0DTE Strategy (draft)

DRAFT:

Working on a 0dte strategy.

Research sources #

SPX "pegging" data: https://optionalpha.com/blog/0dte-intraday-spx-historical-prices
0DTE time decay: https://optionalpha.com/blog/0dte-options-time-decay
https://optionalpha.com/learn/top-0dte-options-strategies

use option alpha's 0dte oracle system to find trades with high enough reward/risk based on probability
look at time of day entering, and choose OTM% that has a better than 50% probability of still being OTM by end of day
- e.g. at 12pm, .03% OTM has a 61% chance of staying OTM
  - based on 60% win probability, need about 67% return on risk to make it advantageous. Aim for higher because of commissions
based on time decay research, exponential decay after 3:30pm. But, it doesnt seem practical to enter a trade taht late, so just enter as late as possible?
not sure how to close these trades automatically. IBKR has liquidating risk because my account isnt big enough to manage assignment on SPY or QQQ.
maybe can just trade XSP or SPX, but volume is not very good, and spreads are super wide sometimes
maybe try to enter early in the day on a trade that's .3% OTM or more
- .3% is always about 50% win rate, so aim for over 100% return on risk
should i trade iron condors/butterfly or stick to one sided trades, i.e. put or call spreads
- or should I leg into an iron condor, i.e. first open a call spread, then later open a put spread?

what time should I enter at? Time decay accelerates after 3:30pm, but that is a bit late to enter a trade. So, I guess enter as late as possible? Maybe 3pm, or 2pm.
Or should I have multiple entries per day? For example, enter once at 2pm and again at 3pm? Or 12, 1, and 2 or something.

https://www.thetaprofits.com/my-most-profitable-options-trading-strategy-0dte-breakeven-iron-condor/
MEIC: Multiple Entry iron condor strategy: https://www.youtube.com/watch?v=cqnL6-44ZOk / https://optionalpha.com/bots/0dte-credit-targeting-multiple-entry-synthetic-iron-condor