This is not investment advice. Ex ante, there’s a good chance it constitutes a cautionary tale, and is the exact opposite of investment advice. It’s a story about a non-derivatives expert doing derivatives stat arb for fun. Those stories tend to end badly. Please do your own research, avoid taking dumb risks, and don’t come crying to me if a bug in my Excel or Python model is the reason you got a margin call.
In the interest of full disclosure, I am doing a version of this trade right now. YOLO.