Delta Hedged SPX 1-DTE Straddles

Part I - Overview, Data & PnL from delta hedging

Following up on the previous post on intraday 1-Day Straddle cross-section:

A look at intraday SPX straddles

In this post will explore performance of 1-Day SPX ATM Straddles with delta hedging under discrete intraday time periods. In Part I, we will relax some of the realistic assumptions about costs and fractional position sizing for the delta hedging component (will explore impact of realistic assumptions in the next few parts.) Data range Jan 2016 up to May 10th 2024.

Overview of intraday delta hedged SPX 1-day straddles

Delta hedge times: RTH - 9:31am, 10:30am, London Close (LN) - 11:30am, 1pm, 1:59pm, 3pm. Chart above compares no delta hedging pnl against discrete single point in time hedge at time X. Lastly, the pnl of an hourly delta hedged long 1-day straddle is plotted for comparison.