0 DTE on spy

[⭐ g1080]

Hi, anyone trading 0DTE on SPY using Gamma Exposure? if so please let me know I´d like to share some ideas.

For the ones interested, below you´ll find a guide to manually calculate GEX based on free CBOE data. And a link to T0m J0seph free weekly webinars on this subject. 

https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/

https://www.dynamictrend.com/webinars/

[⭐ nehal]

please share your ideas,, i am from india but it will be useful for our derivative market too ,,

i haven't gone thru your links but as far as i know, GEX is calculated using OI but recently i saw a site where they were calculate it on Time and Sales data. 

[⭐ g1080]

Hi nehal, 

Below you´ll find this weeks webinar where Tom goes through this weeks market on spx and spy. These are free weekly webinars.

Link

I´m dwindling around the idea of how to determine if there's is more buying than selling on 0dte strikes as a hole and how to trigger the trade. The idea of using a low delta with relative high gamma gives a edge but im looking for another signal to hit the button.

Gamma levels, can be easily calculated on CBOE data from yesterdays close and from my experience does de job bc having it updated in real time does not bring a lot to the table, i mean at certain levels market makers will hedge and that's based on how they closed yesterday.

Pros I see on 0dte. 

• no carry overnight positions.
• low capital (depending on size) but at 30 delta on spy is manageable.
• options premiums will move in a decent amount although time decay could hurt.

Cons.

• how to measure your trading "system"
• days when the market ranges like Monday this week can hurt
• Soft stop loss because options swings are wide so you have to relay on delta and your guts.

[⭐ g1080]

This is today spy and gex calculated from yesterday data.

[⭐ nehal]

where is like button ??

BTW if you find an edge, please let me know as i also searching for the perfect entry

[⭐ g1080]

So far today.

[⭐ g1080]

[⭐ iatin]

I sometimes do SPX 0 DTE when I have time but only spreads, do you have an Excel file for the GEX data?

Edited May 4, 2024 by iatin

[⭐ g1080]

Hi I just followed this instructions and make my own, also found some made in python in github.

https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/

This is CBOE link. https://www.cboe.com/delayed_quotes/spy/quote_table

[⭐ g1080]

SPY & SPX , 0DTE all expiries and monday 5/20

[⭐ g1080]

SPY & SPX , 0DTE and all expirations GEX 5/24 

[⭐ g1080]

Todays session.

[⭐ iatin]

you make IC or straddle ?

[⭐ g1080]

Straight call/put buy, 30 delta , >0.1 Gamma. Pure directional no overnight position.

[⭐ iatin]

You are buying the Option, i am morę then seller   

[⭐ g1080]

Selling 0 DTE naked consumes a lot of buying power, defined risk strategies lower BPR but risk/reward worsens. Its purely what suits you best and being right about direction.

30 delta, with USD 1500 gives you 50 trades if 50% of the time you´re wrong but when you´re right you collect 1.6 you risk, you have a positive expectancy.  

 

Edited May 27, 2024 by g1080

[⭐ g1080]

5/31

[⭐ htn4653]

Hi g1080, I'm curious how do you use these levels in your trading?

[⭐ g1080]

htn4653 , it gives you an idea of where funds have to hedge. Check this ↓↓

https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/

[⭐ g1080]

6/11

[⭐ g1080]

6/18

[⭐ g1080]

6/21

[⭐ g1080]

SPY5MIN w Elliott waves

[leafpile]

Hi, I found this spx gamma dashboard that looks pretty good. It pulls option data from thinkorswim.

https://funwiththinkscript.com/indicators/spx-gamma-dashboard/

Anyone interested in group buy?

[⭐ g1080]

3/4/2025