0DTE Pin Risk Trade

Entry Logic

• Entry Trigger: Sell a naked put or call at a key support or resistance level.
• Confirmation: High open interest at the strike price.
• Timeframe: 15-minute chart.
• Location: At a major support or resistance level.
• Market Condition: Expectation of price pinning at a certain level.

Exit Logic

• Profit Target: 80% of the credit received.
• Scaling Out: N/A.
• Trailing Stop: N/A.
• Signal Failure: Exit if the underlying breaks the support or resistance level.
• Opposite Signal: N/A.
• Time Expiration: Hold until expiration.
• Momentum Loss: N/A.

Stop Loss Structure

• Hard Stop: 3x the credit received.
• Soft Stop: N/A.
• Max Dollar Loss: $300 per contract.
• Max Percent Loss: 300% of the credit received.
• Structural Stop: N/A.

Risk Management Framework

• Risk Per Trade: 3% of account balance.
• Daily Limit: 1 losing trade.
• Weekly Limit: 6% drawdown.
• Max Drawdown: 15% of account balance.
• R:R Requirement: Minimum 1:3.

Position Sizing Model

• Sizing Approach: Risk-based position sizing.
• Volatility Adjustment: N/A.
• Conviction Sizing: N/A.
• Scaling In: N/A.
• Scaling Out: N/A.

Trade Filtering

• Market Conditions: Range-bound market.
• Setups: N/A.
• Instruments: SPY, QQQ.
• Time Restrictions: Last hour of trading.
• Chop/News Avoidance: N/A.

Context Framework

• Trend Direction: Sideways.
• VWAP Relationship: N/A.
• MA Relationship: N/A.
• Range Location: At the edge of the daily range.
• 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: 3:00 PM - 4:00 PM EST.
• Times to Avoid: Before 3:00 PM EST.
• Session Notes: Only for the end of the day.

Setup Classification

• A+ Criteria: Very high open interest at the strike.
• A Criteria: High open interest at the strike.
• B Criteria: Moderate open interest.
• C Criteria: Avoid.

Market Selection Criteria

• Instruments: SPY, QQQ.
• Volume: High.
• Volatility: Low to moderate.

Statistical Edge Metrics

• Win Rate: 90%.
• Avg Win: 80% of credit.
• Avg Loss: 300% of credit.
• Profit Factor: 2.4.
• Expectancy: Positive.

Failure Conditions

• Strategy Fails: When a late-day trend develops.
• Specific Scenarios: A sudden news event causes a breakout.

Psychological Rules

• Mental Discipline: Be comfortable with the high risk per trade.

Advanced Components

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

Location

• Strongest: At key support and resistance levels.
• Weakest: In a trending market.