S&P 500 Put Selling Report

Put selling Candidates:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk

Follow Up Actions:

DateSymbolTweets RatioOption Expiration DateOption StrikeCloseBidAsk
2016-02-19WMT5.862016-03-0462.50.480.350.39
2016-02-19BRK.B3.432016-03-04127.03.00.760.95

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
2016-02-19AAPL1752
2016-02-19YHOO610
2016-02-19AMZN461
2016-02-19JWN339
2016-02-19AMAT333
2016-02-19IBM330
2016-02-19NFLX329
2016-02-19DE278
2016-02-19PCLN259
2016-02-19WMT244

Top 10 Stocks by tweets ratio:

DateSymbolTweets Ratio
2016-02-19VFC13.34
2016-02-19FLR12.63
2016-02-19AMAT9.75
2016-02-19JWN8.03
2016-02-19AEE7.82
2016-02-19DE7.7
2016-02-19PNW6.91
2016-02-19PEG5.53
2016-02-19DO5.19
2016-02-19POM4.67

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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