S&P 500 Put Selling Report

Put selling picks:

DateSymbolTweets RatioOption Expiration DateOption Strike Price
2013-10-04ADBE6.422013-10-1949.0
2013-10-04MPC3.222013-10-1962.5
2013-10-04TSO4.712013-10-1942.0

Current Put Selling Performance:

Premium Retention Ratio: 82.35%. (For every 1 dollar put option premium collected, 82.35 cents were kept eventually.)

Fraction of Winning Trade: 95.43%.

Top 10 Stocks by number of tweets:

DateSymbolNumber of Tweets
2013-10-04AAPL1190
2013-10-04JCP452
2013-10-04GOOG417
2013-10-04WAG324
2013-10-04MSFT207
2013-10-04NFLX180
2013-10-04ADBE176
2013-10-04JPM175
2013-10-04YHOO150
2013-10-04AMZN135

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2013-10-04XRAY11.91
2013-10-04STZ7.21
2013-10-04ADBE6.42
2013-10-04STJ5.67
2013-10-04CSX5.58
2013-10-04LMT5.45
2013-10-04UNP5.38
2013-10-04HCP5.04
2013-10-04CMS5.01
2013-10-04CAH4.86

Tweets ratio: the ratio of the number of tweets in the Twitter volume spike over the average number of tweets in the past 70 days.

The put options satisfy the following conditions will be selected for trading on the next trading day:

• The put option has the delta value closest to -0.2 in the range [-0.3,-0.2].

• The put option has (Option Sell Price*100)/(Option Strike Price) in the range [0,1].

S&P 500 Put Selling Report



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