A research program on S&P 500 index options that expire the same day: ten defined-risk decay structures and three event-driven premium sales, spanning the session from the opening range to the final 48 minutes. Every position opens and closes within one day, so the book is flat every night by construction — and every one of the 28 backtested months, including the 2026 correction, closed profitable. All figures are net of itemized costs, on exchange minute data, replicated on three markets.
The engine of the book: ten daily appointments — 09:35, 10:35, 11:00, 11:30, noon, 12:35 and 14:00 at the money; 10:30, 13:00 and 15:00 at the volume wall — each selling a straddle wrapped in protective wings. Maximum loss fixed at entry, ~$21k margin per trade, the smoothest curves in the program. Each name links to its full page: logic, own equity curve, every trade.
| Strategy | Trades | Net / yr (after costs) | Costs paid / yr | Margin / trade | Avg net / trade (% of margin) | Win rate | Win : loss size | Months + | Worst month |
|---|---|---|---|---|---|---|---|---|---|
| First Light | 106 | $69,682 | $502 | $19,054 | $1,534 (8.1%) | 77% | 2.1 : 1 | 20 / 24 | −$1,658 |
| Morning Wall | 137 | $90,567 | $649 | $19,294 | $1,542 (8.0%) | 82% | 1.6 : 1 | 26 / 27 | −$2,104 |
| Surcharge | 48 | $31,686 | $227 | $18,946 | $1,540 (8.1%) | 92% | 2.5 : 1 | 22 / 22 | $201 |
| Elevenses | 198 | $76,580 | $938 | $19,988 | $902 (4.5%) | 75% | 1.3 : 1 | 28 / 28 | $607 |
| Term Premium | 47 | $33,156 | $223 | $17,981 | $1,646 (9.2%) | 83% | 2.4 : 1 | 21 / 24 | −$1,679 |
| Meridian | 237 | $64,010 | $1,122 | $20,522 | $630 (3.1%) | 63% | 1.8 : 1 | 26 / 28 | −$1,373 |
| Hedge Flow | 87 | $27,066 | $412 | $20,788 | $726 (3.5%) | 76% | 1.2 : 1 | 23 / 26 | −$813 |
| Magnet | 200 | $70,788 | $947 | $20,573 | $826 (4.0%) | 76% | 1.2 : 1 | 26 / 27 | −$86 |
| Afternoon Pin | 280 | $39,961 | $1,326 | $20,991 | $333 (1.6%) | 69% | 1.0 : 1 | 24 / 28 | −$3,419 |
| Last Hour | 247 | $29,301 | $1,170 | $21,057 | $277 (1.3%) | 64% | 1.2 : 1 | 21 / 27 | −$5,874 |
Three event-driven strategies that earn from different weather than the core — Range Break is the program's only morning engine and is correlation-zero to everything else. Their monthly grids show more red — that is their nature, not a defect: Premium Momentum wins a third of its trades at 3:1 size and made its best money in the 2025 and 2026 correction months, exactly when decay strategies rest. They are carried at satellite size for the smoothing they buy, and remain under extended live evaluation.
| Strategy | Trades | Net / yr (after costs) | Costs paid / yr | Margin / trade | Avg net / trade (% of margin) | Win rate | Win : loss size | Months + | Worst month |
|---|---|---|---|---|---|---|---|---|---|
| Range Break | 505 | $35,191 | $638 | $47,011 | $163 (0.3%) | 50% | 1.4 : 1 | 19 / 28 | −$4,830 |
| Premium Momentum | 523 | $27,999 | $661 | $46,040 | $125 (0.3%) | 33% | 3.0 : 1 | 16 / 28 | −$2,698 |
| Defended High | 167 | $11,458 | $211 | $39,422 | $160 (0.4%) | 49% | 1.4 : 1 | 15 / 28 | −$4,954 |
A calendar note a careful reader will find on their own: the book shows no trades on monthly-expiration Fridays (the third Friday). That is the market’s doing, not a gap — CBOE lists no PM-settled same-day SPX contract on those ~12 days a year, so there is nothing to sell; the SPY and QQQ replications, whose options do expire at those Fridays’ close, trade them with ordinary results.
This curve is the thirteen strategies on SPX at one contract each — the production configuration. Its total equals the SPX tab's strategy totals below by construction; the SPY and QQQ tabs show the same frozen rules replicated on those markets at their own contract sizes (validation, not addition).
SPY replication at 1/10th contract size — validation of the rules, not part of the production book.
QQQ replication — a market never used in development; the strongest independent witness.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year P&L |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | +5.2k | +46.8k | +44.7k | +70.7k | +37.0k | +19.5k | +13.3k | $237,138 | |||||
| 2025 | +9.4k | +41.0k | +128.6k | +165.1k | +119.9k | +31.3k | +18.4k | +41.5k | +25.8k | +44.6k | +63.9k | +32.4k | $721,876 |
| 2026 | +11.2k | +67.7k | +106.8k | +53.1k | +45.6k | +76.8k | +26.4k | +47.1k | +23.6k | $458,361 |
2024: $237,138 · 2025: $721,876 · 2026 (Jan–Sep): $458,361 · Total: $1,417,374 — one contract per strategy, AFTER paying $21,062 in commissions and fees (itemized on every strategy page).
The ten structure strategies are defined-risk: their margin is their exact maximum loss, fixed at entry. The three event strategies sell single options, margined per trade under both regimes.
The one-line answer: to earn $607,446 a year at 1× scale, you need an account of $463,000 (with portfolio margin) — or $892,000 on a standard account — or $276,000 if you run only the ten defined-risk structures.
| Configuration | Account you need | You earn / yr | Return on account | Worst-day margin inside it |
|---|---|---|---|---|
| Full program, portfolio margin | $463,000 | $607,446 | 131% | $347,449 |
| Full program, standard (Reg-T) margin | $892,000 | $607,446 | 68% | $668,682 |
| All ten structures only (defined-risk; no portfolio-margin approval needed) | $276,000 | $532,797 | 193% | $206,739 |
How often is that much margin actually used? On the portfolio-margin basis the median trading day ties up $154,276, 95% of days stay under $259,333, and the $347,449 worst day occurred 1 time(s) in 552 sessions. On the Reg-T basis: median $330,648, 95th percentile $491,400, peak $668,682 reached 1 time(s). The account is sized to the worst day plus a 25% buffer — most days it sits largely unused, which is exactly the discipline an allocator wants to see.
How to read this table. A broker never lends you the profit — it demands collateral (margin) for every open position, and the amount depends on which kind of account you hold. So the same program, earning the same $607,446 a year, needs a different account size depending on the row:
Row 1 — portfolio margin. The broker looks at the whole book, stresses it (index −8%/+6%), and charges the modeled worst loss. On the single worst day in 28 months every open position together demanded $347,449 of collateral. Add a 25% cushion so that day is comfortable, not tight: $463,000. Earning $607,446 on $463,000 is 131% a year. Portfolio margin requires broker approval and normally a $125,000+ account — which this qualifies for.
Row 2 — standard (Reg-T) account. No approval needed, but the broker uses a cruder per-position formula for the three single-leg strategies, so the same trades tie up roughly twice the collateral. Same dollars earned, bigger account, therefore a lower percentage. Nothing about the trading changes — only the denominator.
Row 3 — the ten structures alone. Every structure buys its own insurance (the wings), so its worst case is capped and the margin is simply that capped amount. Any options-approved account can hold them — no portfolio-margin approval at all. Smaller book, but the capital works hardest here: this is the natural starting configuration for a smaller account.
If someone asks “why three different returns?” — the profit is the same machine; the rows differ only in how much collateral a given account type demands as a deposit. Return on account = same numerator, different denominator.
Worst-day margin is not an estimate: it is the maximum, over all 552 sessions, of the sum of each open position's per-trade margin — defined-risk structures at their exact capped loss, single legs at the TIMS −8%/+6% index stress (portfolio margin) or the published CBOE Reg-T formula. Every per-trade value appears in the blotters.
Every session of the record, newest first: the whole book's net for the day (all strategies, one contract each, after costs) with the running total. This is the same accounting the live ledger uses, so live days append to exactly this table.
| Date | Structures | Day net | Running total |
|---|---|---|---|
| 2026-09-23 | 8 | $2,271 | $1,417,374 |
| 2026-09-22 | 8 | $2,821 | $1,415,104 |
| 2026-09-21 | 2 | $1,434 | $1,412,283 |
| 2026-09-17 | 6 | $1,222 | $1,410,849 |
| 2026-09-16 | 2 | −$1,916 | $1,409,627 |
| 2026-09-15 | 8 | $8,462 | $1,411,543 |
| 2026-09-14 | 5 | −$3,162 | $1,403,081 |
| 2026-09-11 | 10 | $3,331 | $1,406,243 |
| 2026-09-10 | 10 | $7,790 | $1,402,912 |
| 2026-09-09 | 8 | $2,164 | $1,395,122 |
| 2026-09-08 | 8 | −$3,684 | $1,392,959 |
| 2026-09-04 | 3 | $1,063 | $1,396,643 |
| 2026-09-03 | 3 | $2,598 | $1,395,580 |
| 2026-09-02 | 8 | $3,811 | $1,392,982 |
| 2026-09-01 | 7 | −$4,583 | $1,389,171 |
| 2026-08-31 | 6 | $3,283 | $1,393,754 |
| 2026-08-28 | 9 | $3,630 | $1,390,471 |
| 2026-08-27 | 6 | $2,414 | $1,386,841 |
| 2026-08-26 | 1 | −$463 | $1,384,428 |
| 2026-08-25 | 7 | $1,649 | $1,384,891 |
| 2026-08-24 | 8 | $6,146 | $1,383,242 |
| 2026-08-20 | 3 | −$232 | $1,377,096 |
| 2026-08-19 | 8 | −$2,120 | $1,377,328 |
| 2026-08-18 | 8 | $6,169 | $1,379,448 |
| 2026-08-17 | 6 | −$2,130 | $1,373,279 |
| 2026-08-14 | 11 | $8,237 | $1,375,410 |
| 2026-08-13 | 4 | −$1,685 | $1,367,173 |
| 2026-08-12 | 3 | $1,955 | $1,368,858 |
| 2026-08-11 | 5 | $3,842 | $1,366,903 |
| 2026-08-10 | 4 | $130 | $1,363,061 |
| 2026-08-07 | 3 | −$495 | $1,362,931 |
| 2026-08-06 | 8 | $6,496 | $1,363,426 |
| 2026-08-05 | 8 | $11,551 | $1,356,930 |
| 2026-08-04 | 2 | $2,379 | $1,345,379 |
| 2026-08-03 | 6 | −$3,675 | $1,343,000 |
| 2026-07-31 | 8 | −$1,637 | $1,346,675 |
| 2026-07-30 | 8 | −$4,250 | $1,348,312 |
| 2026-07-29 | 2 | −$2,544 | $1,352,562 |
| 2026-07-28 | 7 | $3,962 | $1,355,106 |
| 2026-07-27 | 8 | $9,976 | $1,351,144 |
| 2026-07-24 | 4 | $763 | $1,341,168 |
| 2026-07-23 | 7 | $7,225 | $1,340,405 |
| 2026-07-22 | 6 | −$758 | $1,333,181 |
| 2026-07-21 | 9 | $5,904 | $1,333,939 |
| 2026-07-20 | 2 | $1,107 | $1,328,035 |
| 2026-07-16 | 3 | −$1,587 | $1,326,928 |
| 2026-07-15 | 5 | −$759 | $1,328,515 |
| 2026-07-14 | 5 | $2,195 | $1,329,274 |
| 2026-07-13 | 3 | $2,960 | $1,327,079 |
| 2026-07-10 | 1 | −$333 | $1,324,119 |
| 2026-07-09 | 3 | $854 | $1,324,452 |
| 2026-07-08 | 6 | −$3,339 | $1,323,598 |
| 2026-07-07 | 8 | $4,078 | $1,326,937 |
| 2026-07-06 | 4 | $278 | $1,322,859 |
| 2026-07-02 | 7 | $150 | $1,322,581 |
| 2026-07-01 | 4 | $2,184 | $1,322,431 |
| 2026-06-30 | 6 | $4,756 | $1,320,247 |
| 2026-06-29 | 9 | $3,019 | $1,315,491 |
| 2026-06-26 | 3 | $2,040 | $1,312,472 |
| 2026-06-25 | 8 | $11,148 | $1,310,432 |
| 2026-06-24 | 9 | −$7,076 | $1,299,284 |
| 2026-06-23 | 5 | $3,954 | $1,306,360 |
| 2026-06-22 | 7 | $8,179 | $1,302,407 |
| 2026-06-18 | 9 | $10,855 | $1,294,228 |
| 2026-06-17 | 2 | $1,567 | $1,283,373 |
| 2026-06-16 | 7 | $1,583 | $1,281,806 |
| 2026-06-15 | 10 | $8,958 | $1,280,223 |
| 2026-06-12 | 10 | $11,454 | $1,271,265 |
| 2026-06-11 | 2 | −$708 | $1,259,812 |
| 2026-06-10 | 2 | $1,361 | $1,260,520 |
| 2026-06-09 | 6 | $9,115 | $1,259,158 |
| 2026-06-08 | 5 | $2,701 | $1,250,044 |
| 2026-06-05 | 2 | $2,774 | $1,247,343 |
| 2026-06-04 | 4 | −$480 | $1,244,569 |
| 2026-06-03 | 2 | $648 | $1,245,049 |
| 2026-06-02 | 5 | $1,491 | $1,244,400 |
| 2026-06-01 | 4 | −$503 | $1,242,909 |
| 2026-05-29 | 7 | $9,609 | $1,243,412 |
| 2026-05-28 | 7 | $124 | $1,233,804 |
| 2026-05-27 | 6 | $3,975 | $1,233,680 |
| 2026-05-26 | 6 | $1,159 | $1,229,705 |
| 2026-05-22 | 4 | $2,875 | $1,228,546 |
| 2026-05-21 | 9 | −$2,749 | $1,225,671 |
| 2026-05-20 | 4 | $1,134 | $1,228,420 |
| 2026-05-19 | 7 | $7,170 | $1,227,286 |
| 2026-05-18 | 9 | $9,179 | $1,220,116 |
| 2026-05-14 | 5 | $2,004 | $1,210,938 |
| 2026-05-13 | 5 | −$2,917 | $1,208,934 |
| 2026-05-12 | 9 | −$8,609 | $1,211,851 |
| 2026-05-11 | 8 | $3,785 | $1,220,460 |
| 2026-05-08 | 9 | $8,993 | $1,216,675 |
| 2026-05-07 | 3 | −$44 | $1,207,682 |
| 2026-05-06 | 4 | −$1,240 | $1,207,726 |
| 2026-05-05 | 7 | $2,790 | $1,208,966 |
| 2026-05-04 | 9 | $9,407 | $1,206,176 |
| 2026-05-01 | 2 | −$1,011 | $1,196,769 |
| 2026-04-30 | 6 | −$8,933 | $1,197,780 |
| 2026-04-29 | 8 | $8,244 | $1,206,713 |
| 2026-04-28 | 11 | $9,185 | $1,198,470 |
| 2026-04-27 | 8 | $2,677 | $1,189,285 |
| 2026-04-24 | 11 | −$1,752 | $1,186,608 |
| 2026-04-23 | 3 | $656 | $1,188,361 |
| 2026-04-22 | 3 | $2,994 | $1,187,705 |
| 2026-04-21 | 8 | −$4,773 | $1,184,710 |
| 2026-04-20 | 8 | $6,652 | $1,189,484 |
| 2026-04-16 | 5 | −$1,769 | $1,182,832 |
| 2026-04-15 | 6 | −$2,594 | $1,184,601 |
| 2026-04-14 | 3 | $2,792 | $1,187,195 |
| 2026-04-13 | 3 | $763 | $1,184,403 |
| 2026-04-10 | 9 | $7,402 | $1,183,640 |
| 2026-04-09 | 4 | −$677 | $1,176,238 |
| 2026-04-08 | 2 | −$1,046 | $1,176,915 |
| 2026-04-07 | 8 | $8,213 | $1,177,961 |
| 2026-04-06 | 10 | $12,657 | $1,169,748 |
| 2026-04-02 | 8 | $7,696 | $1,157,091 |
| 2026-04-01 | 5 | $4,683 | $1,149,395 |
| 2026-03-31 | 7 | $2,835 | $1,144,712 |
| 2026-03-30 | 3 | −$1,571 | $1,141,877 |
| 2026-03-27 | 2 | $3,249 | $1,143,448 |
| 2026-03-26 | 5 | $1,154 | $1,140,199 |
| 2026-03-25 | 7 | $9,969 | $1,139,045 |
| 2026-03-24 | 9 | $3,496 | $1,129,076 |
| 2026-03-23 | 5 | $9,600 | $1,125,581 |
| 2026-03-19 | 10 | $375 | $1,115,981 |
| 2026-03-18 | 2 | $4,264 | $1,115,606 |
| 2026-03-17 | 7 | $9,343 | $1,111,342 |
| 2026-03-16 | 9 | $12,276 | $1,101,999 |
| 2026-03-13 | 7 | $10,188 | $1,089,723 |
| 2026-03-12 | 9 | $5,699 | $1,079,535 |
| 2026-03-11 | 6 | $6,706 | $1,073,836 |
| 2026-03-10 | 7 | $2,928 | $1,067,131 |
| 2026-03-09 | 2 | $3,768 | $1,064,203 |
| 2026-03-06 | 6 | $7,854 | $1,060,435 |
| 2026-03-05 | 7 | $3,964 | $1,052,581 |
| 2026-03-04 | 6 | $6,442 | $1,048,617 |
| 2026-03-03 | 5 | $1,804 | $1,042,175 |
| 2026-03-02 | 9 | $2,409 | $1,040,371 |
| 2026-02-27 | 6 | $11,219 | $1,037,962 |
| 2026-02-26 | 9 | $9,978 | $1,026,743 |
| 2026-02-25 | 4 | $821 | $1,016,766 |
| 2026-02-24 | 7 | $3,237 | $1,015,945 |
| 2026-02-23 | 8 | $8,416 | $1,012,708 |
| 2026-02-19 | 7 | $6,804 | $1,004,292 |
| 2026-02-18 | 9 | −$4,495 | $997,488 |
| 2026-02-17 | 8 | $385 | $1,001,983 |
| 2026-02-13 | 4 | $5,832 | $1,001,598 |
| 2026-02-12 | 2 | $3,468 | $995,766 |
| 2026-02-11 | 10 | $9,324 | $992,298 |
| 2026-02-10 | 4 | $952 | $982,974 |
| 2026-02-09 | 4 | −$487 | $982,022 |
| 2026-02-06 | 9 | −$11,571 | $982,509 |
| 2026-02-05 | 6 | $13,267 | $994,081 |
| 2026-02-04 | 8 | $5,895 | $980,814 |
| 2026-02-03 | 9 | $2,172 | $974,919 |
| 2026-02-02 | 8 | $2,485 | $972,747 |
| 2026-01-30 | 8 | $9,740 | $970,262 |
| 2026-01-29 | 4 | −$6,272 | $960,522 |
| 2026-01-28 | 6 | $10,054 | $966,794 |
| 2026-01-27 | 3 | −$417 | $956,741 |
| 2026-01-26 | 5 | $992 | $957,157 |
| 2026-01-23 | 5 | $2,271 | $956,165 |
| 2026-01-22 | 3 | −$2,359 | $953,894 |
| 2026-01-21 | 8 | −$5,775 | $956,253 |
| 2026-01-20 | 5 | $6,232 | $962,028 |
| 2026-01-15 | 3 | $1,031 | $955,797 |
| 2026-01-14 | 7 | −$3,499 | $954,765 |
| 2026-01-13 | 3 | $579 | $958,265 |
| 2026-01-12 | 3 | $482 | $957,685 |
| 2026-01-09 | 3 | −$417 | $957,203 |
| 2026-01-08 | 2 | −$740 | $957,620 |
| 2026-01-07 | 2 | −$666 | $958,360 |
| 2026-01-06 | 3 | −$1,274 | $959,026 |
| 2026-01-05 | 3 | −$1,225 | $960,300 |
| 2026-01-02 | 7 | $2,511 | $961,525 |
| 2025-12-31 | 2 | $911 | $959,014 |
| 2025-12-30 | 2 | −$535 | $958,103 |
| 2025-12-29 | 3 | $1,167 | $958,638 |
| 2025-12-26 | 1 | $387 | $957,471 |
| 2025-12-24 | 2 | $804 | $957,084 |
| 2025-12-23 | 2 | $837 | $956,279 |
| 2025-12-22 | 2 | $204 | $955,442 |
| 2025-12-18 | 8 | $2,934 | $955,238 |
| 2025-12-17 | 5 | $581 | $952,304 |
| 2025-12-16 | 10 | $4,342 | $951,723 |
| 2025-12-15 | 5 | $1,343 | $947,382 |
| 2025-12-12 | 8 | $6,635 | $946,039 |
| 2025-12-11 | 2 | $1,337 | $939,404 |
| 2025-12-10 | 5 | $33 | $938,067 |
| 2025-12-09 | 5 | −$1,461 | $938,034 |
| 2025-12-08 | 4 | $3,310 | $939,495 |
| 2025-12-05 | 2 | −$836 | $936,185 |
| 2025-12-04 | 7 | $4,571 | $937,021 |
| 2025-12-03 | 4 | $1,660 | $932,450 |
| 2025-12-02 | 3 | −$71 | $930,790 |
| 2025-12-01 | 6 | $4,230 | $930,861 |
| 2025-11-28 | 5 | $811 | $926,631 |
| 2025-11-26 | 3 | $2,021 | $925,820 |
| 2025-11-25 | 6 | −$2,557 | $923,799 |
| 2025-11-24 | 8 | $3,535 | $926,356 |
| 2025-11-20 | 3 | $3,663 | $922,821 |
| 2025-11-19 | 7 | $3,257 | $919,158 |
| 2025-11-18 | 6 | $7,109 | $915,901 |
| 2025-11-17 | 4 | $970 | $908,792 |
| 2025-11-14 | 6 | $5,473 | $907,822 |
| 2025-11-13 | 3 | $2,952 | $902,349 |
| 2025-11-12 | 8 | $10,682 | $899,397 |
| 2025-11-11 | 3 | −$2,203 | $888,715 |
| 2025-11-10 | 4 | −$3,435 | $890,918 |
| 2025-11-07 | 6 | −$1,811 | $894,353 |
| 2025-11-06 | 9 | $15,881 | $896,164 |
| 2025-11-05 | 4 | $3,256 | $880,284 |
| 2025-11-04 | 6 | $9,307 | $877,028 |
| 2025-11-03 | 5 | $4,990 | $867,721 |
| 2025-10-31 | 2 | −$497 | $862,731 |
| 2025-10-30 | 5 | −$3,349 | $863,228 |
| 2025-10-29 | 3 | $6,491 | $866,577 |
| 2025-10-28 | 2 | −$236 | $860,086 |
| 2025-10-27 | 2 | $649 | $860,322 |
| 2025-10-24 | 2 | $2,037 | $859,672 |
| 2025-10-23 | 3 | $702 | $857,635 |
| 2025-10-22 | 8 | $5,549 | $856,933 |
| 2025-10-21 | 2 | −$636 | $851,384 |
| 2025-10-20 | 4 | $1,509 | $852,020 |
| 2025-10-16 | 3 | $5,144 | $850,511 |
| 2025-10-15 | 5 | −$256 | $845,367 |
| 2025-10-14 | 7 | $8,824 | $845,623 |
| 2025-10-13 | 8 | $4,375 | $836,799 |
| 2025-10-10 | 3 | $6,028 | $832,425 |
| 2025-10-09 | 3 | $444 | $826,396 |
| 2025-10-08 | 3 | $1,201 | $825,952 |
| 2025-10-07 | 6 | $5,930 | $824,751 |
| 2025-10-06 | 2 | $206 | $818,821 |
| 2025-10-03 | 4 | $912 | $818,615 |
| 2025-10-02 | 2 | $177 | $817,703 |
| 2025-10-01 | 3 | −$639 | $817,526 |
| 2025-09-30 | 6 | −$8,532 | $818,165 |
| 2025-09-29 | 2 | $264 | $826,697 |
| 2025-09-26 | 6 | $3,781 | $826,433 |
| 2025-09-25 | 6 | $878 | $822,652 |
| 2025-09-24 | 7 | $4,273 | $821,774 |
| 2025-09-23 | 3 | $1,431 | $817,501 |
| 2025-09-22 | 3 | −$245 | $816,070 |
| 2025-09-18 | 4 | −$329 | $816,315 |
| 2025-09-17 | 11 | $28,393 | $816,644 |
| 2025-09-16 | 6 | $4,216 | $788,251 |
| 2025-09-15 | 1 | −$403 | $784,035 |
| 2025-09-12 | 2 | $52 | $784,438 |
| 2025-09-11 | 3 | $464 | $784,386 |
| 2025-09-10 | 2 | −$836 | $783,922 |
| 2025-09-09 | 4 | −$1,742 | $784,758 |
| 2025-09-08 | 3 | −$522 | $786,500 |
| 2025-09-05 | 7 | $3,111 | $787,022 |
| 2025-09-04 | 7 | −$3,408 | $783,911 |
| 2025-09-03 | 2 | −$836 | $787,319 |
| 2025-09-02 | 7 | −$4,224 | $788,155 |
| 2025-08-29 | 5 | $4,623 | $792,379 |
| 2025-08-28 | 2 | −$809 | $787,756 |
| 2025-08-27 | 6 | −$682 | $788,565 |
| 2025-08-26 | 2 | $444 | $789,247 |
| 2025-08-25 | 2 | −$145 | $788,803 |
| 2025-08-22 | 7 | $2,412 | $788,948 |
| 2025-08-21 | 8 | $4,972 | $786,536 |
| 2025-08-20 | 9 | $4,491 | $781,564 |
| 2025-08-19 | 5 | $1,272 | $777,074 |
| 2025-08-18 | 1 | $297 | $775,802 |
| 2025-08-14 | 6 | −$1,818 | $775,505 |
| 2025-08-13 | 3 | $2,423 | $777,323 |
| 2025-08-12 | 4 | −$1,248 | $774,900 |
| 2025-08-11 | 3 | −$67 | $776,148 |
| 2025-08-08 | 6 | $3,389 | $776,215 |
| 2025-08-07 | 7 | $4,652 | $772,826 |
| 2025-08-06 | 8 | $3,213 | $768,174 |
| 2025-08-05 | 6 | $5,643 | $764,961 |
| 2025-08-04 | 9 | $2,799 | $759,318 |
| 2025-08-01 | 7 | $5,644 | $756,519 |
| 2025-07-31 | 4 | $263 | $750,875 |
| 2025-07-30 | 2 | −$966 | $750,612 |
| 2025-07-29 | 8 | $3,942 | $751,578 |
| 2025-07-28 | 6 | $3,712 | $747,636 |
| 2025-07-25 | 8 | $1,171 | $743,924 |
| 2025-07-24 | 4 | −$316 | $742,754 |
| 2025-07-23 | 5 | −$4,431 | $743,070 |
| 2025-07-22 | 8 | $748 | $747,500 |
| 2025-07-21 | 9 | −$6,276 | $746,753 |
| 2025-07-17 | 6 | −$2,188 | $753,029 |
| 2025-07-16 | 6 | −$5,470 | $755,217 |
| 2025-07-15 | 2 | $784 | $760,687 |
| 2025-07-14 | 7 | $2,875 | $759,903 |
| 2025-07-11 | 9 | $7,796 | $757,028 |
| 2025-07-10 | 5 | $3,462 | $749,232 |
| 2025-07-09 | 8 | −$1,970 | $745,770 |
| 2025-07-08 | 9 | $9,311 | $747,740 |
| 2025-07-07 | 5 | $3,210 | $738,430 |
| 2025-07-03 | 5 | $2,489 | $735,220 |
| 2025-07-02 | 4 | −$975 | $732,731 |
| 2025-07-01 | 6 | $1,244 | $733,706 |
| 2025-06-30 | 11 | −$6,141 | $732,462 |
| 2025-06-27 | 6 | $2,365 | $738,603 |
| 2025-06-26 | 4 | $2,346 | $736,238 |
| 2025-06-25 | 4 | $4,071 | $733,892 |
| 2025-06-24 | 2 | $1,241 | $729,821 |
| 2025-06-23 | 7 | −$3,394 | $728,580 |
| 2025-06-18 | 11 | $10,246 | $731,974 |
| 2025-06-17 | 5 | $2,454 | $721,728 |
| 2025-06-16 | 7 | $4,391 | $719,275 |
| 2025-06-13 | 7 | −$3,209 | $714,884 |
| 2025-06-12 | 10 | $10,886 | $718,093 |
| 2025-06-11 | 5 | −$2,162 | $707,207 |
| 2025-06-10 | 3 | −$2,001 | $709,369 |
| 2025-06-09 | 2 | −$66 | $711,370 |
| 2025-06-06 | 10 | $11,450 | $711,436 |
| 2025-06-05 | 3 | −$569 | $699,986 |
| 2025-06-04 | 3 | $942 | $700,555 |
| 2025-06-03 | 3 | $753 | $699,613 |
| 2025-06-02 | 5 | −$2,288 | $698,860 |
| 2025-05-30 | 9 | −$351 | $701,148 |
| 2025-05-29 | 10 | $12,387 | $701,499 |
| 2025-05-28 | 9 | −$2,566 | $689,112 |
| 2025-05-27 | 4 | $367 | $691,679 |
| 2025-05-23 | 8 | $14,306 | $691,312 |
| 2025-05-22 | 8 | $11,145 | $677,006 |
| 2025-05-21 | 2 | −$954 | $665,861 |
| 2025-05-20 | 7 | $1,276 | $666,815 |
| 2025-05-19 | 4 | $775 | $665,539 |
| 2025-05-15 | 9 | $5,185 | $664,764 |
| 2025-05-14 | 9 | $7,999 | $659,579 |
| 2025-05-13 | 6 | $8,057 | $651,581 |
| 2025-05-12 | 4 | −$839 | $643,524 |
| 2025-05-09 | 8 | $13,529 | $644,363 |
| 2025-05-08 | 7 | $10,184 | $630,834 |
| 2025-05-07 | 9 | $15,586 | $620,650 |
| 2025-05-06 | 6 | $4,973 | $605,064 |
| 2025-05-05 | 5 | $9,011 | $600,091 |
| 2025-05-02 | 10 | $11,287 | $591,080 |
| 2025-05-01 | 2 | −$1,426 | $579,794 |
| 2025-04-30 | 3 | $13,690 | $581,220 |
| 2025-04-29 | 11 | $8,243 | $567,529 |
| 2025-04-28 | 7 | $884 | $559,287 |
| 2025-04-25 | 9 | $5,524 | $558,403 |
| 2025-04-24 | 7 | $4,866 | $552,879 |
| 2025-04-23 | 7 | $20,612 | $548,013 |
| 2025-04-22 | 7 | $83 | $527,401 |
| 2025-04-21 | 6 | $13,300 | $527,318 |
| 2025-04-17 | 9 | $19,688 | $514,019 |
| 2025-04-16 | 3 | $1,061 | $494,331 |
| 2025-04-15 | 3 | $3,005 | $493,270 |
| 2025-04-14 | 7 | $9,187 | $490,265 |
| 2025-04-11 | 3 | $707 | $481,078 |
| 2025-04-10 | 5 | $21,759 | $480,371 |
| 2025-04-09 | 2 | $24,560 | $458,612 |
| 2025-04-08 | 2 | $3,271 | $434,052 |
| 2025-04-07 | 3 | $10,883 | $430,781 |
| 2025-04-04 | 2 | $1,589 | $419,898 |
| 2025-04-03 | 2 | $2,302 | $418,309 |
| 2025-04-02 | 3 | $820 | $416,006 |
| 2025-04-01 | 7 | −$892 | $415,186 |
| 2025-03-31 | 5 | −$119 | $416,078 |
| 2025-03-28 | 2 | $3,276 | $416,197 |
| 2025-03-27 | 7 | $9,261 | $412,921 |
| 2025-03-26 | 5 | $6,282 | $403,661 |
| 2025-03-25 | 6 | $2,050 | $397,378 |
| 2025-03-24 | 3 | −$26 | $395,329 |
| 2025-03-20 | 5 | $4,048 | $395,355 |
| 2025-03-19 | 9 | $17,688 | $391,306 |
| 2025-03-18 | 7 | $14,361 | $373,619 |
| 2025-03-17 | 6 | −$3,359 | $359,258 |
| 2025-03-14 | 8 | $10,377 | $362,617 |
| 2025-03-13 | 7 | $13,870 | $352,240 |
| 2025-03-12 | 9 | $19,655 | $338,370 |
| 2025-03-11 | 7 | $8,672 | $318,716 |
| 2025-03-10 | 5 | $13,429 | $310,044 |
| 2025-03-07 | 5 | $2,706 | $296,615 |
| 2025-03-06 | 5 | $6,546 | $293,909 |
| 2025-03-05 | 4 | −$2,076 | $287,363 |
| 2025-03-04 | 8 | $3,646 | $289,439 |
| 2025-03-03 | 2 | −$1,676 | $285,793 |
| 2025-02-28 | 3 | $3,331 | $287,469 |
| 2025-02-27 | 2 | $419 | $284,138 |
| 2025-02-26 | 3 | −$1,064 | $283,719 |
| 2025-02-25 | 6 | $4,407 | $284,783 |
| 2025-02-24 | 3 | $2,203 | $280,376 |
| 2025-02-20 | 2 | −$333 | $278,173 |
| 2025-02-19 | 2 | $658 | $278,506 |
| 2025-02-18 | 1 | $1,147 | $277,848 |
| 2025-02-13 | 3 | −$377 | $276,701 |
| 2025-02-12 | 3 | −$9 | $277,077 |
| 2025-02-11 | 8 | $4,342 | $277,086 |
| 2025-02-10 | 6 | $3,392 | $272,745 |
| 2025-02-07 | 7 | $6,409 | $269,353 |
| 2025-02-06 | 2 | $252 | $262,944 |
| 2025-02-05 | 3 | −$1,861 | $262,692 |
| 2025-02-04 | 3 | $1,873 | $264,553 |
| 2025-02-03 | 10 | $16,188 | $262,680 |
| 2025-01-31 | 3 | $901 | $246,492 |
| 2025-01-30 | 6 | −$4,309 | $245,591 |
| 2025-01-29 | 2 | $1,279 | $249,900 |
| 2025-01-28 | 2 | −$1,054 | $248,621 |
| 2025-01-27 | 8 | $7,204 | $249,675 |
| 2025-01-24 | 4 | $2,451 | $242,471 |
| 2025-01-23 | 3 | $781 | $240,020 |
| 2025-01-22 | 1 | $697 | $239,239 |
| 2025-01-21 | 2 | −$11 | $238,542 |
| 2025-01-16 | 2 | $410 | $238,553 |
| 2025-01-15 | 2 | −$1,216 | $238,143 |
| 2025-01-14 | 7 | −$763 | $239,358 |
| 2025-01-13 | 8 | −$4,029 | $240,122 |
| 2025-01-10 | 7 | $4,817 | $244,151 |
| 2025-01-08 | 5 | −$2,453 | $239,334 |
| 2025-01-07 | 4 | $5,942 | $241,787 |
| 2025-01-06 | 3 | −$265 | $235,845 |
| 2025-01-03 | 7 | $167 | $236,110 |
| 2025-01-02 | 2 | −$1,195 | $235,943 |
| 2024-12-31 | 5 | $5,062 | $237,138 |
| 2024-12-30 | 6 | $6,952 | $232,076 |
| 2024-12-27 | 6 | $1,521 | $225,124 |
| 2024-12-26 | 4 | $1,349 | $223,603 |
| 2024-12-24 | 5 | −$1,584 | $222,254 |
| 2024-12-23 | 8 | −$4,590 | $223,838 |
| 2024-12-19 | 4 | $6,201 | $228,428 |
| 2024-12-18 | 2 | −$1,749 | $222,227 |
| 2024-12-17 | 2 | −$558 | $223,976 |
| 2024-12-16 | 3 | −$64 | $224,534 |
| 2024-12-13 | 2 | $542 | $224,598 |
| 2024-12-12 | 4 | −$1,519 | $224,056 |
| 2024-12-11 | 8 | $3,208 | $225,575 |
| 2024-12-10 | 1 | $282 | $222,367 |
| 2024-12-09 | 5 | −$1,737 | $222,085 |
| 2024-12-06 | 3 | $485 | $223,822 |
| 2024-12-05 | 5 | $1,098 | $223,337 |
| 2024-12-04 | 2 | −$588 | $222,239 |
| 2024-12-03 | 3 | −$854 | $222,827 |
| 2024-12-02 | 1 | −$207 | $223,681 |
| 2024-11-29 | 4 | $1,488 | $223,888 |
| 2024-11-27 | 3 | $1,810 | $222,400 |
| 2024-11-26 | 3 | −$273 | $220,590 |
| 2024-11-25 | 4 | $3,290 | $220,862 |
| 2024-11-22 | 4 | $2,507 | $217,572 |
| 2024-11-21 | 5 | $933 | $215,065 |
| 2024-11-20 | 7 | −$1,210 | $214,133 |
| 2024-11-19 | 7 | $656 | $215,343 |
| 2024-11-18 | 3 | $2,136 | $214,687 |
| 2024-11-14 | 1 | −$263 | $212,551 |
| 2024-11-13 | 2 | −$744 | $212,814 |
| 2024-11-12 | 3 | $1,059 | $213,558 |
| 2024-11-11 | 3 | $1,832 | $212,499 |
| 2024-11-08 | 3 | −$346 | $210,666 |
| 2024-11-07 | 2 | $1,186 | $211,012 |
| 2024-11-06 | 3 | −$3,095 | $209,826 |
| 2024-11-05 | 9 | $6,612 | $212,921 |
| 2024-11-04 | 6 | $900 | $206,309 |
| 2024-11-01 | 7 | $976 | $205,409 |
| 2024-10-31 | 5 | $5,474 | $204,433 |
| 2024-10-30 | 3 | $1,031 | $198,960 |
| 2024-10-29 | 7 | $4,953 | $197,928 |
| 2024-10-28 | 7 | $6,319 | $192,976 |
| 2024-10-25 | 4 | $1,660 | $186,657 |
| 2024-10-24 | 3 | −$1,302 | $184,997 |
| 2024-10-23 | 6 | −$1,912 | $186,299 |
| 2024-10-22 | 2 | $1,334 | $188,211 |
| 2024-10-21 | 4 | $949 | $186,877 |
| 2024-10-17 | 2 | $1,706 | $185,928 |
| 2024-10-16 | 2 | $89 | $184,222 |
| 2024-10-15 | 3 | $3,400 | $184,132 |
| 2024-10-14 | 2 | $679 | $180,732 |
| 2024-10-11 | 5 | −$887 | $180,053 |
| 2024-10-10 | 4 | $1,659 | $180,940 |
| 2024-10-09 | 7 | −$1,310 | $179,281 |
| 2024-10-08 | 3 | −$458 | $180,591 |
| 2024-10-07 | 1 | $402 | $181,049 |
| 2024-10-04 | 6 | −$3,660 | $180,647 |
| 2024-10-03 | 7 | $8,360 | $184,307 |
| 2024-10-02 | 3 | $1,028 | $175,947 |
| 2024-10-01 | 7 | $7,506 | $174,919 |
| 2024-09-30 | 2 | −$756 | $167,413 |
| 2024-09-27 | 2 | $1,238 | $168,169 |
| 2024-09-26 | 3 | $77 | $166,931 |
| 2024-09-25 | 2 | $557 | $166,854 |
| 2024-09-24 | 2 | −$8 | $166,297 |
| 2024-09-23 | 1 | −$503 | $166,305 |
| 2024-09-19 | 1 | −$366 | $166,808 |
| 2024-09-18 | 9 | $28,719 | $167,174 |
| 2024-09-17 | 2 | $492 | $138,455 |
| 2024-09-16 | 7 | $4,818 | $137,963 |
| 2024-09-13 | 3 | $1,020 | $133,145 |
| 2024-09-12 | 10 | $5,956 | $132,125 |
| 2024-09-11 | 2 | −$1,776 | $126,169 |
| 2024-09-10 | 4 | $238 | $127,945 |
| 2024-09-09 | 9 | $6,799 | $127,707 |
| 2024-09-06 | 7 | $10,222 | $120,908 |
| 2024-09-05 | 7 | $7,125 | $110,686 |
| 2024-09-04 | 8 | $5,952 | $103,561 |
| 2024-09-03 | 3 | $860 | $97,610 |
| 2024-08-30 | 2 | −$1,075 | $96,750 |
| 2024-08-29 | 3 | −$2,291 | $97,824 |
| 2024-08-28 | 2 | $714 | $100,115 |
| 2024-08-27 | 2 | $827 | $99,401 |
| 2024-08-26 | 3 | $2,651 | $98,574 |
| 2024-08-23 | 7 | −$6,282 | $95,923 |
| 2024-08-22 | 4 | $2,022 | $102,205 |
| 2024-08-21 | 4 | $845 | $100,183 |
| 2024-08-20 | 2 | −$1,101 | $99,338 |
| 2024-08-19 | 2 | $1,532 | $100,439 |
| 2024-08-15 | 2 | $1,801 | $98,907 |
| 2024-08-14 | 5 | $212 | $97,106 |
| 2024-08-13 | 2 | $2,332 | $96,894 |
| 2024-08-12 | 6 | −$849 | $94,562 |
| 2024-08-09 | 6 | $7,434 | $95,410 |
| 2024-08-08 | 8 | $14,491 | $87,976 |
| 2024-08-07 | 3 | −$2,789 | $73,486 |
| 2024-08-06 | 3 | $4,531 | $76,274 |
| 2024-08-05 | 8 | $6,105 | $71,743 |
| 2024-08-02 | 9 | $7,217 | $65,639 |
| 2024-08-01 | 4 | $6,391 | $58,422 |
| 2024-07-31 | 7 | $10,597 | $52,031 |
| 2024-07-30 | 5 | $3,927 | $41,434 |
| 2024-07-29 | 6 | $3,375 | $37,507 |
| 2024-07-26 | 6 | $8,204 | $34,132 |
| 2024-07-25 | 5 | $4,140 | $25,928 |
| 2024-07-24 | 6 | −$328 | $21,788 |
| 2024-07-23 | 2 | −$1,071 | $22,116 |
| 2024-07-22 | 8 | $2,170 | $23,187 |
| 2024-07-18 | 8 | $7,431 | $21,017 |
| 2024-07-17 | 9 | $6,892 | $13,586 |
| 2024-07-16 | 3 | −$441 | $6,695 |
| 2024-07-15 | 3 | −$1,974 | $7,136 |
| 2024-07-12 | 3 | −$520 | $9,109 |
| 2024-07-11 | 5 | $4,170 | $9,629 |
| 2024-07-10 | 3 | $10 | $5,459 |
| 2024-07-09 | 3 | $537 | $5,449 |
| 2024-07-08 | 2 | $334 | $4,912 |
| 2024-07-05 | 3 | −$277 | $4,578 |
| 2024-07-03 | 2 | −$9 | $4,855 |
| 2024-07-02 | 2 | $599 | $4,864 |
| 2024-07-01 | 2 | −$936 | $4,264 |
| 2024-06-28 | 3 | −$910 | $5,200 |
| 2024-06-27 | 2 | −$764 | $6,110 |
| 2024-06-26 | 2 | −$648 | $6,874 |
| 2024-06-25 | 2 | −$641 | $7,522 |
| 2024-06-24 | 2 | −$636 | $8,163 |
| 2024-06-20 | 1 | $680 | $8,799 |
| 2024-06-18 | 2 | $339 | $8,119 |
| 2024-06-17 | 2 | $1,494 | $7,780 |
| 2024-06-14 | 1 | −$216 | $6,286 |
| 2024-06-13 | 2 | −$846 | $6,502 |
| 2024-06-12 | 1 | −$973 | $7,348 |
| 2024-06-11 | 3 | $876 | $8,320 |
| 2024-06-10 | 3 | $1,863 | $7,444 |
| 2024-06-07 | 6 | $2,964 | $5,581 |
| 2024-06-06 | 2 | $368 | $2,617 |
| 2024-06-05 | 2 | $1,990 | $2,249 |
| 2024-06-04 | 3 | −$343 | $259 |
| 2024-06-03 | 3 | $602 | $602 |
Every figure scales linearly with contract count. Pick the row that matches your capital; the program is identical at every size — same trades, same days, same rules. (SPX 0DTE volume exceeds 1.5 million contracts a day; even the 100× row participates in under 0.1% of it.)
| Scale | Account (PM) | Net / yr | Mean month | Worst month | Max drawdown |
|---|---|---|---|---|---|
| 1× | $463,000 | $607,446 | $50,621 | $5,200 | −$17,933 |
| 5× | $2,315,000 | $3,037,231 | $253,103 | $26,002 | −$89,667 |
| 10× | $4,630,000 | $6,074,462 | $506,205 | $52,004 | −$179,334 |
| 25× | $11,575,000 | $15,186,154 | $1,265,513 | $130,010 | −$448,335 |
| 50× | $23,150,000 | $30,372,309 | $2,531,026 | $260,020 | −$896,670 |
| 100× | $46,300,000 | $60,744,617 | $5,062,051 | $520,040 | −$1,793,340 |
Below 1×: the same program on SPY at 1/10th size — see “Starting small” below.
Three structural reasons, and one honest caveat.
1 · The hedge is a capital machine. A naked SPX straddle requires ~$152,000 of margin because the exchange must provision for the unlimited. Buying two far wings caps the worst case at ~$20,000 — and margin is the worst case. The wings cost roughly a fifth of the edge and release seven-eighths of the capital: most of the headline return is this trade.
2 · The capital is recycled daily. Every position opens and closes within one session, so the same margin is deployed ~250 times a year. Per trading day the program earns ~0.18% of its account — unremarkable daily, compounding to the annual figure only because 0DTE lets capital work every single day.
3 · Nothing is annualized from a lucky sprint. The figures are 28 months of every-trade accounting, through a full correction, net of itemized costs, replicated on two unseen markets.
The caveat, stated plainly: these are backtested fills. The next gate is a live paper-trading account executing this exact program daily, published here alongside the backtest — including every divergence. Until that ledger is long enough to judge, treat the return as an upper estimate.
Every strategy trades identically on SPY options — the S&P 500 ETF at exactly 1/10th SPX size, with the same daily expirations. A $25,000–$50,000 account runs the defined-risk structures at ≈ $2,000 margin each and the singles at ≈ $15,000, earning ≈ 1/10th of the dollar figures above at the same rates of return. Every strategy was validated independently on all three markets; the small account runs the identical program, only smaller.
A note on per-trade returns. This site never annualizes the return on a single trade's margin — a position held four hours would produce absurd compounded figures. The only annualized return quoted is the program's, on the full account that carries its worst day.
The program deliberately trades into FOMC announcement days. Fed-day option premium runs roughly double normal (32 vs 16 index points of credit at 14:15), and when the 2:00pm statement resolves the uncertainty, that premium collapses into the sellers’ hands: across the sample, the structure strategies averaged 3–7× their normal profit on FOMC days with near-perfect win rates (e.g. Afternoon Pin +$1,698 vs +$227; Magnet +$2,522 vs +$661). The richness throttle sizes these days up automatically — doubled premium is its trigger.
Premium richness at entry (credit ÷ spot) predicts outcomes monotonically across every structure strategy. A certified sizing rule exploits it: 0.5× size on the leanest third of entries, 2× on the richest — thresholds frozen on the first 17 months, judged on the rest, replicated on three markets. All headline figures on this site remain UN-throttled (1×); the throttle is shown as the certified enhancement it is.
| Market (test half) | Flat 1× | Throttled | Gain |
|---|---|---|---|
| SPX (development) | $155,035 | $185,279 | +19.5% |
| SPY (unseen) | $18,188 | $25,532 | +40% |
| QQQ (unseen) | $31,862 | $39,246 | +23% |
The rules were frozen on SPY data and re-run, unmodified, on two markets never used in development — QQQ and SPX itself. Every strategy stayed profitable on all three. SPX carries the production wings; SPY and QQQ figures are the frozen-rule replications (straddles unwinged, 1/10th contract size on SPY/QQQ).
Production configuration: winged structures, index-size contracts (~$760k notional each). Structure margins are the defined maximum loss; single-leg margins are portfolio-margin (TIMS) averages — per-trade values in the blotters.
Account needed for this market, all strategies at one contract: $391,100 — worst simultaneous margin $293,321 (+25% buffer) → 155%/yr return on that account.
| Strategy | Trades | Margin / trade | Total costs paid | Total P&L (after costs) | Net / yr | Win rate | Months + | Worst month |
|---|---|---|---|---|---|---|---|---|
| Meridian (noon) | 237 | $20,522 | $2,619 | $149,356 | $64,010 | 63% | 26 / 28 | −$1,373 |
| Afternoon Pin (14:00) | 280 | $20,991 | $3,094 | $93,243 | $39,961 | 69% | 24 / 28 | −$3,419 |
| Magnet (13:00, wall strike) | 200 | $20,573 | $2,210 | $165,173 | $70,788 | 76% | 26 / 27 | −$86 |
| Last Hour (15:00, wall strike) | 247 | $21,057 | $2,729 | $68,370 | $29,301 | 64% | 21 / 27 | −$5,874 |
| Morning Wall (10:30, wall strike) | 137 | $19,294 | $1,514 | $211,322 | $90,567 | 82% | 26 / 27 | −$2,104 |
| Elevenses (11:00, at the money) | 198 | $19,988 | $2,188 | $178,687 | $76,580 | 75% | 28 / 28 | $607 |
| First Light (09:35, at the money) | 106 | $19,054 | $1,171 | $162,592 | $69,682 | 77% | 20 / 24 | −$1,658 |
| Surcharge (10:35, signal-gated) | 48 | $18,946 | $530 | $73,934 | $31,686 | 92% | 22 / 22 | $201 |
| Hedge Flow (12:35, signal-gated) | 87 | $20,788 | $961 | $63,154 | $27,066 | 76% | 23 / 26 | −$813 |
| Term Premium (11:30, signal-gated) | 47 | $17,981 | $519 | $77,364 | $33,156 | 83% | 21 / 24 | −$1,679 |
| Range Break (morning) | 505 | $47,011 | $1,490 | $82,112 | $35,191 | 50% | 19 / 28 | −$4,830 |
| Premium Momentum | 523 | $46,040 | $1,543 | $65,332 | $27,999 | 33% | 16 / 28 | −$2,698 |
| Defended High | 167 | $39,422 | $493 | $26,736 | $11,458 | 49% | 15 / 28 | −$4,954 |
| TOTAL | 2782 | $21,062 | $1,417,374 | $607,446 |
| Year | Net P&L |
|---|---|
| 2024 | $237,138 |
| 2025 | $721,876 |
| 2026 (Jan–Sep) | $458,361 |
| Total | $1,417,374 |
Frozen-rule replication on SPY (development market, 33 months, 1/10th contract size). Straddles unwinged here, so margin is standard Reg-T (~20% of notional + premium, period average shown); a winged SPY version needs only ~$2,000.
Account needed for this market, all strategies at one contract: $202,800 — worst simultaneous margin $152,100 (+25% buffer) → 24%/yr return on that account.
| Strategy | Trades | Margin / trade | Total costs paid | Total P&L (after costs) | Net / yr | Win rate | Months + | Worst month |
|---|---|---|---|---|---|---|---|---|
| Meridian (noon) | 668 | $11,700 | $1,984 | $11,781 | $4,284 | 56% | 28 / 33 | −$714 |
| Afternoon Pin (14:00) | 663 | $11,700 | $1,969 | $8,747 | $3,181 | 71% | 24 / 33 | −$580 |
| Magnet (13:00, wall strike) | 294 | $11,700 | $873 | $13,809 | $5,022 | 72% | 30 / 32 | −$261 |
| Last Hour (15:00, wall strike) | 317 | $11,700 | $941 | $5,067 | $1,843 | 68% | 19 / 32 | −$254 |
| Morning Wall (10:30, wall strike) | 217 | $11,700 | $644 | $18,328 | $6,665 | 74% | 28 / 32 | −$375 |
| Elevenses (11:00, at the money) | 254 | $11,700 | $754 | $17,825 | $6,482 | 77% | 29 / 32 | −$199 |
| First Light (09:35, at the money) | 134 | $11,700 | $398 | $18,274 | $6,645 | 81% | 29 / 32 | −$393 |
| Surcharge (10:35, signal-gated) | 46 | $11,700 | $137 | $4,574 | $1,663 | 87% | 21 / 23 | −$71 |
| Hedge Flow (12:35, signal-gated) | 122 | $11,700 | $362 | $6,676 | $2,428 | 75% | 25 / 29 | −$138 |
| Term Premium (11:30, signal-gated) | 61 | $11,700 | $181 | $6,058 | $2,203 | 85% | 21 / 23 | −$124 |
| Range Break (morning) | 604 | $11,700 | $972 | $9,836 | $3,577 | 52% | 22 / 33 | −$594 |
| Premium Momentum | 627 | $11,700 | $1,009 | $9,258 | $3,366 | 38% | 21 / 33 | −$446 |
| Defended High | 189 | $11,700 | $304 | $2,354 | $856 | 58% | 24 / 33 | −$377 |
| TOTAL | 4196 | $10,531 | $132,586 | $48,213 |
| Year | Net P&L |
|---|---|
| 2024 | $37,167 |
| 2025 | $63,871 |
| 2026 (Jan–Sep) | $31,547 |
| Total | $132,586 |
Frozen-rule replication on QQQ — a market never used in development (33 months). Margin basis as on the SPY tab.
Account needed for this market, all strategies at one contract: $180,300 — worst simultaneous margin $135,200 (+25% buffer) → 39%/yr return on that account.
| Strategy | Trades | Margin / trade | Total costs paid | Total P&L (after costs) | Net / yr | Win rate | Months + | Worst month |
|---|---|---|---|---|---|---|---|---|
| Meridian (noon) | 668 | $10,400 | $1,984 | $14,419 | $5,243 | 58% | 27 / 33 | −$927 |
| Afternoon Pin (14:00) | 663 | $10,400 | $1,969 | $10,210 | $3,713 | 70% | 25 / 33 | −$582 |
| Magnet (13:00, wall strike) | 317 | $10,400 | $941 | $20,929 | $7,611 | 79% | 33 / 33 | $19 |
| Last Hour (15:00, wall strike) | 366 | $10,400 | $1,087 | $9,714 | $3,533 | 71% | 30 / 33 | −$55 |
| Morning Wall (10:30, wall strike) | 238 | $10,400 | $707 | $33,935 | $12,340 | 87% | 31 / 33 | −$117 |
| Elevenses (11:00, at the money) | 299 | $10,400 | $888 | $26,165 | $9,514 | 83% | 31 / 33 | −$602 |
| First Light (09:35, at the money) | 176 | $10,400 | $523 | $34,053 | $12,383 | 94% | 31 / 32 | −$239 |
| Surcharge (10:35, signal-gated) | 61 | $10,400 | $181 | $7,654 | $2,783 | 90% | 23 / 26 | −$345 |
| Hedge Flow (12:35, signal-gated) | 116 | $10,400 | $345 | $6,599 | $2,400 | 80% | 26 / 30 | −$92 |
| Term Premium (11:30, signal-gated) | 71 | $10,400 | $211 | $8,760 | $3,185 | 89% | 26 / 27 | −$214 |
| Range Break (morning) | 570 | $10,400 | $918 | $9,897 | $3,599 | 50% | 26 / 33 | −$503 |
| Premium Momentum | 628 | $10,400 | $1,011 | $7,472 | $2,717 | 34% | 24 / 33 | −$800 |
| Defended High | 181 | $10,400 | $291 | $3,638 | $1,323 | 52% | 20 / 31 | −$236 |
| TOTAL | 4354 | $11,056 | $193,444 | $70,343 |
| Year | Net P&L |
|---|---|
| 2024 | $64,470 |
| 2025 | $72,203 |
| 2026 (Jan–Sep) | $56,771 |
| Total | $193,444 |
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.