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 |
239 | 55% | +9,178 | +38.4 | -4,806 | +7,934 | +1,243 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
237 | 49% | +5,011 | +21.1 | -3,230 | +5,525 | -515 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
237 | 51% | +5,942 | +25.1 | -3,629 | +6,408 | -467 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
237 | 49% | +1,984 | +8.4 | -4,237 | +3,826 | -1,842 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
237 | 51% | +2,903 | +12.2 | -4,554 | +4,697 | -1,794 |
| ATM call buy the ATM call expiring on the exit day |
238 | 41% | +3,181 | +13.4 | -2,777 | +3,499 | -318 |
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. |
446 | 42% | +6,751 | +15.1 | -3,523 | +3,939 | +2,812 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
446 | 33% | -8,064 | -18.1 | -14,772 | -4,122 | -3,942 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
446 | 37% | +184 | +0.4 | -7,028 | +3,186 | -3,002 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
446 | 38% | -1,497 | -3.4 | -7,142 | -3,369 | +1,872 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
238 | 41% | +3,181 | +13.4 | -2,777 | +3,499 | -318 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
208 | 44% | +3,571 | +17.2 | -2,422 | +441 | +3,130 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
446 | 36% | -9,510 | -21.3 | -10,995 | -1,589 | -7,921 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
446 | 39% | +8,197 | +18.4 | -4,088 | +1,406 | +6,791 |
ATM call · Long only after an up session
Weeknights: 187 nights, 39% profitable, +219 in total, +1 per night. Weekends and holidays: 51 nights, 47% profitable, +2,962 in total, +58 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