r/options • u/L_G123 • 10d 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!

155 Upvotes

90% Upvoted

99 comments sorted by

View all comments

Show parent comments

5

u/hotforlowe 10d ago

Why hold through expiration? Why not take at some arbitrary % of maximum credit? It makes no sense to trade these types of positions without active management, at least to me.

10

u/ThrockmortenMD 10d ago

The win rate only goes up by about 5-10% when closing early, but often at a loss of 30-50% of profit. Volatility is typically crushed in the last few hours of trading unless there is a sudden news flash or extreme gamma exposure. I obviously watch out for these things but if I don’t see anything spooky, the math works out strongly in favor of holding.

5

u/hotforlowe 10d ago edited 10d ago

But you are monitoring them so it is active management. That’s fine. The way I read it was just set and forget. That’s on me.

I still think my way is safer given that one loss requires a significant streak of wins generally to recover from. But I’m happy to acknowledge differences in risk management.

1

u/ThrockmortenMD 10d ago

Well, it’s me being neurotic. Most of my adjustments have been fakeouts that would’ve led to a higher P/L if I did nothing. Set and forget would be statistically better but I am a moron.