About this template
I've been running an ODTE / 1DTE expiry bot in a high volatile environment (Live on Tradestation) since April (SPY ticker only). What I have found is that if you program the bot to wait for a "pop" in the underlying price of ~1% from the previous day's close (or intraday) and then immediately open a call spread Out of the Money, the position does very well.
The "pop" in the price causes volatility to skyrocket. This enables you to open a call spread with the short strike further out of the money with decent credit than would normally be possible. My bot evaluates opening a spread for a minimum credit of US$ 0.15 per position at varying percentages out of the money. If it cannot get that credit, it tries a lower percentage and lower percentage. The idea is to get as far out of the money as possible.
Notes
- Using Delta of 0.05 as a proxy on 0DTE does not work as the short strikes are opened too close to the current price. If you want to use Delta then you're going to need less than 0.05, and this isn't possible in the OptionsAlpha platform.
- I only trade call spreads on the SPY like this because I don't like the sudden price shocks of individual stocks in this environment and I love the liquidity of SPY.
- I do not trade put spreads as markets can crash very, very fast in this environment, and your position can become a loser extremely fast.
- I have found that the "pop" in price and volatility is usually at the open and only lasts 10 to 30 minutes before volatility drops back to normal so you might need to manually run the Bot rather than wait for it to run every 15 minutes.
Results: This is a LIVE account with US$ 75k in it. The drawdowns you see in the chart are unrealized losses due to holding a position overnight that moved against me. The next day, the position is profitable. 14 wins, 0 losses since 27th April 2022. It doesn't open a lot of positions, but when it does, it's profitable.
