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 |
242 | 57% | +7,576 | +31.3 | -4,666 | +4,029 | +3,547 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
242 | 52% | +4,332 | +17.9 | -2,968 | +2,676 | +1,656 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
241 | 54% | +5,411 | +22.5 | -3,881 | +2,965 | +2,446 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
242 | 50% | +2,184 | +9.0 | -3,166 | +1,580 | +604 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
241 | 53% | +3,271 | +13.6 | -3,977 | +1,877 | +1,394 |
| ATM call buy the ATM call expiring on the exit day |
242 | 41% | +2,675 | +11.1 | -1,493 | +1,625 | +1,050 |
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. |
448 | 43% | +2,766 | +6.2 | -3,522 | +2,122 | +644 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
448 | 33% | -8,356 | -18.7 | -13,305 | -3,431 | -4,925 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
448 | 37% | -1,317 | -2.9 | -4,110 | +497 | -1,814 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
448 | 38% | -4,273 | -9.5 | -7,909 | -1,806 | -2,467 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
242 | 41% | +2,675 | +11.1 | -1,493 | +1,625 | +1,050 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
206 | 44% | +90 | +0.4 | -2,487 | +497 | -407 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
448 | 36% | -8,198 | -18.3 | -9,020 | -2,179 | -6,019 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
448 | 39% | +2,608 | +5.8 | -2,939 | +870 | +1,738 |
ATM call · Long only after an up session
Weeknights: 185 nights, 41% profitable, +1,441 in total, +8 per night. Weekends and holidays: 57 nights, 42% profitable, +1,234 in total, +22 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