XSP 0DTE Short Straddle, Skewed Stops

A same-day straddle on XSP (Mini-SPX, one tenth of SPX, cash-settled, European-style). At 10:45 on Tradetron's US clock, sell one at-the-money XSP call and one at-the-money XSP put on the same-day (0DTE) expiry. The stops are skewed to the way the index moves: the put is stopped if it trades 25% above its sale price (sell-offs are fast), the call gets more room and is stopped at 50% above its sale price (rallies grind). A stopped leg is bought back on its own; the other keeps running. Whatever is open closes at 15:45. One trade a day, no re-entry. Undefined risk (naked short index options): capital is the Reg-T margin on a naked XSP straddle: 15% of the index value on the larger side plus both premiums, about $12,500 per multiplier with XSP near 780. Times are US Eastern; the backtest uses Eastern wall-clock time all year. Tradetron's live US clock (Time XCBO) is a fixed UTC-4, so from November to March a live deployment acts one hour earlier in Eastern time.

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