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 |
448 | 42% | -16,490 | -36.8 | -23,285 | -8,368 | -8,121 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
447 | 40% | -16,002 | -35.8 | -21,432 | -8,360 | -7,642 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
421 | 41% | -17,231 | -40.9 | -22,377 | -8,889 | -8,342 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
447 | 40% | -13,671 | -30.6 | -19,314 | -7,350 | -6,321 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
421 | 42% | -15,083 | -35.8 | -20,424 | -8,035 | -7,048 |
| ATM call buy the ATM call expiring on the exit day |
448 | 33% | -8,356 | -18.7 | -13,305 | -3,431 | -4,925 |
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 · Always short
Weeknights: 350 nights, 34% profitable, -5,216 in total, -15 per night. Weekends and holidays: 98 nights, 30% profitable, -3,140 in total, -32 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