S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2015-12-21CMG3.22016-01-29470.08.57.411.4

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
2015-12-21AAPL1987
2015-12-21DIS810
2015-12-21CMG789
2015-12-21AMZN485
2015-12-21NFLX439
2015-12-21GOOGL336
2015-12-21MSFT286
2015-12-21NKE229
2015-12-21CVX197
2015-12-21MCD192

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2015-12-21OKE14.25
2015-12-21CTAS5.15
2015-12-21APC4.46
2015-12-21SVU4.29
2015-12-21VRSN4.17
2015-12-21RRC4.05
2015-12-21ICE3.81
2015-12-21AMP3.72
2015-12-21RHT3.62
2015-12-21KMB3.4

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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