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..
Day trading 0DTE Condors
- Thread starter qlai
- Start date
What is your data source / provider: do you use real data or simulated data (GBM)?
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Real data, 15 minutes. In the backtest i use the high value every 15 minutes for the stoploss.
Source of data: CBOE datashop
There is another famous trader named TammyChambless doing the same (ie. 0DTE, SPX, IronCondor etc).
Here's her presentation (or an interview of her presenting her work) from 2020:
"Webinar: Complete Strategy Sharing – 0DTE Credit Spreads and Iron Condors in SPX – Tammy Chambless"
Here are the slides:
Another informative source about 0DTE, referencing the above presentation:
https://optionstradingiq.com/0-dte-spx-options/
Here's her presentation (or an interview of her presenting her work) from 2020:
"Webinar: Complete Strategy Sharing – 0DTE Credit Spreads and Iron Condors in SPX – Tammy Chambless"
Here are the slides:
Another informative source about 0DTE, referencing the above presentation:
https://optionstradingiq.com/0-dte-spx-options/
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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
It seems the purpose of the Long legs is a different one, an interesting & funny reasoning:
"It’s important to note that the purpose of the long options is not to limit risk but to minimize the cost of the position so you can collect more premium."
(Source: https://optionstradingiq.com/0-dte-spx-options/ )
Ie. it seems to be a margin issue: the IronCondor seems to require less margin than the said ShortStraddle or ShortStrangle.
Can a margin expert confirm this?
Hmm. could indeed be true, b/c IC caps the losses, ie. is less riskier than the said others.
But the above quote says it's not for this purpose. Funny and confusing...
"It’s important to note that the purpose of the long options is not to limit risk but to minimize the cost of the position so you can collect more premium."
(Source: https://optionstradingiq.com/0-dte-spx-options/ )
Ie. it seems to be a margin issue: the IronCondor seems to require less margin than the said ShortStraddle or ShortStrangle.
Can a margin expert confirm this?
Hmm. could indeed be true, b/c IC caps the losses, ie. is less riskier than the said others.
But the above quote says it's not for this purpose
. Funny and confusing...
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Of course the margin requirement is significantly less on a condor/fly vs a straddle/strangle
It seems the purpose of the Long legs is a different one, an interesting & funny reasoning:
"It’s important to note that the purpose of the long options is not to limit risk but to minimize the cost of the position so you can collect more premium."
(Source: https://optionstradingiq.com/0-dte-spx-options/ )
Ie. it seems to be a margin issue: the IronCondor seems to require less margin than the said ShortStraddle or ShortStrangle.
Can a margin expert confirm this?
Hmm. could indeed be true, b/c IC caps the losses, ie. is less riskier than the said others.
But the above quote says it's not for this purpose