Superfly!

This thread will chronicle my journey in the 0dte/1dte options trading realm, using butterflies and combos, mostly using +1.0 correlated instruments SPX, XSP, and SPY.

Anyone is welcome to ask questions, but really, if you don't know anything about options trading, I'm just gonna refer you to Tastytrade and to various youtube videos specifically on 0dte options trading. If you are already trading 0dte options, in any instruments, feel free to post your trades & ideas.

I have been trading spreads for >10 years, but only in the last week or so have I been experimenting with 0dte/1dte flys. I am trying to develop a systematic approach - I think these trades have good potential to becoming a reliable vehicle for daily income. I'll be posting daily trades in the coming week, we'll see how it goes. My results over the last week or so have been mixed, but there has been a bit of a learning curve.

The trade I will probably put on for Tuesday, to be entered near the close on Monday, will look something like this:

General comments and advisories. I won't say rules because this is a work in progress.

a) The idea is to position the fly to match the expected move (EM) in each direction. The EM is listed for every strike on any options trading platform, or if you like, you can calculate it yourself. For instance, the EM for SPY on 10/9 is $3.30. SO, assume the trade above was taken at the close on Friday, for expiry on Monday - 1dte. So, the front strike of each flo is at or inside the EM - with SPY closing at 429.50, my put front strike is @ $428, call front strike is at $432.

b) I have these flys set at $2 wide - that'd be $20 wide for SPX. It's probably more common for traders to set them up wider, more like $30 or $40 wide in SPX. But, I am doing something different - I am adding a long call or put at the outside strike, using the correlated instrument SPX. (The P/L model above shows SPY for singles, but I'd use XSP, for reasons I'll explain another day. Just know that SPY is offset from XSP/SPX - about $1.50 vs XSP and $15 vs SPX.

The steps above are essentially mechanical. I am not a coder but even I can see the above would be simple to code. What is not so simple is what to do on expiry day.

It would be possible to take a mechanical approach to closing the trade. Simplest would be to close the whole thing at a certain x hrs past the following day open. You could also mechanize some basic considerations about profit/loss. For now, I'm assuming I will exercise a lot of discretion in closing the trade. The 0dte Greeks have significant affect. Foremost, imo, is theta decay. This is described in this tastylive vid:

Hey, why limit yourself to just the indices? Couldn't trading some of the more liquid stock names be viable, also? Hey I'm glad you mentioned that. That's the beauty of FF - there's a diversity of ideas and views and sometimes people come along and blow your mind. I looked at AAPL:

AAPL just has weeklies, but nbd. The EM for 10/13 is $4.50. Friday's close price was $177.50. The chart looks pretty bullish. The options just have $2.50 strike steps, but that's actually perfect. The 10/13 $185/187.5/190 call fly is pricing a nickel. Are you shitting me? A 20-lot call fly costing $150 has a max profit of $4,900. I'd hedge the tail on this, too & add to the $190 long calls, hey, they're only $3.



GOOGL, NVDA, etc....all look doable. I like the prospect of doing cheap flies on the weeklies - less hectic, so I will be trying some of them, also.

Remember all you can lose on a symmetrical fly is the initial debit.

waiting for the bond market to open again, tomorrow, will only put on some small trades for 1dte today...

some of today's 1dte trades, in SPX. There are a couple long XSP puts/calls in there, hedging right on the midleg of each fly....the mid strike is set close to the EM for 10/10.

I played around with time of entry for these $20-wide SPX flys (and SPY $2 wide), I don't think it matters much - they usually get on for 40-60c. SPY's go on for 5c-10c. It may be that they are a little cheaper in the morning, idk. The cost of the hedges can change a lot, though, so you can watch the market to get best entries on those, works a decent % of the time....important to put the latter on, as the profit field on these will be kind of narrow, but we'll see....

the call flys went on for 40c, came off for $1.75; XSP call single hedges came off for over 3x. The $20-wide flys were a little tricky to fill going out. Everything on the put side will be worthless, most likely.

If I'd had more of the call flys, I'd have held some on to the last hour....we'll see how that'll go.

...yep, she came down for a better payout....fly worth about $2.25, we'll see what the last hour brings. It might pay to hold on, or, it might not, pretty dicey. I don't have time to watch the charts all day, so getting a 4x profit is fine with me....

there was a small window in time in the last 0:15 where I could've got >$3.00. Very dicey near the end, like trying to land a helicopter on a mountain peak.

Also, what I have seen re: entries - you pay a price for waiting to the end, and fills get stingy. Maybe better to get in a bit earlier.

what you pay for commission becomes critical when trading flys. Shown is tastyworks pricing - when they say they limit commissions to $10 per leg, that means you can only pay $30, no more, for any fly. Is that right? Compare to TDA - the 50-lot fly shown needs $130 in commissions.

SPY double fly for Friday ....looking for a whippy day where I can get some profit off both sides....

I closed the call side early for about 2c net, now waiting for a dump to SPY $431 to see if the put fly will make a lot....looking like a risk-off day that could dump into the close, we'll see....

when the underlying is close to the mid-strike, prudent to take some off...I took off 1/2 of the put flys for 14c, a solid 100% return

... rest came off at 20c. When I'm using SPY and the short options go itm, I get worried about assignment, I wouldn't put anything past my broker....

like this for Monday, skewed for downside...

Not a fly, but a bird - it's the Iron Condor - way more risky than the flys but, in some ways, easier to trade. And worth it when we are seeing good volatility. I'll be trading some here. The trade shown for Monday needs $10.5k in margin and has the short strikes set at 5-7 delta. Could make about $700 if managed out at 10c debit per side.

this guy has many youtube vids on trading 0dte SPX credit spreads, I'm sure there are many others as well...

Some useful clues in these tasty vids...(the main takeaway is that trading the narrow 1dte flys is likely the best strategy) (they keep saying iron fly, but realize a short iron fly is identical to a long butterfly)....

Big loss on the outsized move blew past the upside fly, had to close it for <be....

2 dte put fly gamble on TSLA earnings, will need a bit more downside to do well....