0DTE Breakeven Iron Condor has become my bread-and-butter options strategy. I have traded it for more than three years, and it has been consistently profitable. It also fits well my personal risk profile and trading style.

So let me kick off my new site Theta Profits with a walk-through of the 0DTE Breakeven Iron Condor strategy.

## These are my key statistics

– I have done a total of 5600 trades with this strategy from April 2021 until the end of June 2024.

– 39.1% of the trades are wins and 60.9% are losses. However, the strategy remains profitable because the average win is more than double the average loss.

– 34 of 37 months have been profitable

– The average Premium Capture Rate (PCR) is 7.7%. The average P/L per trade is 0.34%.

This article is only to describe my own experience with this strategy, and should not be interpreted as financial advice in any way. Remember: Any options strategy carries great risk – and this particular strategy has the potential to blow up your account if you do not use stop losses or manage the risk well.

## The 0DTE Breakeven Iron Condor strategy

Let’s go straight to the point about what the 0DTE Breakeven Iron Condor strategy is:

– It is **a day trading strategy on SPX **– the index option for the S&P 500 index. 0DTE = Zero Days to Expiration.

– It consists of **selling Iron Condors on SPX** with deltas between 5 and 15 – with expiration the same day – collecting the same premium on both sides

– The trades have **very tight stop-losses** – set separately for each side equal to the total premium collected for the Iron Condor. This limits the potential loss on each trade.

– The stop-losses can be tightened throughout the day to manage the total risk and secure profits.

The tight stop-losses mean that the loss will be close to zero if the stop-loss hits on one side, hence the name “Breakeven Iron Condor”. In principle, you will only lose on the strategy if the stop-losses hit on both sides of the Iron Condor. This has happened in 6.2% of my trades – more often in 2024 than in previous years.

## See my webinar about 0DTE Breakeven Iron Condor

If you want to dig into this strategy, I recommend that you watch the presentation I gave for the Online Traders’ Club Singapore in April 2023. There I described how I trade in detail and answered numerous questions. Mostly, I still trade the same way, with some adjustments.

## How I manage the risk with the 0DTE Breakeven Iron Condor strategy

So let me explain more in detail how I trade the 0DTE Breakeven Iron Condor.

Here are some of my main rules for risk management:

– **I never risk more than a maximum of 1-2% of my account on any single day.** This is the main principle for how many trades I put on and how I manage the positions. I will rarely use more than 50% of my total buying power.

– Regularly throughout the day, I ask myself: What is the WORST that can happen with my current positions? The answer to this question guides to what extent I will put on new trades and how I manage my existing positions.

– I keep adjusting my stop losses to control my maximum losses and ensure profits.

– I try never to have more than 3 – 4 positions that are at risk of double stop-losses at the same time.

– I do many, but small trades. However, I let there be at least 30 minutes between each trade. This allows me to enter the positions at different market levels. The number of trades will vary – depending on how I see the market and my total risk.

## The mechanics of entering and exiting trades

Here are some of my rules for entering and exiting the trades:

– I enter trades at **regular intervals throughout the day** – but with at least 30 minutes between. I try to get equal credit on both sides of the Iron Condor.

– **The shorts will be between 5 and 15 delta** – and the distance to the longs normally 30 points. But I will adjust this to get equal credit on both sides. In most cases the total premium for an Iron Condor will be between 100 and 300 dollars.

– I immediately **set stop-losses on both sides separately**. Starting a few weeks ago, I now only set the stop-losses on the shorts. The longs will then be closed manually shortly after a stop-loss hit. I have found that this reduces slippage and bad fills. i set my stop-losses as a combination of a stop limit order and a stop market order, using the OCO (One Cancels the Other) functionality.

– If set on the spreads, **the stop-losses on each side should equal the total premium I received on the Iron Condor**. When set on the shorts only, I adjust for the value of the longs. Here is an example: Let’s say I collect 200 dollars for the full Iron Condor, or 100 dollars on each side. On the put side the short was sold for 140 dollars and the long bought for 40 dollars. I will then set the stop-loss on the short put at 240 or 250 dollars – essentially equal to the total premium plus the value of the long put. I might add 10 dollars on top of it, hence 250 dollars, as the value of the long is certain to increase if the market in my example moves downwards.

– I also **set a take-profit level of 5 cents for each short.** I could let them expire worthless, but I like this way of reducing the total risk as the day passes. Very often I will reuse the longs for new trades.

– **The stop-losses might be tightened throughout the day **for two reasons. The first is to compensate for the decay of the longs due to theta. To use the previous example: After a couple of hours, the long may only be worth 30 dollars. Then I will tighten the stop-loss on the short put to 230 or 240 dollars. The other reason for tightening the stop-losses is to secure some profit and also out of consideration for the total risk of all my open positions.

## The biggest risk: Double stop-losses

The biggest risk to the 0DTE Breakeven Iron Condor strategy is double stop-losses. This is when the stop-losses on both sides are triggered.

For a very long time, the statistics of double stop-losses remained very stable at 3.7% of the trades.

But this has changed in 2024 – and explains why this year has been less profitable than before. In 2024 as much as 10.5% of my trades have been double stop-losses. The long-term average has increased to 6.4%.

Despite this, the first half of 2024 has been profitable, although less than in previous years.

I have not analyzed the data sufficiently enough to say why the percentage of double stop-losses has increased so much in 2024. But this is a trend I will follow closely in the coming months.

## The profitability of 0DTE Breakeven Iron Condor

Let’s sum up with a few words about the profitability of this strategy.

As pointed out, around 6 of 10 trades are losses (39.1% wins, 60.9% losses). But the average win is about 2.2 times as big as the average loss.

And with those statistics, you can measure the expectancy of the strategy by using the standard formula:

**Expectancy = (win rate X average size of the win) – (loss rate X average size of the loss)**

Having logged 5600 trades, I feel confident that the strategy has a solid long-term profitability, despite somewhat poorer results in 2024 than in previous years.

## Similar strategies

Many trade similar strategies. One place to follow some of the discussions is in the Facebook group Quantum Options.

One well-known version is the MEIC strategy – or Multiple Entries Iron Condors. Texas retail trader Tammy Chambless has been very forthcoming in sharing how she trades MEIC. For deeper knowledge, I suggest you check out her latest video on Youtube. She is now also giving an extensive course about MEIC at Option Omega Academy.

## What is your experience?

Are you trading 0DTE on SPX as well? What is your experience? And what is your strategy? Share your thoughts and results in the comments below.

Thank you John. I am still trying to clarify one part. If your % wins are 40%, how do you make money? I see you mention winners are 2.2 times more profitable. But if you get equal premium on both sides, then how can winners be 2.2 time smore profitable?

Is this with tightening stops? Or is there something else you do?

Hi Diamond,

The profitability of a specific strategy can be measured by expectancy.

The formula for expectancy is the following:

Expectancy = (win rate % X size of the average win) – (loss rate % X size of the average loss).

So let’s say the average win is 220 dollars and the average loss is 100 dollars. That reflects the proportion in my trading. Let’s also say we have a win rate of 40% and a loss rate of 60 %.

That would give the following:

Expectancy = (0.4 X 220) – (0.6 X 100) = 88 – 60 = 28 dollars

With these numbers, you would make 28 dollars per trade on average – even though 60% of the trades are losers.

In other words: The profitability of a strategy never depends only on the win rate. You always also need to calculate the average sizes of wins and losses of the strategy.

Great write-up.

Could the answer to why the strategy has been less successful in 2024 be higher short-term volatility in the market overall?

Regards, Anders.

Hi Anders!

I want to research this. It seems to me that the intraday volatility has been higher in 2024 than before, but I have not had time to study if this is, in fact, the case. In my own trading, the big change that has affected the results negatively with this strategy is that the occurrences of double stop-losses is higher than in previous years.

John Einar

Thanks John, Are you counting the BE trades as losers? having trouble seeing your average loss calculations