0DTE Put Scalp

Entry Logic

• Entry Trigger: 1-minute candle closes below VWAP after a bearish divergence on the 1-minute RSI.
• Confirmation: Volume on the entry candle is 150% of the 20-period moving average of volume.
• Timeframe: 1-minute chart for entry, 5-minute for context.
• Location: Below the opening range low, below the 9 EMA.
• Market Condition: Strong downtrend on the underlying asset.

Exit Logic

• Profit Target: 20% gain on the option premium.
• Scaling Out: Sell 50% at 20% gain, trail the rest.
• Trailing Stop: 10% trailing stop on the option premium.
• Signal Failure: Exit if the underlying asset closes back above VWAP.
• Opposite Signal: Exit on a bullish divergence on the 1-minute RSI.
• Time Expiration: Close position 30 minutes before market close.
• Momentum Loss: Exit if the underlying asset's volume drops below the 20-period moving average.

Stop Loss Structure

• Hard Stop: 15% loss on the option premium.
• Soft Stop: If the underlying asset breaks the high of the entry candle.
• Max Dollar Loss: $100 per contract.
• Max Percent Loss: 15% of the option premium.
• Structural Stop: Above the most recent 1-minute swing high.

Risk Management Framework

• Risk Per Trade: 0.5% of account balance.
• Daily Limit: 3 losing trades.
• Weekly Limit: 5% drawdown.
• Max Drawdown: 15% of account balance.
• R:R Requirement: Minimum 1.5:1.

Position Sizing Model

• Sizing Approach: Fixed number of contracts per trade.
• Volatility Adjustment: Reduce size by 50% if VIX is above 30.
• Conviction Sizing: A+ setups get 2x size.
• Scaling In: Not recommended for this strategy.
• Scaling Out: Sell 50% at profit target 1.

Trade Filtering

• Market Conditions: Avoid choppy, range-bound markets.
• Setups: Only take A+ or A setups.
• Instruments: SPY, QQQ, IWM.
• Time Restrictions: First 2 hours of the trading day.
• Chop/News Avoidance: Avoid trading during major news events.

Context Framework

• Trend Direction: Aligned with the 5-minute and 15-minute trend.
• VWAP Relationship: Trade only when the underlying is below VWAP.
• MA Relationship: Underlying is below the 9 and 21 EMAs on the 5-minute chart.
• Range Location: Entry is near the low of the daily range.
• Higher TF Alignment: 5-minute and 15-minute charts show a clear downtrend.

Trade Management Rules

• Breakeven: Move stop to breakeven after 10% gain.
• Scale Out: At 20% gain.
• Add Size: Not recommended.
• Fast vs Slow Moves: Let winners run in fast moves, take profits quickly in slow moves.

Time Rules

• Optimal Window: 9:30 AM - 11:30 AM EST.
• Times to Avoid: After 2:00 PM EST.
• Session Notes: Strongest during the morning session.

Setup Classification

• A+ Criteria: All entry criteria met, strong volume, clear trend.
• A Criteria: All entry criteria met, average volume.
• B Criteria: Missing one confirmation signal.
• C Criteria: Avoid.

Market Selection Criteria

• Instruments: Highly liquid ETFs (SPY, QQQ).
• Volume: Underlying daily volume > 50 million shares.
• Volatility: VIX between 15 and 30.

Statistical Edge Metrics

• Win Rate: 55%.
• Avg Win: 25%.
• Avg Loss: 15%.
• Profit Factor: 1.65.
• Expectancy: Positive.

Failure Conditions

• Strategy Fails: In low-volume, choppy markets.
• Specific Scenarios: When the underlying asset has a sudden reversal.

Psychological Rules

• Mental Discipline: Stick to the plan, do not chase trades.

Advanced Components

• Regime Detection: Use a market regime filter to identify trending markets.
• Filters: Volume and volatility filters.
• Correlation: Avoid trading correlated assets simultaneously.
• MTF Alignment: 5, 15, and 60-minute charts must be aligned.

Location

• Strongest: In strong, trending markets.
• Weakest: In choppy, range-bound markets.