SPX Intraday Momentum / Mean Reversion
Updated till May 2025 - 0-DTE SPX Options Impact & Performance
Its been more than a year since the last post:
At end of May we will have a full 3 year anniversary of SPX options being listed for everyday expirations. Popularity of these products is undeniable with volumes growing every quarter. CBOE recently covered positioning, trends & market impact of 0-DTE options in their latest report.
We’ve had lots of speculation about the potentially destabilizing impact of 0-DTE’s on the intraday market dynamics since their introduction. Well, we just went through some of the wildest intraday / daily volatility since 2008 & Covid crash and yet we’ve not really seen anything out of the ordinary in terms of intraday price action…
So, lets look at the changes since last years post:
The original report by JPM highlighted the changes in intraday / end of day momentum after the introduction of 0-DTEs.
I’ve replicated the chart above but with a longer time horizon covering 2018 to 2025. The rules for momentum strategies are quite simple:
