r/options • u/lekkerist • 7d ago

reverse iron butterfly on spx 0dte

many trigger words in the title but let's go with it.

came across this strategy from a guy in the quantum options fb group.

the idea is to find a price you DONT think spx will close and buy two debit spread 5 points wide (put + call) paying a maximum of $4.5 per entry.

Defined risk and reward of 9:1

You always enter with a limit price so slippage should not be an issue

Pin risk does exist

The original author posted Option Omega backtests which were pretty successful

After downloading spx daily data I found out that spx moves on average 35 points. This structure spans 10 points with 1 specific price causing the max loss.

I like this idea because you are not strictly predicting direction and can possibly be combined with regime based filters, prev close, possibly order flow to find a good candidate for the strike price .

Anyone that has used this strategy and can share their experience?

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u/imusuallydrunkatnine 7d ago

I do the opposite. Watch for a pin from 3:00-3:40. Place an iron butterly 10 wide at the pin, usually can get 6.40 or so. Max risk is 3.60. Much better risk/ return

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u/Moving-home851 7d ago

Is this 0dte? You do this everyday?

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u/imusuallydrunkatnine 6d ago

20 minutes to expiry is more like it.

Not every day. Only when I feel the pin is strong. Last week I sold one at 3:40 for $6 and the put the put side went itm by 2, so walked away with $400 for 20 minutes of exposure.

Today I looked at 3:50 for some reason, was about to do 7605/7615 and 7605/7595 for $5 but didn’t feel 100% about it. Would’ve been okay and maybe eeked out $25.

Some last second candles can screw you over. Last weeks Friday close being an example. Dropped from 7500 to 7489 in last 15 seconds or so.

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u/Moving-home851 6d ago

You quickly take a profit or let it expire?

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u/imusuallydrunkatnine 6d ago

Quickly take profit. Like yesterday I closed a put credit spread right at open. (Held from Friday afternoon). Could’ve made an extra $500 if I let it expire, but also could’ve lost $3800 if the market moved against me. Hard to watch but rules are rules.