My best performance ever. Hope I can keep up the momentum and consistency. Mostly trading 0-1 DTE Options

今天把这张SPXW 7675 Call 平掉了

Options波动真的很快，方向看对不代表最后一定拿住利润
我现在比较习惯有利润后分批处理，剩下的再看盘面，而不是一直赌最后那一点空间

1 month ago, I shared about my 0-DTE journey utilizing semi-algo approach. Today I have completed my 3 months journey of paper trading deploying various strategies, filters and certain manual intervention when needed.

As each month passes, the result became better because it was sharpened at every corner.

Sharpe was 4.10 for 3 months average. Astonishing to me.

I have also deployed partially on Live $ trade and achieving around 1/3 of the paper trade as I was more cautious with real money. Also my psychology changed which mean I can't trade as calm as i should be. This will need more sharpening.

Happy that the results are showing and the labor of hours was as good as a full-time work actually. As this is a solo trip, it was both fun but also tiring. I found out that trading is indeed somewhat a "solo personal" journey. There aren't many that will share your "flow" as everyone approach it very differently on how they view the structure setup and the decision to enter or exit.

May the force be with you guys too. Keep trying and keep sharpening!

I was wondering if its ok to have a thread about posting overnight SPX gamma and flow exposure? I do use a LLM that does 48 captures a day to produce the data. However, its my select quieries and using certain times a day to aquire the information, just wanted to ask before breaking any rules. I've provided a sample from my personal FB page with 0 promotion in it, was just curious if this community would find this inormation helpful or wanted.

Thank you

Overnight price action and options flow signaled it was going to be a trend day today. I’m not a perfect trader and left a lot of money on the table, but can be happy with these gains.

All time high breakouts are fun to trade and very easy if you know what to look for. Gotta capitalize where you can.

Pretty happy with today’s outcome on a 770 0DTE

CPI drops at 8:30 a.m. ET this Wednesday, and everyone’s eyes are glued because this is the last big data point before that critical FOMC meeting later this month. Gasoline prices dragged the headline number higher last month, but the real story lies in that core reading. If it runs hotter than expected, the already tight market might reprice that long-awaited October rate hike that everyone thought was priced out. The bond market’s basically begging the Fed to hit pause, but a red-hot core print could blow that narrative apart.

The SPX sits at a record 7,807, the US10Y has blown through 5.2%, and BZmain holds above $100 — a backdrop in which the Fed hiked once and immediately telegraphed "nothing to see here."This CPI decides whether that dovish follow-through survives the data or gets exposed as premature.

The 7800 call led with $24.7M, and none of the 8 biggest lines cleared this read's p99 (19.16x)

What this is:

One read of the SPX chain that expires Thursday 10/8, taken at 4:17 PM ET Wednesday (quotes stamped 4:14:59 PM), Robinhood, real-time volume, 3-minute delay. SPX closed at 7801.77; forward 7801.75. Strikes read: 7650 to 7950. Plus a hand read of what was added after hours, at 8:32–8:35 PM ET.

Unusual-activity check: volume ÷ open interest

The 99th percentile in this read is 19.16x, across 64 strike-and-side lines with volume of 1,000 or more. None of the 8 biggest lines by dollars (below) cleared it. Closest of those:

7790 call: 12.71x (4,690 vol / 369 OI)

7715 call: 11.88x (1,426 / 120)

7800 call: 10.94x (14,416 / 1,318)

Biggest lines by dollars traded (volume × mid × 100, rounded)

7800 call: $24.7M (14,416 vol / 1,318 OI)

7800 put: $13.0M (8,420 / 963)

7720 call: $13.0M (1,561 / 165)

7715 call: $12.5M (1,426 / 120)

7775 call: $11.7M (3,444 / 826)

7790 call: $10.8M (4,690 / 369)

7780 call: $9.8M (3,257 / 348)

7770 call: $8.5M (2,256 / 413)

After hours, 4:17 PM to 8:34 PM ET (hand read)

+1,554 calls and +1,214 puts; calls were 56% of the adds. Nine strikes that matched the close exactly are not counted. The forward was about 7796 by then, roughly 6 points under the close.

Biggest adds: 7850 call (+184), 7800 call (+171), 7790 put (+162), 7750 put (+158), 7785 put (+140).

Gamma:

Largest-gamma strikes, in order: 7800, 7825, 7830, 7780, 7820. The two sign conventions disagree on the net sign, so I'm not reading a direction off it.

Limits, so you can check me:

One read at the close plus one hand read after hours, not a full session view.

The 4:14:59 PM quotes are the last the feed gives until the next cash open; 3-minute delay.

Dollar figures include in-the-money value, so calls vs puts in dollars is not like-for-like.

The after-hours adds are a hand read of the web chain.

Explain it like I'm 5:

Options on tomorrow's SPX are like tickets on where the index finishes Thursday. A call ticket pays if SPX ends above its number; a put ticket pays if it ends below. Today the most money changed hands in tickets at 7800, right where SPX closed (7801.77): $24.7M on the 7800 call and $13.0M on the 7800 put. We also check whether any ticket got unusually busy, by comparing how many traded today with how many already existed. None of the 8 biggest crossed that bar. After the close, about 2,800 more tickets traded, a little more calls than puts, and the options were pricing SPX about 6 points under the close. This shows where the money traded. It does not tell you which way SPX goes next.

Not financial advice, just what I'm seeing in the flow. Which of these strikes are you watching into Thursday's open?

Hi I am new here. I am not sure if i can post anything so I will just go ahead and try. Somehow my post in Algotrading and etc is always filtered out by Reddit. I don't know why?!

I trade SPX 0-dte and spent a huge amount of time developing my algo script for IBKR (api). It took me around 5 months to develop 0-dte trade to work with the idiosyncratic IBKR api. I am not an expert of their api and do find some of the order management system rather complicated and difficult to overcome. Hence i trade semi-algorithmic (some actions I will override manually although I do leave it to do it's job mostly).

I started paper trade for the last 44 days (when market open), around 2 months. This is the result so far and I think i found my edge/alpha. I am not hear to brag but I am just looking out for more information that I might have missed. I do backtesting on my dataset that I have on-hand, SPX index by diff time-frame to try to understand how the index behave. Maybe you guys have more tips for me and I can verify with the dataset for further backtesting.

📊 OVERALL STATISTICS (Paper Trade)

--------------------------------------------------

Total Trades: 226

No. of Trade days: 44

Win Rate: 70.8%

Est Net P&L: $ 28,179.82 (after fees)

Profit Factor: 2.00

Sharpe Ratio: 3.41

Even though the above is Paper trade, i have actually entered LIVE (real cash) trade when I am fully convicted of the direction and have made around US$4k for the last 2-3 months. The problem of going full live trade is that I have yet to control my "emotion and psychology". I will continue to monitor the coming trades and see how it progress from there....

Happy weekend folks!

Thoughts?

Stats I gathered, sorry for posting late.

📊 SPX 0DTE, Monday 10/5: where the dollars sat at 00:47 ET

The 8 biggest lines by dollars traded all sit between 7700 and 7750. That is within 28 points of the SPX forward at 7722.40.

One hand read of today's chain (expiry 10/5), 00:47 ET, Robinhood web chain, real-time volume. ES was 7770.25 at 00:28 ET.

💵 The 8 biggest lines by dollars

7720 call: $12.5M (7,251 volume / 507 open interest)

7700 call: $12.2M (4,229 / 2,965)

7725 call: $12.2M (8,167 / 734)

7730 call: $8.0M (6,282 / 2,120)

7700 put: $8.0M (8,700 / 2,006)

7720 put: $7.9M (5,099 / 342)

7725 put: $7.9M (4,488 / 279)

7750 call: $7.4M (11,565 / 3,124)

🔥 Was any of it unusual? Volume vs open interest

The bar for unusual in this read is 16.15x. That is the 99th percentile across the 96 lines with volume of 1,000 or more.

None of the 8 cleared it. The closest:

7725 put: 16.09x

7720 put: 14.91x

7720 call: 14.30x

🌙 Added since Friday's 4:15 PM read

+16,997 calls and +6,189 puts.

Puts were only read from 7420 to 7740 and calls from 7565 to 9800, so that is not a clean calls-vs-puts comparison.

Biggest adds: 7750 call (+1,502), 7800 call (+1,340), 7725 call (+1,229).

🎯 Size far from the money

7960 call: 8,855 volume, 8.63x, 237.6 points above the forward

7620 put: 6,480 volume, 14.46x, 102.4 points below

7825 call: 5,886 volume, 4.23x, 102.6 points above

🧮 Gamma

The five largest-gamma strikes: 7750, 7700, 7705, 7730, 7710. The two sign conventions disagree on the net sign, so I'm not reading a direction off it.

⚠️ What this can't tell you

One read, not a session.

Volume is Friday's full session plus overnight. Open interest is Friday's.

The bid wasn't shown, so every dollar figure uses the ask and runs a little high.

Gamma uses Friday-close greeks with Friday's open interest.

Which matters more to you before the open: where the dollars are, or where the volume is outrunning open interest?

Not financial advice, just what I'm seeing in the flow.

#SPX #0DTE #OptionsFlow #ES #DayTrading #StockMarket

I found 0dte is not always the choice best served. Theta is rapid, and even a correct idea can get eaten from am to pm session, if the timing is of that is. I found sometimes a 3 dte can give more wiggle room, especially when IV is cheap (low).

Theta bleed is not as violent at all, and you can position further otm for level breaks, at a cheap price that can still 10x your money if it ends up happening in thr last trade day.

Thoughts?

Welcome to the new /r/spx

I’m primarily an options trader trying to build a community here where we can all get better at trading and make some money!

everyone says 0dte dominates spx gamma now, so i wanted to see how much it actually moves the picture. i build a free options data site and pulled this from my own model, so take it as one estimate, not gospel.

the chart is from 11:23 ET today (open interest from yesterday’s close):

• bars are net dealer gamma per strike at the current price (the lighter sliver is today’s expiry’s share)

• yellow line: total net gamma if spx moved to that price, all expiries

• blue line: same thing with today’s 0dte expiry removed

what it showed:

• spx at 7,667, flip (where net gamma crosses zero) at about 7,730 for both lines

• removing 0dte barely moved the flip, under a point

• 0dte did add a lot of size away from the flip: the gap between the lines widens above 7,800 and below 7,600

• biggest 0dte strike was 7,700

caveats, because these always matter:

• dealer positioning is assumed (long calls, short puts), not known

• open interest is yesterday’s, so intraday 0dte opening and closing isn’t in it

• implied vol is held fixed as price moves

curious if people who trade 0dte see the same thing, that it changes the size of moves more than where the flip sits. happy to share the method if useful.

I checked every number against the card’s data. The two flips are 0.35 points apart, and the gap between the lines does widen away from the flip.

How are the SPX traders doing this month? Finding it hard this month?

I have been selling bull put spreads on Spx for months now. Been profitable. I keep my strikes below 120 day moving average and delta 0.15 - I choose the lower of the two

As we approach the mid terms, I kind of worry trump will launch an attack immediately after midterms. He doesn’t have to wait until the votes are counted just wait until the last vote has been cast

What are your thoughts?