Defiance 0-DTE Income ETF's

Performance Overview - SPX 0-DTE ATM Put Spread (2% Wide)

0-DTE popularity is keeping ETF issuers busy! Over the weekend some news dropped on filings for 3 new 0-DTE ‘income’ based ETFs.

(https://x.com/ETFhearsay/status/1890546137259450528)

Ignoring the long SPX leg of the trade, lets take a look at the put spread performance. looking at the SEC filings we see the proposed structure is likely a 1-day ATM short put leg + a 1-day 2% OTM long put leg (with a deep ITM call LEAP mimicking a long SPX proxy.)

2016 - Jan 2023 ‘income’ would’ve been -2.5k$ over 7 years total if you had used $200k notional to replicate the same put spread selling strategy…

Edit: As suggested in the comments, perhaps the ETF will sell 0-DTE Put Spreads opened at US regular trading session open.

Foregoing the overnight premium makes it a net drag over the last ~10 years outside of 2017. As outlined many times in posts, the overnight drift remains the largest contributor to returns for global indices.