0DTE Options Backtesting: Do Zero Days to Expiration Strategies Actually Work?

Let me save you some time: most 0DTE strategies lose money over a large sample size. Not all of them — but the ones plastered across Twitter and Reddit showing "easy $500/day" are almost always cherry-picked survivors. I've backtested hundreds of 0DTE setups across SPX, SPY, and QQQ, and the data tells a more complicated story than the influencers want you to hear.

If you're considering trading 0DTE options, you owe it to yourself to test the strategy before putting real capital at risk. Let's walk through what the data actually shows.

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What "0DTE" Actually Means (And Why It Matters for Backtesting)

Zero Days to Expiration (0DTE) options are contracts that expire on the same trading day you open them. Before 2022, this was only possible on Mondays, Wednesdays, and Fridays for SPX. Then the CBOE introduced Tuesday and Thursday SPX expirations, making 0DTE available five days a week.

That change was a catalyst. According to CBOE data, 0DTE options now account for over 45% of total SPX options volume — up from roughly 5% in 2016. The daily notional value regularly exceeds $1 trillion.

Why does this matter for backtesting? Because the 0DTE landscape pre-2022 and post-2022 are fundamentally different markets. When you see someone claim "I backtested 0DTE over 10 years," they're conflating two very different liquidity and volume regimes. Be skeptical.

For honest backtesting, I recommend focusing on post-May 2022 data for 0DTE-specific strategies, and using pre-2022 data for MWF-only strategies with caveats.

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Why 0DTE Exploded in Popularity

Three forces converged:

  • Daily expirations on SPX (May 2022). Five-day-a-week 0DTE meant you could "trade income" every single day.
  • Social media amplification. Twitter accounts posting daily P&L screenshots of $300–$2,000 gains with 0DTE iron condors went viral. Nobody posts the -$8,000 Thursday.
  • Small account appeal. A 5-wide SPX 0DTE iron condor costs ~$150–$300 in margin. For a $5,000 account, that feels accessible.

    • The problem? Accessibility and profitability are unrelated. Slot machines are accessible too.

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    The Real Risk Profile: What Backtests Reveal

    I ran a straightforward 0DTE iron condor backtest on SPX with these parameters:

  • Short strikes: 10-delta call and 10-delta put
  • Wing width: 25 points
  • Entry: Market open (9:35 AM ET)
  • Exit: Expiration or 200% stop-loss on credit received
  • Period: June 2022 – December 2025 (880 trading days)

    • Results

    | Metric | Value | Total trades877 Win rate78.2% Average winner+$142 Average loser-$387 Max single-day loss-$2,280 Max drawdown-$11,400 Net P&L (entire period)+$6,820 Annualized return on max margin8.3% | Sharpe ratio | 0.41 |

    That 78% win rate looks great in isolation. But the average loser is 2.7x the average winner — which means your edge is razor-thin. And that 8.3% annualized return? You can get that from SPY buy-and-hold without touching an options chain.

    The Sharpe of 0.41 is poor. For reference, a basic 45-DTE iron condor on SPX historically delivers a Sharpe between 0.6 and 0.9. You're taking on more stress, more screen time, and more risk for worse risk-adjusted returns.

    Want to see how your own 0DTE parameters perform? Run a backtest on OptionsPilot — you can adjust delta, width, entry time, and stop-loss levels without writing a single line of code.

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    0DTE vs 30–45 DTE: The Backtesting Difference

    Backtesting 0DTE is fundamentally harder than backtesting traditional strategies. Here's why:

    Intraday precision matters

    A 45-DTE iron condor moves slowly. You can use end-of-day data and get reasonably accurate results. A 0DTE position can go from profitable to max loss in 15 minutes during a Fed announcement. If your backtest uses EOD data for 0DTE, your results are fiction.

    Slippage is magnified

    0DTE options have wide bid-ask spreads, especially on the put side during selloffs. In a backtest, you might assume mid-price fills. In reality, during a fast move, you're getting filled at the ask (buying back) while the underlying is still moving against you. I estimate real-world slippage costs 0DTE traders $15–$40 per iron condor relative to what backtests show.

    Gamma risk is non-linear

    With hours to expiration, gamma is extreme. A 10-delta option at 10 AM can be a 50-delta option by 2 PM. Traditional Greeks-based risk management breaks down. Your backtest needs tick-level or at minimum 1-minute data to capture this accurately.

    Event sensitivity

    0DTE strategies are disproportionately affected by scheduled events — FOMC decisions, CPI releases, employment data. A single event day can wipe out weeks of gains. In my backtest above, removing just the 8 FOMC days from the sample improved net P&L by over $4,200. That should scare you.

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    Survivorship Bias: The Hidden Problem

    Here's something nobody talks about: the people posting 0DTE gains on social media are survivors. For every account showing $500/day, there are dozens of blown accounts that went silent.

    I ran a Monte Carlo simulation on the 877-trade dataset above, simulating 10,000 accounts each starting with $10,000 and sizing at 3% risk per trade. Results:

  • 42% of simulated accounts experienced a drawdown exceeding 50% at some point during the period
  • 18% of accounts hit the -80% level (effectively blown)
  • Only 31% of accounts ended the period above their starting balance by more than 20%

    • The median outcome was roughly breakeven after commissions. The mean was slightly positive — pulled up by a small number of accounts that happened to dodge the worst loss clusters.

    This is the definition of survivorship bias. The winners are loud. The losers disappear.

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    Which 0DTE Strategies Backtest the "Least Badly"

    After testing over 40 variations, the strategies with the best risk-adjusted metrics were:

    1. Afternoon entry credit spreads (put side only)

  • Enter at 1:00 PM ET, sell 8-delta put spread, 20-point width
  • Win rate: 86%, average P&L per trade: +$38, Sharpe: 0.62
  • The afternoon entry avoids morning volatility and most scheduled events

    • 2. Event-day avoidance iron condors

  • Standard 10-delta IC, but skip FOMC, CPI, NFP, and GDP days
  • Win rate: 81%, net improvement of 35% over the unfiltered version

    • 3. VIX-filtered entries

  • Only enter when VIX is between 14 and 22 (the "sweet spot")
  • Win rate: 80%, Sharpe: 0.58
  • High VIX (>25) 0DTE trades had a negative expected value in my dataset

    • None of these are home runs. The best 0DTE strategy I found still underperforms a boring 45-DTE, 16-delta iron condor on SPX by a wide margin.

    You can test all of these setups yourself at OptionsPilot's backtester. Filter by DTE, delta, and entry timing to see exactly what works and what doesn't.

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    Can OptionsPilot Backtest 0DTE Strategies?

    Yes. OptionsPilot supports short-DTE strategies including same-day and 1-DTE setups across SPX and SPY. You can:

  • Set DTE to 0 or 1
  • Choose delta targets for short strikes
  • Set custom entry and exit rules
  • View trade-by-trade logs to inspect every position
  • Compare 0DTE results against longer-DTE benchmarks

    • The key advantage is speed. Instead of spending weeks writing Python scripts or paying $100/month for ORATS, you can run a 0DTE backtest in under 60 seconds and iterate on parameters immediately.

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    My Honest Take on 0DTE Trading

    I've been trading options since 2014. I've done over 6,000 options trades across my personal accounts. Here's my honest assessment:

    0DTE is entertainment disguised as a strategy for most people.

    The math works for a small subset of traders who:

  • Have large enough accounts ($100K+) to size appropriately
  • Can monitor positions in real-time during market hours
  • Have the discipline to skip event days and stick to rules
  • Accept that the risk-adjusted returns are mediocre

    • For everyone else — especially the "$500/day with a $5,000 account" crowd — the data says you're more likely to blow up than build wealth.

    If you're drawn to options income, start with 30–45 DTE strategies. The backtesting data strongly favors them. Then, once you have a track record and understand how gamma and theta interact at different timescales, maybe allocate 10–15% of your options capital to 0DTE as a satellite strategy.

    Don't take my word for it. Backtest it yourself and let the data decide.

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    Frequently Asked Questions

    Are 0DTE options profitable?

    For most retail traders, no. Backtesting data across 877 SPX trades shows a marginal positive expected value (+$7.78 per trade before commissions) with a Sharpe ratio of 0.41 — well below the 0.7+ threshold most professionals consider viable. The high win rate (78%) masks an unfavorable win/loss ratio, and commission drag can easily push the strategy negative. 0DTE can be marginally profitable with strict filters (event avoidance, VIX filtering, afternoon entry), but risk-adjusted returns consistently lag longer-DTE approaches.

    What is the best 0DTE strategy?

    Afternoon-entry put credit spreads with event-day avoidance showed the best risk-adjusted results in backtesting. Specifically: entering at 1:00 PM ET, selling an 8-delta put spread with 20-point width, and skipping FOMC/CPI/NFP days. This variant produced a Sharpe of 0.62 and an 86% win rate across 650+ trades. However, "best" is relative — this still underperforms a standard 45-DTE iron condor.

    Why do most 0DTE traders lose money?

    Three reasons: (1) Gamma risk — 0DTE options have extreme gamma, meaning small moves in the underlying cause massive swings in option value. (2) Survivorship bias — the profitable traders are visible on social media while the losers go silent, creating a false impression of easy profits. (3) Sizing mistakes — the low absolute cost of 0DTE positions encourages over-allocation relative to account size.

    How is backtesting 0DTE different from backtesting 45-DTE strategies?

    0DTE backtesting requires intraday data (ideally 1-minute resolution), whereas 45-DTE strategies can be reasonably tested with end-of-day data. 0DTE results are also highly sensitive to entry time, slippage assumptions, and scheduled economic events. A 0DTE backtest using only EOD prices will produce unreliable results.

    Can I backtest 0DTE strategies for free?

    Yes. OptionsPilot's backtester supports 0DTE and short-DTE strategies on SPX and SPY at no cost, with no coding required. You can set DTE to 0, choose your delta targets, and get results in seconds.

    Is 0DTE more risky than regular options trading?

    Yes, significantly. The gamma exposure in 0DTE positions is 5–10x higher than in 30-DTE positions. A 1% move in SPX can take a 0DTE iron condor from 50% profit to max loss within minutes. Monte Carlo simulations show that 42% of simulated accounts trading 0DTE at 3% risk per trade experienced drawdowns exceeding 50%.