Strategy graveyard / Selling 0DTE iron condors
Verdict: doesn't work Backtest only
Selling 0DTE iron condors on SPX: 0 of 99 strike and width combinations made money
Backtested on real SPX same-day option prices, 42 and then 51 sessions, July to October 2026. Updated 9 Oct 2026.
Short answer: no. I sold same-day SPX iron condors at the open and bought them back at noon, across 99 combinations of how far out the short strikes were and how wide the wings were. At real bid/ask prices, not one of the 99 made money.
At the midpoint between bid and ask, the results were roughly break-even: some combinations up, some down. That's the signature of a fairly priced trade. The money lost was the cost of crossing the spread on four options to get in and four to get out.
0 of 99combinations profitable at real fills
-$70average result per trade across all combinations
8-12%of the premium lost to the bid/ask spread each trade
18 vs 14points: the move that happened vs the move that was priced
What is a 0DTE iron condor?
An iron condor sells a call spread above the market and a put spread below it. You collect a premium up front and keep it if the index stays between the two short strikes. The further options (the "wings") cap the most you can lose. With options expiring the same day (0DTE), the premium decays fast, which is why selling them is so popular: most of the time, the condor expires worthless and you keep the money.
This is a different trade from the weekly condor I'm testing live, which is held for about a week and only opened in calm markets.
The exact rules I tested
- Entry: at 09:31, sell a same-day SPX iron condor. The short strikes are a set distance from the forward price (0 to 60 points away, from an iron butterfly to a wide condor), with wings 5 to 75 points wide. 99 combinations in all. Sold at the bid, protection bought at the ask.
- Exit: buy the whole condor back at 12:00, paying the ask on the short options and receiving the bid on the wings.
- Re-run: repeated later on more data with entries at 09:31, 09:45 and 10:00, still exiting at noon.
- Pricing far strikes: where the recorded quotes didn't reach a strike, it was priced from the shape of the option smile and checked against real trades at those strikes.
Results
- At real fills: 0 of 99 combinations made money. The average was -$70 a trade; the best was -$19.
- At the midpoint: the average was -$5 a trade and 38 of 99 combinations were positive. The best made $28 a trade and wasn't statistically meaningful. Fairly priced, in other words.
- Re-run on 51 sessions: 2, 18 and 12 of the 99 combinations were positive for entries at 09:31, 09:45 and 10:00. None were meaningful. Every positive one was far from the market and wide, making about $20 a trade. Condors close to the market lost heavily.
- Halving the trading costs still left only 2 of 99 combinations positive.
Why it failed
- The premium was fair. Option sellers usually rely on options being slightly overpriced. In the morning they weren't: the index actually moved a median of 18 points between the open and noon, while the options had priced about 14. There was no extra premium to collect.
- Four legs, eight crossings. Getting in and out of an iron condor crosses the bid/ask spread eight times. On a fairly priced trade, that cost (8-12% of the premium) is the whole loss.
- There's no "right" width. The combinations that lost least were simply the ones far from the market with wide wings, where trading costs are smallest because there's almost no premium. Less risk, less cost, almost no reward.
- A calm test period, which should have helped. These are the conditions condor sellers hope for, and it still didn't work. A more volatile period is unlikely to be kinder.
Did I test it wrong?
Quite possibly. I tested the version of Selling 0DTE iron condors described above, with settings I thought were fair, and it didn't work. That doesn't prove every version fails. I may have picked the wrong settings, the wrong market or timeframe, or missed a filter that experienced traders take for granted. Many strategies also depend on judgement that a set of fixed rules can't capture.
If you trade Selling 0DTE iron condors and it works for you, I'd genuinely like to hear how. Tell me the chart and timeframe, what counts as a setup, any filters, where you get in, where your stop and target go, and when you get out. I'll test your version on the same data, the same way, and publish the result here, whichever way it comes out.
Send me your version
What would change my mind
Evidence that same-day options are consistently overpriced at a particular time of day, across a volatile period as well as a calm one, by more than the cost of trading four legs. My data showed hints of that in the afternoon, but only in calm weeks, and a longer check didn't support it.
Questions
What is a 0DTE iron condor?
Selling a call spread above the market and a put spread below it, all expiring the same day. You keep the premium if the index stays between the two short strikes.
Why does a same-day iron condor lose money if it usually expires worthless?
Because it is priced fairly. The premium matches the risk, so any small edge is eaten by the cost of crossing the bid/ask spread on four options to get in and out.
Which strike width works best?
None did. The least bad combinations were simply the ones with the lowest trading costs: far from the market and wide, collecting very little.
Is this the same as the weekly iron condor you run live?
No. That one is held for about a week, only opened in calm markets, and is still being tested. This page is about same-day condors opened in the morning.
How it was tested
- Data: real SPX same-day option quotes recorded every few seconds, July to October 2026. Sold at the bid and bought at the ask on every leg. No commissions, which would make it worse.
- Backtest, not live trading: these results come from historical prices with trading costs included. Backtests usually flatter a strategy, so a failed backtest is a strong "no".
This page records my own testing. It isn't financial advice.
