SPX 0DTE near-ATM condor, actively managed

The design, in plain terms

A mechanically-managed near-ATM 0DTE SPX iron condor captures the intraday variance risk premium with a controllable tail — and the management that earns its place is a single uniform profit-take (bank at ~25% of credit on every session), applied without any volatility conditioning. No vol gate, no time-exit, no stacked if-then. The edge is the near-ATM structure held to cash settlement, de-risked by one early-profit rule.

confirming: - Near-ATM is the structure, not the wings. The candidate's "sell the wings" thesis was falsified: near-ATM (0.2%) had the best Sharpe and least skew; further-OTM was worse on both. Delta-selected wings were worse on the tail than fixed-% width. → fixed-width near-ATM. honest cost, only near-ATM survives unmanaged (+$80/sess, per-trade SR 0.10, ann SR ≈ 1.36); the 0.6% and 1.0% buckets go negative. - Management = a single uniform profit-take. Time-exit was tested across 12:00/13:30/15:00/15:30 and is harmful (every early close forfeits back-loaded 0DTE theta and pays a second spread; SPX is cash-settled European + defined-risk → hold to settlement). Adding a 25%-of-credit profit-take to the held-to-settle book lifted ann SR 1.19 → 3.42, win 48% → 81%, CVaR −$1,389 → −$1,140 (717 train sessions). 25% = best tail, 50% = best mean. - The profit-take must be UNIFORM — this is the S042 falsification (see §2 and S042). Conditioning it on the vol regime hurts, in both directions tested:

The uniform rule wins on Sharpe, on CVaR, and on win-rate — the tail-first metrics that govern this brand (§6.5). The higher-mean variant ($160) buys its extra dollars with the fattest tail of the managed set. The profit-take works as a uniform left-tail trimmer, not a regime timer; switching it off on any subset of days re-exposes those days to the settlement tail. - Honesty on the numbers. The 3.42 train Sharpe is in-sample, best-of-family, and partly reflects the capped-upside premium-selling profile (a high win-rate short-vol book shows a flattering Sharpe that a fat but rare tail eventually taxes). CVaR genuinely improved and losses stay wing-capped, but the honest forward expectation is ~1.0–1.5 Sharpe, not 3.4 (§9). These reads are exploration —

Held constant; the only question left is the single management knob in §5:

• Underlying / structure: SPX (SPXW 0DTE), iron condor, defined-risk. FROZEN.
• Short strike: fixed 0.2% moneyness (near-ATM), NOT delta, symmetric around the entry-time parity spot (§0-A: NOT the SPY-open ×10 proxy — that skewed the trade). Fixed-% beat delta on the tail.
• Wing: fixed 0.4% of spot (not delta-selected). Tested 0.3% vs 0.4% under the profit-take (fair A/B, 391 same sessions): 0.4% won on Sharpe (2.15 vs 1.79) and return/CVaR — under management the wider wing's extra premium dominates its fatter tail.
• Entry time: ⚠️ CORRECTED to the OPEN (~09:35), NOT 10:00 (§0-B). Symmetric-centered open entry collected more premium at an equal-or-tighter spread in every year incl. 2022 (both checks passed: marks not stale, spread not wider). The old "~10:00, not scanned" line is superseded; entry time is now
• Sizing / capital: 1 contract per session, $100K (mirror S026). FROZEN.
• Session eligibility: regular full-length sessions only; holidays + early closes skipped, verified against the trading calendar. FROZEN.
• Max-loss handling: structure only — the wing is the defined-risk cap. No time-exit, no active price stop (both tested/deferred, §5). Ride to cash settlement.

How it earned a forward slot

paths; (b) 25% ≥ 50% on the tail (CVaR), 50% ≥ 25% on the mean — the owner's freeze picks the axis; (c) the managed Sharpe deflates from ~3.4 toward ~1.0–1.5 out-of-sample and forward, because the training figure is flattered by the capped-upside profile; (d) no re-introduced conditioner would beat the uniform tail is charged honestly forward — is a clean, publishable result.

Draft — amendable in place until the owner says "freeze & publish", at which point it freezes with a already sealed b00ebc63…). [CALIBRATE] fields are owner judgement calls and are not* to be filled by the agent. Successor to S042 (vol-gate falsified). English per repo convention. Location:

Forward record so far

Forward paper-trading against the frozen gate is under way; the record here is machine-generated from the live track and updates on its own. It is interim — no result is claimed until the gate's window completes.

The live forward track has not yet accumulated a reportable window — the frozen promotion gate below states what it must show.

Conditions & caveats

0DTE decays within the session; most sessions stay range-bound, so near-ATM condors expire worthless or recover often (intraday VRP + dealer hedging damping moves). The tail is structural: near expiry gamma is enormous — which is exactly why a uniform early-profit rule helps (it banks the many small winners before the afternoon can turn them, trimming the left tail on every day).

Why no vol gate (the honest reversal). S042 pre-specified a vol gate on a real mechanism — VRP compresses when implied volatility (IV) is high because high IV coincides with high realized vol, so the seller is no longer paid for the danger. That mechanism is sound for the unmanaged trade. But management inverts it: on the managed book, the high-vol sessions became the best tercile (richest credit, and the profit-take banks it before the move), while gating them out lowered mean and Sharpe. Conditioning the profit-take on vol was then tested directly and also lost to the uniform rule (§1 table). Two independent tests, one conclusion: there is no vol-conditioning that beats doing the same thing every day. So this spec carries no conditioner — the disciplined response to a falsified gate is to remove it, not to keep searching for a version that fits. (The D-001 lesson in reverse: we had an a-priori mechanism, pre- specified and froze the test, and the data said the mechanism doesn't operate once the trade is managed.)

The promotion gate

Deflated Sharpe Ratio (DSR) > 0 after pillar deflation; the profit-take improves CVaR vs the hold-to-settlement benchmark. survives the 25↔50 grid step; holds in both allowed regimes (incl. the 2022 bear). [CALIBRATE]. - Stage 3 (forward paper): graduate to the pillar forward gate — min 100 sessions, CVaR ≤ the hold-to-settlement benchmark, positive expectancy net of asymmetric fills, deflated for pillar count. - Fail = FAILED, recorded openly (worst sessions shown). A null (the managed edge doesn't survive