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
2016-01-07AAPL4542
2016-01-07NFLX1620
2016-01-07AMZN902
2016-01-07CMG869
2016-01-07DIS521
2016-01-07WMT499
2016-01-07M481
2016-01-07GOOGL427
2016-01-07STZ348
2016-01-07YHOO316

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-01-07STZ13.22
2016-01-07SVU6.11
2016-01-07BBBY5.81
2016-01-07PXD5.7
2016-01-07M5.4
2016-01-07TWX5.3
2016-01-07GPS4.95
2016-01-07AN4.38
2016-01-07CMA3.97
2016-01-07JCP3.87

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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