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 |
206 | 56% | +5,330 | +25.9 | -4,917 | +2,339 | +2,991 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
206 | 53% | +2,772 | +13.5 | -3,393 | +2,158 | +614 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
206 | 54% | +3,809 | +18.5 | -3,983 | +2,198 | +1,611 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
206 | 52% | +67 | +0.3 | -4,205 | +632 | -565 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
206 | 54% | +1,104 | +5.4 | -4,772 | +672 | +432 |
| ATM call buy the ATM call expiring on the exit day |
206 | 44% | +90 | +0.4 | -2,487 | +497 | -407 |
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 | 54% | +9,220 | +20.6 | -6,963 | +5,163 | +4,057 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
421 | 41% | -17,231 | -40.9 | -22,377 | -8,889 | -8,342 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
441 | 48% | -3,767 | -8.5 | -5,612 | -1,965 | -1,802 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
427 | 48% | -4,244 | -9.9 | -9,995 | -1,761 | -2,483 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
241 | 54% | +5,411 | +22.5 | -3,881 | +2,965 | +2,446 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
206 | 54% | +3,809 | +18.5 | -3,983 | +2,198 | +1,611 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
441 | 45% | -13,890 | -31.5 | -14,365 | -4,005 | -9,885 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
427 | 51% | +5,879 | +13.8 | -3,562 | +279 | +5,600 |
Shares + put 2 % below · Long only after a down session
Weeknights: 165 nights, 53% profitable, +2,961 in total, +18 per night. Weekends and holidays: 41 nights, 59% profitable, +848 in total, +21 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