S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2016-01-05FSLR8.192016-01-2964.54.080.562.33

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
2016-01-05AAPL2542
2016-01-05AMZN860
2016-01-05NFLX810
2016-01-05FSLR726
2016-01-05F597
2016-01-05DIS481
2016-01-05GM480
2016-01-05GS377
2016-01-05GOOGL364
2016-01-05CMG338

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-01-05HAR12.67
2016-01-05FLIR12.16
2016-01-05SCHW8.75
2016-01-05FSLR8.19
2016-01-05COF5.9
2016-01-05GM4.6
2016-01-05PXD4.57
2016-01-05ADM4.36
2016-01-05SE4.17
2016-01-05FII3.93

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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