Superfly!

SPX looking to break north of 5650, I close the call fly at $1.25....all to do now is wait for a down wave

...the overshoot peril is why I like to add a fotm long call/put to the flys. If I do that I can just let them run if they threaten to go over. Or, just trade verts...did't add the longs today as I thot we'd pin 00/50.

...a $40 loss. Narrow 0dte flys are tricky. If they run to your guts early, you kind of need to close or risk that they run away from whatever profit is there. 20/20 hindsight, SPX sat around 5650 until the last hour and the call fly was worth near $5.

One for the backtester. Double 1dte fly entered at the 0dte close. Looking for 20 or 25 wings, with the front wing at about 25 delta. As shown, models a 1-lot 1dte SPX with 1-lot 2dte XSP tail guards. Risk is around $500 max, trying to net that much or better.

bfd Twump "liberation day" he says announcement 4/2 at 1500 NY time, 1 hr b4 the retail close. perfect for a cheap scalp to catch a big move in the last hour. I might set some fly traps 04/01 but more likely will set verts in the late hours of 04/02, might set fly traps for 04/03 then also. I might split SPX short and NDX long

I have been trading 0dte SPX double flys most of the Summer. I am trying to snag the expected move in one or both directions. If I have a strong conviction re: direction, I might play one side only. Usually go bi. Usually playing flys w/ 15 to 25 pt wings. Location of the guts is somewhere around the expected move extension, but it's discretionary. Typically playing 1- or 2-lots and trying to net out anywhere from $200 to $1000 per day, off a max debit of <$400 per 1-lot combo. I say they're 0dte, but more often they are entered at the close on 1dte.

ATRs have crashed since July and that has meant lower iv's and generally more predictable PA. For instance, trade for tomorrow is...

Aug29 SPX calls 6500/6510/6520, in for $1.70 / SPX puts 6500/6485/6470, in for $2.00. I usually don't have the call/put inner wings touching like this, but that's because it's a Friday b4 a long weekend, and I expect another dead day.

(The above trade entered in the last minutes of today, 8/28.)

I watch these thru the day and try to ride them into the last minutes, if that's in the cards. If it's 2-lot, I might take profit on 1of 2 earlier, if it's there.

Sometimes I hedge these fly tails with XSP longs or long verticals, but not this time. I could be wrong and we get a good move that runs past one of the flys, which is why I hedge, just not seeing it for tomorrow.

I'll update by Friday close...

Yep, shoulda hedged the puts. End of month profit taking after a new ath, NVDA dragged down the index. I lost $1.00.

FOR today, entered ~30-60 min after the open,

SPX dbl fly, calls 6410/6425/6440, puts 6390/6370/6350, both were $2 debit. Set tp at $5 for the calls, $5.75 for the puts.
XSP dbl vert, 641/646 calls and 640/635 puts, entered each side for $1, set tp $3 on both sides.

...with SPX dipping under 6370, I took off the put fly for $5.25, netting $125 for the fly combo. I gotta go out for several hours in 20 min or so, will not be able to manage further til after 1400 EST. Will let the XSP verts run, put side is a hair away from getting hit for $3. .....put vert hit for $3, netting $100 for the dbl verts.

Now just wait til the close to see if there may be a reversal back to 6400.....

reversal in progress, calls are near b/e....

....with SPX pushing toward 6410 @ 1340 EST or so, I took off the call flys for $2.25. So the call fly cleared $0.25 and the put fly cleared $3.25, a $3.50 net gain. ...still watching the call XSP vert....

...took off the XSP call vert for $0.35, a $0.65 net loss - so the dbl XSP verts cleared $1.35 net, and the whole combo cleared $4.85 per unit.

Kind of a better than avg day, I guess. I'm still collecting daily data on these. But I'd be happy to avg anything over $2 net per lot, as I could be doing multiple lots.....

The call fly closed @ $5.50...and that came on in the last 5 minutes. Very dicey to hold into the close if you are just under the near wing, could have easily gapped down and the fly woulda gone worthless. However, if I am shooting multiples, I'll hold one or more if it's close like this...

Today's gambols..

you can see from the 3/2 ratio @ XSP verts, I am bullish for the day. I think we will see a typical after-lunch mark-up. So, I'll probably hold into the last hour, unless there is something moving one way or the other earlier. I'd like to get either fly off for >$5 and I'd take the XSP verts off for $2

took off the put fly for $5, sitting back now maybe catch a reversal....

took the XSP put vert off for $1.25. Free trade for the remainder of today just need my premise to bear fruit for the calls

SPX small range day.
just retested OverNight Low

yep on tight downtrend days like this I am used to seeing a bit of a reversal in the last 90-60 minutes. That's why I took off the puts.

I kind of expect the day or so b4 NFP to be tight range, lower volume. I can adapt these hedged double fly 0dte trades to anything, it just helps to be right, of course. Much rather expect a decent move so the guts could be set further otm, with wider wings - those will pay much better.

let's go degenerates, jump in there and buy some stonks

Time has come today, do or die....

Do you look at options greeks?
I don't I use OI as support and resistance with 60 points apart.
look at option chain marked since the open, i marked the OI and Volume changes after open, and it gave me their possible move.

Not so much really but I notice them. Gamma risk is significant for these flys. Mostly, I am looking at recent price action and the expected move (EM). EM for SPX pre-market was about 38 and I see on the daily candle today's range is going to be 37.5. EM is what I use to set the guts, I want them to be somewhere around 30-50% of the EM. Depending on what kind of day it seems like it will be.

The greeks are more accurate in the longer timeframe setups, imo.

we got a bull breakout after lunch today but fml it was slow coming.

I took off the call fly for $0.50, let's see where it closes....I took off the XSP call vert for $0.30.

You know the expected move is shown there on TOS, right - the number in parenthesis over on the right - that's what I use to gauge the day's move. It was dead nuts today.