S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2015-12-08CMG13.452016-01-08495.08.486.69.5
2015-12-08ALXN5.322015-12-31177.52.12.42.75
2015-12-08YHOO3.222016-01-1532.00.770.750.77

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
2015-12-08CMG2522
2015-12-08AAPL1749
2015-12-08KMI1326
2015-12-08NFLX892
2015-12-08AMZN716
2015-12-08YHOO529
2015-12-08GOOGL305
2015-12-08MSFT271
2015-12-08LUV265
2015-12-08COST264

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2015-12-08CMG13.45
2015-12-08KMI11.49
2015-12-08AZO7.18
2015-12-08NWL5.84
2015-12-08SPLS5.8
2015-12-08NSC5.73
2015-12-08HRB5.51
2015-12-08ALXN5.32
2015-12-08LUV4.78
2015-12-08GAS4.67

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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