SPX 0DTE live trading today

tom

tom

Well-known member
Administrator
I'm starting a live trading room via Zoom at 9am Eastern. I'll be trading SPX 0DTE options today.

Since I have three meetings today over five hours, I'll only be able to put one trade on today. It will be a Tom Henley style trade. We'll use an opening breakout strategy, pick a direction and put a trade on with OCO orders to close the trade with a profit target or a stop is hit.

Meeting starts at 9am Eastern

https://us02web.zoom.us/meeting/register/tZ0ldOutqDssGNGQcJIXTdtuHURbwDG0bqXL
 
After watching the opening range breakout which side do I place the trade ?
Let's say today after it gaped down I could place a trade on the call side by selling the 3745/3750 for 0.50 cents that was about 11 delta
I could also place a PCS at 3620/3615 also for 0.50 cents and 11 delta
 
If you break out to the downside, sell a call spread (Bearish). If you breakout to the upside, sell a put spread (Bullish). Look for around a .15 Delta or less on your short strike. This should be a credit around $0.50.
 
Hi Tom,

I was not able to attend. Is there a recording? I'm also not familiar with the Tom Henley style trade - do you have a link or other reference to read up on?

Thanks.
 
NicholasL said:
Is there a recording? I'm also not familiar with the Tom Henley style trade - do you have a link or other reference to read up on
Click to expand...
The recording is in the library
There is a screenshot of the spreadsheet at 1:20:59 in the video
There is not a lot of detail in it so proceed with caution
 
Last edited:
tom said:
If you break out to the downside, sell a call spread (Bearish).
Click to expand...
That's what I did as a simulation only but I also added one on the put side just in case it rips up after filling the downside gap
A few minutes ago at 3620 it was looking like -$135 loss but in less than 10 minutes after that it ripped up 18 points so I could close it with an overall gain of about $25 I will let it expire just to see where it ends up
 
The trade worked out and got 0.50 cents from both sides so a nice 25% gain but it was a scary ride on the downside saved by that last half hour rally into the close so I will stick to one side the next time
 
I did post the recording yesterday in the library.

I started an SPX 0DTE Trade Alert shell to track the trades. This is experimental. I'm not sure yet if I want to run a trade alert service for this but I'm enjoying the intraday trading so there's a prety good chance.

Join the trial at

https://aeromir.com/spx0dte
 
For the Tom Henley strategy is the OCO order going to be for the same side requiring to have $25k Min account or is it going to be boxed off with an opposite option trade or maybe turned into a butterfly trade
 
Tom said he'd rather we rename that strategy. We're going to call it Opening Range Breakout (ORB).

The trades I did last week used about $450 of margin for a one-lot. Tom Henley trades a 5-lot and uses less than $2500 of margin.

Ways to close the trade to avoid pattern day trader restrictions are:
  1. Box the spread off. A bullish put spread can be boxed with a bearish call spread.
  2. If you sell a spread and the market moves in your direction, you can butterfly the spread off. For instance, if a vertical spread was sold for $0.50, if the adjacent spread that shares the same short strike is trading for less than you received originally, you can butterfly the trade into a risk-free butterfly trade...setting up a profit tent or lottery ticket. Because you are not closing the original short option, but selling another one to create the butterfly, you haven't opened and closed the same symbol in the same day. This avoid the pattern day trader restriction.
 
tom said:
I did post the recording yesterday in the library.

I started an SPX 0DTE Trade Alert shell to track the trades. This is experimental. I'm not sure yet if I want to run a trade alert service for this but I'm enjoying the intraday trading so there's a prety good chance.

Join the trial at

https://aeromir.com/spx0dte
Click to expand...
Thanks Tom. I did take a look at the 2 videos posted so far and the strategy is interesting. My only concern is the need to monitor the market open at a time when my day job meetings are running concurrently every day.

I likely can join some days but will just be on mute in the background.

It also seems this strategy would be relatively easy to automate for someone with the right technical abilities. Perhaps someone in the community could put something together if there is enough interest.
 
I think the option 2 might be better but it has to be more that $5 profit in it otherwise the commissions would eat almost 100% of the profit
Also if the market reverses there is a chance it may come closer to the fly and than boxing it off could get a little more profit
 
The plan is to run a live stream on Monday, Wednesday, Thursday and Friday. I have two meetings on Tuesday morning (Trading Group 1 and the Boxcar Weekly Meeting) so Tuesdays would be a problem... unless I can get a quick trade in before those meetings.

The Scott Ruble method can consume the whole trading day. Scott was a market maker so used to trading all day.

I'm thinking of focusing on the ORB strategy as it is more compatible with anyone who has a job. That won't preclude me from doing other non-ORB trades though; however, after an ORB trade is filled, the OCO orders should take care of itself without any monitoring. Essentially putting the trade on auto pilot.

I'm probably going to add some other information to the entry process. Not simply taking a trade when it goes beyond a high/low from an artibrary bar length. Using a bit of trader judgement.
 
status1 said:
I think the option 2 might be better but it has to be more that $5 profit in it otherwise the commissions would eat almost 100% of the profit
Also if the market reverses there is a chance it may come closer to the fly and than boxing it off could get a little more profit
Click to expand...

Option 2 (Scott Ruble style) is more intense of course. I closed the trades on Thursday/Friday by converting to a fly more as an illustration. Ideally you just let the trade run to a profit target and book $0.35 or more. In the positions pages, I have all of the contracts with commissions paid so I'll have it calculate the P/L to include commissions.

What commission rate are you getting for SPX options at thinkorswim? Ie.. what rate should I use for the return calculations?
 
It's a little messy because it depends on if it's a monthly or weekly and if it's <>$1
Here is a quick review of the fees

Description Premium Expiration Fee Per Contract
SPX S&P 500 Index <$1 Monthly $0.57
SPX S&P 500 Index >=$1 Monthly $0.66
SPXW S&P 500 Index <$1 Weekly/Quarterly $0.49
SPXW S&P 500 Index >=$1 Weekly/Quarterly $0.58

Basically I am getting $1.24 for one option leg for the weekly 0.58+0.65+.01 So I would say to use $1.24
Maybe if you close it later in the day you may close one or both legs for less <$1 so that would be $1.15 per leg
So using $1.24 it would be $4.96 for a round trip commission for the weekly with >$1 for each leg

That's also what Tom Henley was using on his spreadsheet 24.80 round trip for 5 contracts
 
Nic said:
It also seems this strategy would be relatively easy to automate
Click to expand...
Yes, relatively easy but it makes little sense to do so. Commissions will eat you up or code has to become very complicated (and less reliable).
Beside if code will trade, the trader might get some $$ but will miss all the experience that comes with the project. Huge loss, imo. This is definitely 'hands on' trade. First Person Shooter :)

@tom I'm not familiar with Tom Henley's trades but for what I read in this thread, it is opposite, or at least excluding morning fade. Is this so?

I'm not comparing which strategy is better, both can work fine in hands of skillful trader - it really doesnt matter how you start but rather how you manage.

Didn't have time to watch vids yet but the whole project looks very interesting. Imo, one can learn a lot from it, even if underwater. Real experience, no replaceable by basktesting or even paper trading. Would be super if Scott can be an observer of few session and write some comments afterwards (or Tom Henley).
 
@Marcas - I plan to be in the room this morning (2022-10-10), and will be glad to answer what I can. All in all, I'm working on the KISS principle. I'm not using OCO since I'm retired and can watch the SPX until either I take the money and run or take the loss and grumble about it :-) I also use trader's discretion on taking the profit. If I feel the spread can make more profit because of continued SPX movement in the desired direction, or if if the SPX starts stagnating and I can benefit from the passage of time, and the erosion of premium from the position, I will hold (and watch closely), moving my closing order bid down in order to extract another $0.05 or $0.10 profit from the position.
 
This is my approach as well and this is the reason I'm skeptical about automating the process.
I wont be able to participate. I'm around but have to push my to-do list. Lack of time was the main reason I do not do daytrading anymore.
Will gladly watch the recording (where I can put some time saving measures :) ). I do trade longer dtes where I apply experience from daytrading.
 
You must log in or register to reply here.
Top
Contact Us