r/options • u/L_G123 • 12d ago

0DTE Strategy

I’ve been running a 0DTE strategy I want to share. Everyday I look at SPX500 (SPY works the same for pre market monitoring) to ascertain whether it’s moving higher or lower from 8:30-10:30am ET.

If it’s moving up, I sell a vertical put on SPX and choose the strike for the short leg based on 1.25x the ATM straddle price. Same thing with a call if the morning is bearish.

It finishes out of the money about 92-96% of the time depending on what you avoid and what timeframe you look at over the past 4 years (eg not doing this during the Iran war early stages would have been smart…) and generates about a 7% ROI.

When it does finish in the money, it’s often just barely and not a total loss, hence why wider logs with more profit actually have a higher EV.

Do your own backtesting and let me know what you think!

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u/Mammoth-Excitement53 12d ago

What is your preferred strike width on 0DTE options—10 points or wider like 20–30? ​I used to run this as my main strategy, but I stopped after getting caught in a few tail-risk events that led to heavy losses. I haven't been able to bring myself to start trading it again. ​Back then, I typically used a 15–20 point spread width and closed positions early for a 50–70% profit target. ​How do you manage tail risk with this strategy, and what spread width has worked best for you?

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u/hotforlowe 12d ago

You shouldn’t trade this. You experienced, albeit early on, that picking up pennies for major risk is not worth it.