S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2016-01-08TWX12.532016-01-2966.02.520.61.3
2016-01-08STX5.172016-01-2929.50.210.50.68
2016-01-08WMB4.312016-02-1918.00.90.221.9
2016-01-08SWN3.992016-02-196.00.530.530.56

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
2016-01-08AAPL2970
2016-01-08NFLX1065
2016-01-08AMZN911
2016-01-08MSFT818
2016-01-08S797
2016-01-08TWX472
2016-01-08YHOO448
2016-01-08GPS436
2016-01-08JPM380
2016-01-08GS379

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-01-08TWX12.53
2016-01-08GPS11.02
2016-01-08TMO8.42
2016-01-08MAC7.46
2016-01-08S7.11
2016-01-08STX5.17
2016-01-08BBBY4.64
2016-01-08WMB4.31
2016-01-08BMS4.02
2016-01-08SWN3.99

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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