0DTE iron condor

Checked October 2026

A 0DTE iron condor, zero days to expiry, opens and settles the same day. The published version enters at 10:00 a.m. New York. Backtoast only has daily option closes, so this run opened at the prior close. It lost 1.2% a year over 949 trades and failed.

Profit Loss −1% −0.5% +0.5% +1%

At the close. Vilkov's 0DTE condor: short strikes 0.5% from the index, wings 1% away, on the S&P 500. The run used SPY.

Strategy	Trades	A year	Test
0DTE iron condor, prior close	949	−1.2%	Failed

After costs, on a $100,000 account. This is not the 10:00 entry. Failed means Backtoast wouldn't trade it with its own money.

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0DTE iron condor

Vilkov's version sells a put 0.5% below the S&P 500 and a call 0.5% above, buys the put and the call 1% away, and holds all four to the 4:00 p.m. settlement with no stop. A quiet afternoon keeps the credit, and a move of much more than half a percent either way is a loss.

The monthly version, Cboe's iron condor strategy, sells 20-delta options a month out instead.

Where it comes from

Grigory Vilkov published the rules in an SSRN paper first posted in 2023 and revised in 2026, on S&P 500 options expiring the same day, from 2016 to January 2026. His own numbers lost money, −0.0058% of the index a day at mid prices and −0.0374% a day for the iron fly and condor family after costs.

The run used SPY from late 2021 to the end of 2025. Opening at the prior close holds the condor overnight, so it collects more premium than the 10:00 trade and takes the overnight gap as well.

The run is Backtoast's, from 29 October 2026, after costs.

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