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
2016-02-12AAPL923
2016-02-12JPM553
2016-02-12NFLX476
2016-02-12AMZN403
2016-02-12WYNN295
2016-02-12BAC270
2016-02-12V254
2016-02-12BA215
2016-02-12CSCO210
2016-02-12CHK186

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-12IPG8.85
2016-02-12XRAY6.05
2016-02-12VMC5.51
2016-02-12VTR4.31
2016-02-12EFX3.58
2016-02-12BBT3.4
2016-02-12JPM3.21
2016-02-12DNB3.1
2016-02-12DVA3.09
2016-02-12WYNN2.97

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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