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 |
448 | 47% | -18,989 | -42.4 | -20,758 | -3,662 | -15,326 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
445 | 41% | -16,509 | -37.1 | -18,753 | -3,063 | -13,446 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
437 | 44% | -21,514 | -49.2 | -23,114 | -4,963 | -16,551 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
445 | 42% | -18,998 | -42.7 | -20,612 | -4,592 | -14,405 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
437 | 43% | -24,034 | -55.0 | -25,603 | -6,524 | -17,510 |
| ATM call buy the ATM call expiring on the exit day |
446 | 36% | -9,510 | -21.3 | -10,995 | -1,589 | -7,921 |
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 | 56% | +16,466 | +36.8 | -8,977 | +9,319 | +7,147 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
448 | 43% | -20,050 | -44.8 | -28,680 | -11,319 | -8,731 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
448 | 49% | +218 | +0.5 | -12,519 | +5,662 | -5,444 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
448 | 50% | -3,802 | -8.5 | -11,928 | -7,662 | +3,860 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
239 | 55% | +9,178 | +38.4 | -4,806 | +7,934 | +1,243 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
209 | 57% | +7,288 | +34.9 | -5,013 | +1,384 | +5,904 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
448 | 47% | -18,989 | -42.4 | -20,758 | -3,662 | -15,326 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
448 | 53% | +15,405 | +34.4 | -6,415 | +1,662 | +13,742 |
100 shares · Follow the previous session
Weeknights: 350 nights, 47% profitable, -15,197 in total, -43 per night. Weekends and holidays: 98 nights, 44% profitable, -3,792 in total, -39 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