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
2016-02-03AAPL1355
2016-02-03BIG1293
2016-02-03YHOO925
2016-02-03AMZN799
2016-02-03CMG778
2016-02-03GOOGL670
2016-02-03GILD611
2016-02-03NFLX545
2016-02-03GM422
2016-02-03BAC372

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-03BIG12.16
2016-02-03AVY10.4
2016-02-03ETN9.26
2016-02-03NOV8.64
2016-02-03BDX7.61
2016-02-03MDLZ7.02
2016-02-03ADT6.79
2016-02-03RHI6.43
2016-02-03EW5.87
2016-02-03CMCSA5.76

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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