S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2016-02-16ZTS6.962016-03-1838.00.950.50.7
2016-02-16HRL5.662016-03-1842.50.850.70.9
2016-02-16BAX4.862016-03-1835.00.420.350.41
2016-02-16DG3.732016-03-1168.51.110.91.2

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
2016-02-16AAPL1412
2016-02-16AMZN526
2016-02-16NFLX413
2016-02-16ADT405
2016-02-16FCX328
2016-02-16GS312
2016-02-16HRL265
2016-02-16WYNN261
2016-02-16BAC249
2016-02-16MSFT248

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-16ADT31.4
2016-02-16SCG9.79
2016-02-16GPC8.92
2016-02-16ZTS6.96
2016-02-16HRL5.66
2016-02-16HST5.6
2016-02-16BAX4.86
2016-02-16CERN3.83
2016-02-16ETR3.78
2016-02-16DG3.73

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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