S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2014-10-30V6.812014-11-14230.01.151.341.61
2014-10-30SBUX5.562014-11-2873.50.70.580.68
2014-10-30MO4.682014-12-0546.00.440.350.4
2014-10-30FFIV4.352014-11-14116.01.130.981.12
2014-10-30TRIP4.212014-11-2279.01.351.41.8
2014-10-30BMY3.662014-11-2256.00.410.40.47
2014-10-30EXPE3.152014-12-0573.02.01.42.2
2014-10-30MOS3.042014-12-0541.00.660.370.51
2014-10-30COP3.032014-12-0567.00.850.570.74

Follow Up Actions:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2014-10-30RL4.42014-11-22160.01.31.11.35

Current Put Selling Performance:

Premium Retention Ratio: 83.65%. (For every 1 dollar put option premium collected, 83.65 cents were kept eventually.)

Fraction of Winning Trade: 95.04%

Average Annualized Rate of Return: 83.51%.

Top 10 Stocks by number of tweets:

DateSymbolNumber of Tweets
2014-10-30AAPL1774
2014-10-30V709
2014-10-30SBUX417
2014-10-30MA368
2014-10-30AMZN365
2014-10-30GOOGL339
2014-10-30MSFT307
2014-10-30C289
2014-10-30NFLX285
2014-10-30BAC242

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2014-10-30AVP9.28
2014-10-30V6.81
2014-10-30SBUX5.56
2014-10-30MO4.68
2014-10-30MA4.44
2014-10-30PBI4.38
2014-10-30FFIV4.35
2014-10-30TRIP4.21
2014-10-30BMY3.66
2014-10-30KRFT3.62

Tweets ratio: number of tweets mentioning the stock 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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