A look at intraday SPX straddles
Cross-sectional performance of a 1-DTE SPX ATM Straddle
Last couple of posts touched on the concept of trading various duration straddles against each other (1-DTE against 0-DTE).
In these posts we’ve also looked at various ways to use volatility estimators to trade around these differences in intraday / daily vol.
In this post we will look at the performance of the 1-DTE ATM SPX straddle throughout the trading day and visualize the intraday performance results.
Note: Each bet is adjusted to $200k index notional value for $PnL. Initial Straddle values are taken from last minute of the trading day, ATM 1-Day Forward Strikes. The PnL of the this fixed strike straddle is then snapshotted throughout the next day at various points in time. Each periods pnl$ is then plotted from Jan 2016 to May 10 2024. Data is spotty pre 2022, with various 1-DTE expirations not available, (initially in 2016 only Fridays are available) by May 2022 all expirations are available. Transactions costs excluded, sizing also hypothetical, contract #s per trade not rounded to integers. Bid/Ask for legs adjusted for conservative fill, above mid bid/ask for buys, below for sells.
Straddle from T-1 Close till X:
Straddle from T-1 Close entered at RTH open held till X:
Keep reading with a 7-day free trial
Subscribe to Vol Vibes to keep reading this post and get 7 days of free access to the full post archives.