Day trading 0DTE Condors

dorietrading said:
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Got it from article.


This is the 0DTE Breakeven Iron Condor strategy
Let us summarize the 0DTE Breakeven Iron Condor strategy before we move on.

  • It is a day trading strategy on SPX – the index option for the S&P 500 index. 0DTE = Zero Days to Expiration.
  • It consists of selling Iron Condors on SPX – with expiration the same day – collecting approximately the same premium on both sides. The Iron Condors are typically sold with a delta of 5 – 8. Usually, I collect a premium of 100 to 200 dollars. I typically set the wings between the shorts and the longs to 30 points. Usually I will do 5-6 such trades during the day, but rarely have more than 3-4 open at the same time.
  • The trades have a very tight stop loss – set separately for each side equal to the total premium collected for the Iron Condor. This limits the potential loss on each trade.


So this would be a trade based on the criteria?

IC 5020/5050/4955/4925 = $100 in premium

Call premium: $60
Put premium: $40

Stop loss call side: 5020+60=5080?
Stop loss put side: 4955-40=4915?
Isn't the max loss the spread - premium anyway? I must have the deltas wrong.
 
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wxytrader said:
Got it from article.


This is the 0DTE Breakeven Iron Condor strategy
Let us summarize the 0DTE Breakeven Iron Condor strategy before we move on.

  • It is a day trading strategy on SPX – the index option for the S&P 500 index. 0DTE = Zero Days to Expiration.
  • It consists of selling Iron Condors on SPX – with expiration the same day – collecting approximately the same premium on both sides. The Iron Condors are typically sold with a delta of 5 – 8. Usually, I collect a premium of 100 to 200 dollars. I typically set the wings between the shorts and the longs to 30 points. Usually I will do 5-6 such trades during the day, but rarely have more than 3-4 open at the same time.
  • The trades have a very tight stop loss – set separately for each side equal to the total premium collected for the Iron Condor. This limits the potential loss on each trade.


So this would be a trade based on the criteria?

IC 5020/5050/4955/4925 = $100 in premium

Call premium: $60
Put premium: $40

Stop loss call side: 5020+60=5080?
Stop loss put side: 4955-40=4915?
Isn't the max loss the spread - premium anyway? I must have the deltas wrong.
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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..
 
I think the strategy has potential but discretion might help.

No trading during market events or late news days, re-enter after one side gets
stopped if it still pays some, and early exit to avoid movement at close... Entering after market open steam off... They are all variables.
Even the man who shared this, trades it discretionaly with multiple entries.

Risk reward is still interesting, although there are a lots of breakeven (- fees, - SL buffer...)

At the end of the day, it loses little, profitable trade at expiry makes multiples of an average loss (breakeven loss), and the situation of a double stop doesn't lose much more than a full profit trade at expiry.
 
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I also backtested this strategy for the last hour. With 10 cent slippage and tx costs included you earn on average 56 dollar a day with one strangle. Biggest drawdown (multiple days loss) from 2018 is 1317 dollar. So with 100K your can earn on average 560 dollar net a day with a max drawdown of 13%. In 5 years time it had 2 negative months..
 
dorietrading said:
I also backtested this strategy for the last hour. With 10 cent slippage and tx costs included you earn on average 56 dollar a day with one strangle. Biggest drawdown (multiple days loss) from 2018 is 1317 dollar. So with 100K your can earn on average 560 dollar net a day with a max drawdown of 13%. In 5 years time it had 2 negative months..
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Same parameters? Delta 15?

Did you by any chance run any test in the middle of the day? Like 11am to 3pm?
I have traded some of these.
 
What are your fill assumptions at stop-loss? I’d not trust a backtest for this (if anything, I’d say a more realistic approach would be to see distribution of all returns in the last hour and see how that compares to vol pricing)
 
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