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0DTE Iron Fly on SPX: How Dale made $1,5M in two years

0DTE Iron Fly is not for the faint-hearted. But this fast-pacing options strategy can give high rewards. Here is a step-by-step guide with Dale Perryman.

February 2, 2025

There are many ways to trade 0DTE Iron Fly. In this interview retail trader Dale Perryman gives a step-by-step guide to how he trades his version. Dale has made $1,5 million on this strategy alone trading several accounts during the last two years.

Learn about 0DTE Iron Fly in this interview

The video was produced with Streamyard – an easy-to-use and amazing tool for live streaming and recording.

This is an Iron Fly

Let’s start with the basics: What is an Iron Fly – or an Iron Butterfly, as it may also be called.

The setup is quite simple:

  • You sell one call and one put at the money – or close to at the money. They must have the same strike price and expiration.
  • You also buy one call and one put further out of the money with the same expiration.

You can also look at this as one bull put spread and one bearish call spread with the shorts having the same strike price. This creates a profit tent where you will make the most money if the underlying expires at the strike price for the shorts.

Here is one example using OptionStrat – a recommended toolkit for options traders.

Example of 0DTE Iron Fly - using OptionStrat

In this example, we have sold one call and one put at the strike price 6040 – and bought longs 40 points further out. We have collected 2,965 dollars, which is also our max profit.

  • Our max loss is 1,035 dollars. This is calculated as the size of the wings minus the premium collected = 40 minus 29.65 = 10.35. Multiplied by 100, this gives a max loss of 1,035 dollars.
  • The breakeven points are calculated by adding and subtracting the premium collected from the point of max profit. In this example, the trade will profit if it expires between 6,010.35 and 6,060.65
OptionStrat is the option trader’s best toolkit. Trade smarter with the best visualization and analysis tools available. 20% off on your first month when you use this link.

How Dale Perryman trades 0DTE Iron Fly

Dale trades iron flies on SPX only – and only with options that expire the same day, so-called 0DTE (zero days to expiration).

He says that SPX is the ideal underlying for this strategy because it is cash-settled. This eliminates the risk of being assigned. Also, SPX has superior liquidity compared to most other options.

Throughout the day he will open a series of iron flies – following specific rules for entry and exit. The goal is to be in the position to catch as much as possible of the theta decay in the last hour of trading.

The entry and exit rules

Dale’s success with the 0DTE Iron Fly strategy hinges on strict rules for entry, exit, and risk management. Here’s a breakdown of his approach:

Entry Rules

  • The first trade is usually opened around 10:30 – 11:00 EST. He sells the Iron Fly at the money or close to at the money. The width of the wings will typically be around 40 – 50.
  • How much he collects on this first trade, determines the strategy for the rest of the day.
    • If he collects 15 dollars or less, the next trade will be entered when the market moves 7 points up or down. He will then add a new Iron Fly 10 points away from the first one.
    • If he collects more than 15 dollars on the first trade, subsequent trades will be added when the market moves 10 points in either direction – and entered 15 points away from the previous one.

Exit rules

  • The goal is to let winners run while cutting losses quickly
  • Trades are closed if they reach 90-100% of their max loss at expiration. In practical terms, he will consider closing them when the breakeven point is hit.

Risk management

  • This can be a volatile strategy – with large drawdowns at times. Dale therefore, recommends to start with a small portion of your account, and then reinvest the profits back to the strategy.
  • He avoids trading during major news events to reduce the volatility risk

A live trade example

In the video, Dale walks us through one trading day, specifically January 24, 2025. For an in-depth understanding of the strategy, I recommend that you watch this part. He explains in detail why he adds new trades and takes off previous ones.

Risk and reward: Is this strategy for you?

The 0DTE Iron Fly strategy is not for the faint of heart. Dale admits that it comes with significant drawdowns, but the potential for large daily wins makes it worthwhile. He rates the strategy a 6/10 on the risk scale, comparing it to buying T-bills (1/10) and gambling on out-of-the-money options (10/10).

This strategy is best suited for traders who:

  • Have time to monitor the market throughout the day.
  • Are comfortable with volatility and drawdowns.
  • Want to capitalize on the high theta decay of 0DTE options.

Here are the results

Dale Perryman's results from trading 0DTE Iron Fly

Dale trades several accounts, some of them for friends and family. In total, he has made 1,5 million USD on this strategy alone since he started trading it in April 2023.

He started with $400,000 in the accounts. Later, an investment of $100,000 was withdrawn, and another $550,000 was added. This brings the net deposits into the accounts to about $850,000.

An experienced investor and trader

Dale Perryman has been investing in stocks for 36 years and has extensive experience as an options trader. He is also a business coach, teacher, entrepreneur, and stand-up comedian, among many other roles.

He founded Center for Organizational Learning, where he conducts workshops and seminars on leadership and management.

As an options trader, he runs TradeDiff – a platform for options trading education. The community also has a Discord server where he is actively discussing options strategies with other traders.

Dale Perryman together with Tom Sosnoff from Tastytrade at “Geeks on Parade” in Dallas

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