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
2015-12-24AAPL931
2015-12-24NKE435
2015-12-24AMZN363
2015-12-24NFLX327
2015-12-24DIS292
2015-12-24CMG240
2015-12-24GOOGL228
2015-12-24FCX193
2015-12-24MU191
2015-12-24CELG189

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2015-12-24BBBY4.73
2015-12-24HRL2.93
2015-12-24CB2.79
2015-12-24VRSN2.71
2015-12-24TRV2.66
2015-12-24CTAS2.63
2015-12-24HRS2.59
2015-12-24SEE2.36
2015-12-24TSS2.1
2015-12-24TMO2.08

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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