid/ask on a 10% ITM Jan 27 call is $53.55/$54.15, a spread of $.60 OR 1.1%.

One other dimension of options that correlates with bid/ask spread is open interest. Open interest is the total number of option contracts that are currently open, contracts that have been traded but not yet liquidated by either an offsetting trade or an exercise or assignment.

Here's a simple scenario—assume that the open interest of the UBS call option is 0. The next day a trader buys 10 UBS options contracts as a new position. Open interest for this particular call option is now 10 contracts (100 shares per).
When closing time came, open interest for our UBS call was 62, while our AAPL comparison had open interest of 9,400.
All of this said, our long was on an under or almost untraveled road, so demand and our exit took effort.

Results
We held longer than normal, just trying to get out.
45 day hold.
19.90% HPR
161% annROI.
We witnessed a sloppy bid/ask spread fluctuate between 5% and >20% as we walked our closing order down. In the end, we settled for hitting a low bid, since demand for a Jan 27 $37.50 call was zero for days, until finally some buyer jumped on that bus.

Huge moral to the story - we have historically been b/a spread cowards, shying away when the spread creeps over 1.5-2% on a LEAP. Being a coward can be okay.

Momentum is an elegant and wonderful dimension of risky assets. Demand ebbs and flows for a myriad reasons. When a name ...
12/09/2025

Momentum is an elegant and wonderful dimension of risky assets. Demand ebbs and flows for a myriad reasons. When a name like META smokes through a downside momentum trigger, it’s an ‘easy’ (but expensive) BUY.
This was our largest momentum oscillation trade by quite a margin, partially due to the $96.95 per share net premium, which equates to almost $10 large per contract.
The trade?
ITM LEAP BuCD
Jan 27 $640 x Jan 26 $675 on Nov 3. Decent delta, theta positive trade. We entered with META at $658.24 and our short call lowered our trade B/E to $617.63, which was to alluring to pass up. The trade wouldn’t go negative delta until $828.62, so we had room on the upside. The ‘expert’ trading platform suggested a 64.79% probability of profit, while our model had it at 99.958%.
Results?
35-day hold - because meta just kept running, and our long did not have much open interest and the bid/ask was a bit wobbly (more on that with our next post on UBS, which we closed on 12/8 as well).
HPR of 23.49%, and an annROI of 118%.

Oh, one more thing. The Chartists would have isolated a beautiful Head & Shoulders formation (top circle/arrow) portending a hard slide in META and made 🏦 with puts. But, not our deal.

DKNG - Draft kings broke through the downside trigger on 11/3 and weakened a bit further until RSI slope inflection and ...
12/04/2025

DKNG - Draft kings broke through the downside trigger on 11/3 and weakened a bit further until RSI slope inflection and a nice little run.
Why? Who knows? Actually, weaker than expected Q3 earnings released on 11/6. But wait, isn’t Nov 6 after November 3, when DKNG flashed a Buy signal on bearish price action? Yes.
Why, part 2? Our first dissertation focused on equity price responses to earnings surprises in banking. This topic, Post-announcement Drift (PAD), has been fairly well researched, but our twist on the topic introduced three novel elements. We constructed over one million risk-adjusted multiple regression models to isolate excess returns, PAD, and…MORE. We also incorporated an ANN, Artificial Neural Network, to additionally isolate PAD, AND something else. We labeled the third novel element as PRED, PRE-announcement drift. Our multiple regression models and our ANN identified, with 100% accuracy, an interesting finding. When four-day PRED was negative (I.e. the stock underperforms with a negative return on a risk-adjusted basis over the four days PRIOR to the earnings event), seven-day PAD was ALSO negative. Every time! For you empirical finance fans out there, yes, this is in 100% direct contradiction to the Nobel-prize winning Efficient Markets Hypothesis (EMH). We did what he (Fama) said can’t be done.

Anatomy of the trade - we chose our preferred bullish trade and entered a Jan 27 $30 LC and a Dec $35 SC. This LEAP BuCD gave us a $5 spread between the short and long, and with a $7.85/share net premium, our return would be uncapped. The trade also gave us a nice positive theta so time worked for, not against, us.
Our trading platform calculated a 54.63% profit probability and a $29.04 breakeven. DKNG was trading $30.53x$30.54 at trade time which means our trade gave us $1.50 of downside protection, suggesting we’d win even with a further 4+% price drop. Our ANN model suggested a 99.11% probability of a profit.
We held our trade 29 days for a 17.91% HPR and an annROI of 225%. Very solid W.

BTW - today, 12/4, is Smoke on the Water Day. See comments

It’s easy to look back and say ‘what if’ or ‘if only’, right?Our trading models identify entry points, opportunities to ...
11/13/2025

It’s easy to look back and say ‘what if’ or ‘if only’, right?
Our trading models identify entry points, opportunities to buy or sell. The other critical decisions are human decisions, based on a set of disciplines. Which decisions you ask?
Exit of course. When to sell is quite important too. Pigs get fat, hogs get slaughtered.
Very critically, the trade itself. In most situations, there are a seemingly infinite set of trade options on which to capitalize a BUY or SELL trigger. Trades can range from the most vanilla, a long equity, through long options and simple spreads, to more esoteric option combination trades.

We very recently closed a nice little trade on NVS, Novartis. (Actually, not so little…). Pharma companies typically exhibit elegant volatility, ideal for our decision models. On extreme pressure, the Buy trigger on NVS was breached on October 29. We held our trade of choice for thirteen days.
Let’s consider our trade vs. three alternatives.
1. Our trade - Jan 27 $120 x Dec $130 LEAP BuCD. Our 13 day hold generated a 15.46% HPR, for annROI of 434%. Solid W right?
2. What would a long equity trade have returned? Buying NVS would have kicked out a 7.14% HPR for an annROI of 201%. Still a nice win, but it displays the leverage embedded in options.
3. A long LEAP BuC, no short call, just a long, long call. While this trade would be theta negative and elevates the breakeven point, delta and gamma juice the return on a price bounce, generating a hypothetical HPR of 33.80% and a 949% annROI.
4. Finally, a more aggressive approach with a shorter expiration long call, maybe we go with the Dec $130 for poetry, symmetry and simplicity? A Dec $130 long call generated a potent 286.7% thirteen day HPR and a whopping 8,049% annROI!

Synopsis - our trade of choice for NVS carried more leverage than a straight long on the underlying, but was theta positive, so we were paid to wait. The short also lowered our breakeven.
Our short call cut the upside on the trade by more than 50%, which is meaningful.
Finally, a shorter expiration long call? Theta works against us quickly, so the price movement is essential. Importantly, time becomes critical. When you are out of time, you’re out of options.

Conclusion - We will continue a trading discipline primarily premised on LEAP BuCDs in response to oversold triggers. But, that 8,000+% annROI is … tempting.

The word is Hadestown. Tremendous effort and energy is going into OGTA staging this incredible story. From the company o...
11/02/2025

The word is Hadestown. Tremendous effort and energy is going into OGTA staging this incredible story. From the company of performers, musicians, technicians, and the creative team, to a cast of volunteers lending time and talents in many ways, something special is coming. So, in an homage to all involved, we will take license with the mind blowing soundtrack to highlight our largest October trade.

‘It's not supposed to be like this
Well, 'til someone brings the world back into tune
This is how it is’

Occidental Petroleum (OXY) - After hitting a six-month peak on 9/30, it’s been a rough October for OXY. OXY was out of tune and the chips were definitely down. Our Momentum Oscillator flashed a buy on 10/20.

‘What you gonna do when the chips are down, Now that the chips are down?’

Simple. LEAP BuCD, as we layer a Jan 27 $40 long call with a Dec 25 $45 short call, with the underlying at $40.84. This structure gives us a positive theta, so we get paid to wait. We have a $40.34 breakeven price, so we can be profitable even if OXY drops < $.49. Our trading platform calculates a profit probability of 56.51%, but, our ANN model puts it at 99.11%.

‘Why do we build the wall, my children, my children?
Why do we build the wall?’

HPR = 8.26%
Holding period = 7 days.
annROI = 431%
That’s why.

Synopsis

‘Brother when you're down, you're down
When you're up, you're up
If you ain't six feet underground, you're living it up on top’

When we see an HPR approach 10% within ten days, we tend to tuck it away. Living it up on top.

‘Brother, what’s my name?
My name is…
Our Lady of the Upside Down!’

With the series finale of Stranger Things coming, we couldn’t resist this epic lyric.

And, now for something a bit different. For those who grow bored with charts, graphs and pedantic narratives, here’s a s...
10/07/2025

And, now for something a bit different. For those who grow bored with charts, graphs and pedantic narratives, here’s a simple table on which to chew, ruminate, or otherwise ponder. We took a pause from content after a late July post on a nice little Workday trade (a BuCD).
We gathered our 18 Q3 trades (initiated, and all closed by EOQ) and applied a few calculations to compare and contrast a few key parameters.
Observations?
1. 18-0. Like that
2. Bearish trades did well, but we still do not care for them.
3. Calendar anomaly model trades are (green) color-coded and were all bullish on, what our CAM suggested was, one of the better days this year to buy each stock. Seemed to work okay.
4. Bearish trades - get in, get the job done, don’t get stupid, get out. Period. Did okay.
5. Our trade of choice is a LEAP BuCD following a breach of a downside trigger isolated by our AI Momentum Oscillator. We like the results. We’d like more.

We paused trading after our final Q3 position closed and remain paused. We look to escalate activity in November. Stay tuned…

A Tale of Two Trades, Acte DeuxScratch that A Tale of Five Trades???I started drafting the fairly dichotomous performanc...
07/25/2025

A Tale of Two Trades, Acte Deux
Scratch that
A Tale of Five Trades???

I started drafting the fairly dichotomous performance of trades on Workday (WDAY) and Merck (MRK) last night. The first following an oversold breach in our Momentum Oscillator and the second in response to the forecasted best day in 2025 as ranked by our Calendar Anomaly Model. But, cosmic tumblers fell into place, and boom, boom, boom; three more winners begged to be closed today.

“It was the epoch of belief,”
For MRK, our Jan 27 $75 x Oct $85 LEAP BuCD was right in our wheelhouse. All of the Greeks played their roles in this one as we breached the SC, hit a 20% nominal HPR, and RSI rose above 60. Our very pronounced exit signals yielded an 11.43%, two day HPR for an annROI of 2087%.

“it was the epoch of incredulity,”
WDAY - we entered a very conservative ITM, low delta June 26 $220 x Dec $230 BuCD. Results? Vol went into backwardation as a near-term bounce pushed WDAY through our SC and rapidly approaching negative delta, hastening our exit. While our return should have been higher, the rabbit should have beaten the tortoise. We closed at a 2.78% HPR after nine days for an annROI of 113%. Had Vega contango held, our return might have been double, but we are okay.

“it was the season of Light…,
it was the spring of hope”

OKTA - 19.88% 39-day HPR on a Jan 27 $100 x Aug $110 with a twist. We closed the SC when vol fell and the bounce was still incubating.
A cool 1,861% annROI feels like a W.

Procter & Gamble (PG) - Our Jan 27 $150 x Sep $160 LEAP BuCD, sans twist, yielded an 8.14% HPR over our 10 day hold for a 297% annROI.

PayPal (PYPL) - we notched a patient 13.03% HPR over another 39 day hold, netting a 1,229% annROI, with a Jan 27 x Aug LEAP BuCD.

As Sidney Carton so eloquently stated “It is a far, far better thing that I do than I have ever done.”

A Tale of Two Trades‘It was the best of times’QQQ (nasdaq 100) ITM Aug 15 $567 x July 25 $560 put calendar - QQQ breache...
07/22/2025

A Tale of Two Trades

‘It was the best of times’
QQQ (nasdaq 100) ITM Aug 15 $567 x July 25 $560 put calendar - QQQ breached our Momentum Oscillator’s upside trigger on 7/21, so we structured a nice theta positive ITM BePD in anticipation of a drop through $560. Get in, get out, don’t get stupid.

‘It was the worst of times’
From prior experience, we expected a CPB (Campbell’s Soup) trade to require patience as it slogged its way through a nasty and prolonged 10-month bear cycle. Can’t go down forever, right? Unless, nobody buys soup ….

We structured a very time-friendly NTM Jan 27 $30 x Nov 33 LEAP BuCD, a very patient, theta positive and decent delta trade.

‘It was the age of wisdom’
QQQ - after a one-day hold, QQQ frolicked around our SC and hit our PE threshold with a 13.22% HPR. This yielded a 4,823% annROI.

‘It was the age of foolishness’

CPB - we just got bored with this stuck in neutral stock and closed it with a 6.45% 27-day HPR, for an 87% annROI. Meh.

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3255 Oak Ridge Loop E
West Fargo, ND
58078

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+17013067578

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