Strategy · SPX 0DTE · one contract throughout

Term Premium

Compare today’s option to tomorrow’s. When the market pays a premium for today specifically, sell it today.

$27,080

net profit per year, one contract

$17,981

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

$1,344 (7.5%)

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

85%

win rate over 47 trades

$223

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

−$2,236

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					+0.7k	+5.9k	+2.9k	+7.0k	+1.4k	+0.8k	−0.1k	$18,605
2025	+4.0k	+3.7k	+9.1k	+5.0k	+1.6k	−2.0k	−0.3k	+4.0k	+3.2k	+4.8k	+2.2k	$35,384
2026	+2.0k	+1.1k		+2.1k	+1.3k	+0.9k	+1.8k					$9,199

21 of 24 months positive · mean month $2,633 · worst month −$1,986

Trade logic, in full

Signal. At 11:30, price the at-the-money straddle expiring today against the same-strike straddle expiring tomorrow. Their ratio measures how much of the fear is concentrated in the next 4½ hours. When that ratio is in the top third of its training-period distribution — today abnormally expensive versus tomorrow — someone is overpaying for same-day protection, and this strategy takes the other side.

Entry, 11:30 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. The signal is monotone on training data (rich tercile $1,448/trade vs lean $665) and replicated everywhere unseen: SPX test t = 3.5, SPY t = 5.1, QQQ t = 5.7 — with the replication markets’ terciles computed from their own training halves. A cross-expiry signal: the only strategy in the book that reads two expirations at once.

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
2024-06-07	11:30→15:48	EOD	5360	9.30 / 9.31	0.22 / 11.40	5170 · 5550	0.10→0.10	$699	−11.05	$688	$17,149
2024-07-17	11:30→15:48	EOD	5600	11.90 / 9.00	0.80 / 10.30	5400 · 5800	0.10→0.10	$980	−11.05	$969	$17,920
2024-07-18	11:30→15:48	EOD	5560	11.20 / 12.20	2.10 / 9.57	5370 · 5750	0.10→0.10	$1,173	−11.05	$1,162	$16,670
2024-07-26	11:30→15:48	EOD	5450	14.40 / 13.70	12.85 / 1.40	5260 · 5640	0.10→0.10	$1,385	−11.05	$1,374	$16,200
2024-07-29	11:30→15:48	EOD	5450	14.20 / 11.36	25.60 / 0.05	5260 · 5640	0.10→0.10	−$9	−11.05	−$20	$16,454
2024-07-31	11:30→15:48	EOD	5530	18.30 / 19.60	5.30 / 8.20	5340 · 5720	0.15→0.10	$2,435	−11.05	$2,424	$15,225
2024-08-05	11:30→15:48	EOD	5210	29.50 / 23.00	0.15 / 42.40	5030 · 5390	2.14→0.10	$791	−11.05	$780	$12,964
2024-08-08	11:30→15:48	EOD	5300	17.90 / 22.40	17.50 / 1.30	5110 · 5490	0.50→0.10	$2,110	−11.05	$2,099	$15,020
2024-09-04	11:30→15:48	EOD	5520	16.05 / 12.14	4.70 / 4.60	5330 · 5710	0.10→0.10	$1,889	−11.05	$1,878	$16,191
2024-09-09	11:30→15:48	EOD	5450	13.60 / 12.50	14.60 / 0.32	5260 · 5640	0.10→0.10	$1,118	−11.05	$1,107	$16,400
2024-09-12	11:30→15:48	EOD	5560	13.10 / 16.30	34.16 / 0.05	5370 · 5750	0.12→0.10	−$483	−11.05	−$494	$16,072
2024-09-18	11:30→15:48	EOD	5630	29.25 / 30.30	1.75 / 12.40	5430 · 5830	0.45→0.10	$4,505	−11.05	$4,494	$14,090
2024-10-01	11:30→15:48	EOD	5700	15.30 / 13.25	13.62 / 0.75	5500 · 5900	0.10→0.10	$1,418	−11.05	$1,407	$17,155
2024-11-21	11:30→15:48	EOD	5940	12.20 / 12.00	15.90 / 0.20	5730 · 6150	0.12→0.10	$808	−11.05	$797	$18,592
2024-12-23	11:30→15:48	EOD	5930	11.90 / 11.18	42.20 / 0.05	5720 · 6140	0.10→0.10	−$1,917	−11.05	−$1,928	$18,702
2024-12-31	11:30→15:48	EOD	5890	17.90 / 14.10	8.00 / 5.20	5680 · 6100	0.10→0.10	$1,880	−11.05	$1,869	$17,810
2025-02-03	11:30→15:48	EOD	6000	15.20 / 18.20	6.04 / 4.30	5790 · 6210	0.12→0.10	$2,304	−11.05	$2,293	$17,672
2025-02-07	11:30→15:48	EOD	6040	17.10 / 13.80	0.45 / 12.78	5830 · 6250	0.15→0.10	$1,762	−11.05	$1,751	$17,925
2025-03-12	11:30→15:48	EOD	5580	21.30 / 25.17	22.94 / 0.70	5380 · 5780	0.15→0.08	$2,276	−11.05	$2,265	$15,368
2025-03-13	11:30→15:48	EOD	5550	21.70 / 19.60	0.18 / 29.47	5360 · 5740	0.15→0.06	$1,156	−11.05	$1,145	$14,885
2025-03-19	11:30→15:48	EOD	5650	22.50 / 21.20	40.30 / 0.10	5450 · 5850	0.15→0.06	$321	−11.05	$310	$15,645
2025-04-10	11:30→15:48	EOD	5250	45.80 / 39.90	4.50 / 36.60	5070 · 5430	7.80→0.10	$3,690	−11.05	$3,679	$10,210
2025-04-14	11:30→15:48	EOD	5410	24.70 / 28.60	18.00 / 1.00	5220 · 5600	1.87→0.10	$3,253	−11.05	$3,242	$13,857
2025-04-23	11:30→15:48	EOD	5400	29.50 / 25.68	0.29 / 32.00	5210 · 5590	1.40→0.08	$2,157	−11.05	$2,146	$13,622
2025-05-07	11:30→15:48	EOD	5610	21.30 / 23.40	23.98 / 1.50	5410 · 5810	0.34→0.08	$1,896	−11.05	$1,885	$15,564
2025-05-08	11:30→15:48	EOD	5680	15.05 / 18.80	8.59 / 3.00	5480 · 5880	0.18→0.08	$2,216	−11.05	$2,205	$16,633
2025-05-15	11:30→15:48	EOD	5900	9.10 / 13.22	11.87 / 1.25	5690 · 6110	0.08→0.08	$920	−11.05	$909	$18,776
2025-06-18	11:30→15:48	EOD	6010	15.10 / 17.20	0.32 / 17.82	5800 · 6220	0.30→0.08	$1,394	−11.05	$1,383	$17,800
2025-06-30	11:30→15:48	EOD	6190	8.00 / 12.60	18.00 / 0.62	5970 · 6410	0.10→0.06	$194	−11.05	$183	$19,950
2025-07-16	11:30→15:48	EOD	6220	15.70 / 10.90	46.20 / 0.03	6000 · 6440	0.18→0.06	−$1,975	−11.05	−$1,986	$19,358
2025-08-14	11:30→15:48	EOD	6450	10.70 / 8.08	21.03 / 0.03	6220 · 6680	0.19→0.08	−$239	−11.05	−$250	$21,141
2025-09-05	11:30→15:48	EOD	6470	12.67 / 12.30	9.10 / 0.95	6240 · 6700	0.25→0.08	$1,475	−11.05	$1,464	$20,528
2025-09-17	11:30→15:48	EOD	6600	22.60 / 23.70	5.73 / 3.70	6370 · 6830	0.57→0.10	$3,640	−11.05	$3,629	$18,427
2025-09-30	11:30→15:48	EOD	6650	9.59 / 10.60	30.80 / 0.05	6420 · 6880	0.08→0.08	−$1,066	−11.05	−$1,077	$20,989
2025-10-14	11:30→15:48	EOD	6620	16.52 / 14.80	16.94 / 2.50	6390 · 6850	0.33→0.08	$1,163	−11.05	$1,152	$19,901
2025-10-22	11:30→15:48	EOD	6700	13.10 / 14.10	3.66 / 3.10	6470 · 6930	0.15→0.08	$2,037	−11.05	$2,026	$20,295
2025-11-12	11:30→15:48	EOD	6850	10.30 / 14.50	5.00 / 1.90	6610 · 7090	0.10→0.06	$1,786	−11.05	$1,775	$21,530
2025-11-18	11:30→15:48	EOD	6630	22.10 / 19.90	6.18 / 5.39	6400 · 6860	0.08→0.05	$3,040	−11.05	$3,029	$18,808
2025-12-10	11:30→15:48	EOD	6850	19.60 / 21.80	43.60 / 0.03	6610 · 7090	0.18→0.08	−$233	−11.05	−$244	$19,878
2025-12-12	11:30→15:48	EOD	6820	18.50 / 16.90	9.92 / 1.15	6580 · 7060	0.15→0.08	$2,426	−11.05	$2,415	$20,475
2025-12-16	11:30→15:48	EOD	6780	12.50 / 14.80	26.60 / 0.05	6540 · 7020	0.06→0.08	$67	−11.05	$56	$21,276
2026-02-19	11:30→15:48	EOD	6860	16.00 / 13.00	1.27 / 7.20	6620 · 7100	0.11→0.09	$2,051	−11.05	$2,040	$21,111
2026-03-19	11:30→15:48	EOD	6590	13.72 / 17.80	20.00 / 0.10	6360 · 6820	0.18→0.10	$1,134	−11.05	$1,123	$19,866
2026-05-04	11:30→15:48	EOD	7210	12.30 / 16.46	0.45 / 7.30	6960 · 7460	0.15→0.07	$2,093	−11.05	$2,082	$22,139
2026-06-25	11:30→15:48	EOD	7370	21.10 / 18.10	0.10 / 26.10	7110 · 7630	0.13→0.08	$1,295	−11.05	$1,284	$22,093
2026-07-02	11:30→15:48	EOD	7480	16.50 / 14.60	0.13 / 21.79	7220 · 7740	0.10→0.06	$914	−11.05	$903	$22,900
2026-08-05	11:30→15:48	EOD	7750	13.10 / 18.10	0.20 / 13.20	7480 · 8020	0.10→0.08	$1,778	−11.05	$1,767	$23,890

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.