🔄 SPX 1DTE Iron Condor Strategy (Near Market Close Entry)
Objective: Sell an SPX Iron Condor ~15 minutes before market close for the next day expiration (1DTE / 1 Day To Expiration), when conditions are optimal for short volatility.
✅ WHY IT WORKS (Backed by Data & Research)
📉 1. Time Decay Maximization (Theta Decay Overnight)
- Most rapid theta decay happens overnight before expiration, especially under low IV and calm market conditions.
- This is ideal for 1DTE income strategies like Iron Condors.
📘 Supporting Source:
📊 2. Backtest-Proven Win Rate (1DTE Iron Condor)
- With delta 0.30–0.45 short strikes and entry ~3:45PM:
- Average win rate: 81% – 89% (with 25-point wings)
- Ideal IV Rank: 25%–40%
- Entry near close consistently outperforms open or mid-day entries
📈 Full backtest reports:
🧠 3. IV Rank & Volatility Filter Correlation to Success
- High IV Rank (>50%) improves premium collected
- Low VIX (<18) reduces gap/movement risk
- Sweet spot for selling: IV Rank 25–40, VIX 13–18, no macro news
📘 Research:
⚠️ 4. Avoiding Risky Days: Catalysts & Trend Breakouts
- Days with FOMC, CPI, or major earnings yield poor win rates.
- Avoid 1DTE condors before economic data drops or when SPX breaks consolidation range.
🗓️ Reference Calendars:
🧮 OPTIMAL STRIKE & VOLATILITY CONDITIONS OF 1DTE Iron Condor
| Metric | Ideal Range | Reference |
|---|---|---|
| Short Delta | 0.30 – 0.45 | OptionStrat Delta Risk Tool |
| IV Rank | 25% – 40% | MarketChameleon SPX IV Rank |
| VIX | 13 – 18 | TradingView VIX Chart |
| DTE | 1 day (opened near 3:45 PM) | TastyLive 1DTE Timing Study |
📌 CHECKLIST: WHEN TO TRADE SPX 1DTE IRON CONDOR
✅ Setups to Enter
- SPX range-bound or consolidating
- No scheduled macro news next morning throughout the day
- IV Rank > 20%, VIX < 18
- Highest Options Volume and Open Interest / OI support/resistance short strikes for Call and Put
- Short delta range: 0.30 – 0.45
- Entry window: 3:40PM – 3:50PM EST
❌ Setups to Avoid
- High-impact news next morning (CPI, FOMC, Jobs)
- IV Rank < 10% (low premium)
- VIX > 20 or spiking (gap risk)
- Large directional breakouts / break of support/resistance
- Short strikes too close to spot / ATM / At The Money strike or major/highest OI / Open Interest magnets
Based on rigorous backtesting data from sources like Option Alpha, TastyTrade, and Project Option (see URLs below), the optimal delta setup for a repeatable SPX 1DTE Iron Condor strategy (rollover daily) is as follows:
🎯 Sweet Spot Delta Setup – SPX 1DTE Iron Condor (Daily Roll)
| Position | Optimal Delta Range | Notes |
|---|---|---|
| Short Call | –0.30 to –0.35 | Ideal risk/reward balance and 70–75% POP |
| Long Call | –0.05 to –0.10 | Keeps risk defined; reduces margin |
| Short Put | +0.30 to +0.35 | Symmetrical delta to call for delta neutrality |
| Long Put | +0.05 to +0.10 | Protects tail risk on downside drops |
✅ Why These Deltas Work (From Backtesting)
🔹 1. Short Legs at 0.30–0.35 Delta
- This level captures significant premium without being too close to the money.
- Backtests show it strikes a balance between reward and win rate, especially when IV Rank is moderate.
📈 Reference:
- Option Alpha 0DTE Strategy Backtest0.30–0.35 delta short legs produced ~80% win rate with higher premium than wider strikes.
- TastyLive Iron Condor Duration Study0.30 delta short legs on 1DTE had better profit/risk vs 0.15 or 0.10 delta wings.
🔹 2. Long Legs at 0.05–0.10 Delta
- Keeps total risk defined and limited
- Helps you avoid margin calls
- Reduces buying power usage
- Ideal for repeatable daily strategies
🔄 Daily Roll Routine (Repeatable Setup)
| Time | Action |
|---|---|
| 3:45–3:58 PM (T–1) | Sell new 1DTE Iron Condor using above deltas |
| After Entry | Set GTC limit order to buy back each vertical at 50–70% profit |
| Next Day Morning | Monitor SPX open – adjust or close legs if breached |
| 10:30 AM – 1 PM | Consider closing early if >50% profit realized or approaching short strike |
| Near Market Close | Repeat process for next day (roll to next 1DTE) |
💡 Pro Tip: Why Not Use 0.15 or 0.10 Short Delta?
| Delta | Pros | Cons |
|---|---|---|
| 0.10–0.15 | High win rate (~95%) | Very small premium ($3–7 per leg) |
| 0.30–0.35 | Optimal premium + POP | Acceptable risk with good structure |
| 0.45 | More premium | Too close to ATM; higher loss chance |
🧠 Final Strategy Template: SPX 1DTE Iron Condor
| Leg | Delta | Strike Selection Logic |
|---|---|---|
| Short Call | –0.30 | Above resistance / high OI zone |
| Long Call | –0.05 | 60–80 pts above short call |
| Short Put | +0.30 | Below support / high OI zone |
| Long Put | +0.05 | 60–80 pts below short put |
✅ Wings: 30pts wide for stable risk/reward
✅ Credit: Target $10.00 per contract
Learn more about the Iron Condor strategy in our Lesson 13 of our Stock Option Education Series!