Overnight · SPY
Which structure to hold
| Structure | Nights | Profitable nights | Total P&L | Avg per night | Max drawdown | 2025 | 2026 |
|---|---|---|---|---|---|---|---|
| 100 shares buy 100 shares at 15:45, sell at 09:35 |
448 | 48% | -4,182 | -9.3 | -10,516 | -2,834 | -1,348 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
447 | 46% | -4,888 | -10.9 | -10,153 | -2,294 | -2,594 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
427 | 48% | -4,244 | -9.9 | -9,995 | -1,761 | -2,483 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
447 | 46% | -6,742 | -15.1 | -11,654 | -3,589 | -3,153 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
427 | 48% | -6,269 | -14.7 | -11,621 | -3,201 | -3,069 |
| ATM call buy the ATM call expiring on the exit day |
448 | 38% | -4,273 | -9.5 | -7,909 | -1,806 | -2,467 |
Cumulative P&L by structure
Does choosing the side help
| Direction rule | Nights | Profitable nights | Total P&L | Avg per night | Max drawdown | 2025 | 2026 |
|---|---|---|---|---|---|---|---|
| Always long Every night the bullish structure. |
447 | 53% | +4,375 | +9.8 | -7,364 | +2,549 | +1,826 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
421 | 42% | -15,083 | -35.8 | -20,424 | -8,035 | -7,048 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
441 | 48% | -4,439 | -10.1 | -5,913 | -2,286 | -2,153 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
427 | 48% | -6,269 | -14.7 | -11,621 | -3,201 | -3,069 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
241 | 53% | +3,271 | +13.6 | -3,977 | +1,877 | +1,394 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
206 | 54% | +1,104 | +5.4 | -4,772 | +672 | +432 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
441 | 44% | -16,055 | -36.4 | -16,463 | -5,286 | -10,769 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
427 | 52% | +5,347 | +12.5 | -3,659 | -201 | +5,548 |
Synthetic + put 2 % below · Against the session so far
Weeknights: 333 nights, 48% profitable, -1,824 in total, -5 per night. Weekends and holidays: 94 nights, 48% profitable, -4,446 in total, -47 per night.
Average move of the underlying from 15:44 to 09:34: +0.050 %. Protection alone, premium paid at 15:45 minus premium recovered at 09:35 with fees: put 1 % below $12.9 per night, put 2 % below $8.3 per night.
How it was computed
The underlying price at entry is the close of the 15:44 minute bar (12:44 on shortened sessions), at exit the close of the 09:34 bar. Strikes are chosen from the entry price: the ATM strike is the nearest whole dollar, the protective strike the nearest whole dollar to 1 % or 2 % away. Every option is priced at the last NBBO at or before 15:45:00 and 09:35:00; a quote older than 15 minutes or missing makes the night unusable for that structure and it is listed, not counted. Shares pay a one-cent spread and $1 commission each way and receive no dividend in this model. Short options can be assigned early and shares held overnight need capital or margin; neither is modelled.
Last update: 2026-10-16 21:00:06 UTC