End-of-Day Iron Condor: A Simple Mechanical Strategy for SPX 0DTE
One of the newest strategies we've added to our research is a mechanical End-of-Day (EOD) Iron Condor designed for SPX 0DTE options. The goal is to capture the relatively muted price movement that often occurs during the final two hours of the trading session.
The Setup
This strategy trades every trading day, except Wednesday, only when SPX is above its 7-day Simple Moving Average (SMA) on the daily chart. This trend filter helps avoid periods of elevated volatility, where larger late-day moves can reduce the effectiveness of an iron condor. Wednesday has also been removed due to decreased performance on that day.
If the filter is met, the trade is entered approximately two hours before the closing bell and held through expiration.
2026 Results (Through July 22)
The strategy has produced encouraging results so far in 2026.
- Win Rate: 53%
- Average Winner: $269
- Average Loser: -$171
- Expectancy: +$63 per spread
- Return on Risk (ROR): Approximately 36%
While a 53% win rate may seem modest, the larger average winner compared to the average loser creates a positive expectancy over a large sample of trades. That's one of the primary characteristics I look for when evaluating mechanical strategies.
(2026 backtest through July 22 shown below.)
Four-Year Backtest
Zooming out to the full historical test provides a better picture of the strategy's consistency.
Since SPX moved to daily expirations in mid-2022, the strategy has maintained approximately a 53% win rate with a steady 27% Return on Risk. Using a conservative 3% account allocation per trade, the strategy has been profitable in each calendar year of the backtest.
As always, historical performance does not guarantee future results, but longer-term testing helps determine whether a strategy has demonstrated consistency across different market environments.
(Four-year equity curve and statistics shown below.)
Strike Selection
The strategy uses a fixed structure, making it straightforward to automate.
Approximately two hours before the close:
- Sell a 10-point wide Iron Condor centered around the current SPX price.
- Purchase 5-point protective wings on both sides.
- Hold the position through expiration.
Because the structure remains the same each day, the strategy removes much of the discretionary decision-making that often complicates 0DTE trading.
Automation
This strategy is simple to automate in the platform of your choice.
If you're interested in running this strategy in your own brokerage account, email support@alphacrunching.com and we'll be happy to help you get started.
