0DTE Butterfly at Expected Move

Entry Logic

• Entry Trigger: Buy a butterfly spread centered at the expected move for the day.
• Confirmation: Implied volatility is elevated.
• Timeframe: Daily chart for expected move, 5-minute for entry timing.
• Location: N/A.
• Market Condition: Expectation of price pinning at a certain level.

Exit Logic

• Profit Target: 100% of the debit paid.
• Scaling Out: N/A.
• Trailing Stop: N/A.
• Signal Failure: Exit if the underlying moves far away from the center strike.
• Opposite Signal: N/A.
• Time Expiration: Hold until expiration.
• Momentum Loss: N/A.

Stop Loss Structure

• Hard Stop: 50% of the debit paid.
• Soft Stop: N/A.
• Max Dollar Loss: $50 per butterfly.
• Max Percent Loss: 50% of the debit paid.
• Structural Stop: N/A.

Risk Management Framework

• Risk Per Trade: 0.25% of account balance.
• Daily Limit: 4 losing trades.
• Weekly Limit: 2% drawdown.
• Max Drawdown: 5% of account balance.
• R:R Requirement: Minimum 2:1.

Position Sizing Model

• Sizing Approach: Fixed number of contracts.
• Volatility Adjustment: N/A.
• Conviction Sizing: N/A.
• Scaling In: N/A.
• Scaling Out: N/A.

Trade Filtering

• Market Conditions: Elevated implied volatility.
• Setups: N/A.
• Instruments: SPY, QQQ.
• Time Restrictions: Mid-day.
• Chop/News Avoidance: N/A.

Context Framework

• Trend Direction: N/A.
• VWAP Relationship: N/A.
• MA Relationship: N/A.
• Range Location: N/A.
• Higher TF Alignment: N/A.

Trade Management Rules

• Breakeven: N/A.
• Scale Out: N/A.
• Add Size: N/A.
• Fast vs Slow Moves: N/A.

Time Rules

• Optimal Window: 12:00 PM EST.
• Times to Avoid: Opening and closing hours.
• Session Notes: N/A.

Setup Classification

• A+ Criteria: Expected move aligns with a key support/resistance level.
• A Criteria: Expected move is within a reasonable range.
• B Criteria: Expected move is very wide.
• C Criteria: Avoid.

Market Selection Criteria

• Instruments: SPY, QQQ.
• Volume: High.
• Volatility: Elevated.

Statistical Edge Metrics

• Win Rate: 20%.
• Avg Win: 400%.
• Avg Loss: 50%.
• Profit Factor: 1.6.
• Expectancy: Positive.

Failure Conditions

• Strategy Fails: When the underlying makes a large, unexpected move.
• Specific Scenarios: Black swan events.

Psychological Rules

• Mental Discipline: Accept the low win rate and small position sizes.

Advanced Components

• Regime Detection: N/A.
• Filters: N/A.
• Correlation: N/A.
• MTF Alignment: N/A.

Location

• Strongest: When the market is pinning to a specific level.
• Weakest: In a strong, trending market.