# Strategy notes

## The Wheel

A short-volatility, cash-secured income strategy. Two phases per underlying:

**Phase 1 — no shares held:** sell a cash-secured put (CSP). The bot picks a
contract 14-28 DTE (`WHEEL_PUT_DTE_MIN/MAX`) with absolute delta closest to
`WHEEL_PUT_TARGET_DELTA` (default 0.30). If the trade's annualised yield falls
below `WHEEL_MIN_ANNUAL_YIELD`, it's skipped. If delta data is missing (Alpaca
snapshot), it falls back to "closest to `WHEEL_PUT_OTM_PCT` below spot".

Two outcomes at expiry:
- Put expires worthless → keep premium, repeat Phase 1.
- Put is assigned → own 100 shares per contract at strike, go to Phase 2.

**Phase 2 — shares held:** for each uncovered 100-share lot, sell a covered
call ~same DTE, same target delta, **at or above cost basis** (hard floor in
`risk.check_covered_call`). Two outcomes at expiry:
- Call expires worthless → keep premium, keep shares, sell another call.
- Call is assigned → 100 shares called away at strike (a locked-in gain,
  because strike ≥ cost basis), back to Phase 1.

Assumption: the underlying is one we'd be happy to own. That's why
`WHEEL_UNIVERSE` should be small and considered.

## Trailing stops

Separate from the wheel — applies to any long equity position. On each tick,
for every long stock position without an existing open trailing-stop order,
the bot submits a `trailing_stop` sell at `TRAILING_STOP_PCT` trail.

In practice this is idempotent: duplicates are avoided by the open-order check.

## Why not long calls / verticals?

Deliberately kept out of v0. They require managing more Greeks than the wheel
and increase the surface area of risk mistakes. Easy to add under
`strategies/` once the wheel is stable on paper for weeks.

## Candidates to consider later

- **Trailing-stop on short puts** once they're deep ITM vs. the underlying's
  drift — close early and re-roll.
- **Cash-sweep** into BIL/SGOV for idle cash while waiting for assignments.
- **Volatility filter** — skip CSPs when IV rank is below a threshold (low premium).
- **Earnings blackout** — skip CSP entries within N days of earnings.