Strategy · SPX 0DTE · one contract throughout

Surcharge

Measure what the morning actually moved. When the option market charges for more fear than the tape shows, sell the difference.

$28,702

net profit per year, one contract

$18,822

defined-risk margin per trade (wing width − credit; exact value per trade in the blotter)

$1,425 (7.6%)

average net per trade, as % of its margin — held hours, never overnight

94%

win rate over 47 trades

$223

costs paid per year ($11.05/trade, itemized below)

−$1,311

max drawdown

< 1 in 1,000,000

odds these results are pure luck

Equity curve

Cumulative net profit, this strategy alone, after all costs.

Monthly results

Year	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year P&L
2024						+1.3k	+1.2k	+8.0k			+0.9k	$11,267
2025	+1.2k	+9.7k	+3.9k	+9.6k	+5.4k	+3.9k	+0.6k	+3.5k	+1.7k	+2.2k	+2.9k	$44,626
2026	+0.7k	+3.1k	+1.6k	+3.1k	+1.0k		+1.7k					$11,079

21 of 21 months positive · mean month $3,189 · worst month $641

Trade logic, in full

Signal. At 10:30, two numbers: what the at-the-money straddle costs, and what the first hour of trading actually moved (realized volatility from one-minute bars, scaled to a full day in index dollars). Their ratio is the fear surcharge. When it is in the top third of its training-period distribution, buyers are paying for turbulence the tape is not delivering.

Entry, 10:35 New York, signal days only. Sell the at-the-money fly, wings 3.5%, credit above $1.00, stop 2.0×, exit 15:48.

Audit trail. SPX test t = 5.4 at a 95% win rate; replications SPY t = 4.0, QQQ t = 2.3, each gated by its own training tercile. Added to the full book it raised profit without deepening the maximum drawdown by a single dollar. The only strategy in the book whose signal compares the option market against the spot tape.

Every trade, every leg

The complete record — nothing curated. Each trade sells one STRADDLE — a call and a put at the same strike K — and buys two protective wings (put wing · call wing strikes shown). 'Sold C / P' are the two short legs' entry prices, 'Bought C / P' their buy-back prices; wing prices are shown as the pair's combined value. Prices are per index point (×$100). Fired because the entry clock was reached — this strategy trades by appointment, every qualifying day. Margin is exact: wing width − credit. Costs = 8 contract-sides × $1.35 + $0.25 regulatory. STOP = premium stop; THESIS = the level broke; EOD = scheduled 15:48 exit. All times New York.

Date	In→Out	How	Straddle K	Sold C / P	Bought C / P	Wings	Wings in→out	Gross	Costs	Net	Margin
2024-07-17	10:35→15:48	EOD	5600	16.18 / 7.78	0.80 / 10.30	5400 · 5800	0.10→0.10	$1,286	−11.05	$1,275	$17,614
2024-08-14	10:35→15:48	EOD	5430	10.37 / 21.50	19.96 / 0.05	5240 · 5620	0.12→0.10	$1,184	−11.05	$1,173	$15,825
2024-09-09	10:35→15:48	EOD	5450	14.51 / 15.70	14.60 / 0.32	5260 · 5640	0.12→0.10	$1,527	−11.05	$1,516	$15,991
2024-09-12	10:35→15:48	EOD	5570	9.00 / 23.65	25.34 / 0.15	5380 · 5760	0.12→0.10	$714	−11.05	$703	$15,747
2024-09-13	10:35→15:48	EOD	5610	17.30 / 11.30	16.60 / 0.15	5410 · 5810	0.10→0.10	$1,185	−11.05	$1,174	$17,150
2024-09-18	10:35→15:48	EOD	5630	30.22 / 29.98	1.75 / 12.40	5430 · 5830	0.42→0.10	$4,573	−11.05	$4,562	$14,022
2024-12-05	10:35→15:48	EOD	6080	6.90 / 6.30	3.80 / 0.65	5870 · 6290	0.10→0.10	$875	−11.05	$864	$19,690
2025-02-11	10:35→15:48	EOD	6060	9.80 / 10.15	7.17 / 0.60	5850 · 6270	0.10→0.10	$1,218	−11.05	$1,207	$19,015
2025-03-07	10:35→15:48	EOD	5730	18.20 / 44.50	35.21 / 0.26	5530 · 5930	0.57→0.08	$2,674	−11.05	$2,663	$13,787
2025-03-12	10:35→15:48	EOD	5600	18.70 / 33.40	7.30 / 4.80	5400 · 5800	0.20→0.08	$3,988	−11.05	$3,977	$14,810
2025-03-18	10:35→15:48	EOD	5620	19.20 / 19.41	0.60 / 14.10	5420 · 5820	0.13→0.06	$2,384	−11.05	$2,373	$16,152
2025-03-19	10:35→15:48	EOD	5650	24.10 / 23.00	40.30 / 0.10	5450 · 5850	0.15→0.06	$661	−11.05	$650	$15,305
2025-04-17	10:35→15:48	EOD	5270	22.40 / 27.70	16.80 / 1.00	5090 · 5450	0.90→0.08	$3,148	−11.05	$3,137	$13,080
2025-04-21	10:35→15:48	EOD	5170	27.20 / 22.10	0.25 / 30.88	4990 · 5350	1.00→0.07	$1,724	−11.05	$1,713	$13,170
2025-04-22	10:35→15:48	EOD	5240	24.40 / 18.80	45.60 / 0.10	5060 · 5420	0.77→0.08	−$319	−11.05	−$330	$13,757
2025-04-29	10:35→15:48	EOD	5520	23.80 / 13.71	43.00 / 0.05	5330 · 5710	0.24→0.06	−$572	−11.05	−$583	$15,273
2025-05-07	10:35→15:48	EOD	5630	22.70 / 19.70	7.00 / 6.20	5430 · 5830	0.35→0.08	$2,893	−11.05	$2,882	$15,795
2025-05-08	10:35→15:48	EOD	5660	22.30 / 19.40	26.50 / 0.35	5460 · 5860	0.25→0.08	$1,468	−11.05	$1,457	$15,855
2025-05-09	10:35→15:48	EOD	5660	13.30 / 21.10	3.64 / 5.02	5460 · 5860	0.29→0.06	$2,551	−11.05	$2,540	$16,589
2025-05-13	10:35→15:48	EOD	5890	11.00 / 15.20	10.65 / 0.95	5680 · 6100	0.20→0.08	$1,448	−11.05	$1,437	$18,400
2025-05-28	10:35→15:48	EOD	5910	12.75 / 10.67	1.45 / 8.60	5700 · 6120	0.13→0.08	$1,332	−11.05	$1,321	$18,671
2025-06-06	10:35→15:48	EOD	6000	14.10 / 10.70	3.90 / 2.60	5790 · 6210	0.23→0.07	$1,814	−11.05	$1,803	$18,543
2025-06-12	10:35→15:48	EOD	6030	13.20 / 9.50	7.30 / 1.05	5820 · 6240	0.15→0.08	$1,428	−11.05	$1,417	$18,745
2025-06-18	10:35→15:48	EOD	6010	21.80 / 14.10	0.32 / 17.82	5800 · 6220	0.22→0.08	$1,762	−11.05	$1,751	$17,432
2025-06-30	10:35→15:48	EOD	6190	9.40 / 13.20	18.00 / 0.62	5970 · 6410	0.13→0.06	$391	−11.05	$380	$19,753
2025-07-08	10:35→15:48	EOD	6220	17.50 / 4.97	7.19 / 0.50	6000 · 6440	0.08→0.06	$1,476	−11.05	$1,465	$19,761
2025-07-09	10:35→15:48	EOD	6250	9.10 / 12.50	10.25 / 0.15	6030 · 6470	0.08→0.06	$1,118	−11.05	$1,107	$19,848
2025-07-11	10:35→15:48	EOD	6260	11.90 / 7.80	5.70 / 0.95	6040 · 6480	0.08→0.06	$1,303	−11.05	$1,292	$20,038
2025-08-04	10:35→15:48	EOD	6310	10.80 / 9.90	13.90 / 0.15	6090 · 6530	0.20→0.07	$652	−11.05	$641	$19,950
2025-09-17	10:35→15:48	EOD	6600	22.25 / 22.50	5.73 / 3.70	6370 · 6830	0.51→0.10	$3,491	−11.05	$3,480	$18,576
2025-10-22	10:35→15:48	EOD	6710	15.40 / 12.90	0.70 / 9.95	6480 · 6940	0.23→0.10	$1,752	−11.05	$1,741	$20,193
2025-11-12	10:35→15:48	EOD	6850	10.30 / 16.20	5.00 / 1.90	6610 · 7090	0.10→0.06	$1,956	−11.05	$1,945	$21,360
2025-11-28	10:35→13:00	EOD	6830	13.00 / 7.50	17.80 / 0.05	6590 · 7070	0.10→0.07	$262	−11.05	$251	$21,960
2025-12-01	10:35→15:48	EOD	6810	12.90 / 16.30	9.61 / 0.70	6570 · 7050	0.13→0.08	$1,884	−11.05	$1,873	$21,093
2025-12-12	10:35→15:48	EOD	6850	16.90 / 15.60	0.15 / 21.80	6610 · 7090	0.13→0.06	$1,048	−11.05	$1,037	$20,763
2026-02-11	10:35→15:48	EOD	6920	23.40 / 12.50	29.00 / 0.05	6680 · 7160	0.12→0.10	$683	−11.05	$672	$20,422
2026-03-12	10:35→15:48	EOD	6690	25.02 / 18.92	0.80 / 12.16	6460 · 6920	0.22→0.08	$3,084	−11.05	$3,073	$18,628
2026-04-07	10:35→15:48	EOD	6570	18.10 / 20.20	34.28 / 0.05	6340 · 6800	0.35→0.08	$370	−11.05	$359	$19,205
2026-04-24	10:35→15:48	EOD	7120	16.70 / 11.00	40.58 / 0.05	6870 · 7370	0.15→0.08	−$1,300	−11.05	−$1,311	$22,245
2026-04-27	10:35→15:48	EOD	7160	10.90 / 10.68	17.50 / 0.05	6910 · 7410	0.10→0.10	$403	−11.05	$392	$22,852
2026-04-28	10:35→15:48	EOD	7140	7.81 / 18.65	2.40 / 2.40	6890 · 7390	0.13→0.08	$2,161	−11.05	$2,150	$22,367
2026-05-08	10:35→15:48	EOD	7390	9.40 / 14.50	6.60 / 0.45	7130 · 7650	0.15→0.06	$1,676	−11.05	$1,665	$23,625
2026-05-29	10:35→15:48	EOD	7580	14.00 / 11.50	10.40 / 0.52	7310 · 7850	0.10→0.06	$1,454	−11.05	$1,443	$24,460
2026-06-15	10:35→15:48	EOD	7540	15.80 / 9.90	19.20 / 0.05	7280 · 7800	0.15→0.06	$636	−11.05	$625	$23,445
2026-06-16	10:35→15:48	EOD	7540	12.80 / 13.90	0.05 / 22.93	7280 · 7800	0.13→0.08	$367	−11.05	$356	$23,343
2026-08-14	10:35→15:48	EOD	7790	10.30 / 7.92	0.30 / 7.30	7520 · 8060	0.15→0.06	$1,053	−11.05	$1,042	$25,193
2026-08-25	10:35→15:48	EOD	7660	10.73 / 8.14	12.50 / 0.10	7390 · 7930	0.08→0.06	$625	−11.05	$614	$25,121

Radiant Research is a research demonstration by the V6 systematic trading project. All results are backtested on historical exchange data (Jun 2024 – Sep 2026 for SPX), net of modelled commissions, exchange and regulatory fees and half the bid–ask spread. They are not live results, not a solicitation, and not investment advice. Options involve substantial risk of loss.