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
2016-02-10AAPL775
2016-02-10DIS712
2016-02-10AMZN637
2016-02-10CSCO498
2016-02-10NFLX479
2016-02-10AKAM472
2016-02-10TWX442
2016-02-10GS304
2016-02-10GOOGL239
2016-02-10CHK229

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-10AKAM21.9
2016-02-10WU8.63
2016-02-10TWX7.98
2016-02-10DTE6.8
2016-02-10OI6.55
2016-02-10GCI6.13
2016-02-10AIZ6.13
2016-02-10DF5.47
2016-02-10XL5.43
2016-02-10GT4.92

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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