S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2014-11-12FOSL15.732014-12-12106.06.20.72.2
2014-11-12PHM3.942014-12-1219.50.290.230.29
2014-11-12CSCO3.542014-12-2024.00.330.310.33
2014-11-12NTAP3.472014-12-1239.50.460.430.51
2014-11-12DOW3.052014-12-1247.00.850.330.61

Follow Up Actions:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2014-11-12UNP3.542014-12-20115.01.11.031.15

Current Put Selling Performance:

Premium Retention Ratio: 83.98%. (For every 1 dollar put option premium collected, 83.98 cents were kept eventually.)

Fraction of Winning Trade: 95.14%

Average Annualized Rate of Return: 83.13%.

Top 10 Stocks by number of tweets:

DateSymbolNumber of Tweets
2014-11-12AAPL1287
2014-11-12YHOO561
2014-11-12CSCO393
2014-11-12M387
2014-11-12JCP373
2014-11-12GOOGL364
2014-11-12AMZN327
2014-11-12JPM308
2014-11-12FOSL251
2014-11-12C243

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2014-11-12ZTS19.35
2014-11-12BBT16.89
2014-11-12FOSL15.73
2014-11-12ADT12.99
2014-11-12M8.8
2014-11-12SJM8.73
2014-11-12ROK7.32
2014-11-12TEL6.45
2014-11-12DHI6.02
2014-11-12DHR5.32

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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