Presentation of the 0DTE Breakeven Iron Condor options trading strategy on SPX. Given for Online Traders Club Singapore on April 6, 2023

1. Trading the 0DTE
Breakeven Iron
Condor
John Einar Sandvand
Online Traders’ Club Singapore
April 12, 2023

2. Four points about the the strategy
2
My
favorite
strategy Market
neutral
Many, but
small
losses
Consistently
profitable…
so far…

3. 3
My
trading
journey
The 0DTE
Breakeven
Iron Condor
Strategy -
and the
results
How I
trade the
strategy
The agenda

4. 1.
My trading journey

5. About me…
5
● John Einar
Sandvand
● 60 yrs old
● Lives in Norway
● Communications
Manager in
Schibsted
● Extensive
background as a
journalist,
including 3 years
in Asia

6. My trading journey
6

7. 2020: Too big risk caused huge losses
7

8. 2021: Finding my way
8

9. From May 2022: Growing my account
9

10. My trading journey
10

11. Me as a trader
11
I do not like
big losses

12. Me as a trader
12
I do not like
big losses
I have no edge
in predicting
the market
direction

13. Me as a trader
13
I do not like
big losses
I have no edge
in predicting
the market
direction
I am more
disciplined
with 0DTE
than longer
durations

14. Me as a trader
14
I do not like
big losses
I have no edge
in predicting
the market
direction
I am more
disciplined
with 0DTE
than longer
durations
0DTE
Breakeven Iron
Condor fits my
personality
and risk profile

15. Me as a trader
15
I do not like
big losses
I have no edge
in predicting
the market
direction
I am more
disciplined
with 0DTE
than longer
durations
0DTE
Breakeven Iron
Condor fits my
personality
and risk profile

16. Trading helps me learn
more about myself
16
The rational John The emotional John

17. 2.
The 0DTE Breakeven Iron
Condor and my results

18. Two important terms to know
18
SPX
● Options on the
S&P 500 index
● European style =
cash settled. No
risk of assignment
● Very liquid
● Daily expiries
0DTE
● = Zero Days To
Expiration
● Options that
expire the same
day
● Has become
tremendously
popular

19. ╺ Combination of
two credit
spreads
╺ Sell an out of the
money call - and
buy a call further
out
╺ Sell an out of the
money put - and
buy a put further
out
This is an Iron Condor
19

20. This is the 0DTE Breakeven Iron Condor
20
Sell a 0DTE
Iron Condor at
5 - 10 delta - at
multiple times
during the day
collecting
equal premium
on both sides
Set stop loss
on each
spread at
total premium
+ 0.05
Tighten stop
losses as
needed to
manage the
total risks of
your positions
and secure
profits
Change stop
loss to only
shorts during
the last hour
or when the
long has no
value
All trades are on SPX - the option on the S&P 500 index

21. Have done 2582 trades
over two years
21
The success of the strategy depends on
keeping the average losses much
smaller than the average wins
In principle the average loss should be
close to zero - hence the name
Breakeven Iron Condor. In reality there
will be some slippage, double stop
losses, bad fills, etc.
The average win has
so far been 2.3 times
the size of the
average loss

22. The win rate has
stayed very stable
22
40 % Based on
2582 trades

23. And so has the double
stop losses
23
3.7 % Based on
2582 trades

24. Two measures for the profitability
24
Average return
per trade
0.45 %
Measured as percentage of the
capital risked for the trade
(buying power put up)
Based on
2582 trades
Premium
Capture Rate
10.1 %
Net profit as a percentage of
the total premium collected

25. Results month by month
25

26. 3.
How I trade the 0DTE
Breakeven Iron Condor

27. I trade discretionary
rather than mechanical
╺ Strict rules for stop losses
╺ But more flexible for other parts
╺ Not mechanical with set times and credit
╺ Others trade similar strategies more mechanical, for instance
Tammy Chambless MEIC (Multiple Entries Iron Condors)
╺ The Facebook group TastyTrade Options is a good place to
learn about different variations of the strategy
27

28. Many small trades
throughout the day
╺ First trade usually a couple of minutes into the market
╺ At least 30 minutes between the trades
╺ Very careful during the last 30 minutes
╺ Sometimes up to 12-13 trades in a day - but never all open at
the same time
28

29. The mechanics I
use when entering
╺ Width of the legs: 25 - 35
╺ Delta between 5 and 10
╺ Typically collects between 100 and 200 for the whole IC
╺ Enter the full IC in one operation
╺ Try to wait for time when the price of SPX seems to flatten out
29

30. I ALWAYS set stop
losses
╺ Stop losses set separately on each side
╺ I use a combination of stop limit and stop market orders using
OCO (Once Cancels the Other)
╺ Stop loss 1: Stop limit order - with stop at total premium + 0.05
and limit 0.2 further out
╺ Stop loss 2: Stop market order set 0.15 further out from the
limit price
30

31. The mechanics I
use for exiting
╺ Main rule: Stop loss or close shorts at 0.05. Remaining longs
can be reused later in the day. Will sometimes close positions
early to ensure profit
╺ Will tighten stop losses quickly after theta decay to break-even
point
╺ Stop losses will be adjusted throughout the day depending on
total risk or to ensure profit
31

32. Managing total risk most
important during the day
╺ Risk management determines how many positions I have on
╺ Always ask: What is the worst that can happen today with my
current positions?
╺ The biggest enemy of the strategy: Sudden and large moves in the
market
╺ If several stop losses hit already, I will often tighten up remaining
stop losses or wait before putting on new trades
╺ Especially aware of possibility of double stop losses
╺ Will sometimes add a call or put credit spread to adjust the total
delta
╺ Never risk more than 1-2 % of total capital on a single day 32

33. How I keep overview of the
trades during the day
33
Combination of:
● Organizing trades into groups
in Thinkorswim
● Continuously logging all trades
in Excel - and greying out
positions as the risk is removed
● Regular review of all positions
and adjusting the stop losses

34. Some of the risks with the
strategy
╺ Double stop losses. Has happened in 3.7 % of the trades
╺ Bad fills. Can happen if the stop limit order is skipped
╺ Both the stop limit and the stop market order trigger at the
same time. Can sometimes make the trade profitable
╺ Market makes a sudden move before you have set your stop
loss order
34

35. A great tool to use for
monitoring is
0DTESPX.com
35
Developed by Iulian Constantin Constantinescu from the TastyTrade Options group

36. My most important
learning: Keep a trading log
╺ Find a way to log all your trades
╺ I log: Strikes, strategy, premium, closing of positions, total risk,
gross and net profit, and more
╺ Find your way: BUT LOG YOUR TRADES!
36

37. On the positive side
╺ Avoid the big losses
╺ Many seem to be able to make
consistent profit in today’s
market
╺ Different variations of the
strategy depending on risk
profile, etc.
Summing up: Is this a
strategy for you?
On the negative side
╺ Time-consuming - with many
trades throughout the day
(night in Singapore)
╺ My style requires close
attention to risk management
╺ You pay a lot in commissions
(30 % of gross profits in my
case) 37

38. Moving on:
Two steps I want to
take in my trading
38

39. Identify a set of 0DTE strategies
that gives diversification
39

40. Start with backtesting of
different strategies
40

41. Thanks!
Any questions?
You can find me at
Sandvand.net
Mail: john.einar@sandvand.net
41