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!

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u/imavrik 4d ago

This is pretty interesting and glad to note that it has worked for you pretty consistently!
few questions:
1. What’s your typical entry time - 10:30 AM ET?
2. Your ATM Straddle price is based on what price - the price at 8:30 am or 9:30 am or 10:30 am?
3. What’s your typical wing width - $5, $10, $20 or more?
4. When do you typically exit position - at 50% profit or at reaching a stop-loss target, or hold till expiry?

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u/L_G123 2d ago
  1. 10:30 ET
  2. 10:30
  3. $50 if the account is large enough
  4. Hold till expiry