Testing a 0DTE SPX Straddle Signal with the IBKR API

Summary

The article proposes a speculative daily strategy for SPX options. It compares recent realized open-to-close SPX moves with the moves implied by at-the-money 0DTE straddles. If realized moves have averaged larger than implied, the next session’s straddle is bought; if smaller, it is sold. The straddle premium is converted to an approximate expected move using a stated multiplier, and a short rolling history supplies the signal.

It outlines an implementation that obtains SPX prices from TWS and recently expired option prices from Yahoo Finance, computes the signal, then submits limit orders through the IBKR Native API. A brief example reports that the orders filled, but this is an implementation demonstration, not evidence of strategy profitability. The author could access only a few days of expired option data, so a meaningful historical backtest was unavailable. The proposed edge remains untested, option quote fields may not represent reliable opening prices, and transaction costs can consume a large share of returns. Order handling is also minimal, with no robust treatment of unfilled orders or other errors.

Key ideas

• The strategy buys or sells the next day’s at-the-money straddle based on recent realized moves relative to straddle-implied moves.
• The article estimates the underlying’s expected move from the at-the-money straddle premium using an approximate multiplier.
• A rolling average of recent expected and actual moves determines the directional straddle signal.
• Expired SPXW data is difficult to obtain, and the Yahoo data described covers only a few recent days.
• The strategy is a hypothesis without a proper backtest, and trading costs and incomplete order handling are major limitations.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.