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
2016-02-04AAPL1115
2016-02-04AMZN556
2016-02-04COP548
2016-02-04NFLX429
2016-02-04GOOGL326
2016-02-04FCX311
2016-02-04RL291
2016-02-04YHOO279
2016-02-04MSFT266
2016-02-04GS257

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-04RL19.24
2016-02-04XYL10.44
2016-02-04COP7.0
2016-02-04KSS6.55
2016-02-04SNA6.2
2016-02-04TMK5.69
2016-02-04TDC5.24
2016-02-04MAT4.93
2016-02-04PPL4.88
2016-02-04VIAB4.71

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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