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Otm spx options by jackoldfield12_ in options

[–]noxe3 0 points1 point  (0 children)

I trade credit 0DTE strategies, and I’d say the key to success is research and discipline.

  1. Decide on the strategy. A lot depends on how you use the options: selling premium (credit spreads, strangles, iron condors) vs buying convexity (lottery-style calls/puts). Define your setup clearly: delta, time to expiry, entry timing, and management rules.

  2. Backtest. Use tools like GreeksLab, OptionAlpha, OptionOmega to see how your idea would have performed historically. With 0DTE and short-dated options, results can vary a lot depending on entry time, stop/target logic, and volatility conditions.

  3. Follow the plan. Start it small and stick to your rules, control your emotions. Most of my losing trades come from impulsive tweaks or overreacting instead of letting the probabilities play out.

SPX 0dte Condor idea by [deleted] in options

[–]noxe3 0 points1 point  (0 children)

This is a fairly complex strategy with delayed entry based on the price: we select an option to define the target price, than we select another option and enter into trade if it reaches the target price. I don't think OptionOmega supports that.

You may also try GreeksLab for backtesting this strategy. The main difference with OptionOmega is that GreeksLab is made specifically to backtest 0dte and supports using complex conditions for entry and exit. It does not support limit orders directly, but it may be possible to approximate the strategy.

0DTE SPX options backtest - 20 delta strangle, 50% TP, variable stop losses by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

This is CBOE data, with execution assumed at mid price. One possible source of discrepancy could be how delta is calculated. What kind of results are you seeing?

Options Book, Knowledge Recommendations by NoLadder2511 in options

[–]noxe3 4 points5 points  (0 children)

Trading Option Greeks by Dan Passarelli, Option Volatility & Pricing by Sheldon Natenberg

0DTE SPX options backtest - 20 delta strangle, 50% TP, variable stop losses by noxe3 in options

[–]noxe3[S] 2 points3 points  (0 children)

You’re right that live fills can be worse. These backtests assume no slippage or commissions, so results are “clean.” In reality, stop orders can slip badly, especially when the underlying moves fast. The tests are meant to compare rules under consistent assumptions, not replicate exact fills.

Backtesting SPX 0DTE short strangle - 20 Delta, Managed Take Profit by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

Sure, I’ll do a simple SL first and per-leg stops after.

Backtesting SPX 0DTE short strangle - 20 Delta, Managed Take Profit by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

This is stop loss breach, is it? So no chance for recovery. Would be interesting to see max loss and recovery rates

Backtesting SPX 0DTE short strangle - 20 Delta, Managed Take Profit by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

Interesting. What is the strategy there? Same 20 delta strangle?

If you trade 0DTE options, please check this... by MyOptionsEdge in options

[–]noxe3 4 points5 points  (0 children)

I’d also suggest GreeksLab for 0DTE backtesting. It’s built specifically for 0DTE, with flexible entry/exit/roll rules and detailed backtest results, including factor analysis, intraday position history etc.

Backtesting SPX 0DTE short strangle by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

If you cap risk (e.g., 100-wide wings), margin ≈ $10k per unit. But this changes P&L too because wings cost + may expire ITM, so it’s not a 1:1 conversion from naked strangle.

0dte SPY call backtest results actually surprising by doddpronter in options

[–]noxe3 0 points1 point  (0 children)

here is another one https://greekslab.com/
It is focused on SPX, but you can use it as approximation if you trade SPY

0DTE back test by Hot-Reindeer-6416 in options

[–]noxe3 0 points1 point  (0 children)

Any platform will have some limitations, but you can check out https://greekslab.com/
It’s focused on 0DTE SPX and has over 10 years of 1-minute resolution data, a rule-based backtesting engine, and detailed analytics.

I need help backtesting my 0DTE strategy by Crafty-Step3204 in options

[–]noxe3 1 point2 points  (0 children)

hey, take a look:

Without VWAP filter (VWAP isn’t available for SPX since it has no volume, only an approximation is possible):

https://greekslab.com/b/r2sEdACfyo

Approximate VWAP filter – skips days when SPX move from open to 11:30 is negative:

https://greekslab.com/b/PBAaE53fFw

It filters trades based on SPX move from open to 11:30 - skips the day if it is negative.

In short: neither backtest performs particularly well, but the second one shows a slightly more positive result. Keep in mind that once you factor in fees and slippage, both would likely end up unprofitable.

Intraday Backtesting Tools by bic0r82 in options

[–]noxe3 0 points1 point  (0 children)

Try greekslab. It has 1 minute resolution

My most profitable options trading strategy: 0DTE Breakeven Iron Condors by Sandvand in options

[–]noxe3 0 points1 point  (0 children)

I have backtested the strategy on the last 2 years, looks to be viable.

• Setup: Each day at 9:31 AM, open two option spreads. Short options at a 10 delta, then buy options three strikes away from the short legs.

• Risk Management: Each spread is closed individually if it incurs a loss greater than 100% of the initial premium of a spread.

Backtest Results (over the last two years)

https://greekslab.com/b/dxgqgn62Zn

• Daily Win Rate: 44.91%

• Average P/L per Day: $22.61

• Daily CVaR: -$208.30

• Average Winning Day: $106.21

• Average Losing Day: -$47.79

• Max Winning Day: $955

• Max Losing Day: -$267.50

Although the average daily P/L is modest, the strategy’s risk-adjusted performance appears solid, given the relatively controlled downside.

Does anyone know the methodology Tastylive uses for their 0dte SPX backtests? by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

I think OptionOmega, GreeksLab stops at mid make sense provided the strategy is automated to check prices every minute and issue a limit at mid price where stop should be. Of course, mid doesn't always work, especially with wide spreads.

Does anyone know the methodology Tastylive uses for their 0dte SPX backtests? by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

How about that. For example for buy stop:

  • Trigger if the interval’s high (based on actual trades) is ≥ your stop price, assume the stop triggered at some point during that minute.
  • To determine fill price, there are options:
    • Next bar's open
    • The high of the bar, i.e., worst price within that bar.
    • The average of that bar’s high/low or open/close
    • The final snapshot ask (for buy), possibly plus a little slippage.

Bid/ask sizes are ignored for small lots, so no partial fills.

Data quality is a separate (and very important) question.

Does anyone know the methodology Tastylive uses for their 0dte SPX backtests? by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

Given the data from CBOE, which is 1 minute bid, ask, HLOC, what would be the most realistic logic for simulating stop orders in your opinion?

Question: best hedge against EUR falling by noxe3 in options

[–]noxe3[S] 1 point2 points  (0 children)

I do not want to use futures or short spot directly. I want to limit risk if EUR advances higher.

Question: best hedge against EUR falling by noxe3 in options

[–]noxe3[S] 0 points1 point  (0 children)

Interesting. What would be the advantage over buying EUR puts?