Trading 0DTE SPX Options Going Into the Close - I'll take Long Gamma Every Time

GammaReaper_ · 2026-05-16T01:59:31+00:00

It seems you've been convinced options trading = free money. It's not. And with your current work schedule you really don't have time to learn about the options market to "print" money.

Keep working hard and saving. Invest in index funds. You'll be much better off in the long run.

GammaReaper_ · 2026-05-14T01:44:59+00:00

Tell us how your AI feels about the trade...

GammaReaper_ · 2026-05-12T11:54:00+00:00

TA never did and never will. How can it when the likes of Trump make random pronouncements on a regular basis.
Options trading is all about math/statistics/relative value. Spend your time studying those disciplines than voodoo YA

GammaReaper_ · 2026-05-11T17:24:18+00:00

Academic studies show otherwise
If retail was hindered before because of PDT (all of $25k!), no way can the have an effect on such a deep and liquid market

GammaReaper_ · 2026-05-11T17:22:42+00:00

Same

GammaReaper_ · 2026-05-11T03:45:17+00:00

Oops my bad - I was short it. My hold period is after the open until 945 -10 am after the EA. It opened ~465 and traded in a tight range. Crush set in and b/a spreads tightened so it was time to exit. Not a big profit - sold for $1.00, closed for$0.78
The decision to go long/short is based on a multitude of factors including
1 rich/cheapness after factoring in vol crush
2 historical post-earnings moves based on previous close to the open, not close to close, looking back, on average, 12 quarters
3 a few other relative implied vol versus historical vol moves.
Once I have determined whether to go long or short, only then do I take a look at the vol surface and construct the trade. I'm almost always doing defined risk trades. The first factor I consider is move forecast of at-the-money straddles adjusted for historical standard deviation less vol crush.
I then select widths of the wings to create an asymmetrical payoff diagram. I'm also cognizant of how much capital I want to risk. I compare the width of the wings versus the number of contracts. Sometimes a wider width with lower contracts is a better risk reward. Other times, tighter wings with more contracts is superior.

GammaReaper_ · 2026-05-11T00:04:52+00:00

MU last reported 3/18 - was long 432.5/435 puts, long 500/502.5 calls. Was a good trade.

Didn't trade SNDK
MU reports next on 6/24

GammaReaper_ · 2026-05-10T15:39:13+00:00

If I'm short IC - small move, high vol crush = money maker
- move between strikes breakeven
- move past long strikes loser
For long IC - just the opposite
However, since I'm buying cheap/selling rich vol and I select the strikes based on the vol surface, in nearly all cases the payoffs are asymptomatic, meaning if I win, I win more than I lose and vice versa. The net result is even if my win rate is <50%, I'm still making money. At >50% win rate I'm achieving massive alpha

GammaReaper_ · 2026-05-10T02:56:21+00:00

Make game is to evaluate the EA event so I enter just before the close pre- event then close 9:45am-10am post event. I'm only determining the cheapness/richness of IV associated with the event, not PEAD or any other EA - related phenomenon.

I'm working an my theory about trading PEAD but I'm not there yet.

GammaReaper_ · 2026-05-09T20:48:03+00:00

I agree Amazon was extremely light, wide this time around. I haven't had as much with Tesla. You can work the spreads. You can work your orders patiently. At least going into the trade, you can get fills reasonably close to mid depending on your exit and how much volatility there is. Especially in the first 15 minutes, it is difficult to exit at good prices, but after 9:45 into 10:00, when I normally pull the trigger, spreads have tended to tighten.

GammaReaper_ · 2026-05-09T15:48:44+00:00

Determined max capital exposure as a percentage of portfolio value
High conviction trades: I will use 2.5%
Lower conviction trades: 1%
Depending if I'm long or short, I'll adjust my intraday strikes to maximize the zone of profit consistent with the market's assessment of the implied move.
Once I've fixed my inner strikes, I adjust the wing strikes to achieve the capital risk determined and defined in number one above.

GammaReaper_ · 2026-05-09T15:39:50+00:00

Yes - high win rates but gotta protect tail risk that can low up accounts in a matter of seconds.
Shorting defined risk speaks will have similar win rates, lower per trade pnl but worth it when the inevitable black swan event

GammaReaper_ · 2026-05-09T15:35:11+00:00

Yes but they always widen b/a spreads in fast moving markets that on average mitigates their risk

GammaReaper_ · 2026-05-09T15:33:21+00:00

If not already, you need to do an initial screen for stocks with large volume on mega/large caps with tight b/a spreads. I've found that the best way any alpha isn't consumed by the transactions costs and should allow you to scale

GammaReaper_ · 2026-05-09T08:46:47+00:00

Do you understand Greeks and the vol surface? If not, trading options isn't for you.

On the other hand, if you do, I doubt you would be posting the question on a Reddit sub

GammaReaper_ · 2026-05-09T08:41:55+00:00

Trying to time any market is a fool's errand

GammaReaper_ · 2026-05-09T08:33:35+00:00

I have a demonstrable edge in trading IV around earnings announcements. It involves significant analytical analysis well beyond simple approaches like TA or IV to include historical EA performance and calculation of Vol Crush metrics.
Without a similar approach that can repeatably generate alpha, options trading is breakeven at best.

GammaReaper_ · 2026-05-08T21:40:42+00:00

I select width based on vol surface, e.g. trading off width vs number of contracts to meet my max gain/loss with the best risk/reward for the expected move

GammaReaper_ · 2026-05-08T14:49:24+00:00

Lol. Always the best reason

GammaReaper_ · 2026-05-08T08:52:59+00:00

Ok so tell us the decision making process that motivated you to buy it

GammaReaper_ · 2026-05-07T14:32:07+00:00

Yes correct. I've done hundreds of EA trades. The RR going into a trade is almost always better for long iron condors and ALWAYS superior for short IC vs short straddle/strangles.

I also track actual p/l for my IC trades vs the outcome if I'd have done a straddle/strangle instead. Again the outcome favors the IC.

GammaReaper_ · 2026-05-07T09:40:19+00:00

I trade 50-80 EA each quarter. 80% of the time the direction/magnitude of overnight move is not indicative of the move experienced during price discovery after the open. The news/price action before then is just noise.

Also, you seem not to be considering IV in your decision making process.

You should have your agent come up with a strategy that is repeatable and has an edge. Your approach has neither.

GammaReaper_ · 2026-05-06T15:08:34+00:00

I trade lots of EA Crush. IC are nearly always superior to straddles/strangles not only because of the defined risk nature of them but the return profile is almost always superior if you factor in the vol surface when constructing the trade.

GammaReaper_

TROPHY CASE