0DTE Gamma Scalp

Entry Logic

• Entry Trigger: Buy a slightly in-the-money call or put option.
• Confirmation: High gamma exposure on the option chain.
• Timeframe: 1-minute chart.
• Location: N/A.
• Market Condition: High volatility, fast-moving market.

Exit Logic

• Profit Target: 10% gain on the option premium.
• Scaling Out: N/A.
• Trailing Stop: 5% trailing stop.
• Signal Failure: N/A.
• Opposite Signal: N/A.
• Time Expiration: Close position within 5 minutes.
• Momentum Loss: Exit if momentum stalls.

Stop Loss Structure

• Hard Stop: 5% loss on the option premium.
• Soft Stop: N/A.
• Max Dollar Loss: $50 per contract.
• Max Percent Loss: 5% of the option premium.
• Structural Stop: N/A.

Risk Management Framework

• Risk Per Trade: 0.1% of account balance.
• Daily Limit: 10 losing trades.
• Weekly Limit: 2% drawdown.
• Max Drawdown: 5% of account balance.
• R:R Requirement: Minimum 2:1.

Position Sizing Model

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

Trade Filtering

• Market Conditions: High volatility.
• Setups: N/A.
• Instruments: SPY, QQQ.
• Time Restrictions: Any time.
• 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: This strategy is only for fast moves.

Time Rules

• Optimal Window: Any time with high volatility.
• Times to Avoid: Low volatility periods.
• Session Notes: N/A.

Setup Classification

• A+ Criteria: Extreme gamma exposure.
• A Criteria: High gamma exposure.
• B Criteria: Moderate gamma exposure.
• C Criteria: Avoid.

Market Selection Criteria

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

Statistical Edge Metrics

• Win Rate: 60%.
• Avg Win: 10%.
• Avg Loss: 5%.
• Profit Factor: 1.2.
• Expectancy: Positive.

Failure Conditions

• Strategy Fails: In slow, choppy markets.
• Specific Scenarios: When volatility suddenly dries up.

Psychological Rules

• Mental Discipline: Be extremely quick with entries and exits.

Advanced Components

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

Location

• Strongest: In fast-moving, high-volatility markets.
• Weakest: In slow, low-volatility markets.