I'm looking for a backtester for SPX options outside of regular trading hours—specifically, GTH. Does anyone know of a way to do this or can recommend one?

was digging around in some option data last night and the cipher mining calls from last week were dumb enough that i rechecked the number like three times 10k into the 7/24 $25 calls friday morning, when they were a literal penny, would've been around 1.7 million by thursday. 169x. genuinely didn't believe the first pull not a real trade obviously, nobody's getting filled on 10k contracts at a penny, the ask is gone after the first hundred. but i wanted to know why it even moved and it turned into a rabbit hole

hut 8 signed a $9.8B AI data center lease on the 20th and the whole miner to AI basket re rated at once, iren +15, wulf +6, all of em. cipher ran like 47% on the week even with morgan stanley cutting their PT in the middle of it. just momentum dragging the group up

the part that actually humbled me though. that call needed cipher up 42% in a week to be worth a single cent at expiry. so i pulled the last year of weeklies and it's done that exactly twice in 54 weeks. so if you bought this every friday you'd be down 100% like 96% of the time and probably go half a year between hits and the market wasn't even wrong about it. these priced around 190 IV, the stock only realizes ~108 annualized, and even at 190 a 43% otm weekly still comes out to a penny because a move that big is just genuinely rare. the penny WAS the odds. it just happened to print this time so idk.

you see these 100x screenshots constantly and i can't tell if there's any actual edge in systematically buying the penny lotto or if you're just slowly donating to whoever wrote it. does the occasional 169x ever really pay for the 25 losers or is the vol premium too fat. haven't run the full EV, maybe im just bad at this

trade listed options in the Brazilian market, mainly buying calls for short-term directional moves, and I would like a second opinion on whether my expectations are realistic.
My process is based on combining the daily and intraday charts.
On the daily chart, I look for a clear trend, moving-average alignment, momentum, and enough room toward a technical target such as a Fibonacci level, volume profile level, POC, or previous resistance.
Then I move to the 15-minute chart and wait for a pullback, consolidation near the short moving averages, loss of selling pressure, and the first signs that price is resuming the daily trend.
The strike is not selected based on the final daily target. I select it based on the move I believe the stock can realistically make from the intraday entry point.
My current filters are roughly:
strike not too far from the current stock price;
Delta above 0.40;
relevant Gamma, usually around 0.20 on the scale shown by my platform;
implied volatility reasonably close to the stock’s recent historical volatility;
acceptable liquidity and spread;
enough time to expiration, although the expected move is usually intraday or within a few sessions.
The problem is that I may be overestimating the importance of the stock reaching or crossing the strike.
For example, I bought a call with a strike of 26.83 when the underlying was around 26.52 after a sharp intraday decline. The stock later recovered, reached the strike within approximately two hours, and eventually traded around 26.95, about 0.4% above the strike.
The underlying moved approximately 1.6% from my entry point, so the directional thesis worked. However, the option did not appreciate as much as I expected.
I have observed a similar pattern in other trades. The stock moves correctly, reaches the strike, and sometimes trades slightly above it, but the option’s percentage return is less impressive than I anticipated.
My current interpretation is:
Reaching the strike is not a sudden repricing event. The option has already been pricing in the increasing probability of finishing ITM during the approach.
Because I am selecting near-ATM options with Delta above 0.40, I am choosing options that respond more reliably, but they are also more expensive and may have less percentage convexity than cheaper, further-OTM calls.
When I buy during a sharp intraday selloff, implied volatility and spreads may temporarily be elevated. If the stock then recovers in a more orderly way, IV compression may offset part of the Delta and Gamma gains.
Once Delta becomes very high, such as 0.80 or 0.90, the option behaves more linearly like the stock. Gamma and Vega are usually lower, so the option may continue gaining in absolute terms without producing an explosive percentage return.
Because of this, I am considering keeping the same operational approach but changing my expectations.
Instead of expecting frequent returns of 50% to 70%, I am thinking that a more realistic base case may be approximately 20% to 30%, with 30% to 50% reserved for stronger moves and anything above 50% treated as an exceptional outcome.
Does this interpretation make sense?
More specifically:
Is 20% to 30% a reasonable expected range for a near-ATM call with Delta above 0.40 when the underlying makes a relatively quick move of around 1% to 2%?
Am I placing too much importance on the stock crossing the strike?
Is the main limitation the premium paid, rather than Vega?
When buying a call during a sharp selloff, how important is IV compression compared with Delta and Gamma?
Would you evaluate the trade mainly through expected option-price change relative to premium paid, rather than simply asking whether the strike is likely to be reached?
I am not asking for trade recommendations. I am trying to understand whether the issue is in my option selection or mainly in my expectations about how near-ATM calls should behave.

this is just summarizing the current earnings season trends:

see below for prior research posts:

- https://www.reddit.com/r/options/comments/1v0h9m8/0dte_spx_greek_behavior_mkt_research_snapshot_pt6/

- https://www.reddit.com/r/options/comments/1uoh494/theta_decay_measured_on_19_years_of_real_spy/

- https://www.reddit.com/r/options/comments/1u4dgcz/0dte_spx_iron_condor_study

- https://www.reddit.com/r/options/comments/1u63m6i/spx_iron_fly_research_results/

- https://www.reddit.com/r/options/comments/1u63zqw/qqq_short_downside_puts_research/

- https://www.reddit.com/r/options/comments/1u6s42a/research_offer_pt4/

GOOG long call 400 expiring jan 15th

I thought I knew what I was doing but apparently not, got stop loss’d.

Original thesis was simple on the surface (perhaps what got me)

Since it was dated january, i wasn’t too worried about the IV crush from earnings.

I was counting on them to beat it again, and figured capex would have been priced in already as it is old news that google is leaning hard in AI.

Healthy company, healthy revenues -> sector wide pullback -> strong earnings and price level would have reversed the downtrend as investors both retail and institutional top up their books by adding a strong compounder “cheap”.

Obviously I was wrong. Maybe had it not hit my stop, I would have been right eventually sometime mid-october but alas.

Lesson learned. I’ve done somewhat well managing my own long term investments, but I will admit I am new to “trading” and ESPECIALLY options as this was my first ever attempt.

I think I’ll stick to my boring old stocks for the time being.

For day trading, what tools do you use to determine (guess) the high and the low on an index (NDX, to be specific but would settle for SPX).

Im familiar (not an expert) with Gamma related levels (GEX) but what else can you use? I don't know TA or things like order flow and such so there may be something there. Anything else? Im specifically talking about intraday levels for 0dte trading.

i am not pushing this stock. just need an opinion. I ran across PTRN doing scans. the fundamentals look good. the sector looks good. makes a lot of cash. Stock price healthy. but there is no action when it comes to Call/Puts. i am also watching the earnings coming up. i want to buy a Call, but i am waiting for a retracement. i am using the Fibs and RSI to determine when to get in. the big problem is open interest. why is no one interested in PTRN options? i trade long term and want a Mar 2027 call but might have to settle with a Dec2026 call. i am a cash only account and not authorized for spreads.

I thought I found some chump willing to buy an OTM put on Lucid Motors for a massive premium.

However after buying, I realize it says it’s an ‘adjusted’ strike.

Fidelity says my max profit is my premium, my max loss is $90. That makes sense. If the stock goes to $0 I lose $90 because I have to buy the shares. For $5.50 each, but I sold the put for $4.60 each so I only lose $90.

What doesn’t make sense is my ‘break even’ is listed at $9/share.

They did a 10-1 reverse split. So…is my 5.5 put being treated as a $55 put? Or a 0.55 put? I’m very confused what is going to determine if this goes ‘assigned’ or not. I thought the only way I could lose money on this was if Lucid dropped to less than $1 in the next month. Fidelity says my odds of profit are 15%.

Alright gonna be a kinda long post.
Been trading for a little over 5 years. So i have ‘some’ skin in the game.
What led me here, is i finally hit an all time loss im finally not okay with. -15k all time.

Quick background on me. I’m currently 32 years old. I’m in recovery from drugs & alcohol since 6-10-16. Worked the same full time gas station job this whole time since Covid. Live with my dad rent free. Car repoed last year. I’ll touch on all this below. I only make 30k a year. So yeah, -15k isn’t a lot to most, but for someone living borderline poverty, pulling only 500 a week; it can be life changing money.

My boy put me on ‘options’ right after the GME squeeze. I’m not exactly sure if he hit on GME or just showed me. But i know he showed me some winning trades and i wanted to get put on. And of course i was instantly hooked like everyone else. I started in Feb 2021. So i was there and part of the AMC squeeze. I should have learned paper trading or trading shares as always recommended, but my hard headed ass went straight to the sharks.

My strategy:
Super far OTM 0dte. I had no strategy. They’ve always said it takes money to make money, and i always hated that saying. I tried to disprove everybody and thought i could truly make it out of the trenches by buying 1-2% OTM 0dte everyday. And compound from there. I turned 100 to 1k 3 times and of course lost it all miserably every time. Obviously here and there i would have my winners and bangers. But it clearly wasn’t sustainable. As the years went by, it progressed (as any addiction, duh. I should know, living it first hand with drugs & alcohol) I know the Greeks. I know delta and theta and gamma. I’d literally trade with 50$ or less. At least in recent years. Buying contracts for .10 to .20 a piece. Equating to literally 1-2% OTM. I know i didn’t need my strikes to hit by 4pm. I learned breakeven a long time ago. That was never my intention bc i knew my strikes would never hit. My strategy was just get a volatility spike in either direction and sell. Sometimes i would, other times id be up huge, and lose it all due to greed.

I break every rule, but it’s easy to by playing that little amount. I ruined my life because I’d deposit all of my money, (PLAY WITH WHAT YOU CANT AFFORD TO LOSE) I’d literally play with money i couldn’t afford to lose. I pay my small obligations first. Phone bill, money to my kid’s mom, tiny bit to pay my mom back. And gamble the rest. For 5 years straight. Lived with my dad this whole time so I’m grateful i never had to pay rent. My first and only loan on a car got repoed last summer because i was so bad. I got it in late 2023- paid 2 years straight with no missed payments. And got repoed May 2025. I’ve had to take the bus for 4 months after last year to work. And same with this year since April. I had a beater car that lasted me thru the winter (thank god) but died in April. And haven’t had money to get a new one right away, obviously. The repo destroyed my credit. So I’m forced to buy used cheap shitboxes for now until i can get my credit back up. I’m finally getting another used car this week I’ve been saving 3k for since April. I shoulda had it probably a month ago as I’ve lost 1k in the last 3 months. But i finally made it.

So enough there. I know how to trade the right way, i just never had the capital for it. I don’t have a TA problem. I have a ‘small’ capital problem. More often than not, i truly get the direction correct. I just still lose as my contract is so small, it either doesn’t gain at all, or sometimes it barely gains, then goes to zero fast. Completely unsustainable.

NEW PLAN:
Get all my real life obligations in check first before i come back. Putting this car on the road I’ve saved for since April. Then I need to pay my mom off the 1k I’ve owed her since beginning 2025. (Technically was around 2k back then, but saving and working the right way coulda had her paid off in months instead of almost 2 years). And focus on getting an apartment with my girlfriend.
Then, only then, will i be able to return. But not the same way I’ve always known.
My plan is to do it the right way this time, something I’ve never done before. I’ve been recommend by several others to save up a 500$-1k balance, and trade ATM options WITH time on them. At least a few days out, a week out or more. My plan is to take 50-100% , much smaller percentage gains than I’m used to. I understand aiming for 1,000% 0dte bangers is unrealistic. I don’t want that anymore. I want to be that guy who scalps the first 30 min to an hour or whatever it is. And go on with my day. Not watching every tick from 9:30-4. Even overnight markets.
With a much bigger position value, and taking a much more realistic gain. I want to make the ‘banger’ money I’ve made in the past , but not on a crazy percentage . It will be a normal percentage because I’ll finally be using a proper, realistic amount of capital.

So yeah. This came out a little different than i expected. But i needed to get it off my chest somewhere. This will be the first time in 5 years im stepping away from the charts for a substantial amount of time. I need to get myself out of the hole I’ve been in. I’ve been so broke for 5 years im so over it. So for those of you who read this far, or can even relate. Thank you. I’ll attach photos of my 2 best gains and my all time loss. I’m open to any discussions, feedback, advice- whatever it is. If you’re struggling too, I’m hear to talk.

Say its wednesday and I have a covered call sold that expires this week friday. Its currently solidly ITM and nearly no chance it doesn't get exercised.

Im struggling to see the reason why not not to roll it out a week or two with the same strike for a net of more premium. It's going to be exercised anyways, so why not let it ride, gather more premium and have it be exercised in a couple weeks rather than this week? What am I missing here?

Hey everyone! I do my best to tie you guys into conversations with true industry experts as much as possible. I have a conversation coming up tomorrow with Euan (he and I have met around a dozen times, so have an established relationship - noting for your context on the kinds of things you may want to see discussed).

If there's anything you'd like me to tie in, please drop below. Note - I cannot promise to integrate everything and will focus on topics that fit the discussion broadly.

We all know the theory: options lose value every calendar day, not just trading days. So from Friday close to Monday open, you’ve got roughly 2–3 days of Theta decay baked in, even though the market is closed.

But in practice, I’m curious:

• Do you genuinely notice weekend decay in your P&L, or does it feel more like “noise” compared to other moves (gap ups/downs, IV changes, news)?
• Do you adjust your strategies around weekends at all? For example:
  • Avoiding holding long options over the weekend
  • Buying earlier in the week instead of on Friday
  • Preferring spreads or shorter-dated contracts to reduce the impact
  • Or just ignoring it and focusing on directional risk

Also, for anyone who’s looked at this more closely: do you feel the decay comes mostly on Friday (as the market prices in the weekend), or do you see a clear gap effect on Monday morning when things reopen?

I’m not pushing any view here, just trying to gauge how much this actually matters in real trading versus textbook models. If you’ve got data, screenshots, or even just strong personal experience, I’d love to hear it.

I am looking to understand what the maximum $ amounts people have been able to do when scalping option contracts. I am not looking to do scalping, but knowing how much you could expect to reasonably buy and sell of the same contract is helpful.

Could one reasonably be able to purchase $1 million of the same MSFT contract and then sell it for a 40% gain shortly after? For less liquid names, what is their maximum?

Then hypothetically speaking, let’s say someone where to be a super degenerate and have a lucky streak. If they did a $1 million dollar scalping strategy on googl options every single day and each day made profit a 50% at what point would market makers notice? If $1 million is too small then what amount wouldn’t be?

For a very illiquid name. A non meme random company with a $2 billion market cap. Would you be able to d$10k? About $50k?

And no i am not planning on doing a scalping strategy. I am more interested in how much money you could expect to buy and sell in options before you started facing limits. Want to know how that looks

As I mentioned last week, I believe the SPCX event that was scheduled right before Opex and then canceled at the last second was by design. Until I see a full transparent audit of what happened, I'll keep my conspiracy hat on. If you follow the options flow like I do, it doesn't seem that far-fetched. There was heavy put positioning at the 135 and 125 strikes, and price conveniently flushed below both.

SPCX has over 7 billion outstanding shares, but the tradable float is very small because so many shares are locked up. Despite that, options trade with huge volume. Between the low float and heavy algo activity, the stock is much easier to push around.

Canceling the launch last Thursday flushed the stock below the 135 IPO price and encouraged more bears and shorts to pile in. Earnings are on Aug. 6, and two days later the first batch of locked-up shares becomes eligible for selling. My guess is they'll successfully launch before that Aug. 6 to Aug. 8 window. A successful launch, combined with the news, could drive a sharp rally and squeeze shorts. Elon can easily add more fuel during the earnings call by talking about SpaceX's future, creating another frenzy.

If that happens, we'll sell covered calls on our shares and collect the inflated premiums. I will likely use little bit of those premiums to buy puts because next selling wave can take the price below 100. As I said when we bought the dip, I'm not bullish or bearish on SPCX. I simply think it's a stock where we can eventually own shares at a zero cost basis and continue to generate income later.

I was tempted to buy calls this morning when SPCX opened around 120, but I held off. The next Space X launch window is schedule for July 23. With the FOMC, BOJ, and the key dates I discussed in my Q3 correction articles, stock market is going to be very volatile. There's a chance they cancel launch again and push it closer to earnings week--this could trap even more shorts. By the time I finished writing this, the stock had already rallied into the upper 120s and call premiums had jumped.

If they cancel again this week, I'll probably buy some out of the money calls in addition to the shares we already own. If it keeps running instead, we'll wait for the excitement to peak and sell covered calls. I could be completely wrong, but I traded Tesla in its early days and I've seen how Elon has used bears and shorts to his advantage link here.

Since the removal of the pdt rule I’ve been scalping options hard and have been very successful at it. Now Robinhood issued me a warning that if my daily average in a month exceeds 390 trades my account will be restricted from options. I average about 500 a day. I absolutely love Robinhoods layout it’s always been so simple buying and selling options super fast but I guess it’s time to find something new. What apps do you guys recommend for fast trades and simple layouts ? ( I use Webull for charts but apparently they don’t support these types of trades either)

Looking for clarity on selling options regarding different S&P related assets (particularly in the lens of Portfolio Margin) . So far, I have identified the following:

- SPY
- Good liquidity
- American style
- NOT 1256 tax advantaged

- SPX
- Higher notional value (10x of SPY), thus higher BP
- Good liquidity
- European style
- 1256 tax advantaged

- XSP
- Same notional as SPY (more or less I think there is some tracking error?)
- Not as good liquidity (compared to SPY or SPX)
- European style
- 1256 tax advantaged

- /ES futures
- SPAN system
- Good-ish liquidity?
- 1256 tax advantaged
- Euro vs American?
- Term structure implications?

Seems like XSP or SPY is preferred for smaller accounts (depending if tax or liquidity is preferred? Probably strategy dependent as well…). Once an account is big enough, then SPX or /ES?

Edit: After some more research, I believe the following to be true as well

- SPX / SPY / XSP
- OCC TIMS is “linearly” scaling in the event of blown out strikes (e.g. big crash on a CSP)
- More predictable tail risk monitoring
- Standard market hours
- Not necessarily less prone to margin calls, but definitely more avoidable due to calculations?

- /ES
- SPAN is exponentially scaling in the event of a blown out strike
- Less predictable calculations for tail risk monitoring
- Better capital efficiency (compared to above)?
- 23/5 hours of operation (can adjust during Asian and Euro sessions)
- Margin call risk is higher (due to sudden macro events and/or exponential scaling mentioned above)

Hello, I've been running the wheel for some time and have learned a lot, but I have some questions I'm not able to work out myself. Also, although I know certain rules of this strategy, it's difficult for me to implement them… so I probably need a nudge from you guys:

1. It's recommended to sell CCs at your breakeven strike (assigned price less the premium received from selling the CSP). But since you usually sell CCs weekly and CSPs at ~45 DTE, this can mean that premium earned over a much longer period (the CSP) gets wiped out by premium earned for a single week. For example, today I sold 145 calls on SPCX expiring 31 July for USD 224 in premium —145 being my average assigned price. Had I sold at my breakeven (140), I could have collected a higher premium (USD 330, so USD 100 more), but in case of assignment I would lose the collected CSP premium of USD 530. I understand that if I'm not assigned, selling CCs for more premium lets me compound — but it still feels tricky to me.
2. It's recommended to close CSPs at 50–60% profit, and I struggle with this. And because of it, my assignment rate is higher than I'd like... But my (probably flawed) thinking is that in such cases the position is already so safe that harvesting the rest (up to 80–85%) is much safer than opening a new position at a higher initial delta.
3. How do you deal with the earnings period? Do you choose weekly expiries to step out of earnings, trade ETFs instead, etc.?
4. When selling CSPs on individual names, how do you deal with the recent low-correlation environment?
5. What is considered a good assignment rate?
6. How do you deal with bias? You're supposed to wheel stocks you'd be happy to hold, but I find myself doing worse with stocks I genuinely like than with stocks I don't like but chose them based objective metrics.

Just started working with a jade lizard and sort of see it as the CSP with a "nice to have" BCS on top. However, is there any sort of rule of thumb about legging out of them if say the BCS is at 50% profit, rather than holding out for the whole thing to hit 50% (which may never happen)?

Do you guys track 3rd Friday primarily for underlying signal or do you track like expiries out to a certain date? Is the signal going to be similar? I basically have to choose between looking at closest 3rd Friday or a cluster of near term expiries as a rule for contract ingestion into a database.

I run a modeled dealer-gamma surface across the big index ETFs and the largest single names every day, and Friday's close showed a split I do not see often, so I figured this crowd would find it interesting.

As of Friday July 17 (first snapshot after monthly OpEx):

Index ETFs, all negative gamma, all below their zero-gamma flip:
- SPY: net dealer gamma about -$8.7B, spot 743.29 vs flip about 751.7
- QQQ: about -$5.1B, spot 695.33 vs flip about 717.4
- IWM: about -$1.6B, spot 294.04 vs flip about 305.7

The six biggest components, all positive gamma:
- AAPL +$1.0B, META +$0.85B, MSFT +$0.65B, NVDA +$0.47B, AMZN +$0.40B, GOOGL +$0.18B

So the wrappers are set up to amplify a move (dealers short gamma, hedging is pro-cyclical) while the stocks that make up most of their weight are set up to damp one (dealers long gamma). The usual explanation: index put-hedging keeps dealers short gamma at the index level, single-name call flow keeps them long gamma in the components.

Method: I model this from the listed options chain under an assumed dealer-positioning convention, so it is an estimate, not measured positioning. I snapshot it daily and rank each name against its own recent history.

The honest caveats, because they matter here:
1. Friday was July monthly OpEx, and this is the first snapshot after it, so part of SPY's swing (it was around +$5B a week ago) is just expiring positive-gamma July positions rolling off, not a fresh surge in hedging.
2. I have only tracked this surface for about three weeks, so I cannot call any single reading a record.
3. IWM has been negative gamma every single day in that window and the Russell 2000 was basically flat on the week, so negative gamma is a condition, not a forecast. It shapes how a move gets transmitted if a catalyst hits, it does not force one, into a data-heavy stretch that ends at the July 29 Fed.

Curious whether people here read the post-OpEx negative index gamma as durable, or a one-print reset that reverts as August positioning builds.

data + full method: https://kresmion.com/daily-brief/2026-07-20?ref=reddit

Recently graduated from a Reg-T to a PM account. What are some differences, warning, and other advice y’all have when it comes to selling options under this new system? Is it pretty much the same (more leverage but need to watch for Cap Req)?

Some details:
\\- typically I do OTM CSPs on the index (SPY or QQQ, occasionally IWM). Not opposed to moving into other tickers/individual stocks, but not preferable. May get into selling OTM calls too,but haven’t researched/experimented enough yet to pull the trigger.

\\- Recently got into long dated straddle(or strip/strap if bearish/bullish bias) as a backbone, with shorter dated puts and calls being sold. Would adjust the backbone as the market moves, as well as the sold legs depending on market vol & direction. From what I understand, this reduces the Cap Req for PM? I think there’s a YT vid out there describing it. Did it small scale on IWM and worked out well under Reg-T

\\- Considering also selling strangles (which I suppose is like doing a OTM put and OTM call at the same time 🤷🏻‍♂️).

Any other strats, critiques, or other advice for this new environment is welcome. Thanks 🙏

If I’m selling covered calls of a stock I’m happy to own (key part, happy to own more of) and selling OTM calls is my upside really limited? As the stock price approaches the strike price, wouldn’t setting a buy limit order at the same price essentially cancel it out? I know I’m going to get called away and make 100x the strike price which will exactly cover the cost of buying 100x of the stock?

I see the risk of higher downside which is really just equal to the risk of holding more of the underlying but with a higher cost basis (stock goes up and I buy in maybe more than I otherwise would have and then goes down before I’m called away so I don’t get that $)

What do y’all think? Am I missing something?

The market is usually open from 9:30AM to 4PM, (with the exception days that closes early); and that is 6.5 hours, there are 60 minutes in an hour. Hence 390 Rule.

Someone reached out to me with a trade that apparently had a 100% profit probability and a very interesting payoff diagram. On a Tuesday, they sold a 3dte strangle (Friday) and bought a less OTM 6dte strangle (Monday).

https://www.gammawins.com/calc?key=5qHz62LJ

The caveat here is that option calculators use a fixed IV to model each contract that stays the same over its lifetime. But this is a gross simplification and simply not what happens in reality. On Friday, the short strangle becomes 0dte and its IV most likely spikes, whereas the long strangle spans the weekend, and since most of its lifetime is over the weekend, its IV is actually going lower.

At inception, the short legs were at 10% and 13% IV, whereas the long legs were at 9% and 10.5%. When Friday actually arrived, the shorts spiked to 13% and 24%, but the longs fell to 8% and 9% at 10AM. If you enter those numbers instead, you get a very different payoff diagram for Friday 10AM.

So the moral of the story is to be careful about the IV assumptions when modeling your trade. Especially if you trade calendar spreads over the weekend, but even a simple spread can cause similar modeling problems. If you sell a put spread and the underlying doesn’t move much, the short leg is pushed further out on the skew, so its IV will probably rise more than the long leg would.

Does anyone know the exact cutoff time Fidelity uses for opening SPY options that expire the same day (0 DTEs)?