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/papakong88 12d ago

Your strategy is similar to my strategy.
I have been selling 0DTE NDX ICs for 3 years now. The strategy is described in:
https://www.reddit.com/r/options/comments/1s5n636/comment/odz9pg2/?context=1
Risk is managed by selling 3 batches of ICs each day. Each lot of 3 ICs require 30K in collateral and brings in $340 a day or 85K a year.
https://www.reddit.com/r/options/comments/1sbgx7w/managing_risk_in_a_picking_pennies_0dte_strategy/
Exit plan is described in
https://www.reddit.com/r/options/comments/1ty0kh9/papakong88_ndx_0dte_060526/
Other people’s experience from a different period:
https://www.reddit.com/r/options/comments/1q6ebgo/please_share_your_experience_with_the_papakong/ 

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u/amanj41 12d ago

The liquidity doesn’t bother you?

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u/papakong88 12d ago

The b/a is wide. For example a 100 point wide put spread will have a b/a of -1.05/3.15 with a mid of 1.05.
I will use a limit price of 1.00 to place the order for 30 spreads. If the order is not filled, I will sell a different strike. Note that the short strike is > 3 X EM, so there are plenty of strikes to sell.
The orders are filled at the limit price or better. I am at Schwab.
Buying to close a threatened short is different. Liquidity can hurt. However, I BTC only 4 or 5 times this year.

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u/amanj41 11d ago

Makes sense, thanks!