SPX Intraday Momentum / Mean Reversion trading using 0-DTE options

Performance & regime changes over last 8 years

After going through a bit of reading last week, stumbled over an interesting article by risk.net:

(https://www.risk.net/awards/7958405/equity-derivatives-house-of-the-year-jp-morgan)

Momentum trading is very far from new, well studied effect across assets, however, with the newly (mid 2022) established every day of the week expirations for SPX and quite a few other indices, using 0-DTE’s to try to get some cheap intraday convexity looks like an interesting idea.

So, lets take a look at SPX intraday momentum/mean reversion effects, how we can measure them and what performance looks like when you try to trade them with 0-DTE options.