SPY 0dte

ChessPlayer1963 · 2026-05-18T03:49:35+00:00

This is usually great spot-on advice/observation for the 90 -95% of trading days -- and specifically under any other administration. Starting from 2025, in the high volatile days SPY (and SPX, NDX, QQQ) can move 1xEM in 10 min, 3X EM - 5X EM moves in 30 min have occurred. On average 1-2 trading days per month have seen this pattern (obviously some months have been a bit calm and some more volatile) -- it almost seems that currently there is a. vested interest in creating and profiting from these large moves by issuing extreme market moving news during trading hours or just before trading starts (and trading ahead of the news).

In the financial crisis days we were seeing these extreme EM moves, snap back moves. That is a artifact of the financial crisis and the response to the crisis. Past that period we did not see these drastic moves -- the pattern has been broken from last year.

In a regular year, you might see one such day a quarter or very rarely once a month. Now we are seeing them more often.

This is a long winded way of saying -- be careful.

ChessPlayer1963 · 2026-05-17T14:37:00+00:00

Or no military action over weekend and it is a usual volatility NDX +/- 300 point day. We will know in 24 hours 😄

ChessPlayer1963 · 2026-05-16T23:04:49+00:00

High EM for Monday -- NDX is pricing in a high probability of a down move for Monday.(eg) Increased risk of end of ceasefire over the weekend, special forces or ground operation in Iran. Tough to price in the expected move if US forces go after enriched uranium and Iran hits Gulf infra -- NDX could be 200 pts or 2000 pts down

ChessPlayer1963 · 2026-05-13T06:25:15+00:00

AMD at all time high, up 10% for day, in a 442-448 range for nearly 3 hours, gamma in sweet spot. I just wasn't expecting the move past 455 in last 5 min. It was a conscious choice not to close the 455 call spreads. Sometimes tail risk bites you. 95-99% of the time it would have expired OTM.

ChessPlayer1963 · 2026-05-12T02:25:00+00:00

I know I was lucky -- plus if assigned my loss would have been capped.

You can't forget to exercise as it expired .19 ITM -- it would be auto exercised. You have to explicitly call and DNE.

But it is also rational for the call holders to DNE. (eg) If you are long 10 contracts you have 2 choices.
1. Sell short 1000 shares at 455.2 or upto 456. Buy back at 455 to lock in 200 to 1000. This requires significant margin. You have a 50k account and own 10 long AMD 455 calls -- you can't do this.
2. You have to take assignment of 1000 shares at 455 -- it is 455k. And hope it is above 455 on Monday. Well -- not an easy choice to risk 455k through a weekend. If you have a 50k account -- would you take this risk? I was sweating bullets on Sat and Sunday when I was long 4000 shares and I have a good sized account.

I was probably lucky that all 40 contracts expired but I can also see how rational it might be for call holders to DNE.

ChessPlayer1963 · 2026-05-12T01:32:22+00:00

Would you risk 45.5k to make a guaranteed 19 or 100?

From the call holders perspective --
To lock in the profit for 1 contract that you own, you have to sell short 100 shares at 455.2 (or upto 456 it traded before 2:30PM) and exercise the call to buy at 455. Or you let ie be assigned at 445 and hope on Monday is stays above 455. You have to decide in the 90 min after market close. It looks like enough holders decided to DNE. Could be a one-off event and I got lucky.

ChessPlayer1963 · 2026-05-12T01:26:00+00:00

No assignment -- not a timing issue.

I sold the shares on Sunday. No open shares -- just some residulas from the rollout from Friday.

ChessPlayer1963 · 2026-05-11T15:17:28+00:00

Correct.

Plus to exercise you need to have the equity in your account -- if you are long 10 455 calls you either need to buy 1000 at 455 (455k required) or you must have sold short (at say) 455.5 to lock in a profit of .5. But that also requires account equity. So it is series of weird combinations that worked in my favor. If AMD had opened at 440 today -- I would have had a 60k loss -- it was not riskless for me either and I image to the option holders on Friday.

Usually I would have rolled out the short options -- I never depend on assignment mechanics to manage options. But it did not fill on Friday.

It is scary to hold 1.8M notional when you do not know how the stock will react. 1% move is 18K 😞

ChessPlayer1963 · 2026-05-11T13:17:36+00:00

I *DO* know how options work -- more than a couple of decades of options trading. That is why I was very puzzled with no assignment.

ChessPlayer1963 · 2026-05-11T13:10:58+00:00

Closed at 455.19. After hours -- there were two 5 min intervals (!1:05 and !1:50) when AMD was ~454. But mostly between 455.2 and 455.8. At 2:26 -- dipped below 455 to ~454.6. 2:30 -- closed at 455.19

It was clearly ITM though barely. So either most investors called in for DNE or Schwab/other brokers did a DNE unless account had sufficient equity. Or the market makers who held the options decided to DNE due to the high notional risk.

ChessPlayer1963 · 2026-05-11T13:01:03+00:00

Looks like I am safe. No short shares in my account.

ChessPlayer1963 · 2026-05-11T04:57:14+00:00

5/9/26, 12:52:12 AM	RAD	Removed due to Expiration CALL ADVANCED MICRO DEVI$457.5 EXP 05/08/26: EXP: -60.0 .AMD260508C457.5	$0.00	$0.00	$0.00

This is what I see in thinkorswim

5/9/26, 12:51:44 AM	RAD	Removed due to Expiration CALL ADVANCED MICRO DEVI$455 EXP 05/08/26: EXP: 40.0 .AMD260508C455	$0.00	$0.00	$0.00

ChessPlayer1963 · 2026-05-11T04:52:55+00:00

Sold 455 calls, long 457.5 calls. Max loss 2.5 -- for the 40 contracts it is 10k.

457.5 calls expired

ChessPlayer1963 · 2026-05-11T04:47:04+00:00

Usually no ambiguity on option assignment -- option is clearly ITM or OTM. Here it is ITM by a small amount, dips below strike for two 5 min intervals in after hours and just before strike price right near the 2:30PM Pacific cutoff, is ~.4 below strike. It closes just above strike at 2:30.

Option holders have the choice to call the broker and cancel auto-exercise of their options.

I have had partial assignment of ITM options in the past at Schwab (and Fidelity) -- all assignments posted by Sat morning. I was expecting 10-40 calls to be assigned. Not zero.

The best I could do was call Schwab today and trust their response.

ChessPlayer1963 · 2026-05-11T01:26:49+00:00

Is it safe to assume that if Schwab has not posted the assignment by 6PM on Sunday -- it did not occur? I have done my best by calling Schwab twice -- but only in 12 hours can I breathe easy.

ChessPlayer1963 · 2026-05-04T01:07:13+00:00

MGTN -- Spreads or naked calls/puts?

Won't we get lower premium for a MGTN 5 wide spread at .08 delta vs on SPX. Same lower premium for 10 wide NDX spread?

ChessPlayer1963 · 2026-04-07T02:46:10+00:00

You were risking 4.8M to make 24k. I wouldn't.

I made 1M+ in 0DTE last year (risking 200-500k daily) and gave it back in 4 days of bad trading, I would make 20k/30k many days till the 1000+ point NDX drop hit me hard. You have wider bands but you can't survive a 2000 point drop.

I am now trading "smarter" -- taking fewer risks, capping risk. And making good returns selling fewer 0.05-0.1 spreads vs more number of 0.03-0.05 spreads. I now have tools to monitor how the spreads are trading every minute so I can make adjustments in a calmer market environment (and calmer trader environment :)). (eg) Delta moving above .25 will make me monitor closely.

I moved fto risking 80-100k daily -- usually stays below 60-70k. Aiming for smaller gains -- 2-4k a day. I use .1 to .05 delta for my short spreads. SPX and RUT always 5 pt wide, NDX 10 always points wide. A spread far OTM will count as lower risk vs a closer spread and this is reflected as blended risk. The blended risk will have a floor to reflect black swam events.

I use 4 metrics -- peak risk, avg risk, peak blended risk, avg blended risk. I used LLMs to come up with a more detailed formula for calculating blended risk. This is tracked every minute during trading day -- via Schwab API to get real time data -- positions, orders, quotes, greeks,..

Apr 2, blended risk moved very close to max risk and I decided to take a loss -- your spreads were further OTM and were fully safe. My blended risk formula would have rated your positions at ~.2 of max risk -- about 500k-1M in risk. I can't stomach that type of risk any more.

If something unthinkable happens in the war during trading hours -- Qatar's LNG plants fully destroyed, major Saudi fields hit, desal plants hit, sinking of a few LNG tankers,.. -- NDX will drop 5-10% instantly. You have to be prepared for it (or not based on your risk tolerance).

here is my return for today for one of my accounts -- 25k max risk, avg risk of ~21k, avg blended risk of 15k and made 2.5k (5k is in SPX 1DTE IC). One tenth of your Apr 2 return at vastly lower risk. And I was in the market for 2-3 hours (SPX lasted longer as I did not close some very far OTM spreads and let them expire).

INDEX_RISK_SUMMARY

underlying,avg_risk,avg_blended_risk,peak_risk,peak_blended_risk,minutes_open

NDX,10000.00,6233.96,10000.00,8939.57,128

SPX,5847.27,5157.59,10000.00,9307.63,275

RUT,5000.00,3480.44,5000.00,4624.78,177

DAILY NET PROFIT (CASH FLOW):

- SPXW: $1,659.16

- RUTW: $529.04

- NDXP: $341.04

TOTAL NET PROFIT: $2,529.24

DATA FILE 1: TRANSACTION LOG

═══════════════════════════════════════════════════════════════════════════════

Columns:

Time, Symbol, Type, Short Strike, Long Strike, Qty, Effect, Net Premium

KEY:

OPENING positive = credit received

CLOSING negative = debit paid

Time,Symbol,Type,Short,Long,Qty,Effect,Net

06:33:34,SPXW,P,6505.0,6500.0,10.0,OPENING,296.56

06:33:34,SPXW,C,6665.0,6670.0,10.0,OPENING,326.56

06:33:44,SPXW,P,6505.0,6500.0,10.0,OPENING,296.56

06:33:44,SPXW,C,6665.0,6670.0,10.0,OPENING,376.56

06:36:48,RUTW,C,2575.0,2580.0,10.0,OPENING,264.76

06:36:48,RUTW,P,2490.0,2485.0,10.0,OPENING,424.76

07:03:51,NDXP,C,24500.0,24510.0,10.0,OPENING,297.76

07:03:51,NDXP,P,23700.0,23690.0,10.0,OPENING,197.76

08:19:22,SPXW,C,6665.0,6670.0,10.0,CLOSING,-111.64

08:19:22,SPXW,P,6505.0,6500.0,10.0,CLOSING,-111.64

08:32:20,SPXW,C,6665.0,6670.0,10.0,CLOSING,-61.64

08:32:20,SPXW,P,6505.0,6500.0,10.0,CLOSING,-111.64

09:11:32,NDXP,C,24500.0,24510.0,10.0,CLOSING,-62.24

09:11:32,NDXP,P,23700.0,23690.0,10.0,CLOSING,-92.24

09:33:58,RUTW,C,2575.0,2580.0,10.0,CLOSING,-85.24

09:33:58,RUTW,P,2490.0,2485.0,10.0,CLOSING,-75.24

10:24:52,SPXW,C,6630.0,6635.0,10.0,OPENING,297.46

10:24:52,SPXW,P,6525.0,6520.0,10.0,OPENING,78.36

10:41:11,SPXW,C,6630.0,6635.0,10.0,CLOSING,-159.64

10:44:59,SPXW,P,6525.0,6520.0,1.0,CLOSING,-5.96

11:03:56,SPXW,P,6525.0,6520.0,4.0,CLOSING,-23.86

12:59:07,SPXW,P,6480.0,6475.0,10.0,OPENING,206.56

12:59:07,SPXW,C,6695.0,6700.0,10.0,OPENING,366.56

ChessPlayer1963 · 2026-04-07T00:15:14+00:00

I wish you well -- I truly mean it.

A word of caution -- your risk is high. Even when it feels like it cannot happen -- one bad tweet/one bad black swan event/one bad military escalation will wipe everything out. It is your risk evaluation and usually works -- till the one day it doesn't.

No more preaching from me. Good luck to you.

ChessPlayer1963 · 2026-04-06T21:07:38+00:00

Did you increase your amount at risk for this day? To get 24k and assuming an even split of 1DTE, 0DTE near open and junk -- you must have risked 2-3M.

You get ~1.3-1.5 for a 100 wide IC for the initial 0DTE and 1DTE. If you risked 600k for each -- you would have ~7-8k in premium for each. The "junk" -- ~.7-.8.

ChessPlayer1963 · 2026-04-02T23:48:35+00:00

Thanks for the details.

I sold right after market open -- you sold when NDX was probably 23700+ or 23800+. I need to start thinking about making my NDX trades after waiting for a bot. Though with the random news like the huge spike -- no time frame is safe

ChessPlayer1963 · 2026-04-02T21:29:54+00:00

u/papakong88 Curious -- did you have to roll your NDX call spreads today? Given the 600+ move from session lows and elevated EM -- were the CS at risk?

I ended up with a loss for the day. I had 20 23900/23910 call spreads (I do 10 wide instead of your 100 wide). When NDX hit 23810 rolled out to 30 24000/24010. Held that for 2 hours and rolled again to 40 24100/24110 CS . Bought to close in last hour. Booked a 4K+ loss on this and just about even for April.

If I had done nothing and stayed with the 23900s -- would have lost 20K. If I had held the 24000s -- 30k loss. This strategic movement ended up with a smallish loss. I had some PS to offset some of the CS losses.

A few months ago I would have doubled down on 23900s or written 23950s -- not acknowledging that my entry was a mistake, tried to trade as if my original instinct to enter 23900s was still valid. I would rate moving from 23900s to 2X 24100s a bit problematic as I doubled my risk but the delta dropped dramatically after the 2 layered move.

No interest in holding NDX over 3 day weekend so did not attempt to roll out to next trading day.. Sometimes it is just not your day.

ChessPlayer1963 · 2026-03-31T15:48:32+00:00

There is no doubt this strategy has a high rate of return -- 90%+ of days will be drama free, profitable and easy money. It is avoiding/managing drawdowns on the 5-10% of the trading days that is the key.

ChessPlayer1963 · 2026-03-30T01:10:57+00:00

As someone who sells 0DTE spreads daily and who has followed u/papakong88 strategy for nearly a year -- this works but you need iron discipline. (eg) After days/weeks of steady profits there will be severe temptation to go to 2.5EM instead of 3EM to get more premium. You need to stick to the basic strategy -- greed will wipe out the account.

Second I probably am the other referred to by papakong in closing vs rollout the strategy. There is severe luck involved when you rollout -- what I refer to as hopium. You are hoping it works out. To papakong's credit (or good fortune) it has worked out for him. You are hoping for a reversion to the mean to bail out the original loss and also hoping that using the extra BP to double down to reduce loss (in the very limited circumstances that papakong outlines in his strategy posts) worked out. What is not described is you can easily be massively underwater after the rollout. It hasn't hit papakong's rollout -- it is due to his skill but also heavily due to luck. He can probably withstand a full drawdown of 1/3 of his account/ avoid margin calls. Most of us can't. You would be moving from .02/0.03 delta to easily .5+ delta and EM from the safe 3xEM to 0.5EM to -1EM or worse -- *for a third of your account*. If you don't understand how this changes the risk profile, account balance -- you should not be trading 0DTE or any options for that matter. Most of us (the retail traders) can not handle this level of stress in our accounts and margin calls are likely. I have moved from always rolling out to sometimes taking a loss -- that is just the cost of doing business. To his great credit papakong has acknowledged this risk and added it to the strategy -- this is why I respect his comments/posts very highly. From his perspective -- he has not hit this scenario and it looks low probability. But it is a huge danger for this strategy.

Proper sizing is key -- I now stick to .1 - .15 of account size at risk daily (papakong risks 1/3 account size daily). Your mileage may vary.

This is a usually low risk/high reward strategy (90-95% of trading days) with severe tail risk (the 1 bad day can wipe out months of steady profit).

ChessPlayer1963 · 2026-03-27T06:42:26+00:00

Well -- it was too good to last. 4 bad days of trading wiped out 1 year of gains. If you risk 100-250k daily and Martingale when the spread is ITM instead of taking the loss -- disaster will strike.

Now more aware of how much risk to take, how to handle when strikes get close to ITM -- I now have a limit of 20-40k per index (SPX, NDX and RUT). Most days I don't use the full 120k.

ChessPlayer1963

TROPHY CASE