S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk

Follow Up Actions:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk

Current Put Selling Performance:

Premium Retention Ratio: 80.0%. (For every 1 dollar put option premium collected, 80.0 cents were kept eventually.)

Fraction of Winning Trade: 94.32%

Average Annualized Rate of Return: 114.8%.

Top 10 Stocks by number of tweets:

DateSymbolNumber of Tweets
2015-12-04AAPL1771
2015-12-04NFLX619
2015-12-04KMI551
2015-12-04CMG468
2015-12-04AMZN365
2015-12-04AVP334
2015-12-04MRK275
2015-12-04MSFT238
2015-12-04YHOO176
2015-12-04CHK173

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2015-12-04AVP7.17
2015-12-04NSC6.1
2015-12-04KMI5.66
2015-12-04NRG4.9
2015-12-04DGX4.14
2015-12-04PVH3.76
2015-12-04VRSN3.16
2015-12-04KR3.07
2015-12-04TYC2.98
2015-12-04CMG2.91

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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