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SPX 0DTE: Is the 16 Delta Range Your Best Proxy?
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ticker lesson
Breakdown
0:00lesson
16 delta range contraction and zero DTE entry timing
- 16 delta range changes intraday
- Zero DTE setup entry timing
- Market expectation of S&P range
- Range contraction impacts strategy selection
1:38lesson
Tracking 16 delta range and credit contraction
- Median distance from at the money for 16 delta strikes
- Tracking 16 delta range evolution
- Credit contraction of 16 delta iron condor
- Volatility impact on range and credit
3:11lesson
Match rate and 16 delta strike availability
- 16 delta strike availability up to last 30 minutes
- Volatility in last 15-30 minutes
- Strategies consistent throughout most of the day
4:42lesson
16 delta range and iron condor strategy
- 16 delta range widest at the beginning of the day
- Significant shift to downside
- Trade vulnerability to intraday movements
- Premium locked in at the beginning of the day
6:16lesson
16 delta range contraction percentages
- 13-15% contraction within first hour
- 25% contraction by second hour
- 34-35% contraction by third hour
- Half of opening width by 1 p.m
8:02lesson
Iron condor net credit and expected range
- Credit collected is also impacted by range contraction
- Premium paid for protection decreases with certainty
- Waiting to enter trade reduces both range and credit
- Smooth curve of credit evolution
9:42lesson
16 delta range and iron condor tradeoffs
- 16 delta range widest at the open
- Contraction by 13-15% in first hour
- 25% by second hour, 34-35% by third hour
- Half of opening width by 1 p.m
11:16lesson
Market movements and trade adjustments
- E-mini S&P sliding, NASDAQ and Russell down
- Reestablished crude oil put spread
- Closed bearish position, moved to bullish in semis and software
- Iron condor setup with downside hedge
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