SPXW 0DTE / Intraday Momentum / Strategy Design
SPXW 0DTE Long Gamma Momentum
Specification & implementation
A long-only 0DTE strategy targeting 5–20 minute directional moves through a three-layer signal architecture (bias, trigger, exhaustion), with hard risk invariants and a Python/Rust implementation.
Research Question
Can intraday momentum on SPX be captured with long 0DTE options over a 5–20 minute horizon, where the convexity of a long gamma position works in the trade’s favor, without taking on the tail risk of selling premium?
Strategy Design
- A three-layer signal architecture: a bias layer (regime/direction), a trigger layer (entry), and an exhaustion layer (when the move is done).
- Long-only by construction — buying calls or puts to express direction, never selling naked premium.
- Hard risk invariants: a single open position at a time, no naked shorts, and a daily 2% hard stop.
- A YAML-driven configuration system so research and live parameters stay explicit and versioned.
Implementation
The strategy is implemented as a Python/Rust hybrid, with the Rust core handling latency-sensitive signal processing and the Python layer managing strategy logic, execution, configuration, and reporting. Successive iterations focused on async execution safety — ensuring the signal, order, and state paths behave correctly under real-time concurrency.
Follow-up Work
- Validate the 5–20 minute capture assumption against execution-aware backtests.
- Quantify IV-crush and spread friction specific to ATM 0DTE entries.
- Gate any live promotion on out-of-sample stability, consistent with the broader research standard.