Strategy · SPX 0DTE · one contract throughout

Hedge Flow

Watch what the crowd is buying, not just what it costs. A put-heavy tape means hedgers are paying up — premium worth selling.

$23,197

net profit per year, one contract

$20,734

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

$629 (3.0%)

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

76%

win rate over 86 trades

$407

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

−$3,109

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							+1.0k	+1.0k	+2.0k	+0.7k		+2.3k	$6,951
2025	+1.3k	+1.4k	+2.9k	+4.6k	+4.4k	+0.4k	+1.1k	+0.9k	+4.3k	+0.3k	+2.8k	+0.8k	$25,138
2026	+3.1k	+1.9k	+2.7k	+2.1k	+1.3k	+4.1k	−0.7k	+4.4k	+3.1k				$22,036

25 of 26 months positive · mean month $2,082 · worst month −$667

Trade logic, in full

Signal. The running put/call volume ratio of the day’s expiring options through 12:30 — a flow measure, not a price measure; no other strategy in the book reads it. When puts outnumber calls beyond the training-period upper tercile, the tape is dominated by protection buyers, and protection bought in a hurry is systematically overpriced.

Entry, 12:35 New York, signal days only. Sell the at-the-money fly, wings 3.5%, credit gate, stop 2.0×, exit 15:48.

Audit trail. Monotone across flow terciles in training. SPX test t = 3.6; replications SPY t = 3.1, QQQ t = 2.6, each with its own training-period tercile. Book increment: profit up, maximum drawdown moved $136.

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
2024-07-18	12:35→15:48	EOD	5550	11.80 / 8.00	6.30 / 3.72	5360 · 5740	0.10→0.10	$978	−11.05	$967	$17,030
2024-08-02	12:35→15:48	EOD	5340	19.40 / 18.59	7.10 / 7.50	5150 · 5530	0.42→0.10	$2,307	−11.05	$2,296	$15,243
2024-08-05	12:35→15:48	EOD	5230	23.47 / 21.63	0.05 / 64.13	5050 · 5410	1.00→0.10	−$1,998	−11.05	−$2,009	$13,590
2024-08-12	12:35→15:48	EOD	5350	13.20 / 10.50	0.32 / 15.73	5160 · 5540	0.15→0.10	$760	−11.05	$749	$16,645
2024-09-06	12:35→15:48	EOD	5420	11.50 / 16.00	4.30 / 6.33	5230 · 5610	0.12→0.10	$1,685	−11.05	$1,674	$16,262
2024-09-09	12:35→15:48	EOD	5480	9.46 / 10.50	0.15 / 16.86	5290 · 5670	0.10→0.10	$295	−11.05	$284	$17,014
2024-10-03	12:35→15:48	EOD	5700	12.15 / 7.80	0.72 / 8.39	5500 · 5900	0.10→0.10	$1,084	−11.05	$1,073	$18,015
2024-10-21	12:35→15:48	EOD	5840	6.60 / 6.30	7.37 / 0.22	5640 · 6040	0.10→0.10	$531	−11.05	$520	$18,720
2024-10-23	12:35→14:18	STOP	5800	10.10 / 8.17	0.35 / 36.30	5600 · 6000	0.10→0.10	−$1,838	−11.05	−$1,849	$18,183
2024-10-28	12:35→15:48	EOD	5830	7.20 / 6.80	3.50 / 0.85	5630 · 6030	0.12→0.12	$965	−11.05	$954	$18,612
2024-12-19	12:35→15:48	EOD	5890	11.80 / 16.00	4.14 / 8.01	5680 · 6100	0.30→0.10	$1,545	−11.05	$1,534	$18,250
2024-12-27	12:35→15:48	EOD	5940	12.60 / 12.10	16.80 / 0.15	5730 · 6150	0.15→0.10	$770	−11.05	$759	$18,545
2025-01-08	12:35→15:48	EOD	5880	14.30 / 13.08	31.20 / 0.05	5670 · 6090	0.10→0.10	−$387	−11.05	−$398	$18,272
2025-01-10	12:35→15:48	EOD	5820	13.60 / 11.60	5.96 / 3.24	5620 · 6020	0.10→0.10	$1,600	−11.05	$1,589	$17,490
2025-01-13	12:35→15:48	EOD	5800	13.60 / 10.60	22.90 / 0.05	5600 · 6000	0.10→0.10	$125	−11.05	$114	$17,590
2025-02-10	12:35→15:48	EOD	6060	6.70 / 8.00	7.00 / 0.40	5850 · 6270	0.10→0.10	$730	−11.05	$719	$19,540
2025-02-11	12:35→15:48	EOD	6060	6.40 / 8.00	7.17 / 0.60	5850 · 6270	0.10→0.10	$663	−11.05	$652	$19,570
2025-03-11	12:35→15:48	EOD	5570	24.40 / 20.20	35.47 / 0.35	5380 · 5760	0.15→0.10	$873	−11.05	$862	$14,555
2025-03-19	12:35→15:48	EOD	5660	20.00 / 21.00	29.50 / 0.20	5460 · 5860	0.25→0.08	$1,113	−11.05	$1,102	$15,925
2025-03-25	12:35→15:48	EOD	5770	6.60 / 10.30	6.30 / 1.32	5570 · 5970	0.06→0.06	$928	−11.05	$917	$18,316
2025-04-21	12:35→15:48	EOD	5140	18.20 / 18.20	6.05 / 5.40	4960 · 5320	0.42→0.07	$2,460	−11.05	$2,449	$14,402
2025-04-23	12:35→15:48	EOD	5390	21.65 / 24.80	0.70 / 23.00	5200 · 5580	0.85→0.06	$2,196	−11.05	$2,185	$14,440
2025-05-09	12:35→15:48	EOD	5660	11.00 / 13.80	3.64 / 5.02	5460 · 5860	0.10→0.06	$1,610	−11.05	$1,599	$17,530
2025-05-22	12:35→15:48	EOD	5860	10.10 / 14.50	6.20 / 2.90	5650 · 6070	0.13→0.08	$1,545	−11.05	$1,534	$18,553
2025-05-29	12:35→15:48	EOD	5900	14.50 / 10.80	10.90 / 1.70	5690 · 6110	0.10→0.08	$1,268	−11.05	$1,257	$18,480
2025-06-11	12:35→15:48	EOD	6040	8.97 / 9.90	0.05 / 25.00	5830 · 6250	0.08→0.08	−$618	−11.05	−$629	$19,121
2025-06-12	12:35→15:48	EOD	6040	8.50 / 9.50	1.35 / 5.00	5830 · 6250	0.16→0.08	$1,157	−11.05	$1,146	$19,216
2025-06-30	12:35→15:48	EOD	6190	9.60 / 8.43	18.00 / 0.62	5970 · 6410	0.08→0.06	−$61	−11.05	−$72	$20,205
2025-07-07	12:35→15:48	EOD	6230	9.60 / 8.50	0.25 / 11.30	6010 · 6450	0.08→0.07	$654	−11.05	$643	$20,198
2025-07-22	12:35→15:48	EOD	6300	4.00 / 9.00	14.20 / 0.05	6080 · 6520	0.08→0.08	−$125	−11.05	−$136	$20,708
2025-07-28	12:35→15:48	EOD	6390	7.00 / 4.70	0.17 / 7.06	6170 · 6610	0.06→0.06	$447	−11.05	$436	$20,836
2025-07-29	12:35→15:48	EOD	6380	4.00 / 8.60	0.20 / 10.57	6160 · 6600	0.08→0.08	$183	−11.05	$172	$20,748
2025-08-14	12:35→15:48	EOD	6450	9.00 / 6.30	21.03 / 0.03	6220 · 6680	0.13→0.08	−$581	−11.05	−$592	$21,483
2025-08-19	12:35→15:48	EOD	6420	7.39 / 6.20	0.05 / 14.57	6200 · 6640	0.06→0.06	−$103	−11.05	−$114	$20,647
2025-08-20	12:35→15:48	EOD	6390	6.78 / 11.35	13.86 / 0.20	6170 · 6610	0.10→0.10	$407	−11.05	$396	$20,197
2025-08-21	12:35→15:48	EOD	6360	13.00 / 8.61	9.20 / 0.45	6140 · 6580	0.08→0.06	$1,194	−11.05	$1,183	$19,847
2025-09-17	12:35→15:48	EOD	6590	26.40 / 21.45	13.03 / 1.05	6360 · 6820	0.45→0.06	$3,338	−11.05	$3,327	$18,260
2025-09-24	12:35→15:48	EOD	6630	10.40 / 6.30	6.30 / 0.85	6400 · 6860	0.10→0.08	$953	−11.05	$942	$21,340
2025-10-07	12:35→15:48	EOD	6710	11.00 / 6.77	6.60 / 0.52	6480 · 6940	0.10→0.08	$1,063	−11.05	$1,052	$21,233
2025-10-30	12:35→15:48	EOD	6860	12.90 / 12.00	0.05 / 32.50	6620 · 7100	0.08→0.08	−$765	−11.05	−$776	$21,518
2025-11-04	12:35→15:48	EOD	6790	10.60 / 11.60	0.50 / 11.04	6550 · 7030	0.04→0.06	$1,068	−11.05	$1,057	$21,784
2025-11-06	12:35→15:48	EOD	6720	16.40 / 12.80	9.40 / 2.24	6480 · 6960	0.08→0.13	$1,761	−11.05	$1,750	$21,088
2025-12-09	12:35→15:48	EOD	6860	4.20 / 9.00	0.07 / 15.30	6620 · 7100	0.08→0.08	−$217	−11.05	−$228	$22,688
2025-12-16	12:35→15:48	EOD	6790	10.53 / 9.30	16.32 / 0.15	6550 · 7030	0.06→0.06	$336	−11.05	$325	$22,023
2025-12-18	12:35→15:48	EOD	6770	15.70 / 11.60	20.20 / 0.20	6530 · 7010	0.08→0.06	$688	−11.05	$677	$21,278
2026-01-26	12:35→15:48	EOD	6960	4.00 / 7.40	1.50 / 2.30	6720 · 7200	0.14→0.06	$752	−11.05	$741	$22,874
2026-01-28	12:35→15:48	EOD	6970	14.50 / 13.90	7.54 / 0.85	6730 · 7210	0.11→0.10	$2,000	−11.05	$1,989	$21,171
2026-01-30	12:35→15:48	EOD	6920	14.30 / 13.80	23.45 / 0.50	6680 · 7160	0.08→0.06	$413	−11.05	$402	$21,198
2026-02-02	12:35→15:48	EOD	6990	4.60 / 8.50	0.15 / 12.10	6750 · 7230	0.15→0.10	$80	−11.05	$69	$22,705
2026-02-03	12:35→15:48	EOD	6910	12.70 / 16.60	2.95 / 6.50	6670 · 7150	0.13→0.06	$1,978	−11.05	$1,967	$21,083
2026-02-04	12:35→15:48	EOD	6850	20.00 / 16.20	52.30 / 0.03	6610 · 7090	0.12→0.10	−$1,615	−11.05	−$1,626	$20,392
2026-02-06	12:35→15:48	EOD	6900	12.16 / 8.00	31.05 / 0.05	6660 · 7140	0.14→0.07	−$1,101	−11.05	−$1,112	$21,998
2026-02-11	12:35→15:48	EOD	6950	12.00 / 8.70	2.60 / 3.30	6710 · 7190	0.10→0.10	$1,480	−11.05	$1,469	$21,940
2026-02-18	12:35→14:53	STOP	6900	7.80 / 9.00	0.10 / 34.10	6660 · 7140	0.14→0.07	−$1,747	−11.05	−$1,758	$22,334
2026-02-19	12:35→15:48	EOD	6860	10.30 / 13.40	1.27 / 7.20	6620 · 7100	0.09→0.09	$1,523	−11.05	$1,512	$21,639
2026-02-23	12:35→15:48	EOD	6830	11.70 / 13.53	6.60 / 1.65	6590 · 7070	0.13→0.06	$1,691	−11.05	$1,680	$21,490
2026-02-26	12:35→15:48	EOD	6880	11.90 / 11.20	25.80 / 0.03	6640 · 7120	0.12→0.10	−$275	−11.05	−$286	$21,702
2026-03-02	12:35→15:48	EOD	6880	8.70 / 11.60	3.20 / 5.00	6640 · 7120	0.13→0.06	$1,203	−11.05	$1,192	$21,983
2026-03-13	12:35→15:48	EOD	6650	17.20 / 14.10	0.30 / 21.50	6420 · 6880	0.13→0.08	$945	−11.05	$934	$19,883
2026-03-16	12:35→15:48	EOD	6690	12.30 / 15.50	6.10 / 1.05	6460 · 6920	0.15→0.10	$2,060	−11.05	$2,049	$20,235
2026-03-17	12:35→15:48	EOD	6720	11.70 / 9.40	2.85 / 1.95	6480 · 6960	0.10→0.08	$1,628	−11.05	$1,617	$21,900
2026-03-19	12:35→15:06	STOP	6580	13.90 / 12.20	56.18 / 0.85	6350 · 6810	0.13→0.08	−$3,098	−11.05	−$3,109	$20,403
2026-04-02	12:35→15:48	EOD	6560	16.80 / 15.80	10.08 / 0.75	6330 · 6790	0.18→0.06	$2,165	−11.05	$2,154	$19,758
2026-04-20	12:35→15:48	EOD	7100	9.70 / 8.30	3.50 / 1.15	6850 · 7350	0.08→0.08	$1,335	−11.05	$1,324	$23,208
2026-04-21	12:35→15:48	EOD	7090	11.90 / 7.50	0.10 / 27.30	6840 · 7340	0.13→0.08	−$805	−11.05	−$816	$23,073
2026-04-28	12:35→15:48	EOD	7120	9.20 / 8.40	19.81 / 0.05	6870 · 7370	0.09→0.07	−$228	−11.05	−$239	$23,249
2026-04-29	12:35→15:48	EOD	7120	12.14 / 16.50	11.15 / 0.50	6870 · 7370	0.06→0.06	$1,699	−11.05	$1,688	$22,142
2026-04-30	12:35→14:37	STOP	7170	11.90 / 7.70	39.09 / 0.37	6920 · 7420	0.10→0.08	−$1,988	−11.05	−$1,999	$23,050
2026-05-04	12:35→15:48	EOD	7200	8.90 / 13.90	4.00 / 1.22	6950 · 7450	0.13→0.06	$1,751	−11.05	$1,740	$22,733
2026-05-11	12:35→15:48	EOD	7420	8.80 / 4.20	0.08 / 12.85	7160 · 7680	0.10→0.08	$5	−11.05	−$6	$24,710
2026-05-12	12:35→15:08	STOP	7350	8.60 / 9.90	37.28 / 0.22	7090 · 7610	0.08→0.08	−$1,900	−11.05	−$1,911	$24,158
2026-05-18	12:35→15:48	EOD	7380	11.30 / 13.80	21.60 / 0.15	7120 · 7640	0.10→0.08	$333	−11.05	$322	$23,500
2026-05-19	12:35→15:48	EOD	7370	11.00 / 14.40	0.32 / 13.64	7110 · 7630	0.06→0.05	$1,143	−11.05	$1,132	$23,466
2026-06-08	12:35→15:48	EOD	7430	15.70 / 11.50	0.10 / 21.75	7170 · 7690	0.13→0.08	$530	−11.05	$519	$23,293
2026-06-18	12:35→15:48	EOD	7490	12.00 / 8.50	11.60 / 0.95	7230 · 7750	0.15→0.08	$788	−11.05	$777	$23,965
2026-06-22	12:35→15:48	EOD	7470	11.10 / 10.10	0.90 / 6.40	7210 · 7730	0.13→0.14	$1,391	−11.05	$1,380	$23,893
2026-06-25	12:35→15:48	EOD	7360	16.50 / 15.50	0.50 / 17.20	7100 · 7620	0.12→0.06	$1,424	−11.05	$1,413	$22,812
2026-07-30	12:35→15:48	EOD	7410	12.75 / 10.50	29.70 / 0.07	7150 · 7670	0.10→0.06	−$656	−11.05	−$667	$23,685
2026-08-06	12:35→15:48	EOD	7710	8.50 / 11.00	2.25 / 6.20	7440 · 7980	0.15→0.09	$1,099	−11.05	$1,088	$25,065
2026-08-07	12:35→15:48	EOD	7740	10.60 / 8.50	12.92 / 0.25	7470 · 8010	0.08→0.05	$590	−11.05	$579	$25,098
2026-08-18	12:35→15:48	EOD	7700	8.80 / 5.80	1.35 / 3.20	7430 · 7970	0.08→0.08	$1,005	−11.05	$994	$25,548
2026-08-24	12:35→15:48	EOD	7660	9.12 / 4.50	0.82 / 5.70	7390 · 7930	0.13→0.08	$705	−11.05	$694	$25,651
2026-08-28	12:35→15:48	EOD	7720	11.20 / 11.39	0.40 / 11.70	7450 · 7990	0.08→0.06	$1,047	−11.05	$1,036	$24,749
2026-09-02	12:35→15:48	EOD	7670	6.00 / 7.90	2.65 / 2.35	7400 · 7940	0.10→0.08	$888	−11.05	$877	$25,620
2026-09-09	12:35→15:48	EOD	7640	5.30 / 9.75	4.20 / 1.25	7370 · 7910	0.06→0.08	$962	−11.05	$951	$25,501
2026-09-10	12:35→15:48	EOD	7590	8.80 / 10.34	4.20 / 2.05	7320 · 7860	0.10→0.10	$1,289	−11.05	$1,278	$25,096

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.