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Julia Spina on the 85% Win Rate That Barely Makes Money

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Breakdown

0:00lesson

Zero DTE put spreads — simple yet foundational

  • Trading zero DTE put spreads is simple
  • No management, no stop loss, no profit target
  • Focus on directional intraday performance
  • S&P 500 cash settled
  • Defined risk, expiring position
1:30lesson

Performance metrics of zero DTE put spreads

  • Win rate around 85% of sessions
  • Average credit of $238
  • Average P&L of $16
  • Max loss several multiples of average credit
  • Full credit kept in 84% of sessions
3:20lesson

Impact of VIX on zero DTE put spreads

  • Higher VIX correlates with higher credit
  • VIX over 20 leads to stronger performance
  • Max loss remains constant across VIX environments
  • Lower VIX also performs well
  • VIX doesn't change potential upside
5:08lesson

Cumulative P&L and trade sizing importance

  • Cumulative P&L consistently positive since 2023
  • Small trade size crucial to withstand volatility
  • Sizing becomes key without management
  • Choppy market conditions
  • Consistent growth with no management
6:48lesson

Nature of losses and spread width impact

  • Losses grow after S&P moves beyond short strike
  • 1.5% drop leads to near max loss
  • Narrow spreads more likely to result in max loss
  • Wider spreads have variable losses
  • Max loss size smaller with wider spreads
8:36lesson

Recovery chances and trade setup importance

  • About half of sessions recover after crossing short strike
  • Median time below short strike: nearly three hours
  • Trade setup crucial for peace of mind
  • Recovery is a coin flip once breach occurs
  • Setup determines risk management
10:16lesson

Comparing spread widths and loss distribution

  • 31% of sessions cross below short strike
  • Half of those recover, half reach max loss
  • Wider spreads have more variable losses
  • Smaller spreads more likely to hit max loss
  • Comparing $5 and $20 wide spreads
11:57lesson

Key takeaways and challenges of zero DTE put spreads

  • High win rate and long-term profitability
  • One full loss erases multiple credit wins
  • Large S&P drops bring positions near max loss
  • Managing exposure to large swings is key
  • Appropriate sizing and capital at risk

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