SPX 0DTE Strategies: Iron Condors, Credit Spreads and Butterflies

What 0DTE means

A 0DTE option has zero days to expiration: it expires at the end of the day you trade it. SPX has had an expiration every weekday since 2022, so there is a same-day contract every trading day. These daily options (root symbol SPXW) stop trading at 4:00 p.m. ET and settle in cash on the index's closing value.

0DTE trading has grown into the main event in SPX. In July 2026, same-day options reached a record 66% of all SPX options volume, according to Cboe. Traders use them to make a defined-risk bet on a single day's move without holding anything overnight.

New to the building blocks? Read SPX credit spreads: how they work first; every strategy below is built from the same pieces.

Time decay on the last day

An option's time value melts toward zero by expiration, and on the last day it melts fast. The table follows the iron condor from the example below, with SPX sitting still at 7,800 all afternoon:

SPX at 7,800, priced with a simple model that uses 15% implied volatility at every strike, before commissions. Real 0DTE prices and volatility change through the day.

That steep decay is why sellers like 0DTE. But it only works if the market cooperates, and the same speed applies to losses, as the gamma section shows.

Strategy 1: the iron condor

An iron condor sells a put spread below the market and a call spread above it. It collects premium from both sides and keeps it if SPX finishes between the short strikes.

Example: SPX is at 7,800 with six hours to the close. The expected move for the rest of the day is about ±31 points, so you sell the 7,770 put and the 7,830 call, about one expected move away, and buy the 7,760 put and 7,840 call as protection. The whole condor collects $2.55, or $255.

Hypothetical prices from the same 15% volatility model, before commissions.

The shape is typical of 0DTE premium selling: you win most days, but one losing day can cost about three times what a winning day makes. Open this iron condor in our free calculator to see its risk graph and try other strikes.

Strategy 2: a one-sided credit spread

If you have a view on direction, you can sell just one side. In the same setup, the 7,770/7,760 put credit spread collects about $1.25 and profits if SPX stays above 7,768.75 at the close, which the model puts at about 85%. It risks up to $875.

One side means less premium than a condor but no risk from a rally; a call credit spread does the reverse. Either way, the loss can be several times the credit. For how strikes, width and settlement work, see our SPX credit spreads guide.

Strategy 3: the butterfly

A butterfly is the opposite kind of trade: you pay a small debit for a big payoff if SPX finishes near a target. A call butterfly buys one call below the target, sells two at the target and buys one above it.

Example: the 7,790/7,800/7,810 call butterfly costs about $1.30, or $130. If SPX closes exactly at 7,800, it's worth $10, a profit of $870. It makes money if SPX closes between 7,791.30 and 7,808.70, which the model puts at only about 22%, and the most you can lose is the $130 you paid.

Butterflies flip the usual 0DTE trade-off: you lose small most of the time and occasionally win big. Some traders combine them with condors to add a profit peak in the middle of a wider range.

The other side: gamma risk

Near expiration, option prices react sharply to small moves; traders call this high gamma. A move that would barely matter a month out can decide a 0DTE trade. The table shows the example iron condor (sold for $2.55) after SPX drops:

Same 15% volatility model, before commissions. In a real sell-off, implied volatility usually rises too, which makes the losses larger.

A 45-point drop is less than 0.6% of the index, a move SPX can make in a single afternoon. That is the real risk in 0DTE selling: not the average day, but the day the market moves.

Choosing strikes

• Use the expected move. It shrinks as the day goes on: about ±31 points with six hours left in the example, about ±18 with two hours left. Strikes inside it collect more but are tested more often. Our calculator shows the expected move for any time left.
• Watch the delta. The short option's delta is roughly the chance it finishes in the money. Many 0DTE sellers use short strikes with low deltas, giving up premium for a higher win rate.
• Mind the width. Wider wings collect more and risk more. Narrow wings keep the dollar risk small, but commissions take a larger share of a small credit.
• Check the calendar. Fed decisions, inflation reports and jobs data can move SPX far more than a normal day's expected move.

Managing a 0DTE trade

• Decide your exits before you enter. Common approaches are taking profits at a set share of the credit, for example half, and exiting if the loss reaches a multiple of the credit or SPX touches a short strike.
• Size for the bad day. Assume the maximum loss will happen sometimes and keep it to an amount you can afford.
• Use limit orders. 0DTE prices move quickly, and multi-leg orders can fill far from the midpoint in a fast market.
• Think about the last hour. SPX 0DTE options settle in cash on the close automatically, so you don't have to act. But the final minutes are when small moves swing prices most, and many traders close or reduce positions before then.
• Use the daily contracts. On the third Friday of the month, the standard monthly SPX options are AM-settled and stopped trading the day before. 0DTE traders use the PM-settled daily contracts (SPXW). More on AM and PM settlement.

Risks to know

• Losses are bigger than gains. For premium sellers, one maximum loss can erase several weeks of wins.
• Speed. A position can go from comfortable to maximum loss in minutes, faster than many traders can react.
• Volatility spikes. Sudden news can lift implied volatility and widen bid-ask spreads exactly when you want to exit.
• Overtrading. A fresh contract every day makes it easy to trade too often and too large.

Read the Options Clearing Corporation's Characteristics and Risks of Standardized Options if you haven't, and keep each position small enough that its worst case is affordable.

0DTE with a smaller account: XSP

XSP, the Mini-SPX index, also has expirations every weekday and is one tenth the size of SPX. The same iron condor on XSP, the 776/777/783/784 condor, collects about a tenth of the credit and risks about $75 instead of $745. Same-day trading has become most of XSP's volume as well. The trade-offs are lower liquidity and higher commissions per dollar of exposure; SPX vs XSP compares them in detail.

Combining SPX and XSP positions

Many 0DTE traders put the main position on in SPX and fine-tune it with XSP: a few XSP puts as a crash hedge under an SPX iron condor, or an XSP butterfly to add a profit peak. Seeing what the combination does is hard, because most platforms show each position separately. The SPX-XSP Risk Graph Visualizer plots them together, with the combined profit and loss at expiration and the expected move. Watch a 2½-minute example: The Marriage of SPX to XSP.

Frequently asked questions