This First Ever Study Changed How We Trade 0DTE options FOREVER

[@edgarsmartinez]

Best research in the Options world 🎉

[@Scalp269]

Absolute best 0 DTE study so far. Keep up the good work boys!!!!

[@R-vw3uz]

They should have tested other % of max profit hold times. Like whats the profit and success rate if you try to hold to 50% of max profit?

[@johngutierrez2042]

If selling these strangles and leaving them unmanaged was a net losing strategy, wouldnt that mean that buying those strangles and leaving them unmanaged would have been a winning strategy? If the average P'L of selling strangles was negative, what is the average P/L of buying them? Seems to me like this market research is saying to buy strangles. What kind of profit target would you shoot for in that case?

[@geeeee8268]

it would be nice. Unfortunately it doesn't work like that. The only difference is you be capping your loss instead of profit.

[@denisvandecker8275]

Fundamentally a short premium 0 DTE trade is based on selling high theta / extrinsic premium. This high theta decay would still be working against holding long strangles as it decays.

[@Michael-bs3bg]

The previous two replies don't address your good question. TT probably won't answer your question, as they keep their content intentionally vague and inconclusive; I must assume they are smart people; so presenting half-baked results is intentional. Their primary goal is to get people to place tons of trades with their brokerage. I don't have all the answers to your question, but I would think that during the raging bull market the strangles on average turned into negative net delta positions after initiating the position. If true, then part of the (bad) performance of the unmanaged strategy came from negative delta exposure, not from volatility selling. A simulation of a delta-hedged strategy would give more insight. Don't rely on the short backtesting timeframe to draw conclusions on long-run results. It is doubtful if money can be made in the long run by selling volatility.

[@Webbski00]

I'm not sure, but I think the problem with this strategy is you will easily get wiped out before you win consistently. eg right now to buy at the money SPX Put and Calls is around $5k. You might end the day close to the money 10 times in a row and lose 50k and most of the times your wins will be on the small side. So you'll see a steady decline in capital until you need the big market moves to hit that average daily P & L but in the meantime you are carrying some big losses.

[@oseiaspaes]

@@Webbski00 just to it with SPY and gets 10 times smaller.

[@jeffdavis510]

Great content! Much appreciated to the TastyTrade team for bringing this research.

[@SkylineR34EvoX]

Managing at 25% was 1 data point but where would have been the sweet spot. Can you run and plot these scenarios as a function of %profit?

[@R-vw3uz]

exactly...I wanna see 50% of max profit and other percentages.

[@timdog1863]

Good info. thank you!

[@geeeee8268]

The only "unmanaged" strategy that makes sense somewhat is an at the money iron fly at 3:30. P/L is over 50%, if you do your homework, but the gain is not that huge.

[@martin1208]

good research

[@Valdet1]

Why not sell a strangle delta 30 with managed profit at 25% and simultaneously buy a strangle delta 20 unmanaged ? Both strategies have a positive expectancy and executed together they should reduce risk

[@jeremymalli]

would be interesting to see the P/L curve for various percentage max profit (ie. 5,10,15,20,25,etc) instead of just looking at 25% and no management.

[@neuvocastezero1838]

At what time during the trading session were the strangles sold, at open?

[@javi___]

yes at the open, check the slide at 1:30

[@neuvocastezero1838]

@@javi___ Thanks, sorry 'bout that.

[@loubob21]

Why not do both at slightly different deltas? Sell 20 delta stangle and close at 25% , buy 15 deltas and hold till end of day?

[@timfrehner1395]

So, in essence, that would entail selling an iron condor at market open (15/20/20/15) in which you close the shorts (20/20) when that portion of the trade hits 25% and leaving the wings open to the end of day to see if one of the wings has a breakout move ...

[@acousticide]

I've went to the bathroom and went from green to red.... you have to watch your 0dte like a hawk

[@DancingRobots]

Could you also backtest if taking profit at 50% or 75% can improve the P/L?

[@yojmb9]

so... what does going long the strangle do? is this a viable way to make money?

[@StockSlicer]

What’s the commission for tasty trade on options? Fidelity charges 65 cent per contract to open. In most cases, they don’t charge commission for closing.

[@789crispy]

Does it mean going long 0DTEs is a viable strategy?

[@levilaber1228]

Cool data, the way I research 0dte is not measured by delta, but by range out of the money from the open. Doesn’t measuring by delta result in essentially inconsistent and flawed results?

[@masonite1973]

On ToS there is only 0 or 1 delta on 0dte options, so I'm not sure where they get this info from

[@loubob21]

I use RSI on 4hour chart to go long an a PDS.

[@echoeversky]

ToS user here. Buying to open Market Open spxw strangle $5 wide at above and below opening spx price, sell at ~$200 or around 5% here.

[@loubob21]

Whats SPXW

[@kurii-]

I'm assuming the 30 delta means a 30 point between the 2 strike prices? Are you selling at-the-money options?

[@OurNewestMember]

I think they're saying you sell the OTM strangle where each contract at open has a theoretical delta with a magnitude of 0.30. on SPY and using a typical pricing model, maybe those are about 6 strikes away from spot? (shot in the dark)

[@jeffstrong4580]

It shows that market makers have option premiums almost impossible for retail to make money so set up has to be perfect when you place an order. I learned it hard way to modify every options trades when it go against me to correct it. About 4 weeks DTE gave me time to modify an option trade most of the time. But guess what all options books tells you. It just tell you to cut lose instead of trying to modify your positions if it has good chance of coming back.

[@darrongregory1396]

How does managing at 50% of max profit compare?

[@garstev]

What about managing losers for 0 DTE? I had seen a study you did on this early in the year that showed very promising results. It would be interesting to see the 18 month study comparing managing winners vs managing losers.

[@pilotstefan1322]

Managing losers with a stop loss only is the most profitable strategy for 0dte.

[@luluckyjack]

New to this - how exactly would you be 'aggresively managing to 25% max profit'? If someone could explain pls

[@loubob21]

You would have a close order to buy back your shorts at 25% profit.

[@OurNewestMember]

I wonder the typical time during the trading session that 25% was achieved. 1 pm? 3pm? 3:25pm? That could be very instructive about the 0 DTE risk and market structure for how volatility risk is managed by larger participants (who have the best information about what they can pay at the beginning of the session, given the amount of volatility risk they need to dissipate during the session)

[@OurNewestMember]

Actually I was originally thinking "25% of Max profit remaining". So maybe the result would be more like 1:30 pm?

[@aerongn]

inverse and always inverse…so if selling 0dte strangles unmanaged is a loosing strategy then buying 0dte strangles at 12pm should be a winning strategy, right?

[@bpb5541]

0 DTE has just caused us to be in the exact same spot as were were with the derivatives that caused the GFC but at levels 5 times as bad. Let that sink in for a bit.

[@marcanth]

so the takeaway is that buying OTM 0dtes is a bigger winner than selling w/ management

[@kennethneveski1892]

Can someone explain to me what, in this context, CVaR is exactly? I know it's Conditional Value at Risk. But most of my searches don't explain it well.

[@shutengloke5907]

Rough definition, the is the maximum you will lose 95% of the time.

[@kennethneveski1892]

@@shutengloke5907 In the event there is a loss, correct?

[@lincolndachane1484]

So instead of selling strangles you can buy them and they will be winners if you hold till expiration.

[@zo9fg]

How can we get these 0DTE data tasty has?

[@pilotstefan1322]

Option omega, you can run these tests yourself, it's $50 a month

[@fisherh9111]

why is it called tastylive?

[@tjhan6207]

Would you set a stop at 25% profit? Would you set a stop at all for maximum loss?

[@anthonylowe7068]

The group I’m in rarely manage losers or winners and we’ve never had an unprofitable month since 0DTE option became a thing…

[@rlmint]

Which group is that if I may ask?

[@troymclure2244]

always take profits early or they become losses!

[@astroganov]

Once a week they publish a 0dte research that changes my trade forever 😂

[@Kin-c2t]

Wish I had seen this before blowing out my account

[@-mr3puttz-310]

Do the studies with more affordable strategies. Strangle info is useless to most

[@BebopKoala]

So if you sell at 25% premium decayed, but no stop loss, you win. If you just leave to expire, you lose. Huh? Cut your winners short and let your losers run is a winning strategy? Am I missing something?

[@OurNewestMember]

I think it speaks more to market structure: this implies outsized reward-to-risk for volatility premiums collected in the earlier part of the day compared to what might have been paid at that time for end-of-day volatility. It's not that one side is necessarily the "winner" or "loser" but that the structure of the market suggests you should manage 0 dte volatility trades in a certain way if you want them to in fact be "winners"

[@nobnoba]

1. This is SPX or ....? U dont say 2. This is strangle, so if the position loss (never reach 25% profit), u let it fly, wont it annihilated ur portfolio,since it has no defined risk. *if it goes against u

[@oseiaspaes]

It seems to be SPY, by the size of the CVaR.

[@loubob21]

​@@oseiaspaesIts SPX due to no assignment risk

[@paulmurphy2732]

Fix the bugs in your platform

[@Sketches8]

is the guy with the hat rich?

[@JISBR2g1]

Yes but unlikely from trading.

[@ActivEthan]

He started ThinkorSwim

[@oseiaspaes]

If selling at 30 delta unmanaged is a guaranteed loss, why not invert and buy it unmanaged?

[@loubob21]

Mostly because you will have quite a few trades with total losses and most traders cannot deal with mulriple losses while they wait for the win.

[@devgeorge2327]

only brokers make money by selling dreams

[@MakeTheAdjustment1979]

All of the unmanaged trades were at 60% win rates which must be atm or itm, of course you are gonna lose. The managed tests were all at a win rate in the 90 percentile, much farther otm. Do a test of unmanaged at 90%win rate. I don’t think anybody in their right mind would do 0dte atm naked strangles managed or unmanaged 🤣🤣🤣

[@torenburgos5191]

the win rates are based on the management strategy, not the win/rate at the time the position is opened, which is what the delta is indicating. A 30 delta is a 30% chance of being in the money, so they are comparing apples to apples, the only difference being the management strategy of taking profits at 25% capture rate vs no management whatsoever.

[@MakeTheAdjustment1979]

@ I’ll save both of us some energy on that one 🤣🤣

[@ТрильйонПідписників]

що це за шлак? де крива прибутку? де тести з 50% і 75%? чому тільки 25%?