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 | 43% | -20,050 | -44.8 | -28,680 | -11,319 | -8,731 |
| Shares + put 1 % below 100 shares plus a put about 1 % below, expiring on the exit day |
442 | 40% | -16,463 | -37.2 | -23,850 | -10,356 | -6,107 |
| Shares + put 2 % below 100 shares plus a put about 2 % below, expiring on the exit day |
425 | 42% | -21,263 | -50.0 | -28,706 | -13,232 | -8,031 |
| Synthetic + put 1 % below buy the ATM call, sell the ATM put, buy a put about 1 % below |
442 | 40% | -15,109 | -34.2 | -22,650 | -9,521 | -5,587 |
| Synthetic + put 2 % below buy the ATM call, sell the ATM put, buy a put about 2 % below |
424 | 42% | -19,862 | -46.8 | -27,614 | -12,349 | -7,512 |
| ATM call buy the ATM call expiring on the exit day |
446 | 33% | -8,064 | -18.1 | -14,772 | -4,122 | -3,942 |
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 | 52% | +11,952 | +26.9 | -6,262 | +7,760 | +4,192 |
| Always short Every night the mirrored bearish structure: short shares, or a put instead of a call, protected on the other side. |
425 | 42% | -21,263 | -50.0 | -28,706 | -13,232 | -8,031 |
| Follow the session so far Long when the underlying at 15:44 is above the open of that session, short otherwise. |
439 | 46% | -4,708 | -10.7 | -13,946 | +2,249 | -6,956 |
| Against the session so far Short when the underlying at 15:44 is above the open of that session, long otherwise. |
431 | 48% | -4,603 | -10.7 | -11,623 | -7,721 | +3,118 |
| Long only after an up session Long when the session so far is up, no position otherwise. |
237 | 51% | +5,942 | +25.1 | -3,629 | +6,408 | -467 |
| Long only after a down session Long when the session so far is down, no position otherwise. |
208 | 54% | +6,011 | +28.9 | -3,694 | +1,352 | +4,659 |
| Follow the previous session Long when the previous completed session closed above its open, short otherwise. |
437 | 44% | -21,514 | -49.2 | -23,114 | -4,963 | -16,551 |
| Against the previous session Short when the previous completed session closed above its open, long otherwise. |
433 | 51% | +12,203 | +28.2 | -7,477 | -510 | +12,712 |
Shares + put 2 % below · Always short
Weeknights: 332 nights, 42% profitable, -12,239 in total, -37 per night. Weekends and holidays: 93 nights, 41% profitable, -9,024 in total, -97 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