Opened a 0DTE SPX put credit spread — short 5,560 / long 5,545 — collecting $1.05/share of premium against $15 of risk per spread. 5 contracts: total credit $525, total max risk $7,500 (position sized to a 0.15% NLV max loss, inside the playbook's 0.25% per-trade cap). Profit target: 50% of credit ($0.525/spread). Stop loss: 2× credit ($2.10/spread). Closed at 1:32 PM at the 50% profit target: buyback $0.42, locking in $0.63/spread — +$315 realized in 3h 45m.

No P/L curve image was available in the source for this trade; the figure is omitted rather than invented.

Why This Structure

A put credit spread on SPX at 0DTE was the right structure for the day because:

• The view was directionally neutral but vol-constructive. Pre-market VIX at 11.4 was below the 25th percentile of the past year; realized vol had been tracking below 10% for the prior two weeks. The combination of low realized vol, low IV, and a quiet overnight tape reads as "the market will continue to chop, sell premium while it's cheap."
• The structure expresses the view with defined risk. A naked short put would have unbounded downside; the long 5,545 put caps risk at $15/contract × 100 × 5 contracts = $7,500. That's the worst-case loss if SPX gaps below 5,545 between entry and expiration.
• The width is sized to the day's expected move. The 5,560 short strike sat about 1.4% below the open. The 15-point width (to 5,545) gives a 1.0% lower buffer, consistent with the 30-day 1σ move for SPX at current IV (about 0.67% per day, or 1.5% per week).
• 0DTE is the right DTE for the edge. Theta at 0DTE is concentrated in the last 2–3 hours. A multi-day structure would have given up too much premium in time decay while waiting for the short strike to be tested.

Thesis

• Why sell premium at all when IV rank is 22? Because premium-to-width, not IV rank, is the right edge metric for 0DTE verticals. A 7% premium-to-width on a 0DTE SPX vertical is workable; a 4% reading is not. Today was at the lower bound. Overnight, ES traded in a 12-point range with no overnight gap on SPX. Pre-market VIX came in at 11.4 — a quiet tape, low realized vol, and a Put/Call ratio at 0.78 (slightly put-skewed but well within neutral). The calendar setup (no FOMC, no CPI, no earnings heavy-hitters) supported taking the trade at a smaller edge in exchange for the small max risk relative to the daily P&L goal.

• Why the 5,560/5,545 strikes? Roughly 1.4% below the open on the put side, inside the day's expected-move range while keeping the credit-to-width ratio above the 5% threshold. A further-OTM short strike (e.g., 5,540) would have improved the POP but cut the credit below 5%.

• Why only 5 contracts? Max-loss cap is 0.15% of NLV; the position respects the per-trade rule (0.25%) with comfortable headroom. Sizing is the most important defense against a 0DTE gap; capping at 0.15% keeps a 2× stop within the day's drawdown limit.

• Why exit at 50% of credit rather than hold to expiry? The playbook's first rule: take 50% of credit at 50% decay. At 0DTE, the second half of the credit decays faster, but the risk/reward of holding the second half is no longer asymmetric — risking another $0.40 to make another $0.50. Holding past 50% has positive expected value but lower Sharpe; closing at 50% is the higher-Sharpe move.

Risk

Note on the two max-risk figures in the source: the page header records max risk as $7,500 (5 × $15 width × 100), the figure used for the 0.15% NLV sizing cap. The key-levels section records the realized max loss at $13.95/share × 5 × 100 = $6,975 "notional" (width minus the $1.05 credit), and notes that the realized worst case would have been the full $7,500 if SPX had gapped below 5,545 between the 11:14 test and the 1:32 close.

Management Plan

• Open through 11:30 AM ET: hold; position is working. Theta is the main driver. Watch for any sign of an intraday vol spike (a VIX move > 1 point, an unexpected macro headline).
• 11:30 AM – 1:00 PM ET: if premium has decayed 40%+ and SPX is above the short strike, take partial profits or close the full position at 50% of credit. The second half of the credit decays slower than the first, and gamma-acceleration risk rises as time-to-expiry shrinks below 3 hours.
• 1:00 PM – 3:00 PM ET: prefer the close. The theta curve flattens in the last 90 minutes; the only way to lose meaningfully in that window is a directional gap — the unmodeled risk the position-size cap is designed to absorb.
• At or near 2× credit stop: close immediately. The structure is no longer expressing the original view (premium-to-width ratio has deteriorated below the threshold).

Position Payoff at Expiration

The P/L diagram for this trade is a textbook short put vertical: a flat region above the short strike (the full credit is kept), a sloped loss region between the short strike and the long strike (where intrinsic accumulates against the short leg), and a flat max-loss region below the long strike (where the long leg's intrinsic exactly offsets the short leg's loss).

Key levels: upper profit boundary — SPX above 5,560 at expiration; the position keeps the full $1.05/share × 5 = $525. Lower profit boundary — SPX exactly at 5,560; short put is at-the-money, intrinsic zero, full credit kept. Breakeven — SPX at 5,558.95 (5,560 − $1.05). Max loss — SPX below 5,545; the long put offsets the short put (see the max-risk note above).

Verification

The structure is recorded as entered at $1.05/share premium for 5 spreads at 9:47 AM ET (total credit $525), and closed at a $0.42 buyback at 1:32 PM ET (60% decay). Leg-by-leg fills were not separately disclosed in the source. Greeks were computed at entry spot 5,575, 0 DTE, IV 11.2%, r 4.5%: net delta +0.06, gamma −0.003 per 1pt move (short gamma dominates), theta +$0.18/day per contract (+$90/day across 5 contracts), vega −$0.012 per 1% IV, rho ≈ 0. Per-contract = per-share × 100.

Sourcing and methodology

• Pre-market tape — ES overnight range 12 points, no overnight gap; VIX 11.4; Put/Call ratio 0.78.
• Greeks — Black-Scholes at entry spot 5,575, 0 DTE, IV 11.2%, r 4.5%, no dividend yield.
• Payoff diagram — generated with OptionStrat (plain-text reference; the source page linked its interactive builder).

Position Update Log

Outcome: realized P&L +$315.00 (5 × ($1.05 − $0.42) × 100). Holding time 3h 45m. Net theta captured: ~$0.55 of the $1.05 collected (52%); the remaining $0.63 of the spread expired — SPX settled at 5,578, so both legs expired worthless.

Lessons recorded in the source

The premium-to-width threshold for 0DTE verticals on a quiet tape is 5–8% — a 4% reading would have been a pass; today sat at the lower bound of the workable range. Positive gamma below the short strike is real: from 11:14 onward, the position's delta-decay accelerated as SPX approached the strike, and the 60% decay in two hours confirms the textbook gamma profile. The playbook's 0.15% NLV max-loss cap meant even a 2× stop would have lost 0.30% of NLV — well within the daily drawdown limit. And: no trade tomorrow if VIX is below 10 — the edge just isn't there.

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