Trade: SPX 0DTE Put Credit Spread
| Field | Value |
|---|---|
| Instrument | SPX 0DTE options |
| Structure | Vertical put credit spread (short 5,560 / long 5,545) |
| Width | 15 points |
| Expiration | 2026-07-13 (0DTE) |
| Premium collected | $1.05 per spread |
| Max risk | $15.00 per spread (width − premium) |
| Contracts | 5 |
| Total credit | $525.00 |
| Total max risk | $7,500.00 |
| Premium-to-width | 7.0% |
| IV at entry | 11.2 (rank 22 — low IV regime) |
| Entry time | 9:47 AM ET |
| Profit target | 50% of credit ($0.525 per spread) |
| Stop loss | 2× credit ($2.10 per spread) |
Reasoning
Overnight, ES traded in a 12-point range with no overnight gap on SPX. Pre-market VIX came in at 11.4 — a quiet tape, low realized vol, and a Put/Call ratio running at 0.78 (slightly put-skewed but well within neutral).
The 5,560/5,545 short-put strike sat roughly 1.4% below the open. With 0DTE, the theta curve is steep and the gamma is concentrated at the strikes. That makes premium-to-width the right edge metric for 0DTE verticals — a 7% reading is on the lower end of the workable range for a quiet tape, but the calendar setup (no FOMC, no CPI, no earnings heavy-hitters) gave me comfort to take the trade at a smaller edge in exchange for the small max risk relative to the daily P&L goal.
The position is sized to a max loss of 0.15% of NLV (net liquidating value), well inside the playbook's 0.25% per-trade cap.
Intraday Management
- 11:14 AM ET: SPX tested 5,565, took the short strike within 5 points. No action — the position has positive gamma below the short strike, so further downside accelerates loss non-linearly but the 2× stop is the only management rule.
- 1:32 PM ET: SPX rebased to 5,572, premium decayed to $0.42 (a 60% decay). Took the 50% profit target. Closed the position for $0.42 buyback.
Outcome
| Metric | Value |
|---|---|
| Realized P&L | +$315.00 (5 × ($1.05 − $0.42) × 100) |
| Holding time | 3h 45m |
| Net theta captured | ~$0.55 of the $1.05 collected (52%) |
| Remaining premium | $0.63 expired worthless |
A clean execution. The playbook's two rules — take 50% of credit at 50% decay, or close at 2× credit — are non-negotiable, and today the first rule fired cleanly. The remaining $0.63 of the spread was exercised/expired; since SPX settled at 5,578, both legs expired worthless.
Lessons
- The premium-to-width threshold for 0DTE verticals on a quiet tape is 5–8%. I would have passed on a 4% reading. Today sat at the lower bound of the workable range.
- Positive gamma below the short strike is real. From 11:14 onward, the position's delta-decay accelerated as SPX approached the strike, then flipped hard once we were inside. The 60% decay in two hours confirms the textbook gamma profile.
- The playbook's 0.15% NLV max-loss cap meant that even a 2× stop (the worst case) would have lost $0.30% of NLV. Well within the daily drawdown limit.
No trade tomorrow if VIX is below 10. The edge just isn't there.