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  1. Zac
    September 4, 2020 @ 11:23 am

    This is very interesting, I’m surprised 0 DTE calls alone were able to profit over time. It’s no wonder the 0 DTE strategies are so popular in Facebook groups. Add in short puts, and you have a strategy with a really nice risk-adjusted return.


      September 10, 2020 @ 11:34 pm

      Yeah, these 0DTE studies are quite revealing.

      It’s worth calling out is it’s not “free” gains. The risk here is gamma. That nickel short option can inflate to a dollar or more at the drop of a hat. Plan accordingly for those periodic 20x swings in P/L.


  2. Rob L
    September 10, 2020 @ 6:34 pm

    For me the results were surprising. They were both disheartening and a tribute of the astounding efficiency of this market. CAGR of roughly 2% more or less over two and a half years of daily trading. Maybe this should not be quite so surprising for arguably what is the most competitive and liquid market on the planet but I found it so. There must be other markets with a more profound systemically overstated IV and sufficient liquidity to make such a strategy more rewarding on a risk adjusted basis. Or, maybe not. So many quants, so little time 🙂


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