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Study says retail investors are the losers from anomaly that costs more than $3. 8 billion By Rob Mannix The fresh analysis, which builds on work done by the same team in 2023, shows that professional investors benefit from a pricing anomaly in S&P 500 index options that costs retail investors...

with your example (a delta 8 is more premium) the stoplosses for both side would be 105 dollar. Also the premium on both sides should be sort of equal..

See first page images..

In my backtest i use the high price of the options, so if they get tagged the are also tagged in my backtest..

I receive about 200 dollar to open, only close txs on stoploss otherwise they expire worthless

I'm happy to waste 1 hour a day for an on average 400 dollar result :-)

or write some software to do this for you :-)

Statistics (without tx costs) with 8/3 delta. Slippage 10 cent on the stoplosses. Note that back then you could not trade 0DTE every day.. On average 40 dollar a day net with one IC. If you do 10 a day you could stop working cesfx :-)

Please read the original strategy, it uses automatic stoploss orders...

Gamma to high with bigger deltas, stoplosses hit 9 out of 10 times.. Also bigger chance of hitting double stoploss..

Backtest adjusted to 20/10 delta. Hitrate much lower..

Slippage (i use 10 cent in my backtest) and skipping (not tested) will probably be more with higher deltas...

I can adjust the backtest for you, written delta on 25 delta? Bought on 20?

I get your point. By using an IC you can exactly determine your max loss (2% of net liq). With naked you had a hard time e.g. in aug 2015 (flash crash). And 80% profit a year should be enough :)

Real data, 15 minutes. In the backtest i use the high value every 15 minutes for the stoploss. Source of data: CBOE datashop

The hitrate is about the same, average profits per day are good. I only open 1 each day (at 9:45), he opens a lot more and closes sometimes in an early stage. Backtest is mechanical, he is trading on own rules..

Some statistics..

Some transactions..

Some results per month..