SPY Delta-Neutral Intraday Strangle

A same-day SPY short strangle that is kept close to delta-neutral during the day. At 10:45 on Tradetron's US clock it sells the SPY call nearest 0.20 delta and the put nearest -0.20 delta on the same-day (0DTE) expiry, so the book starts with roughly zero delta. If SPY moves far enough that the position's net delta reaches 25 deltas per multiplier either way (about a quarter of a contract's worth of SPY exposure), it re-centres: both short legs are bought back and a fresh 0.20 / -0.20 delta strangle is sold, bringing net delta back near zero. At most 3 re-centres a day, none after 15:30. Everything closes at 15:45, or at once if the day's loss reaches Approx. $500 per multiplier. One entry a day. Undefined risk (naked short options): capital is the Reg-T margin on a naked SPY strangle: 20% of SPY's price less the out-of-the-money amount on the larger side, plus both premiums, about $16,000 per multiplier with SPY near 775 (some brokers apply 15% to broad-based ETF options, which needs less). 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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