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We Backtested Legging Out of 0DTE Iron Condors Since 20
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ticker lesson
Breakdown
0:00lesson
Zero DTE iron condors popular due to intraday trading
- Zero DTEs exploded in popularity post PDT
- Liquid enough for intraday open/close
- Common strategy: legging out of trades
- Backtest 20 delta SPX iron condors
1:35lesson
Profit targets skew backtest results
- 25% profit target applied to all trades
- Baseline vs legging out compared
- Buyback thresholds: $0.75, $0.50, $0.25
- Legging out doesn't meaningfully improve win rate
3:14lesson
Median P&L vs average P&L differences
- Median P&L remains ~$140 across strategies
- Averages show more variance
- Legging out reduces gains but lowers volatility
- Profit targets act as early exit triggers
5:00lesson
Legging out tradeoffs and recovery risks
- Earlier legging out sacrifices potential gains
- Later exits allow for recovery but increase risk
- Profit targets prevent overexposure
- Tail risk remains elevated without targets
6:41SPX· ticker
SPX iron condors defined risk positions
- Baseline strategy shows smallest average loss
- Recovery periods boost loss averages
- 2023 market conditions skew results
- Defined risk positions mitigate max loss
8:23lesson
Optimal buyback thresholds for SPX
- 75-50 cent buybacks balance growth/volatility
- Higher thresholds underperform
- 90% of max value realized before peeling
- Holding to expiration yields best cumulative returns
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