---
title: '0DTE Trading: When to Enter for the Best Edge'
source: 'https://youtube.com/watch?v=8DzcVgcfy2U'
video_id: '8DzcVgcfy2U'
date: 2026-09-29
duration_sec: 664
channel: 'tastylive'
---

# 0DTE Trading: When to Enter for the Best Edge

> Source: [0DTE Trading: When to Enter for the Best Edge](https://youtube.com/watch?v=8DzcVgcfy2U)

## Summary

This video analyzes how the 16 delta expected range for zero DTE options contracts intraday, using one-minute SPX data from 2022 to present. It explores the implications for strategy entry timing, showing that waiting to enter trades reduces both expected range and premium, with the range contracting by half around 1 p.m. The analysis provides practical guidance for traders on when to open zero DTE strategies.

### Key Points

- **Introduction to 16 Delta Range Analysis** [00:00] — The video examines how the 16 delta range (a proxy for expected range) evolves intraday, using 16 delta calls and puts each minute throughout the day.
- **Range Widest at Open** [01:15] — The 16 delta range is widest at the beginning of the day and contracts as the session evolves, due to decreasing time horizon and uncertainty.
- **Data and Methodology** [02:02] — Using one-minute SPX data from 2022 to present, tracking median distance from at-the-money for 16 delta calls and puts throughout the day.
- **Strike Matching Feasibility** [03:06] — 16 delta short strikes can be matched for most of the day, but matching rates drop off in the last 15-30 minutes due to high volatility.
- **Range Contraction by 1 p.m.** [05:10] — The 16 delta range contracts by half around 1 p.m., locking in wide ranges early but also exposing to intraday drift risks.
- **Contraction Percentages** [06:04] — Within the first hour, range contracts 13-15%; by second hour, 25%; by third hour, 34-35%; reaching halfway by 1 p.m.
- **Iron Condor Credit Decline** [08:04] — For a 16 delta short strike with 10 delta wings (iron condor), net credit opens around 4 basis points and declines steadily throughout the day.
- **Key Takeaways** [09:31] — Waiting to enter trades gives up both expected range and credit; early entry locks in wide credit but carries more time for market drift.

### Conclusion

The 16 delta range and associated credit contract significantly throughout the trading day, with the range halving by 1 p.m. Traders should consider entering zero DTE strategies within the first 30-60 minutes to balance expected range and premium, while being mindful of tail risk.

## Transcript

And I have another zero VTEs to talk about as well. Although this is related to zero VTEs, but it's also just talking about sort of like intraday ranges. We're specifically going to be talking about how this kind of 16 delta range
evolves intraday, how that kind of changes. We're going to be looking at 16 delta calls, 16 delta puts, each minute throughout the day to understand how this kind of proxy for expected range changes as the session sort of evolves.
Here we're going to be using SPF as well. But that is effectively like what we're trying to understand here. So, like, you know, the more time horizon there is, the more uncertainty there is, the wider the range typically is as well in terms of the possible outcomes that can happen.
And so how does that change as we approach, like, the close of the session? Although we can certainly see some sessions like this one deviating from that where we get a big half a percent rally, you know, a couple hours into the open, and that might change.
However, if for median outcomes, for average outcomes, what can we expect potentially to happen based on historical data? Make sense? Yes. Cool. Okay. Let's get into the first one. So kind of like I said, the longer the time horizon, the more uncertainty there is regarding where a price of the underlying is going to land.
This creates wider distances for a given delta and more room for potential prices throughout the duration of a contract. This also holds for zero DTE strategies. So that 16 ultra range is generally widest at the beginning of the day and then contracts sort of as the day evolves.
So we're going to take a look at how quickly this contraction happens and how that might impact strategy collection, specifically when to potentially open a, you know, a Jira DTE trade. If your weight ranges are widest in the beginning of the day, but you wait a little bit of time,
what are you kind of giving up by waiting from this kind of expected range angle? So here we're going to be using one-minute SPF data from 2022 to 2022 to present. We're going to be tracking the median distance from at the money as a percentage for that $16 call and $16 put, sort of like throughout the day.
And effectively what this is, is like if you were to put on for those short strikes, those $16 short strikes at any point throughout the day, how would your expected range typically evolve, you know, as the day kind of evolves as well?
And so here we're going to be looking at the entire session. So we're not really going to be looking at, you know, wings sort of strategically. We're not really going to be looking at management strategically. We're really just trying to understand from start to finish how does the day change.
Not necessarily. It's related to, you know, setting up a strategy, but it's not explicitly about strategy collection if that may come. Yeah. Cool. Cool chart. I'm a fan of this.
I had fun with this one. There also an article about it over on X if you guys want to give it a read And if we have time we maybe answer some questions in the YouTube chat as those come up although we are in a bit of a fast market right now
So let's go ahead and hop in. So first slide. So the first thing to kind of put as like sort of a research note is when we look at the match rate by time of day, we can see that we can actually match $16 short strike
for most of the day. Up until you get to the last 15, 30 minutes is when you start to drop off. And why this matters is that you can basically put on 16 delta short strikes, or I should say a strategy with 16 delta short strikes for most of the day.
That is something that you can technically trade for most of the trading day. Up until the last, like, 30 to 15 minutes is when, like, the volatility becomes so great that we didn't really have very good strike matching rates, if that makes sense.
So that's a research note as well. when we're looking at the statistics sort of towards the very tail end of the day to just kind of take those with a grain of salt because we couldn't actually match 16 Delta strikes for a good number of those occurrences.
So a little bit of a note, but then also a piece of context in terms of when can you put on this type of strategy? Practically most of the day is the answer. Make sense? Yeah. So normally we should try to abort entering the trades at the later afternoon,
even past noon Chicago time. it could add some risk into your off-road. So you've got to be careful. You're not going to get enough premium for a deep potential swing. Yeah, that's an important thing to know, which is that, like, you know,
there's a potential for tail risk no matter when you put this kind of trade on. And defining the risk, you know, putting long legs on to help with that helps with, you know, capping the max risk at a known value.
So that's certainly a part of it. But the premium is, we'll look at this in a minute, but that also depreciates throughout the day, which means you're taking on some degree of tail risk but not being compensated as much compared to earlier in the day.
So that's another important note. We'll take a look at some graphics to kind of show that in a minute. It looks beautiful this time. Oh, this is so much fun. I had a great time with this. So the 16 delta range, this is basically looking at those median 16 delta distances for calls
and puts and how those change every minute throughout the day. And remember, these are median occurrences. There are certainly days that can deviate from that. But for the most part, like for median days, this is kind of what you wind up seeing.
So the 16 delta range is widest at the beginning of the day and then contracts by half around 1 p.m. So trading at the beginning of the day really locks in that wide range, but it can also be vulnerable to significant shifts in intraday drifting, if that makes sense.
So like what we saw yesterday where we have you know our wide ranges at the beginning of the day to bend some big brick in the middle of the day right You locked into those ranges which can help or hurt depending on the daily dynamics
On most days, that's probably fine, but you can certainly have outliers, which is an important thing to note. So you're locked in, which can sometimes help, sometimes hurt, depending on the day. Make sense? Yeah. The data is so perfect in this chart.
It almost makes you forget that you're out of the chart. Yeah, right? This is real data. It was like beautifully, oh, man, I've been hyping this data setup. We've been having a lot of fun with it. So let's go ahead to the next slide.
So within the first hour approximately, that $16 range contracted from opening levels by 13% to 15%. And then that further contracted by 25% after the second hour and then 34% to 35% after the third
and then ultimately reached halfway by 1 p.m. So an important thing to note here is that you are, by waiting between 30 minutes to an hour, taking some hit on the expected range.
Wait an hour, that typical contraction is 13% to 15% using these median values. And then obviously it accelerates. So it's a thing in terms of how that expected range kind of contracts.
But within the first 30 to 60 minutes, especially the first 30 minutes, it doesn't contract that much. So this could potentially justify waiting maybe 30 minutes to see how the market opens,
getting some of that really early morning, like right at the open volatility, out of the way to see how the market might evolve. And doing so takes a little bit of a hit on the expected range that you get from those $15 strikes.
But there's not, like, it's not the biggest hit in the world, if that makes sense. So way harder than that. Right. One thing I want to point out is this is not a premium depreciation. Although it's related, this is actually the break-even distance at the different times.
Right. This is literally just the strike distance, which we use 16 delta strikes as kind of a proxy for expected range. A proxy becomes a little bit more theoretically accurate when you're DTE, when you're using shorter duration contracts, actually.
So for zero DTEs, it happens to be a relatively good proxy for kind of expected news. But here we're just mapping out the $16 strength and we're kind of using that as a rough proxy for the expected range of options that we're pricing in throughout the day.
That's one potential way to look at it. Make sense? Cool. Great. So now let's take a look at the next slide. So now we're going to actually look at strategy. And this is kind of what you were related to talking about a little bit earlier.
So here now we're going to – so we're looking at those short $16 strengths. Now we're going to add kind of $10 wings to look at a more, you know, common zero DTE strategy like an iron condor And here we mapping out sort of the net credit and how that evolves over time And so for an iron condor with strikes and wings
the credit opens around the four basis points of thought, and then that declines steadily throughout the day. So that kind of relates to the point that you were talking about. It's a beautiful line, and then it kind of falls off towards the end,
but that's just mostly because of like heroin volatility and us not being able to get, you know, reliable $15 strikes. So just take that tail, like I said, with a grain of salt. But you can see exactly to your point that contraction in premium as well.
So you're, you know, you're taking on potential tail risk today. But if you wait, you know, arguably too long, you're doing so for less credit and tighter expected ranges. You're locking yourself into a range potentially no matter what for this type of strategy,
but it's tighter the longer you wait and it's for less credit despite having tail risk. So 30 to 60 minutes, you're not taking a huge hit, at least for median occurrences, on expected range and on premium.
But that can obviously accelerate throughout the day, right? Yes, exactly. Beautiful. So have a lot of fun with this. Very good time. We can go ahead and hop into the takeaways for just about out of time.
So just to kind of summarize, the $16 range is widest at the open and then contracts continuously. contracts continuously throughout the session, down 13% to 15% within the first hour, 25% by the second,
and then 34% to 35% by the third, and then it's about halfway by 1 p.m. So that contraction isn't in just range, it's in credit as well. So that $16, $10 wide iron condor we used as an example,
that credit fell as well throughout the open, and was nearly half way, sort of early afternoon. And then entering kind of early to open, lost in that wide credit, and that large premium, but it carries the most remaining time for the market to potentially drift
from those assumptions that you had sort of early in the morning. So that being said, waiting gives up both, right? If you wait too long, you're giving up expected move, that potential range that is given to you
by those 16 delta strikes, as well as the potential credit to have a safe and actual risk. So just some numbers to potentially consider as we're moving in the fast market. FCS, FCS is up again.
But I hope you guys found that interesting. Yeah. I think, I think that might be it. Hi. Anything else? Yeah, it was a really good time. I think that might be it. So I think we might just do that out of time, just like right on time as well.
So thank you guys, everybody, so much for watching. I hope you guys found this interesting. We will talk to you guys soon. And peace. Have a good weekend.
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