0DTE Credit Spreads on SPX: The Complete Strategy
SPX credit spreads are the bread-and-butter strategy for serious 0DTE income traders. The structural advantages of SPX options — cash settlement, European exercise, and Section 1256 tax treatment — make them ideal for daily premium selling.
Why SPX Over SPY for Credit Spreads
| Feature | SPX | SPY |
The European exercise means you can never be assigned early on an SPX spread. With SPY, a deep-in-the-money short option could be assigned overnight, creating unexpected stock positions. For 0DTE specifically, this isn't a huge concern, but it eliminates one more variable.
The 60/40 tax treatment is the real advantage. With SPX, 60% of your gains are taxed at the long-term capital gains rate regardless of holding period. On a $50,000 annual profit, that saves roughly $3,000–$5,000 in taxes versus SPY.
The Strategy: Selling 0DTE Put Credit Spreads
We focus on put credit spreads (bull put spreads) because markets have an upward bias, and put premium tends to be richer than call premium due to skew.
Entry Rules
Time: Between 9:50 AM and 10:30 AM ET
Strike selection: Sell the put at the 8–12 delta level. This typically places your short strike 0.8–1.2% below the current SPX price.
Spread width: $5 wide (the minimum on SPX). This creates a max loss of $500 per spread minus the credit received.
Credit target: Collect at least $0.50 ($50) per spread. If the credit is below $0.40, the risk/reward isn't favorable — either widen the spread or skip the day.
Example at 10:00 AM, SPX at 5,450:
Exit Rules
Profit target: Close at 50% of credit received. If you collected $0.45, close when the spread is worth $0.22. This usually happens between 1:00–2:30 PM.
Stop loss: Close if the spread doubles in value. If you collected $0.45, close if it reaches $0.90.
Time-based exit: If neither target is hit by 3:30 PM and the trade is profitable, close. Don't risk last-minute gamma moves.
Max loss acceptance: If SPX blows through your short strike early in the day, close immediately. Don't hope for a reversal.
Position Sizing
Risk no more than 3% of your account per day on 0DTE credit spreads. This accounts for the possibility of several consecutive max-loss days.
| Account Size | Max Risk Per Day | Max Spreads |
Days to Avoid
Performance: What to Expect
Running this strategy on SPX from 2022–2025 produces:
The key insight: you'll have small, frequent wins and occasional larger losses. That's by design. The math works because the wins far outnumber the losses. You can validate these numbers yourself using OptionsPilot's backtester with SPX data going back to the 1990s.