Overnight · QQQ
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 |
209 | 57% | +7,288 | +34.9 | -5,013 | +1,384 | +5,904 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
209 | 51% | +5,350 | +25.6 | -3,072 | +1,660 | +3,690 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
208 | 54% | +6,011 | +28.9 | -3,694 | +1,352 | +4,659 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
208 | 50% | +2,432 | +11.7 | -3,786 | -45 | +2,477 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
208 | 52% | +2,590 | +12.5 | -4,395 | -353 | +2,943 |
| ATM call buy the ATM call expiring on the exit day |
208 | 44% | +3,571 | +17.2 | -2,422 | +441 | +3,130 |
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. |
445 | 50% | +4,415 | +9.9 | -5,595 | +3,781 | +635 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
442 | 40% | -15,109 | -34.2 | -22,650 | -9,521 | -5,587 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
444 | 44% | -5,483 | -12.3 | -12,323 | +1,114 | -6,596 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
443 | 45% | -5,211 | -11.8 | -10,699 | -6,854 | +1,644 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
237 | 49% | +1,984 | +8.4 | -4,237 | +3,826 | -1,842 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
208 | 50% | +2,432 | +11.7 | -3,786 | -45 | +2,477 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
445 | 42% | -18,998 | -42.7 | -20,612 | -4,592 | -14,405 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
442 | 48% | +8,304 | +18.8 | -7,409 | -1,149 | +9,453 |
Synthetic + put 1 % below · Long only after a down session
Weeknights: 162 nights, 49% profitable, +1,609 in total, +10 per night. Weekends and holidays: 46 nights, 57% profitable, +823 in total, +18 per night.
Average move of the underlying from 15:44 to 09:34: +0.070 %. Protection alone, premium paid at 15:45 minus premium recovered at 09:35 with fees: put 1 % below $13.1 per night, put 2 % below $11.3 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