2024-01-02 to 2026-08-14
The independent SPX 0DTE edge search
Eight causal ideas, real SPXW prices, conservative fills—and no candidate earned access to confirmation.
In simple words
What happened
Seven candidates lost money or failed stability rules. T1 showed a small positive average, but the typical trade still lost 50%, 2025 lost 50% per play, modest parameter changes turned negative, and its control side was never defined. It is un-runnable, not a hidden winner.
Who would pay?
Each hypothesis named a possible structural payer: traders overpaying for familiar levels, underpricing expansion after compression, or failing to confirm an SPX move in SPY/VIX. Those stories only matter if the real option population beats time-matched and opposite-side controls.
How it was tested
Exact next-minute SPXW opens, 10% adverse entry and exit execution, stop-first grading, one leader per candidate per day. Missing synchronized structure marks stayed unresolved.
What would prove it wrong?
Negative 2024 results, weak medians, poor Wilson intervals, control failure, missing-state rates, unstable sensitivities, or unavailable raw-event multiplicity were each enough to refuse promotion.
Leader-collapsed evidence
What each setup actually did
657 fixed sessions; discovery used 219 mod-3 strip-A sessions
| Setup | Leaders | Mean | Median | Hit rate | Controls | Decision |
|---|---|---|---|---|---|---|
| V1Directional continuation after cheap implied move | 16 / 16 resolved | -20.4% | -50.0% | 25.0% | No-feature -18.0%; opposite -10.9% | REFUSED |
| V2Buy a compressed ATM straddle | 141 / 78 resolved | -25.3% | -35.0% | 7.7% | No-feature -32.4% | REFUSED |
| P1Continue after level acceptance | 103 / 101 resolved | -22.7% | -50.0% | 23.8% | No-feature -17.6%; opposite -10.7% | REFUSED |
| P2Reverse after level rejection | 13 / 13 resolved | -20.9% | -19.7% | 23.1% | No-feature -17.4%; opposite -29.6% | REFUSED |
| T1Lunch compression, then held break | 15 / 15 resolved | +5.4% | -50.0% | 40.0% | Undefined by preregistration | UNRUNNABLE |
| X1SPX break confirmed by SPY and VIX | 48 / 46 resolved | -23.4% | -50.0% | 21.7% | Partial confirmation -4.1%; opposite -22.9% | REFUSED |
| X2Reverse an SPX break confirmed by neither market | 1 / 1 resolved | -50.0% | -50.0% | 0.0% | Partial confirmation -18.1% | REFUSED |
| R1Buy relatively cheap 10-point wings | 138 / 138 resolved | -22.1% | -35.0% | 15.2% | ATM straddle -23.0%; no-feature -20.2% | REFUSED |
No modeled premiums
Real option-price audit
Observed debit is the real next-minute open. Stressed debit adds the binding 10% adverse fill.
O:SPXW240102P04735000- Observed
- $8.64
- 10% stress
- $9.504
- Outcome
- -50.0% stop
O:SPXW240102C04735000 + O:SPXW240102P04735000- Observed
- $19.24
- 10% stress
- $21.164
- Outcome
- -35.0% stop
O:SPXW240102P04735000- Observed
- $8.7
- 10% stress
- $9.57
- Outcome
- -50.0% stop
O:SPXW240105C04715000- Observed
- $9.3
- 10% stress
- $10.23
- Outcome
- -1.5% timed exit
O:SPXW240105C04695000 + O:SPXW240105P04675000- Observed
- $7.18
- 10% stress
- $7.898
- Outcome
- +50.0% target
O:SPXW240124C04905000 + O:SPXW240124P04885000- Observed
- $4.17
- 10% stress
- $4.587
- Outcome
- +50.0% target
What we keep
Learnings
- 01
A plausible market story is not an edge. The price paid for the option dominated every directional narrative tested here.
- 02
Buying both sides did not solve timing. The compressed ATM straddle lost 25.3% on resolved trades after conservative execution.
- 03
Level acceptance and cross-market confirmation were worse than their controls, so the feature added no usable information.
- 04
Missing data must enter the denominator. V, X, T, and R all had explicitly counted missing-state sessions.
- 05
The classifiers did not retain raw event counts; raw event counts were not retained anywhere else. The report says unavailable and treats that as a promotion failure; it never copies leader counts into a fake raw column.