Buying 0DTE straddles and strangles on SPX: the big moves came, and they were already in the price

Backtested on real SPX same-day option prices, 33 to 49 sessions per test, July to October 2026. Updated 9 Oct 2026.

Short answer: no, at any time of day I tried. Buying a same-day SPX straddle or strangle is a bet that the index will move a lot. It often does, especially at the open. The trouble is that the options already charge for that movement, and in my tests they charged a little more than the movement turned out to be worth.

I tested four versions on real option prices: an at-the-money straddle for the first 15 minutes, an out-of-the-money strangle from 09:45 with a big target, the same strangle with stops and a runner, and a noon strangle with a profit target. None made money.

-$125per trade, opening straddle, 09:31 to 09:46

-$606per day, 09:45 strangle with a big target

24%of days hit the target, against 45% needed to break even

62 of 63noon strangle settings lost money at real fills

What are 0DTE straddles and strangles?

A straddle is a call and a put at the same strike, usually the one nearest the current price. A strangle is the same idea with both strikes out of the money, so it's cheaper but needs a bigger move. Either way you don't need to know the direction; you need the index to move far enough, in either direction, to pay for both options.

With options that expire the same day (0DTE), this is a popular way to "play the open" or "play the volatility". It feels like a free bet on movement. It isn't.

The exact rules I tested

1. Opening straddle

Buy the at-the-money SPX call and put at 09:31 at the asking price. Sell both at the bid at 09:46. Also tested with exits at 09:36, 09:41, 10:00 and 10:30.

2. 09:45 strangle with a big target

At 09:45, buy a call and a put each about 10 points out of the money at the ask (one version also required each to cost under $10).
When either option is 30 points in the money, sell both. Otherwise hold to the close. The target level, strike distance and premium cap were also varied: 24 versions in all.

3. 09:45 strangle with stops and a runner

The same strangle with the two legs matched in price. Each leg has a stop at -75% and a target at three times its cost. After one leg hits its target, the other is held and sold at +20% from that moment.
Variations: targets of 2× and 4×, a 50% stop, no stop, holding to expiry, and entries at 10:00 and 12:00.

4. Noon strangle with a profit target

At 12:00, buy a call and a put, each costing about half of a set budget ($4 to $24 in total, per share). Sell both when their combined bid reaches the target (+10% to +100%). Otherwise hold to the close. 63 combinations.

Results

Opening straddle: -$125 a trade, winning 27% of the time, and worse at every exit time: -$71 at 09:36, -$100 at 09:41, -$125 at 09:46, -$182 at 10:00, -$313 at 10:30. The longer it was held, the more it lost.
09:45 strangle, big target: -$606 a day over 33 days, and all 24 versions lost. Even at the midpoint between bid and ask it lost almost as much, so trading costs weren't the issue.
09:45 strangle with stops and a runner: -$147 a day over 45 days, with every variation negative. The runner rule hardly ever came into play: by the time one leg tripled, the other had usually already been stopped out. Entering at 10:00 lost more; entering at noon broke even, which is still not an edge.
Noon strangle: none of the 63 combinations made money at realistic fills, apart from one that made $7. A popular version (an $11 budget with a 25% target) hit its target 61% of the time and still lost $117 a day, because a miss cost almost three times what a hit made.

To break even, the 09:45 strangle needed to hit its target on 45% of days. It hit on 24%. Split by how much the strangle cost, the market won at every price level.

Why it failed

The movement is real, and it's already in the price. At the open, SPX travelled at least 10 points within 15 minutes on three days in four. But the straddle cost about as much as that movement was worth. Options traders know the open is busy too.
Cheap options were cheap for a reason. On days when the strangle cost under $10 a leg, it hit the target once in 21 days. On expensive days it hit 7 times in 12. Low prices meant the market expected a quiet day, and it was right. That's the opposite of how a cheap price works on a directional trade.
Every hour costs money. A same-day option loses value as the day goes on. Holding a straddle for a move that hasn't arrived yet means paying for each minute of waiting.
The test period was calm. Real option prices only cover July to October 2026, mostly a quiet stretch. In a wild market, big targets get hit more often, but option prices rise to match, and I couldn't find a way to pick those days in advance.

Did I test it wrong?

Quite possibly. I tested the version of Buying 0DTE straddles and strangles 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 Buying 0DTE straddles and strangles 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

A way to tell, before buying, that today will move more than the options are pricing, tested across a volatile period as well as a calm one. Without that, buying same-day movement is paying a fair price, plus costs.

Questions

What is a 0DTE straddle?

Buying a call and a put at the same strike, both expiring the same day. It profits if the index moves far enough in either direction to cover the cost of both options.

What is the difference between a straddle and a strangle?

A straddle buys both options at the same strike, usually at the money. A strangle buys them at different strikes, both out of the money, which is cheaper but needs a bigger move.

The market moves a lot at the open. Why doesn't a straddle profit?

Because the options already price that in. At the open, three days in four SPX travelled at least 10 points within 15 minutes, but the straddle cost about as much as that move was worth.

Are cheap straddles a bargain?

No. On days the options were cheap, the market went on to move very little. Cheap premium was a forecast of a quiet day, not a discount.

How it was tested

Data: real SPX same-day option quotes recorded every few seconds, July to October 2026 (33 to 49 usable sessions depending on the test). Bought at the ask, sold at the bid. Barrier hits were cross-checked against one-minute index data.
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.

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