Strategy · SPX 0DTE · one contract throughout

First Light

Sell the open’s fear, five minutes in — but only on mornings busy enough that the whole structure is already trading.

$62,033

net profit per year, one contract

$19,054

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

$1,365 (7.2%)

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

75%

win rate over 106 trades

$502

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

−$3,991

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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year P&L
2024							+4.1k	+2.0k	+2.8k	+0.5k		−0.7k	$8,661
2025	+3.2k	−0.1k	+19.6k	+12.4k	+17.8k	+8.5k	−1.9k			+0.8k	+8.5k	+3.9k	$72,654
2026	−1.4k	+7.0k	+21.7k	+10.1k	+7.4k	+10.8k	+1.2k	+2.3k	+4.3k				$63,428

20 of 24 months positive · mean month $6,031 · worst month −$1,903

Trade logic, in full

Signal. A natural gate rather than an indicator: all four legs of the at-the-money fly must have traded by 09:35 with net credit above $1.00. On quiet opens the far wings have no prints yet and the strategy simply stays home — it fires on roughly one morning in five on SPX, the busy ones, where opening premium is at its daily maximum.

Entry, 09:35 New York. Sell the at-the-money call and put; buy protective wings 3.5% out. Stop. 2.0× credit. Exit. 15:48.

Audit trail. Pre-registered from the train half only, then one shot at everything unseen: SPX test t = 4.9; replications SPY t = 4.6, QQQ t = 9.0 at 92% wins. The stop grid was explored on train data alone and frozen before the test.

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
2024-07-25	09:35→15:48	EOD	5420	18.60 / 17.65	7.10 / 3.40	5230 · 5610	0.15→0.10	$2,570	−11.05	$2,559	$15,390
2024-07-26	09:35→15:48	EOD	5440	18.55 / 19.10	21.70 / 0.40	5250 · 5630	0.12→0.10	$1,553	−11.05	$1,542	$15,247
2024-08-06	09:35→15:48	EOD	5210	30.30 / 30.90	55.07 / 0.12	5030 · 5390	1.65→0.10	$446	−11.05	$435	$12,045
2024-08-09	09:35→15:48	EOD	5310	26.40 / 23.45	33.94 / 0.05	5120 · 5500	0.27→0.10	$1,569	−11.05	$1,558	$14,042
2024-09-09	09:35→15:48	EOD	5460	16.21 / 19.00	6.00 / 1.75	5270 · 5650	0.15→0.10	$2,741	−11.05	$2,730	$15,494
2024-09-12	09:35→15:48	EOD	5560	15.70 / 19.50	34.16 / 0.05	5370 · 5750	0.17→0.10	$92	−11.05	$81	$15,497
2024-10-03	09:35→15:48	EOD	5700	16.80 / 14.80	0.72 / 8.39	5500 · 5900	0.10→0.10	$2,249	−11.05	$2,238	$16,850
2024-10-09	09:35→15:48	EOD	5750	10.27 / 13.06	40.63 / 0.05	5550 · 5950	0.10→0.10	−$1,735	−11.05	−$1,746	$17,677
2024-12-23	09:35→15:48	EOD	5940	15.52 / 16.13	30.40 / 0.05	5730 · 6150	0.10→0.10	$120	−11.05	$109	$17,845
2024-12-24	09:35→12:50	STOP	5990	7.51 / 12.00	39.30 / 0.05	5780 · 6200	0.10→0.10	−$1,984	−11.05	−$1,995	$19,059
2024-12-30	09:35→15:48	EOD	5900	17.20 / 21.54	27.02 / 0.10	5690 · 6110	0.10→0.10	$1,162	−11.05	$1,151	$17,136
2025-01-03	09:35→15:48	EOD	5900	19.70 / 15.60	35.54 / 0.05	5690 · 6110	0.10→0.10	−$29	−11.05	−$40	$17,480
2025-01-13	09:35→15:48	EOD	5790	17.20 / 21.90	31.10 / 0.05	5590 · 5990	0.15→0.10	$790	−11.05	$779	$16,105
2025-01-27	09:35→15:48	EOD	5990	20.43 / 17.50	12.00 / 1.15	5780 · 6200	0.40→0.10	$2,448	−11.05	$2,437	$17,247
2025-02-03	09:35→15:48	EOD	5960	18.10 / 22.10	40.95 / 0.05	5750 · 6170	0.35→0.10	−$105	−11.05	−$116	$17,015
2025-03-04	09:35→15:48	EOD	5800	29.06 / 30.21	8.80 / 7.80	5600 · 6000	1.10→0.10	$4,167	−11.05	$4,156	$14,183
2025-03-06	09:35→15:48	EOD	5760	28.10 / 32.20	2.02 / 25.42	5560 · 5960	0.52→0.06	$3,240	−11.05	$3,229	$14,022
2025-03-07	09:35→15:48	EOD	5740	32.70 / 35.68	27.26 / 0.65	5540 · 5940	0.60→0.08	$3,995	−11.05	$3,984	$13,222
2025-03-11	09:35→15:48	EOD	5590	35.00 / 32.60	16.80 / 2.35	5390 · 5790	0.87→0.08	$4,766	−11.05	$4,755	$13,327
2025-03-17	09:35→15:48	EOD	5650	22.40 / 18.40	43.70 / 0.02	5450 · 5850	0.08→0.05	−$295	−11.05	−$306	$15,928
2025-03-20	09:35→15:48	EOD	5650	24.70 / 22.60	19.66 / 0.35	5450 · 5850	0.13→0.06	$2,722	−11.05	$2,711	$15,283
2025-03-27	09:35→15:48	EOD	5680	21.80 / 18.90	30.30 / 0.05	5480 · 5880	0.09→0.08	$1,034	−11.05	$1,023	$15,939
2025-04-01	09:35→15:48	EOD	5590	22.50 / 25.30	31.77 / 0.05	5390 · 5790	0.20→0.06	$1,584	−11.05	$1,573	$15,240
2025-04-17	09:35→15:48	EOD	5290	30.60 / 28.88	4.10 / 7.55	5100 · 5480	1.00→0.06	$4,689	−11.05	$4,678	$13,152
2025-04-25	09:35→15:48	EOD	5490	29.30 / 27.00	22.20 / 0.40	5300 · 5680	1.05→0.08	$3,273	−11.05	$3,262	$13,475
2025-04-28	09:35→15:48	EOD	5530	23.83 / 20.58	2.80 / 5.60	5340 · 5720	0.27→0.10	$3,584	−11.05	$3,573	$14,586
2025-04-29	09:35→15:48	EOD	5510	23.40 / 22.60	52.19 / 0.03	5320 · 5700	0.37→0.08	−$651	−11.05	−$662	$14,437
2025-05-02	09:35→15:48	EOD	5670	18.54 / 23.50	13.33 / 1.75	5470 · 5870	0.37→0.10	$2,669	−11.05	$2,658	$15,833
2025-05-05	09:35→15:48	EOD	5650	18.25 / 19.82	11.00 / 1.20	5450 · 5850	0.23→0.06	$2,570	−11.05	$2,559	$16,216
2025-05-06	09:35→15:48	EOD	5610	18.00 / 19.00	18.00 / 0.30	5410 · 5810	0.13→0.06	$1,863	−11.05	$1,852	$16,313
2025-05-07	09:35→15:48	EOD	5610	28.08 / 24.40	23.98 / 1.50	5410 · 5810	0.52→0.08	$2,656	−11.05	$2,645	$14,804
2025-05-08	09:35→15:48	EOD	5670	20.50 / 24.90	17.20 / 0.95	5470 · 5870	0.35→0.05	$2,695	−11.05	$2,684	$15,495
2025-05-22	09:35→15:48	EOD	5840	19.10 / 21.80	23.47 / 0.22	5640 · 6040	0.27→0.06	$1,700	−11.05	$1,689	$15,937
2025-05-23	09:35→15:48	EOD	5790	24.40 / 24.80	22.40 / 0.65	5590 · 5990	0.38→0.08	$2,585	−11.05	$2,574	$15,118
2025-05-30	09:35→15:48	EOD	5890	17.90 / 21.00	24.71 / 2.40	5680 · 6100	0.20→0.08	$1,167	−11.05	$1,156	$17,130
2025-06-06	09:35→15:48	EOD	6000	14.00 / 15.10	3.90 / 2.60	5790 · 6210	0.20→0.07	$2,247	−11.05	$2,236	$18,110
2025-06-11	09:35→15:48	EOD	6040	13.10 / 15.27	0.05 / 25.00	5830 · 6250	0.15→0.08	$325	−11.05	$314	$18,178
2025-06-13	09:35→15:48	EOD	6000	19.50 / 16.50	0.10 / 27.17	5790 · 6210	0.23→0.08	$858	−11.05	$847	$17,423
2025-06-16	09:35→15:48	EOD	6020	13.00 / 12.67	13.05 / 0.25	5810 · 6230	0.13→0.08	$1,232	−11.05	$1,221	$18,446
2025-06-18	09:35→15:48	EOD	5990	17.20 / 21.50	6.20 / 3.60	5780 · 6200	0.17→0.10	$2,883	−11.05	$2,872	$17,147
2025-06-27	09:35→15:48	EOD	6150	12.50 / 8.30	10.00 / 0.72	5930 · 6370	0.15→0.10	$1,003	−11.05	$992	$19,935
2025-07-01	09:35→15:48	EOD	6190	11.10 / 11.53	18.70 / 0.10	5970 · 6410	0.15→0.10	$378	−11.05	$367	$19,752
2025-07-02	09:35→15:48	EOD	6190	11.70 / 9.70	31.14 / 0.03	5970 · 6410	0.08→0.08	−$977	−11.05	−$988	$19,868
2025-07-08	09:35→15:48	EOD	6230	10.93 / 12.04	1.15 / 4.32	6010 · 6450	0.10→0.06	$1,746	−11.05	$1,735	$19,713
2025-07-11	09:35→15:48	EOD	6250	10.82 / 14.30	15.10 / 0.15	6030 · 6470	0.10→0.08	$985	−11.05	$974	$19,498
2025-07-16	09:35→11:33	STOP	6260	9.10 / 12.90	1.15 / 44.60	6040 · 6480	0.10→0.43	−$2,342	−11.05	−$2,353	$19,810
2025-07-17	09:35→15:48	EOD	6270	9.30 / 11.27	33.30 / 0.05	6050 · 6490	0.10→0.08	−$1,280	−11.05	−$1,291	$19,953
2025-07-23	09:35→15:48	EOD	6330	10.50 / 8.30	22.11 / 0.05	6110 · 6550	0.10→0.10	−$336	−11.05	−$347	$20,130
2025-10-13	09:35→15:48	EOD	6620	22.35 / 21.20	33.30 / 0.03	6390 · 6850	0.50→0.07	$979	−11.05	$968	$18,695
2025-10-20	09:35→15:48	EOD	6710	14.80 / 14.60	30.40 / 0.03	6480 · 6940	0.32→0.08	−$127	−11.05	−$138	$20,092
2025-11-03	09:35→15:48	EOD	6860	17.90 / 12.90	0.12 / 12.60	6620 · 7100	0.15→0.06	$1,799	−11.05	$1,788	$20,935
2025-11-04	09:35→15:48	EOD	6770	20.87 / 21.70	11.00 / 0.90	6530 · 7010	0.28→0.08	$3,047	−11.05	$3,036	$19,771
2025-11-05	09:35→15:48	EOD	6770	17.73 / 19.60	44.03 / 0.03	6530 · 7010	0.15→0.09	−$679	−11.05	−$690	$20,282
2025-11-07	09:35→15:48	EOD	6680	24.90 / 21.20	36.04 / 0.17	6450 · 6910	0.30→0.08	$967	−11.05	$956	$18,420
2025-11-19	09:35→15:48	EOD	6630	25.50 / 20.60	14.80 / 1.45	6400 · 6860	0.16→0.06	$2,975	−11.05	$2,964	$18,406
2025-11-24	09:35→15:48	EOD	6670	19.30 / 22.60	34.92 / 0.03	6440 · 6900	0.35→0.08	$668	−11.05	$657	$18,845
2025-11-28	09:35→13:00	EOD	6820	12.68 / 13.70	28.30 / 0.03	6580 · 7060	0.30→0.08	−$217	−11.05	−$228	$21,392
2025-12-01	09:35→15:48	EOD	6810	17.45 / 16.50	9.61 / 0.70	6570 · 7050	0.18→0.08	$2,354	−11.05	$2,343	$20,623
2025-12-03	09:35→15:48	EOD	6820	19.90 / 16.40	37.50 / 0.03	6580 · 7060	0.15→0.08	−$130	−11.05	−$141	$20,385
2025-12-29	09:35→15:48	EOD	6910	9.60 / 11.30	1.00 / 2.65	6670 · 7150	0.13→0.08	$1,720	−11.05	$1,709	$21,923
2026-01-29	09:35→10:29	STOP	6980	16.70 / 17.00	1.10 / 68.49	6740 · 7220	0.13→0.16	−$3,586	−11.05	−$3,597	$20,643
2026-01-30	09:35→15:48	EOD	6960	18.40 / 22.19	0.95 / 17.30	6720 · 7200	0.15→0.06	$2,225	−11.05	$2,214	$19,956
2026-02-02	09:35→15:48	EOD	6940	16.60 / 18.30	37.88 / 0.03	6700 · 7180	0.22→0.08	−$315	−11.05	−$326	$20,532
2026-02-13	09:35→15:48	EOD	6830	27.80 / 28.21	3.70 / 6.50	6590 · 7070	0.55→0.06	$4,532	−11.05	$4,521	$18,454
2026-02-27	09:35→15:48	EOD	6850	24.80 / 23.40	19.49 / 0.25	6610 · 7090	0.21→0.05	$2,830	−11.05	$2,819	$19,201
2026-03-04	09:35→15:48	EOD	6830	24.60 / 25.50	49.80 / 0.03	6590 · 7070	0.29→0.06	$4	−11.05	−$7	$19,019
2026-03-06	09:35→15:48	EOD	6720	35.20 / 31.90	20.00 / 0.60	6480 · 6960	0.60→0.07	$4,597	−11.05	$4,586	$17,350
2026-03-10	09:35→15:48	EOD	6780	24.20 / 24.62	4.60 / 6.84	6540 · 7020	0.28→0.06	$3,716	−11.05	$3,705	$19,146
2026-03-11	09:35→15:48	EOD	6790	22.10 / 23.50	0.10 / 23.05	6550 · 7030	0.18→0.06	$2,233	−11.05	$2,222	$19,458
2026-03-16	09:35→15:48	EOD	6700	19.80 / 20.90	1.30 / 6.10	6470 · 6930	0.39→0.08	$3,299	−11.05	$3,288	$18,969
2026-03-23	09:35→15:48	EOD	6590	28.08 / 29.30	13.00 / 0.30	6360 · 6820	0.55→0.06	$4,359	−11.05	$4,348	$17,317
2026-03-24	09:35→15:48	EOD	6550	23.55 / 24.00	11.00 / 0.90	6320 · 6780	0.16→0.08	$3,557	−11.05	$3,546	$18,261
2026-04-01	09:35→15:48	EOD	6570	23.20 / 18.10	16.97 / 0.30	6340 · 6800	0.27→0.10	$2,386	−11.05	$2,375	$18,897
2026-04-06	09:35→15:48	EOD	6590	25.33 / 20.00	18.20 / 0.09	6360 · 6820	0.35→0.08	$2,677	−11.05	$2,666	$18,502
2026-04-07	09:35→15:48	EOD	6580	22.33 / 23.45	24.40 / 0.15	6350 · 6810	0.32→0.06	$2,097	−11.05	$2,086	$18,454
2026-04-24	09:35→15:48	EOD	7120	17.40 / 18.10	40.58 / 0.05	6870 · 7370	0.20→0.08	−$525	−11.05	−$536	$21,470
2026-04-27	09:35→15:48	EOD	7160	15.43 / 11.40	17.50 / 0.05	6910 · 7410	0.15→0.10	$923	−11.05	$912	$22,332
2026-04-28	09:35→15:48	EOD	7140	16.00 / 15.00	2.40 / 2.40	6890 · 7390	0.13→0.08	$2,615	−11.05	$2,604	$21,913
2026-05-04	09:35→15:48	EOD	7220	14.20 / 13.00	0.07 / 16.70	6970 · 7470	0.13→0.08	$1,038	−11.05	$1,027	$22,293
2026-05-12	09:35→15:48	EOD	7380	14.60 / 16.10	22.33 / 0.07	7120 · 7640	0.13→0.08	$825	−11.05	$814	$22,943
2026-05-14	09:35→15:48	EOD	7470	12.90 / 17.60	36.74 / 0.07	7210 · 7730	0.17→0.05	−$643	−11.05	−$654	$22,967
2026-05-18	09:35→15:48	EOD	7410	16.50 / 18.16	1.30 / 9.63	7150 · 7670	0.15→0.08	$2,366	−11.05	$2,355	$22,549
2026-05-19	09:35→15:48	EOD	7360	21.70 / 18.50	2.10 / 5.40	7100 · 7620	0.10→0.08	$3,268	−11.05	$3,257	$21,990
2026-05-21	09:35→15:48	EOD	7400	21.00 / 22.00	44.91 / 0.05	7140 · 7660	0.14→0.06	−$204	−11.05	−$215	$21,714
2026-05-26	09:35→15:48	EOD	7510	15.60 / 15.70	13.10 / 0.17	7250 · 7770	0.10→0.10	$1,803	−11.05	$1,792	$22,880
2026-05-28	09:35→12:25	STOP	7510	15.20 / 12.50	54.87 / 0.42	7250 · 7770	0.11→0.08	−$2,762	−11.05	−$2,773	$23,241
2026-05-29	09:35→15:48	EOD	7580	14.90 / 13.70	10.40 / 0.52	7310 · 7850	0.15→0.06	$1,759	−11.05	$1,748	$24,155
2026-06-04	09:35→15:48	EOD	7540	15.80 / 15.50	56.75 / 0.03	7280 · 7800	0.12→0.06	−$2,554	−11.05	−$2,565	$22,882
2026-06-12	09:35→15:48	EOD	7410	27.70 / 32.00	12.50 / 0.90	7150 · 7670	0.60→0.06	$4,576	−11.05	$4,565	$20,090
2026-06-15	09:35→15:48	EOD	7540	17.20 / 15.00	19.20 / 0.05	7280 · 7800	0.18→0.06	$1,283	−11.05	$1,272	$22,798
2026-06-18	09:35→15:48	EOD	7480	23.89 / 21.30	20.92 / 0.25	7220 · 7740	0.23→0.10	$2,389	−11.05	$2,378	$21,504
2026-06-23	09:35→15:48	EOD	7360	24.50 / 27.60	11.20 / 1.20	7100 · 7620	0.34→0.06	$3,942	−11.05	$3,931	$20,824
2026-06-24	09:35→15:48	EOD	7400	20.00 / 21.60	0.03 / 51.70	7140 · 7660	0.13→0.08	−$1,018	−11.05	−$1,029	$21,853
2026-06-26	09:35→15:48	EOD	7320	24.85 / 28.40	41.77 / 0.03	7060 · 7580	0.18→0.09	$1,136	−11.05	$1,125	$20,693
2026-06-29	09:35→15:48	EOD	7410	18.20 / 18.70	25.40 / 0.10	7150 · 7670	0.23→0.09	$1,126	−11.05	$1,115	$22,333
2026-07-01	09:35→15:48	EOD	7450	22.80 / 18.40	44.40 / 0.03	7190 · 7710	0.15→0.05	−$333	−11.05	−$344	$21,895
2026-07-24	09:35→15:48	EOD	7420	15.40 / 17.86	0.30 / 17.70	7160 · 7680	0.13→0.06	$1,519	−11.05	$1,508	$22,687
2026-08-03	09:35→13:34	STOP	7540	12.00 / 16.50	57.00 / 0.30	7280 · 7800	0.15→0.10	−$2,885	−11.05	−$2,896	$23,165
2026-08-06	09:35→15:48	EOD	7720	19.30 / 15.80	0.32 / 13.78	7450 · 7990	0.15→0.06	$2,091	−11.05	$2,080	$23,505
2026-08-14	09:35→15:48	EOD	7800	13.10 / 9.40	0.03 / 17.35	7530 · 8070	0.12→0.08	$508	−11.05	$497	$24,762
2026-08-19	09:35→15:48	EOD	7720	12.70 / 11.30	0.20 / 13.20	7450 · 7990	0.08→0.08	$1,060	−11.05	$1,049	$24,608
2026-08-27	09:35→15:48	EOD	7690	17.10 / 12.90	35.28 / 0.05	7420 · 7960	0.10→0.10	−$533	−11.05	−$544	$24,010
2026-08-28	09:35→15:48	EOD	7740	15.42 / 18.30	0.04 / 30.90	7470 · 8010	0.13→0.06	$271	−11.05	$260	$23,641
2026-08-31	09:35→15:48	EOD	7680	11.90 / 15.10	6.26 / 1.57	7410 · 7950	0.11→0.06	$1,912	−11.05	$1,901	$24,311
2026-09-10	09:35→15:48	EOD	7590	16.80 / 12.90	4.20 / 2.05	7320 · 7860	0.13→0.10	$2,342	−11.05	$2,331	$24,043
2026-09-11	09:35→15:48	EOD	7670	16.00 / 13.66	0.15 / 9.10	7400 · 7940	0.20→0.09	$2,030	−11.05	$2,019	$24,054

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.