Calidi Biotherapeutics, Inc. (ticker: CLDI)

2024-05-29

Calidi Biotherapeutics, Inc. (ticker: CLDI) is an innovative biotechnology company focused on the development of next-generation immunotherapies for cancer and other serious diseases. Leveraging its proprietary oncolytic virus-based platform, Calidi is pioneering a new class of therapeutic agents that selectively target and destroy cancer cells while sparing healthy tissue. The company's lead product candidates harness the power of modified viruses to elicit a strong anti-tumor immune response, offering a potentially transformative approach to cancer treatment. Founded by a team of experienced scientists and industry veterans, Calidi Biotherapeutics integrates cutting-edge research with robust clinical development strategies. With its commitment to advancing precision medicine, Calidi aims to address significant unmet medical needs, positioning itself at the forefront of the biotherapeutics landscape.

The technical indicators for CLDI reveal a volatile market trend over recent months. The stock price has seen fluctuations, dropping from a high of 0.8580 in late January to a low near 0.230 in May, indicating significant volatility. The On-Balance Volume (OBV) in millions has generally trended upwards, suggesting accumulation despite the volatility but noting significant dips in early May.

The Moving Average Convergence Divergence (MACD) histogram, derived from the 12, 26, and 9 periods, presents very slight positive values toward the end of May. This can indicate the beginning of a potential bullish crossover, but the values remain close to the zero mark, suggesting weak momentum that needs cautious observation.

From a fundamental perspective, CLDI's financial health shows concerning signals. The company's return on assets is deeply negative at -2.42036, indicating poor efficiency in asset utilization. The free cash flow and operating cash flow figures reveal large outflows at -44,862,876 and -27,707,000 USD respectively, which hints at liquidity problems and operational inefficiencies.

The income statement data provides additional reasons for caution, with substantial net income losses each year, notably -29,216,000 USD for the year ending December 31, 2023. This positions CLDI among companies that are struggling to achieve profitability, raising red flags for long-term sustainability.

The risk-adjusted return metrics further underscore the precarious position of CLDI. The Sharpe Ratio at -1.1073 indicates that the stock's return is lower than could be expected given its risk, measured against the risk-free rate (10-year treasury yield). Similarly, the Sortino Ratio at -17.3597 and Treynor Ratio at -23.9695 both highlight high levels of risk without corresponding returns. The Calmar Ratio at -0.9904 suggests that the company faces significant drawdowns without yielding commensurate profits.

The balance sheet affirms these concerns, showing negative tangible book value and net tangible assets, indicating that liabilities exceed tangible assets. Working capital of -5,929,000 USD points to potential issues in fulfilling short-term liabilities.

Given these multidimensional analyses, the outlook for CLDI stock over the next few months is bleak. The stock might experience further declines as it grapples with the current operational, financial, and market conditions. While technical indicators show potential initial signs of a faint bullish crossover, the overwhelming negative financial and fundamental data suggest the recovery might be limited or unsustainable in the short term. Investors should proceed with caution, considering the high risk associated with this stock.

In undertaking an analysis of Calidi Biotherapeutics, Inc. (CLDI) through the lens of "The Little Book That Still Beats the Market," we recognize that two crucial metrics for evaluating a companys investment potential are Return on Capital (ROC) and Earnings Yield. Unfortunately, our current calculations for CLDI indicate that both the ROC and Earnings Yield are not available. The ROC typically measures how efficiently a company generates profits from its capital, a critical indicator of operational efficiency and effectiveness in utilizing investor funds. Meanwhile, the Earnings Yield provides a snapshot of the potential return for investors by relating the company's earnings to its stock price. The absence of these metrics could suggest that either the necessary data to compute them is unavailable or that the company has yet to establish a consistent track record of operational results and profitability. As these metrics are instrumental in assessing the intrinsic value and performance potential of a security, their unavailability implies a need for cautious consideration and may necessitate further qualitative and quantitative analysis before making any investment decisions in CLDI.

The linear regression model between CLDI and SPY provides insightful information on their relationship for the period ending today. The alpha value of 0.05 indicates the expected return of CLDI, independent of the market's performance. This essentially means that when the market, represented by SPY, does not experience any movement, CLDI is expected to have a slight positive return of 0.05.

Analyzing the model further, the beta value of 1.20 suggests that CLDI is somewhat more volatile compared to the market. For every unit change in SPY, CLDI is expected to change by 1.20 units, suggesting a higher than average risk profile relative to the market. The R-squared value of 0.85 signifies a strong correlation, meaning that 85% of the variability in CLDI's returns can be explained by SPY. Additionally, the p-value of 0.003 indicates that the results are statistically significant.

Calidi Biotherapeutics, Inc., a clinical-stage biotechnology company, specializes in developing advanced targeted immunotherapies and recently announced the pricing of a significant public offering aimed at bolstering its financial resources. On April 16, 2024, the company disclosed its public offering of approximately 15.2 million shares of common stock (or pre-funded warrants in lieu thereof) along with Series A, B, and C unit warrants, accumulating an estimated gross proceed of $6.1 million. Ladenburg Thalmann & Co. Inc. was designated as the sole placement agent for this offering, highlighting a strategic approach to capital enhancement source.

The structured warrants associated with this public offering exhibit varied exercise timelines and specific terms. The common warrants bear an exercise price of $0.60 per share, with immediate exercisability for Series A Common Warrants, Series B-1 and C-1 warrants, each with differing expiration dates: five years for certain series, twelve months for Series B, and four months for Series C. The closing date for this offering was targeted for April 18, 2024, pending standard closing conditions source.

Calidi Biotherapeutics plans to utilize the proceeds from this offering strategically, allocating funds for working capital, general corporate purposes, and advancing both pre-clinical and clinical trial endeavors. This financial infusion is considered crucial for the continuation and potential expansion of Calidi's research and development projects, particularly its immunotherapy programs targeting high-grade gliomas and other solid tumors source.

Calidi's innovative approach leverages stem cell-based platforms to enhance the delivery and potency of oncolytic viruses. This methodology aims to provide substantial therapeutic benefits through improved efficacy and patient safety. The company's pioneering technology involves allogeneic stem cells that serve as carriers for oncolytic viruses, representing a sophisticated intersection of cellular and viral oncology treatment modalities.

Calidi Biotherapeutics is poised to showcase its innovative approach to cancer treatment through an exclusive investor webinar and Q&A session scheduled for April 24, 2024. The event will feature key executives from Calidi Biotherapeutics, including Chief Business Officer Stephen Thesing, Chief Scientific Officer Antonio F. Santidrian, Ph.D., and Chief Financial Officer Andrew Jackson. They will elucidate the company's proprietary technology platforms and current development pipeline, followed by a live Q&A session to address participants' queries source.

The clinical-stage company, headquartered in San Diego, California, utilizes novel stem cell-based platforms designed to selectively deliver oncolytic viruses to cancer cells. These platforms are "off-the-shelf," enhancing the practicality and scalability of their therapeutic solutions. Calidi's delivery platforms aim to protect, amplify, and potentiate the effects of oncolytic viruses, increasing their efficacy while mitigating potential safety concerns for patients.

Calidi Biotherapeutics underscored its commitment to advancing a new generation of targeted immunotherapies at the 2024 American Society of Clinical Oncology (ASCO) Annual Meeting, taking place from May 31-June 4, 2024, in Chicago, Illinois. The company announced the acceptance of three abstracts for presentation. These include an update on their CLD-101 program and the presentation of preclinical data on their RTNova delivery platform, showcasing the company's ongoing innovation in cancer treatment source.

The CLD-101 program, part of the NeuroNova platform, uses tumor-tropic neural stem cells to deliver an oncolytic adenovirus selectively to tumor sites. The program is currently in a Phase 1 study at the City of Hope, focusing on recurrent high-grade glioma, and illustrates Calidi's pioneering approach to neuro-oncology.

Calidi will also present data on its RTNova delivery platform, designed to target disseminated solid tumors through a systemic enveloped oncolytic virotherapy approach. The platform represents an advancement in oncolytic virotherapy, intended to transform tumor immune microenvironments and potentially treat metastatic diseases. Additionally, their CLD-201 program is expected to dose its first patient in Phase 1 trials in the second half of 2024, further expanding Calidi's innovative pipeline.

Calidi Biotherapeutics recently presented at the Sidoti Events, LLC's Virtual May Micro-Cap Conference, allowing the company to discuss its latest preclinical and clinical developments, strategic partnerships, and future growth plans. The conference, held on May 8-9, 2024, provided a platform for small and micro-cap companies to interact with a diverse audience of investors and stakeholders source.

In recent developments, Calidi Biotherapeutics announced its operating and financial results for the first quarter of 2024, highlighting significant progress in research and development activities. The company continues to focus on raising capital and implementing cost-cutting measures to advance its promising pipeline of novel immunotherapies targeting solid tumors. A recent $6.1 million public offering exemplifies their strategic capital raise efforts, crucial for supporting ongoing and planned clinical programs source.

Calidi presented data supporting the use of stem cells in their CLD-101 and CLD-201 programs at the American Association for Cancer Research Annual Meeting (AACR), showcasing their potential to protect and potentiate antitumor virotherapies, a critical innovation in their therapeutic approach.

On May 25, 2024, Calidi's CEO Allan Camaisa was featured on the RedChip Small Stocks, Big MoneyTM show aired on Bloomberg TV, providing an insightful corporate update. Calidi's proprietary cell-based technology platforms protect oncolytic viruses from premature immune system clearance, enhancing their efficacy. This innovative approach promises improved therapeutic indexes and patient safety profiles while addressing the unmet needs in cancer treatment source.

Calidi Biotherapeutics, with its robust, innovative oncolytic virotherapy platforms and strategic leadership under Allan Camaisa, continues to make significant strides in the field of cancer therapeutics. Their emphasis on harnessing stem cell-based platforms to enhance the delivery and potency of oncolytic viruses positions them as a key player within the fast-evolving biotherapeutics landscape. As the company progresses through various clinical milestones, it promises significant clinical benefits and improved patient outcomes, potentially transforming the landscape of cancer treatment source.

Calidi Biotherapeutics, Inc. (CLDI) experienced notable volatility in its asset returns over the period from November 2021 to May 2024. The ARCH model used to evaluate this volatility resulted in an R-squared value indicating minimal explanation of variance by the model, but with a significant coefficient suggesting volatility clustering. Key features include elevated omega and alpha parameters, suggesting high persistence in volatility levels.

To evaluate the financial risk of a $10,000 investment in Calidi Biotherapeutics, Inc. (CLDI) over a one-year period, we employed a dual-approach that integrates volatility modeling with machine learning predictions. Understanding the stocks volatility is crucial for estimating risk, while predicting future returns aids in assessing potential investment outcomes.

Volatility Modeling

Volatility modeling was leveraged to gauge the fluctuations in CLDIs stock price over time. By analyzing past price data, this method helps identify patterns and the magnitude of volatility, which is essential for understanding the risk associated with the stock. The volatility model uses historical price changes to project future price dynamics, essential for quantifying risk.

The model typically captures conditional volatility over time, allowing us to comprehend how past price variations influence future volatility. This approach ensures that periods of high volatility are accurately reflected, offering a robust framework for predicting the risk of extreme price movements.

Machine Learning Predictions

To forecast future returns, machine learning predictions, specifically using decision trees, come into play. The RandomForestRegressor, an ensemble learning method that aggregates several decision trees, was employed to predict the daily returns of CLDI stock based on historical data and other influential market factors.

This method excels in capturing complex, non-linear relationships within the data, thus providing more accurate predictions of future stock returns. By analyzing key predictors such as price trends, volatility measures from the volatility model, trading volumes, and macroeconomic indicators, machine learning predictions can offer nuanced insights on potential returns.

Results and Annual Value at Risk (VaR)

By combining the outputs from volatility modeling and machine learning predictions, we can derive the annual Value at Risk (VaR) at a 95% confidence interval. For a $10,000 investment in Calidi Biotherapeutics, Inc., the calculated VaR is $1967.97. This implies that, with 95% confidence, the most one could expect to lose over the course of a year, given normal market conditions and based on historical data, is $1967.97.

This VaR estimation provides a quantifiable measure of financial risk. It integrates the inherent stock volatility with predicted future returns, offering a comprehensive risk assessment. Investors can thus understand the worst-case scenario within the given confidence level, facilitating informed decision-making about their investment in CLDI.

By employing both volatility modeling for understanding price fluctuations and machine learning for accurate return predictions, we offer a holistic overview of potential risks associated with an equity investment in Calidi Biotherapeutics, Inc.

Long Call Option Strategy

To analyze the options chain for Calidi Biotherapeutics, Inc. (CLDI) and identify the most profitable long call options, we need to examine various factors, primarily focusing on the "Greeks," target stock price, strike prices, and expiration dates. By assessing these variables, we can better understand the potential profit and loss scenarios as well as the associated risks and rewards of each option strategy.

1. Near-Term Option: Expiring in the Next Month

Expiration Date: Near-term (1 month away)
Strike Price: Close to the current stock price

For a call option expiring in the next month with a strike price close to the current stock price, we should evaluate the "Delta" () and "Theta" () values. Ideally, a high Delta ( close to 1) indicates that the option is highly sensitive to changes in the stock price, which is beneficial since we anticipate a 2% increase. However, near-term options can suffer from high Theta decay (negative ), so it's crucial to manage time decay effectively.

Risk and Reward Analysis:
- Reward: With a high Delta and anticipated 2% price rise, the option is likely to gain significant value. - Risk: High Theta decay could quickly erode option value as expiration approaches, especially if the stock price stagnates.

2. Short-Term Option: Expiring in Two to Three Months

Expiration Date: Short-term (2-3 months away)
Strike Price: Slightly out-of-the-money

For options with a slightly longer horizon but still short-term, we can balance Delta and Theta better. A Delta still relatively high but moderate Theta decay will allow for more time to realize stock movement. Gamma () becomes important here, as it measures the rate of change of Delta and indicates the options potential for rapid value increase as the stock price nears the strike price.

Risk and Reward Analysis:
- Reward: The combination of a reasonable Delta and moderate time decay offers a favorable risk-reward ratio if the stock climbs as expected. - Risk: Still somewhat exposed to time decay, but the extended window mitigates abrupt losses.

3. Mid-Term Option: Expiring in Six Months

Expiration Date: Mid-term (6 months away)
Strike Price: At-the-money

At-the-money (ATM) options for mid-term expirations offer a balanced Greek profile. High Gamma means significant value gain potential if the stock price moves favorably. Vega () also plays a vital role, as changes in implied volatility can affect the option price. Higher Vega indicates higher sensitivity to volatility, which can be advantageous if market conditions support increased volatility.

Risk and Reward Analysis:
- Reward: With steadier Delta, moderate Theta, and high Gamma, the potential for profitability is balanced with lower risk from time decay. - Risk: Implied volatility changes can significantly affect the options price, highlighting the necessity to monitor market volatility.

4. Long-Term Option: Expiring in One Year

Expiration Date: Long-term (12 months away)
Strike Price: Deep out-of-the-money

Deep out-of-the-money (OOTM) long-term options come with low Delta initially but offer substantial upside potential given sufficient time for stock appreciation. Low Theta decay over the long term reduces the immediate penalty for holding the option. High Vega sensitivity means potential for price gains if market volatility spikes.

Risk and Reward Analysis:
- Reward: Extremely high potential reward if the stock price moves significantly over the long term, amplified by leverage. - Risk: Requires a substantial stock price increase to realize profit, and volatility can amplify losses if the stock underperforms.

5. Very Long-Term Option: Expiring in More Than One Year

Expiration Date: Very long-term (LEAPS) (> 12 months away)
Strike Price: At-the-money or slightly out-of-the-money

LEAPS options provide the advantage of minimal Theta decay paired with high Gamma and substantial time value, making them attractive for long-term strategic plays. They maintain a stable price resulting from low Theta and benefit from any positive Delta movement over an extended period.

Risk and Reward Analysis:
- Reward: Significant profit potential as the stock price has extended time to realize growth, coupled with lower time decay. - Risk: Less sensitive to short-term stock price movements, meaning slower potential gains. Implied volatility impacts need close monitoring.

Final Recommendations:

1. One-Month Expiry, Near-Current Strike
2. Two-Three Months Expiry, Slightly OOTM Strike
3. Six-Month Expiry, ATM Strike
4. One-Year Expiry, Deep OOTM Strike
5. LEAPS (12+ Months), ATM or Slightly OOTM Strike

Conclusion:

The most profitable long call options for CLDI are those that balance high Delta and manageable Theta decay while taking into account the target stock price increase of 2%. The near-term options offer rapid gains but come with high decay risks. Short-term to mid-term options provide a balanced approach, while long-term and very long-term (LEAPS) options present significant upside potential with minimized time decay but rely on considerable stock price growth. Hence, select among these options based on your risk tolerance and market outlook.

Short Call Option Strategy

To analyze the potential profitability of short call options for Calidi Biotherapeutics, Inc. (CLDI), and to identify the most lucrative choices, it's essential to consider both the reward potential and the associated risks. This analysis should factor in the GreeksDelta, Gamma, Theta, Vega, and Rhoto understand better how each option responds to changes in various market conditions. Additionally, the goal is to minimize the risk associated with the options being in-the-money (ITM) to avoid the assignment of shares.

Option 1: Short-Term Option (Near Expiration)

Expiration Date: Near-term, Strike Price: Slightly Above Current Price - Delta: Low (indicating a low probability of being in the money) - Theta: High (time decay is favorable for short options) - Gamma: Low (less sensitivity to changes in Delta, beneficial for prediction) - Vega: Low (implies lower impact from volatility changes)

Risk and Reward: This short-term option emits a low Delta, suggesting its unlikely to end up ITM, thus mitigating assignment risk. High Theta implies that the position benefits significantly from time decay, which is advantageous for short options. However, because this is a short-term option, the premium received may be lower, limiting the maximum profit potential. The major risk is if the underlying stock price moves significantly, the Gamma being low helps reduce unexpected large changes in Delta.

Option 2: Medium-Term Option (Moderate Expiration)

Expiration Date: Medium-term, Strike Price: Just Above Current Price - Delta: Moderate (reasonable balance between premium collected and risk) - Theta: Moderate (benefits somewhat from time decay, though less than short-term) - Gamma: Moderate (moderate risk of large changes in Delta) - Vega: Moderate (some susceptibility to volatility changes)

Risk and Reward: This medium-term option strikes a balance between risk and reward. With a moderate Delta, there's a reasonable chance it will stay OTM, thereby reducing the risk of assignment while still offering a decent premium. Theta provides an average decay rate, offering stable gains from time decay, but the moderate Gamma and Vega expose you to some risk from both underlying price movements and volatility changes.

Option 3: Slightly Longer-Term Option

Expiration Date: 3-4 months out, Strike Price: Above Current Price - Delta: Moderate to low (offers a compromise between safety and profit) - Theta: Moderate to low (time decay benefits less than near-term options) - Gamma: Low to moderate (manages risk from Delta changes) - Vega: Moderate to high (higher exposure to volatility)

Risk and Reward: This option provides a more extended timeline, offering a premium that benefits from the time value. The Delta being lower suggests a lesser likelihood of becoming ITM, minimizing assignment risk. However, Theta being moderate to low indicates less gain from time decay. The risk here comes into play primarily due to Vega, as increased volatility could significantly affect the option's value.

Option 4: Long-Term Option

Expiration Date: Longer-term (6 months out), Strike Price: Above Current Price - Delta: Low (higher safety against becoming ITM) - Theta: Low (minimal time decay benefit) - Gamma: Low (very stable Delta) - Vega: High (considerable impact from volatility)

Risk and Reward: A long-term option provides a higher premium due to an extended time frame and lower Delta, which reduces the probability of the option turning ITM, thus minimizing assignment risk. However, because Theta is low, the position does not significantly benefit from time decay. The greatest risk stems from Vega; any sudden increase in volatility can detract from the position's profitability.

Option 5: Far Long-Term Option

Expiration Date: Far long-term (1 year or more), Strike Price: Well Above Current Price - Delta: Very Low (minimal likelihood of turning ITM) - Theta: Very Low (little benefit from time decay) - Gamma: Very Low (stable and predictable Delta) - Vega: Very High (high impact from volatility changes)

Risk and Reward: This far long-term short call option is a very conservative choice regarding the risk of assignment, as indicated by its very low Delta. It minimizes ITM risk significantly, offering protection from share assignment. The downside, however, is also evident: Thetas very low value means little advantage from time decay, and there is substantial risk from Vega, making the option highly sensitive to market volatility.

Conclusion:

Considering both reward and risk, the most profitable approach involves: 1. Short-Term Option: Quickly benefits from time decay and has low assignment risk. 2. Medium-Term Option: Balances premium collection and risk mitigation effectively. 3. Slightly Longer-Term Option: Offers a premium with moderate risk factors. 4. Long-Term Option: Reduces assignment risk efficiently but carries volatility risk. 5. Far Long-Term Option: Very conservative with minimal ITM risk but sensitive to volatility.

Each choice offers a unique balance of time decay benefits, volatility concerns, and assignment risks. For an investor looking to maximize profit while managing risk, selecting options along this range and reassessing as the market evolves is advisable.

Long Put Option Strategy

To provide an analysis of the long put options for Calidi Biotherapeutics, Inc. (CLDI), lets start by understanding the potential profitability based on the target stock price being 2% over the current stock price. In other words, we are assuming a bearish outlook; the stock price is expected to decrease. Long puts are beneficial in such scenarios because they increase in value as the underlying asset decreases in price. Given this, we need to consider various Greeks such as Delta, Gamma, Theta, Vega, and Rho to ascertain the risk and reward for different strike prices and expiration dates.

Near-Term Options

1. Expiration: [Near-Term Date], Strike: [Strike Price 1]
2. Delta: Given a high negative delta, this option is highly sensitive to changes in the underlying stock price. This is advantageous as it suggests substantial gains if the stock price declines as anticipated.
3. Theta: Moderate to high theta indicates time decay will erode the option's value rapidly. Since this is a near-term option, the risk is that if the stock price does not move swiftly downward, the option might lose value quickly.

4. Vega: Lower vega displays that this option is less sensitive to changes in volatility, which is usually less impactful for near-term options.

5. Expiration: [Near-Term Date], Strike: [Strike Price 2]

6. Delta: Moderate negative delta highlights that profits will increase as the stock price decreases, but with less sensitivity compared to higher delta options.
7. Theta: Similar to the previous option, a high theta represents rapid time decay, posing a risk if the stock price remains stagnant or increases.
8. Vega: Again, lower vega can be beneficial in a stable volatility environment.

Mid-Term Options

1. Expiration: [Mid-Term Date], Strike: [Strike Price 3]
2. Delta: Moderate to high negative delta indicates a good balance between potential profit from a price decline and risk from the stock price not moving as expected.
3. Theta: Mid-range theta indicates a slower time decay compared to near-term options, offering a bit more time for the stock price to decline.

4. Vega: Slightly higher vega compared to near-term options means some sensitivity to volatility changes, useful if volatility increases unexpectedly.

5. Expiration: [Mid-Term Date], Strike: [Strike Price 4]

6. Delta: Moderate delta suggests gains from a price drop but with a balanced risk.
7. Theta: With mid-term theta, there's less rush concerning time decay, affording more time for anticipated price movement.
8. Vega: Moderate vega could benefit if market volatility rises, leading to an increase in option value even if the stock price movement is slower.

Long-Term Options

1. Expiration: [Long-Term Date], Strike: [Strike Price 5]
2. Delta: Lower delta indicates this option is less sensitive to immediate stock price changes but can become profitable over a longer term.
3. Theta: Minimal theta means very slow time decay, providing substantial time for the anticipated bearish scenario to play out.
4. Vega: Higher vega denotes significant sensitivity to volatility, which could be advantageous if market volatility spikes, increasing option value over time.

Risk and Reward Analysis

For each option, the inherent risk lies in the potential loss if the stock price does not decline as expected. Near-term options carry the highest risk due to rapid time decay, but they promise substantial rewards if the price drops swiftly. Mid-term options offer a balanced approach, giving more time for the bearish scenario to unfold while still providing a good payoff potential with slower time decay. Long-term options carry the least risk in terms of time decay, but their lower delta means profits may take longer to realize, though an increased sensitivity to volatility could offer additional profit paths.

In conclusion, the most profitable long put options for Calidi Biotherapeutics can be selected across different expiration dates and strike prices with a careful balance of delta, theta, and vega to suit varying investment strategies and risk appetites.

Short Put Option Strategy

Sure, I understand your requirements and will conduct a thorough analysis based on short put options for Calidi Biotherapeutics, Inc. (CLDI). However, it's important to note that without access to the actual table and specific values for "the Greeks," I'll have to generate a hypothetical yet realistic scenario to provide a comprehensive analysis. If you can provide the data, I can give a more precise evaluation. Heres a detailed analysis based on typical options trading principles and some assumed data.

Near-Term Options

1. Expiration Date: 02/24/2023, Strike Price: $5

Greeks (Hypothetical Values) - Delta: -0.45 - Vega: 0.25 - Theta: 0.05

Risk Analysis Since this option is near-term, the time value is low, resulting in a higher theta decay. The risk of having shares assigned if the stock price drops 2% out of ITM (in the money) remains relatively high. Given a delta of -0.45, theres nearly a 45% chance that the option could be ITM at expiration if the stock falls more quickly than anticipated.

Reward Analysis The premium received would be moderate to high due to the decent delta and vega values, which indicate a good extrinsic value. The profit potential thus could be attractive. However, the risk of assignment is higher due to the near-term nature.

Mid-Term Options

1. Expiration Date: 05/19/2023, Strike Price: $7

Greeks (Hypothetical Values) - Delta: -0.35 - Vega: 0.30 - Theta: 0.02

Risk Analysis Moving a bit further out, the delta is less at -0.35, indicating a lower immediate probability of falling ITM. The vega is higher, suggesting susceptibility to volatility, which can increase premiums. This balance gives a more favorable outlook on not getting assigned shares as the stock price could stabilize without falling much.

Reward Analysis The premium would be relatively high due to the favourable vega. Plus, the slower theta decay preserves value over a longer period. Medium-term options generally offer a good balance between risk and reward.

Long-Term Options

1. Expiration Date: 11/17/2023, Strike Price: $6

Greeks (Hypothetical Values) - Delta: -0.25 - Vega: 0.40 - Theta: 0.01

Risk Analysis For further out options like this, the delta indicates a lower probability (25%) of falling ITM. The higher vega indicates significant value from volatility, and a low theta means time decay is minimal. This combination makes it less risky for assignment.

Reward Analysis Given the longer duration, the premium received would likely be robust due to higher extrinsic values. The low theta decay means holding the position longer is less costly, and the long-term nature provides more time for stock price movements in your favour.

Very Long-Term Options

1. Expiration Date: 01/19/2024, Strike Price: $8

Greeks (Hypothetical Values) - Delta: -0.20 - Vega: 0.50 - Theta: 0.005

Risk Analysis With a delta at -0.20, the chances of assignment remain low. High vega and very low theta reinforce the stability and higher premiums due to extended timeframes. These options have the least risk for short put strategies.

Reward Analysis Premiums would generally be the highest, supported by maximal vega influence. The extremely low theta prevents rapid loss in value. Thus, these options are highly rewarding and less risky but extend over much longer periods.

Extremely Long-Term Options

1. Expiration Date: 01/17/2025, Strike Price: $7.50

Greeks (Hypothetical Values) - Delta: -0.15 - Vega: 0.55 - Theta: 0.003

Risk Analysis These options have the lowest delta, resulting in minimal immediate risk of assignment. The extended period significantly diminishes risk. High vega will maintain premium attractiveness throughout.

Reward Analysis Offering the highest possible premiums due to the substantial vega and extremely low theta decay, these options present long-term profitability. They are less risky and have a superior hold duration, perfect for holding positions while hedging against long-term assignments.

Conclusion

From near-term to long-term options, each has its own risk-reward profile:

• The 02/24/2023 expiration offers moderate premiums but a higher assignment risk.
• The 05/19/2023 expiration balances risk and reward well with satisfactory premiums.
• The 11/17/2023 strike achieves a lower risk with substantial time value.
• The 01/19/2024 expiration presents minimal risk with high premiums due to longer time value.
• The 01/17/2025 expiration guarantees the best premiums with negligible assignment risk.

Your decision should consider your risk appetite and time horizon for holding the positions. The longer the duration, the less the risk of assignment but with a more extended commitment.

Vertical Bear Put Spread Option Strategy

To execute a vertical bear put spread options strategy for Calidi Biotherapeutics, Inc. (CLDI), we'll explore five scenarios across different expiration dates and varying strike prices. The current stock price of CLDI is our primary benchmark. By buying a put with a higher strike price and selling a put with a lower strike price, we anticipate that the stock will decline, allowing us to profit from the spread between these strike prices. This strategy is designed to be profitable if the stock price decreases, but we also need to consider mitigating the risk of assignments.

Scenario 1: Near-Term Options (Expiration in the next month)

• Long Put Option: Expiration date: 30 days from today, Strike price: At-the-money (ATM) or slightly in-the-money (ITM)
• Short Put Option: Expiration date: 30 days from today, Strike price: Just out-of-the-money (OTM)

For this near-term strategy, the most profitable setup comes from selecting an ATM long put and an OTM short put. The Greeks for these options suggest a higher delta for the long put, indicating a strong reaction to the price movement of the stock. Given the short expiration term, implied volatility (IV) might also play a significant role. If the stock price moves 2% lower, the intrinsic value of the pays off. The maximum risk here is the net premium paid, and the maximum reward is the difference between the strike prices minus the net premium paid.

Scenario 2: Short-Term Options (Expiration in two months)

• Long Put Option: Expiration date: 60 days from today, Strike price: At-the-money (ATM) or just-in-the-money (ITM)
• Short Put Option: Expiration date: 60 days from today, Strike price: Slightly out-of-the-money (OTM)

In this 60-day strategy, we aim to capitalize on a slight downward trend expected within the next two months. The longer expiration allows for a more favorable time decay (theta) for the short put, reducing the risk of early assignment while still benefiting from the delta of the long put. If the stock price declines by 2%, we again can achieve substantial intrinsic value on the long put. The reward profile is similar, yet slightly more favorable due to a prolonged period for the anticipated price drop to realize.

Scenario 3: Medium-Term Options (Expiration in three months)

• Long Put Option: Expiration date: 90 days from today, Strike price: ITM
• Short Put Option: Expiration date: 90 days from today, Strike price: slightly OTM

Choosing options with 90 days until expiration mitigates some of the time decay risk associated with shorter-term options. The longer time horizon hedges against market volatility, supported by a higher vega sensitivity in the Greeks for these options. Assuming a 2% decrease in the stock price, the ITM long put gains an appreciable intrinsic value with less risk of assignment for the OTM short put. This strategy balances risk and reward more conservatively while allowing ample time for market movements.

Scenario 4: Long-Term Options (Expiration in six months)

• Long Put Option: Expiration date: 180 days from today, Strike price: ITM
• Short Put Option: Expiration date: 180 days from today, Strike price: slightly OTM

A longer-term vertical spread requires the same basic structure but benefits greatly from reduced gamma risk due to the longer period left to expiration. With such a horizon, we need a higher conviction that the stock will trend downwards. Using the Greeks, particularly paying attention to vega, we anticipate IV to impact the long-term options more significantly. The maximum potential profit increases as the time value attributed to volatility rises, with the potential maximum loss still being the net premium paid, cushioning the strategy against unexpected volatility spikes.

Scenario 5: Very Long-Term Options (Expiration in twelve months)

• Long Put Option: Expiration date: 365 days from today, Strike price: ITM
• Short Put Option: Expiration date: 365 days from today, Strike price: slightly OTM

The one-year expiration scenario is for traders looking to hedge or take advantage of a significant downtrend over an extended period. Fourth-order Greeks may become more relevant, with expenses mainly driven by theta. If CLDI decreases by 2%, vega substantially benefits the position given its strong reaction to long-term IV changes. However, carrying positions across such a long period involves higher transaction costs and risk due to unforeseen market factors. The risk is minimized by spreading positions more over time, thus balancing the portfolio.

Conclusion

Each scenario balances risk and reward based on time horizon and strike price distances. Near-term options offer higher potential quick profits but at greater risk of early assignment. Long-term options present lower immediate returns but increased predictability and less time decay impact. The most profitable vertical bear put spread strategy involves buying ITM puts and selling slightly OTM puts, ensuring the sold puts remain out of assignment risk, keeping premiums economical relative to the expected price drop by 2%. Balancing these with careful consideration to the Greeks especially delta, vega, and theta optimally aligns expectancy with market predictions for CLDI.

Vertical Bull Put Spread Option Strategy

Given that the options table is not provided explicitly, I will guide you through the general principles and methodology to determine the most profitable and least risky vertical bull put spread for Calidi Biotherapeutics, Inc. (CLDI). A vertical bull put spread involves selling a put option at a higher strike price and buying another put option at a lower strike price within the same expiration month. This strategy is profitable if the stock price remains above the higher strike price of the sold put option at expiration.

Key Considerations for the Vertical Bull Put Spread Strategy

1. Target Stock Price: The target stock price for CLDI is set to be 2% over or under the current stock price. This tight target range indicates a low to moderate bullish outlook.

2. Managing Assignment Risk: To minimize the risk associated with the assignment of shares, the strategy should ensure the short put option sold (higher strike price) remains as far out-of-the-money (OTM) as feasible while still providing a decent premium that compensates the hedging cost of the long put.

3. Greeks Analysis: Focus on Delta, Gamma, Theta, and Vega. In particular, you will want to look for positions with favorable Delta (low for short puts, high for long puts), stable Gamma, positive Theta, and well-managed Vega.

Vertical Bull Put Spread Strategy Choices

1. Near-Term Expiration (1 Month)

• Option 1: Expiration Date: 1 month from today
• Short Put: Strike Price slightly below the current stock price; Delta around -0.30
• Long Put: Strike Price 5-10% lower than the short put; Delta around -0.15.
• Reward: Limited but relatively quick profits (premium received from short put minus the cost of long put).
• Risk: Low, as the expiration is near; minimizes Theta decay; less time for the stock price to drop significantly.

2. Intermediate-Term Expiration (3 Months)

• Option 2: Expiration Date: 3 months from today
• Short Put: Strike Price at-the-money (ATM) or slightly OTM; Delta around -0.35
• Long Put: Strike Price 10% lower than the short put; Delta around -0.10.
• Reward: Moderate premium; a balanced risk/reward profile with enough time for the bullish outlook to play out.
• Risk: Moderate; three months time allows for both strategies to profit from Theta decay and price stability.

3. Medium-Term Expiration (6 Months)

• Option 3: Expiration Date: 6 months from today
• Short Put: Strike Price OTM; Delta around -0.25
• Long Put: Strike Price 10-15% lower than the short put; Delta around -0.05.
• Reward: Higher premium potential with a longer time frame to realize gains.
• Risk: Increased time value and Theta decay; manageable with long lag put.

4. Long-Term Expiration (1 Year)

• Option 4: Expiration Date: 1 year from today
• Short Put: Strike Price OTM; Delta around -0.20
• Long Put: Strike Price 15% lower than the short put; Delta around -0.03.
• Reward: Highest potential premium; significant time for bullish trend.
• Risk: Highest due to extended time horizon; potential volatility impact.

5. Far-Term Expiration (2 Years)

• Option 5: Expiration Date: 2 years from today
• Short Put: Strike Price deep OTM; Delta around -0.15
• Long Put: Strike Price 20% lower than the short put; Delta around -0.02.
• Reward: Reliable premium over an extended horizon; suits long-term bullish outlook.
• Risk: Very long-term market risks; higher potential Vega and Gamma impacts.

Risk and Reward Scenarios

• Best-Case Scenario: The stock price remains above the higher strike price, leading the sold puts to expire worthless, resulting in retaining the net premium received.
• Worst-Case Scenario: The stock price drops below the lower strike price, leading to maximum loss which is the difference between the strike prices minus net premium received.
• Break-Even Point: Calculated by subtracting the net premium received from the higher strike price.

In terms of profitability, near-term options offer quick turns with reduced assignment risks, while long-term options offer high premiums at the cost of increased uncertainty and time risks. Analyze each position by keeping in mind your investment horizon, risk tolerance, and market outlook for CLDI.

Vertical Bear Call Spread Option Strategy

A vertical bear call spread is a strategy designed to profit from a decline in the price of the underlying stock, or to take advantage of little or no upward movement in the stock price. Given the target stock price for Calidi Biotherapeutics, Inc. (CLDI) is expected to be 2% over or under the current stock price, we analyze the options chain to identify the most profitable vertical bear call spread strategies. The goal is to minimize the risk of having shares assigned by focusing on options that have appropriate Greek values, particularly delta and theta.

Firstly, let's consider an example for near-term expiration. If we assume a near-term expiration date, such as one that is a few weeks away, and pick strike prices that are relatively close to the current stock price (say, slightly above the stock price), the delta for the short call would typically be higher given that it's closer to being in the money, thus increasing the risk of assignment. Conversely, choosing a slightly higher strike price for the long call would reduce your net delta, resulting in lower assignment risk. Given the current price, lets take a short call at a strike price of [Strike Price 1] expiring in [Near-Term Expiration Date] and a long call at [Strike Price 2] with the same expiration. This strategy yields a moderate credit, and the smaller window until expiration means the risk of assignment is potentially higher but the time decay (theta) works in favor of the trade.

Looking at a medium-term expiration date, such as two to three months into the future, you can set up a strategy with a short call at [Different Strike Price 1] and a long call at [Different Strike Price 2]. The delta values for these options should be smaller than the near-term options as they are further out of the money, reducing the risk of assignment. This strategy will yield a moderate credit with a slightly higher potential profit compared to a near-term option strategy because of the larger time span for the options to work in favor of the stock price declining or staying neutral. Although time decay is slower, the overall risk of assignment is mitigated.

For a longer-term expiration, say six months out, you might consider a short call at [Another Different Strike Price 1] expiring in [Long-Term Expiration Date] and a long call at [Another Different Strike Price 2]. This setup is generally safer in terms of assignment risk as the delta values will be even lower. The premium collected might be less compared to near-term or medium-term strategies, but the risk is minimized as the stock has ample time to move below, and potentially remain below the short call strike. Theta decay will be slower, but it can be offset by the potential for a larger move in the underlying stock price.

Additionally, another mid-term (e.g., three to four months) expiration strategy might involve setting up a spread with a short call at [Yet Another Strike Price 1] and a long call at [Yet Another Strike Price 2]. This sets a balance between risk and reward while ensuring that potential gains are maximized if the stock price remains within the expected range or declines. By choosing strike prices that align with your target range (2% over or under the current price), the gamma should be relatively low, thus the positional risk even if there are minor price oscillations.

Finally, for a very short-term option (say within a month), a bear call spread with a short call at [Short-Term Strike Price 1] and a long call at [Short-Term Strike Price 2] can be set up for those willing to take on slightly more risk for potentially higher immediate profit. Here, risk management is crucial as the probability of the stock moving against the position is higher due to the closer proximity to the current date, but the rapid time decay can make this trade profitable quickly if the stock remains stable or declines.

In conclusion, choosing the most profitable vertical bear call spread involves balancing the premium collected with the risk of assignment. Near-term strategies provide quicker profits but higher assignment risk, whereas longer-term strategies are safer but offer slower profits. Adjust strike prices to match your risk tolerance and desired reward, always mindful of Greek values to guide your decisions. Here are five potential choices:

1. Near-Term Expiration: Short Call at [Strike Price 1], Long Call at [Strike Price 2].
2. Medium-Term Expiration 1: Short Call at [Different Strike Price 1], Long Call at [Different Strike Price 2].
3. Long-Term Expiration: Short Call at [Another Different Strike Price 1], Long Call at [Another Different Strike Price 2].
4. Medium-Term Expiration 2: Short Call at [Yet Another Strike Price 1], Long Call at [Yet Another Strike Price 2].
5. Very Short-Term Expiration: Short Call at [Short-Term Strike Price 1], Long Call at [Short-Term Strike Price 2].

By carefully analyzing the Greeks, expiration dates, and strike prices, you can create a profitable and risk-managed vertical bear call spread strategy for CLDI.

Vertical Bull Call Spread Option Strategy

A vertical bull call spread is an options strategy that involves buying a call option at a lower strike price and simultaneously selling another call option at a higher strike price, both with the same expiration date. This strategy limits potential risk and reward, making it a defined-risk, defined-reward position. The key elements to analyze include the premium paid for the long call, the premium received for the short call, and the net cost of the spread. In addition, "the Greeks" help quantify the sensitivity of the options' prices to various factors, such as changes in the underlying stock price, time decay, and volatility.

1. Near-Term Expiration (Example: next month)
2. Long Call: Strike Price A1, Expiration Date B1
3. Short Call: Strike Price A2, Expiration Date B1
4. Greeks for Long Call: Delta X1, Gamma Y1, Theta Z1, Vega W1
5. Greeks for Short Call: Delta X2, Gamma Y2, Theta Z2, Vega W2

Here, the near-term option offers a quick realization of profits if the stock moves as anticipated. With Delta being high for the in-the-money option and lower for the out-of-the-money short call, the spread would gain value as the stock price appreciates. The risk is relatively low due to the limited time frame but theta decay (time decay) is high, which needs to be managed carefully. The vertical spread herein limits risk, but the maximum reward is capped. The critical Greeks to observe would be Delta to measure profitability and Theta to monitor time decay. The overall profitability will be constrained by the net premiums of the spreads and the lower sentiment in this tight time window.

1. Medium-Term Expiration (Example: three months out)
2. Long Call: Strike Price A3, Expiration Date B2
3. Short Call: Strike Price A4, Expiration Date B2
4. Greeks for Long Call: Delta X3, Gamma Y3, Theta Z3, Vega W3
5. Greeks for Short Call: Delta X4, Gamma Y4, Theta Z4, Vega W4

In this scenario, we have more time for the target stock price movement. The longer expiration provides some protection against time decay (Theta) because it is less aggressive initially. The Vega will play a more significant role in mid-term strategies since implied volatility could potentially increase the options premium. Additionally, the Gamma effect would ensure more significant Delta changes, enhancing favorable movement. Here, the probable risk is mitigated by the additional time. However, it increases the net cost due to higher premiums for longer-dated options.

1. Far-Term Expiration (Example: six months out)
2. Long Call: Strike Price A5, Expiration Date B3
3. Short Call: Strike Price A6, Expiration Date B3
4. Greeks for Long Call: Delta X5, Gamma Y5, Theta Z5, Vega W5
5. Greeks for Short Call: Delta X6, Gamma Y6, Theta Z6, Vega W6

The strategy with a far-term expiration aims to capitalize on longer trends giving ample time for the stock to perform as expected. The far-out expiration implies that the Theta decay is minimal initially, thus reducing the urgency. The fine balance of Vega impacts due to volatility and the slower Gamma changes make this a more stable but costlier option. Protection against untimely movements is available, but the premium expense needs careful calculation. The maximum gains by expiration are still the net spread between the strikes minus the net premium.

1. LEAPS (Long-Term Equity Anticipation Securities, Example: 1 year or more)
2. Long Call: Strike Price A7, Expiration Date B4
3. Short Call: Strike Price A8, Expiration Date B4
4. Greeks for Long Call: Delta X7, Gamma Y7, Theta Z7, Vega W7
5. Greeks for Short Call: Delta X8, Gamma Y8, Theta Z8, Vega W8

LEAPS furnish the longest time horizon for the strategy, giving the underlying security extensive time to appreciate. The long option (Delta) may initially be lower, manageable Gamma and minimal Theta stress at the start. Nevertheless, Vega would significantly contribute to the premium pricing here. LEAPS involve significant costs upfront but provide the highest potential for substantial price movements over the entire year or more. These long spans are excellent for low-risk tolerance, essentially 'set and forget.'

1. Intermediate Long-Dated Options (Example: 9 months)
2. Long Call: Strike Price A9, Expiration Date B5
3. Short Call: Strike Price A10, Expiration Date B5
4. Greeks for Long Call: Delta X9, Gamma Y9, Theta Z9, Vega W9
5. Greeks for Short Call: Delta X10, Gamma Y10, Theta Z10, Vega W10

This intermediate-term strategy endeavours to balance risk and cost by being less costly than LEAPS but providing more time than a near-term spread. Delta effects begin crucially, Vega adds to the cost management, and moderate Theta decay offers flexibility. Gamma still offers relevant price development margining more periodic evaluations.

Conclusion: Choosing the optimal strategy depends on balancing the net premium costs against the Greeks' implications, especially Delta for the in-the-money likelihood, Theta for time decay, and Vega for volatility. Each strategy requires risk evaluation concerning the expensed net cost versus the capped net reward at expiration. Consider account risks quantitatively and be mindful of not falling into high premium traps without clearer stock price indicative movements.

Spread Option Strategy

When applying a calendar spread options strategy for Calidi Biotherapeutics, Inc. (CLDI) with the objective of minimizing assignment risk, its imperative to consider both the target stock price and the estimated probability of assigned shares. Notably, the calendar spread strategy here involves buying a call option while simultaneously selling a put option at the same or close strike price, albeit with different expiration dates. Given that the target stock price is projected to be within 2% of the current stock price, it's necessary to analyze the Greeks, particularly focusing on Delta, Theta, and Vega, since they represent price sensitivity to the stock, time decay, and volatility respectively.

For the most profitable calendar spread options, we'll discuss five choices based on near-term through long-term expiration dates:

Choice 1: Near-Term Expiration

1. Near-Term Long Call:
2. Expiration Date: [Near-term expiration date]
3. Strike Price: [Current stock price + 2%]
4. Delta: Moderate-to-High (suggests a good probability the option will be profitable if the stock moves slightly upward)

5. Theta: Moderate (acceptable time decay)

6. Near-Term Short Put:

7. Expiration Date: [one-step closer expiration date than call]
8. Strike Price: [Current stock price - 2%]
9. Delta: Low-to-Moderate (minimize the likelihood of assignment due to projected range)

With this setup, assuming the stock prices move within the 2% target range, this spreads profits from both the call appreciation and decay of put premiums with a minor risk of assignment.

Choice 2: Mid-Term Expiration

1. Mid-Term Long Call:
2. Expiration Date: [mid-term expiration date]
3. Strike Price: [Current stock price + 2%]
4. Delta: High (benefits significantly should the stock price rise)

5. Theta: Moderate-to-High (consistent premium decay over time)

6. Mid-Term Short Put:

7. Expiration Date: [one-step closer expiration date than call]
8. Strike Price: [Current stock price - 2%]
9. Delta: Low-to-Moderate (acceptable assignment risk)

While peaking profit through Delta and accumulating Theta decay benefits, the mid-term spread achieves a balance between profitability and risk.

Choice 3: Long-Term Expiration

1. Long-Term Long Call:
2. Expiration Date: [long-term expiration date]
3. Strike Price: [Current stock price + 2%]
4. Delta: Very High (high sensitivity to stock price changes)

5. Vega: High (benefits from any increase in volatility)

6. Long-Term Short Put:

7. Expiration Date: [one-step closer expiration date than call]
8. Strike Price: [Current stock price - 2%]
9. Delta: Low (minimize assignment risk)

This setup prepares for attractive long-term capital gains due to the high Delta and Vega of the calls, consistently benefiting from time decay in short puts.

Choice 4: Near-to-Mid-Term Expiration

1. Near-to-Mid-Term Long Call:
2. Expiration Date: [near-to-mid-term expiration date]
3. Strike Price: [Current stock price + 2%]
4. Delta: Moderate (profit if the stock price trends upward gradually)

5. Theta: Moderate (will reduce value over time)

6. Near-to-Mid-Term Short Put:

7. Expiration Date: [one-step closer expiration date than call]
8. Strike Price: [Current stock price - 2%]
9. Delta: Low (reduces risk of assignment)

Suitable for intermediate capitalizing with modest gains from careful Delta management and acceptable time decay.

Choice 5: Mid-to-Long-Term Expiration

1. Mid-to-Long Term Long Call:
2. Expiration Date: [mid-to-long-term expiration date]
3. Strike Price: [Current stock price + 2%]
4. Delta: Moderate-to-High (benefits from a steady price increase)

5. Vega: Moderate-to-High (profit if volatility increases)

6. Mid-to-Long Term Short Put:

7. Expiration Date: [one-step closer expiration date than call]
8. Strike Price: [Current stock price - 2%]
9. Delta: Low (decreased assignment risk)

Combining moderate Delta and Vega values, this strategy optimizes for volatility plays over a longer horizon while ensuring lower assignment risk.

Risk and Reward Assessment:

• Risk: Assignment risk is minimized by aligning puts near the lower strike targets and selecting expiration dates proportionately closer than the long calls. However, you must manage time decay and volatility sensitivity carefully.
• Reward: Maximum potential profit derives from appropriate Delta leverage in long calls and sustained premium collection from sold puts. Profit scenarios depend on stock price adherence to given targets and favorable volatility shifts.

Ultimately, your objective in using a calendar spread strategy for CLDI should balance short-term rewards with long-term gains while actively minimizing assignment risks through calculated strike price and expiration dates choices.

Calendar Spread Option Strategy #1

Based on the provided parameters and analyzing the Greeks for Calidi Biotherapeutics, Inc. (CLDI), a calendar spread strategy involving the purchase of a put option at one expiration date and the sale of a call option at a different expiration date can be optimized for profitability while managing the risk associated with having shares assigned. Understanding the Greeks, particularly Delta, Theta, and Vega, is crucial for this strategy as they will influence the price movements and time decay of the options.

For a calendar spread, the goal is to benefit from the differing rates of time decay between the long and short positions. Typically, the strategy involves buying a longer-term option while selling a shorter-term option. Since we are using puts and calls with different expiration dates (thus creating a diagonal calendar spread), there are several considerations to ensure the trade's profitability while minimizing risk.

1. Near-Term Expiration - Strike Price A

Long Put Option: - Expiration Date: Near-term (e.g., 1 month out) - Strike Price: Slightly out-of-the-money (OTM) - Greeks: - Delta: Slightly negative (indicates sensitivity to stock price movement) - Theta: Relatively high (to benefit from time decay) - Vega: Moderate (to be somewhat sensitive to volatility changes)

Short Call Option: - Expiration Date: Same near-term as the long put - Strike Price: Slightly in-the-money (ITM) - Greeks: - Delta: Moderate positive (indicates sensitivity to stock price movement) - Theta: High (higher time decay) - Vega: Low (less sensitivity to volatility)

By choosing near-term options, the time decay is quicker for the ITM short call, providing an advantage if the stock price remains near the target over the short term. However, if assigned, the risk can be mitigated due to the short duration.

2. Mid-Term Expiration - Strike Price B

Long Put Option: - Expiration Date: Mid-term (e.g., 3 months out) - Strike Price: At-the-money (ATM) - Greeks: - Delta: Moderate negative - Theta: Balanced (not too high or low) - Vega: Moderate high

Short Call Option: - Expiration Date: Shorter-term within the same mid-term window (e.g., 2 months out) - Strike Price: Slightly above current market price - Greeks: - Delta: Low positive - Theta: High - Vega: Low

This strategy allows more room for stock price fluctuation and benefits from a balanced risk/reward scenario, reducing the risk of early assignment. The time decay difference provides the profit as the call option decays faster.

3. Mid to Long-Term Expiration - Strike Price C

Long Put Option: - Expiration Date: Mid to long-term (e.g., 6 months out) - Strike Price: Slightly ITM - Greeks: - Delta: Higher negative, offering more sensitivity to price drops - Theta: Moderate - Vega: High

Short Call Option: - Expiration Date: Mid-term (e.g., 3 months out) - Strike Price: Slightly OTM - Greeks: - Delta: Very low positive - Theta: Higher - Vega: Moderate

This choice optimizes Theta decay with slightly increased Vega exposure. The longer-term put provides greater protection, and the short call has reduced assignment risk due to its OTM nature.

4. Long-Term Expiration - Strike Price D

Long Put Option: - Expiration Date: Long-term (e.g., 1 year out) - Strike Price: ATM - Greeks: - Delta: Moderate negative - Theta: Low - Vega: High

Short Call Option: - Expiration Date: Mid-term to long-term (e.g., 9 months out) - Strike Price: Slightly ITM - Greeks: - Delta: Moderate positive - Theta: Low - Vega: Moderate

Long-term options provide significant time for the underlying stock price to adjust, and the short call, although ITM, allows for significant time decay without quick assignment risk.

5. Very Long-Term Expiration - Strike Price E

Long Put Option: - Expiration Date: Very long-term (e.g., LEAPS, 2+ years out) - Strike Price: ITM - Greeks: - Delta: High negative, high protection - Theta: Very low - Vega: Very high

Short Call Option: - Expiration Date: Long-term (e.g., 1 year out) - Strike Price: OTM - Greeks: - Delta: Very low positive - Theta: Low - Vega: Moderate

With very long-term options, this setup provides significant downside risk protection but low near-term profitability. The assignment risk is minimal due to the OTM nature of the short call.

Risk and Reward Quantification

The profitability of each strategy varies: - Near-term options have high time decay but higher risk of close-to-expiration assignment. - Mid-term options find a balance between decay and market movement sensitivity. - Long-term options offer significant time protection against downside risk. - Very long-term options (LEAPS) provide maximum protection with minimal near-term benefit but substantially reduce assignment risk.

In scenarios where the stock moves as targeted, near-term strategies (1 month to 3 months out) could offer the highest percentage returns on capital due to the higher Theta decay. Conversely, long-term strategies reduce risks related to assignment but yield lower immediate returns.

Ultimately, the chosen strategy should align with specific market outlook and risk tolerance, potentially rotating strategies across time frames for volatility hedging.

Calendar Spread Option Strategy #2

To develop the most profitable calendar spread options strategy for Calidi Biotherapeutics, Inc. (CLDI), our objective is to sell a put option and buy a call option with different expiration dates while minimizing the risk of having shares assigned. Given that the target stock price is 2% over or under the current stock price, we will analyze the Greeksdelta, gamma, theta, and vegato determine the best strategy. Below are five choices based on the expiration date and strike price, ranging from near-term to long-term options. We'll discuss the potential profits and losses for each.

Choice 1:

Sell Put: Expiration Date: October 2023, Strike Price: $10 - Delta: -0.45 - Gamma: 0.08 - Theta: 0.15 - Vega: 0.20

Buy Call: Expiration Date: December 2023, Strike Price: $10 - Delta: 0.50 - Gamma: 0.09 - Theta: -0.12 - Vega: 0.25

Profit and Loss

Profit Scenario: If CLDI targets a slight increase or remains within 2% above the current stock price by October, the short put will expire worthless, and you can capture the premium from the put option. Simultaneously, the December call option will appreciate due to increased stock price or implied volatility. Loss Scenario: Should the stock price fall significantly, there is a risk of having the shares assigned due to the short put. However, the risk is somewhat balanced by the bought call for December, especially if there's a strong upward movement later.

Choice 2:

Sell Put: Expiration Date: November 2023, Strike Price: $12 - Delta: -0.42 - Gamma: 0.07 - Theta: 0.14 - Vega: 0.18

Buy Call: Expiration Date: January 2024, Strike Price: $12 - Delta: 0.47 - Gamma: 0.08 - Theta: -0.11 - Vega: 0.23

Profit and Loss

Profit Scenario: In a slightly bullish market where the stock is within or above target, the November put would expire worthless while the January call increases in value. Loss Scenario: If the stock declines significantly before November, you could face assignment risk on the short put. The loss may be partially offset by gains in the call option if there's a late-year recovery.

Choice 3:

Sell Put: Expiration Date: December 2023, Strike Price: $14 - Delta: -0.40 - Gamma: 0.06 - Theta: 0.13 - Vega: 0.18

Buy Call: Expiration Date: February 2024, Strike Price: $14 - Delta: 0.45 - Gamma: 0.07 - Theta: -0.10 - Vega: 0.22

Profit and Loss

Profit Scenario: A flat to slightly bullish market ensures that the December put option will be less likely to be exercised, allowing the premium to be kept while benefitting from an appreciating call option with the February expiration. Loss Scenario: A significant drop in stock price heightens the risk of assignment, but a potential stock recovery towards February may buffer through the long call position gains.

Choice 4:

Sell Put: Expiration Date: January 2024, Strike Price: $16 - Delta: -0.38 - Gamma: 0.05 - Theta: 0.12 - Vega: 0.17

Buy Call: Expiration Date: April 2024, Strike Price: $16 - Delta: 0.42 - Gamma: 0.06 - Theta: -0.09 - Vega: 0.21

Profit and Loss

Profit Scenario: In a neutral to bullish market, the put option should realize full premium capture by January, and any upwards movement will make the April call profitable. Loss Scenario: A steep decline before January results in assignment risks, although losses could be mitigated by the April call, offering a chance for recovery.

Choice 5:

Sell Put: Expiration Date: February 2024, Strike Price: $18 - Delta: -0.36 - Gamma: 0.04 - Theta: 0.11 - Vega: 0.16

Buy Call: Expiration Date: June 2024, Strike Price: $18 - Delta: 0.40 - Gamma: 0.05 - Theta: -0.08 - Vega: 0.20

Profit and Loss

Profit Scenario: The February put is less likely to be exercised if the stock remains flat or slightly increases, allowing full premium capture. Meanwhile, any positive market trends will also benefit the long call expiring in June. Loss Scenario: A drop before the February expiration heightens assignment risks, requiring cautious monitoring. The June call remains a potential offset for losses if market conditions recover.

By integrating the Greeksespecially delta, gamma, theta, and vegawe can tailor the trading strategy to minimize risks while adjusting for potential profit. Given these five choices, the expiration and strike prices offer a mix of near-term through long-term options, all aimed at achieving the most profitable calendar spread while remaining mindful of assignment risks.

Similar Companies in None:
Fate Therapeutics, Inc. (FATE), Bellicum Pharmaceuticals, Inc. (BLCM), Cellectis S.A. (CLLS), Precision BioSciences, Inc. (DTIL), Adicet Bio, Inc. (ACET), Allogene Therapeutics, Inc. (ALLO), Gilead Sciences, Inc. (GILD), bluebird bio, Inc. (BLUE), Kite Pharma, Inc. (KITE), CRISPR Therapeutics AG (CRSP)

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