SPY 0DTE Short Straddle Backtest

Sell the at-the-money SPY call and put that expire the same day at 09:45 and close both at 15:45.

Backtested 2026-05-13 to 2026-11-12 on 128 trading days, one contract per leg, costs included. Historical simulation, refreshed weekly.

Total net P&L
-$2,541
after $845 of costs
Win rate
59.4%
of trading days
Max drawdown
-$4,021
not recovered in range
Expectancy
-$19.85
per trading day
Profit factor
0.81
gross wins / gross losses
Best and worst day
$390 / -$1,751
longest losing run 7 days

Cumulative net P&L

Net P&L by day

Net P&L by weekday

Net P&L by days to expiry at entry

The rules

Underlying
SPY
Entry
09:45, Monday to Friday
Exit
15:45, or earlier on a stop
Expiry
Same-day expiry
Commission
$0.65 per contract, on entry and on exit
Slippage
0.01 premium points against every fill

Times are exchange time. Prices are last-traded one-minute marks, not quotes you could always have filled at. Option premiums are not shown on this page.

LegStrikeLotsStop
Sell CallAt the money1None
Sell PutAt the money1None

Day by day

DateContractsExpiryExitNet P&L
2026-11-12 ThuS 757 CE, S 757 PE2026-11-12time_exit$306
2026-11-11 WedS 756 CE, S 756 PE2026-11-11time_exit-$107
2026-11-10 TueS 748 CE, S 748 PE2026-11-10time_exit$317
2026-11-09 MonS 746 CE, S 746 PE2026-11-09time_exit-$364
2026-11-06 FriS 740 CE, S 740 PE2026-11-06time_exit$390
2026-11-05 ThuS 757 CE, S 757 PE2026-11-05time_exit-$1,751
2026-11-04 WedS 767 CE, S 767 PE2026-11-04time_exit$322
2026-11-03 TueS 754 CE, S 754 PE2026-11-03time_exit$272
2026-11-02 MonS 760 CE, S 760 PE2026-11-02time_exit-$355
2026-10-30 FriS 760 CE, S 760 PE2026-10-30time_exit-$252
2026-10-29 ThuS 769 CE, S 769 PE2026-10-29time_exit$149
2026-10-28 WedS 770 CE, S 770 PE2026-10-28time_exit$172
2026-10-27 TueS 768 CE, S 768 PE2026-10-27time_exit-$49
2026-10-26 MonS 763 CE, S 763 PE2026-10-26time_exit$78
2026-10-23 FriS 760 CE, S 760 PE2026-10-23time_exit$320
2026-10-22 ThuS 766 CE, S 766 PE2026-10-22time_exit-$53
2026-10-21 WedS 771 CE, S 771 PE2026-10-21time_exit$80
2026-10-20 TueS 765 CE, S 765 PE2026-10-20time_exit-$19
2026-10-19 MonS 767 CE, S 767 PE2026-10-19time_exit$192
2026-10-16 FriS 772 CE, S 772 PE2026-10-16time_exit-$725
2026-10-15 ThuS 766 CE, S 766 PE2026-10-15time_exit-$285
2026-10-14 WedS 775 CE, S 775 PE2026-10-14time_exit-$396
2026-10-13 TueS 778 CE, S 778 PE2026-10-13time_exit$130
2026-10-12 MonS 779 CE, S 779 PE2026-10-12time_exit$60
2026-10-09 FriS 776 CE, S 776 PE2026-10-09time_exit-$19
2026-10-08 ThuS 775 CE, S 775 PE2026-10-08time_exit$69
2026-10-07 WedS 775 CE, S 775 PE2026-10-07time_exit$56
2026-10-06 TueS 779 CE, S 779 PE2026-10-06time_exit$146
2026-10-05 MonS 771 CE, S 771 PE2026-10-05time_exit-$181
2026-10-02 FriS 772 CE, S 772 PE2026-10-02time_exit$65
2026-10-01 ThuS 764 CE, S 764 PE2026-10-01time_exit$239
2026-09-30 WedS 766 CE, S 766 PE2026-09-30time_exit$148
2026-09-29 TueS 765 CE, S 765 PE2026-09-29time_exit$176
2026-09-28 MonS 768 CE, S 768 PE2026-09-28time_exit$2
2026-09-25 FriS 769 CE, S 769 PE2026-09-25time_exit-$17
2026-09-24 ThuS 765 CE, S 765 PE2026-09-24time_exit$17
2026-09-23 WedS 772 CE, S 772 PE2026-09-23time_exit-$239
2026-09-22 TueS 774 CE, S 774 PE2026-09-22time_exit$140
2026-09-21 MonS 767 CE, S 767 PE2026-09-21time_exit-$590
2026-09-18 FriS 761 CE, S 761 PE2026-09-18time_exit$141
2026-09-17 ThuS 761 CE, S 761 PE2026-09-17time_exit$55
2026-09-16 WedS 759 CE, S 759 PE2026-09-16time_exit-$160
2026-09-15 TueS 760 CE, S 760 PE2026-09-15time_exit-$100
2026-09-14 MonS 760 CE, S 760 PE2026-09-14time_exit$53
2026-09-11 FriS 765 CE, S 765 PE2026-09-11time_exit$233
2026-09-10 ThuS 758 CE, S 758 PE2026-09-10time_exit$172
2026-09-09 WedS 764 CE, S 764 PE2026-09-09time_exit$96
2026-09-08 TueS 768 CE, S 768 PE2026-09-08time_exit$69
2026-09-04 FriS 772 CE, S 772 PE2026-09-04time_exit$36
2026-09-03 ThuS 770 CE, S 770 PE2026-09-03time_exit-$111
2026-09-02 WedS 762 CE, S 762 PE2026-09-02time_exit-$80
2026-09-01 TueS 762 CE, S 762 PE2026-09-01time_exit$112
2026-08-31 MonS 766 CE, S 766 PE2026-08-31time_exit$120
2026-08-28 FriS 772 CE, S 772 PE2026-08-28time_exit$67
2026-08-27 ThuS 770 CE, S 770 PE2026-08-27time_exit$169
2026-08-26 WedS 767 CE, S 767 PE2026-08-26time_exit$63
2026-08-25 TueS 766 CE, S 766 PE2026-08-25time_exit$120
2026-08-24 MonS 762 CE, S 762 PE2026-08-24time_exit$76
2026-08-21 FriS 765 CE, S 765 PE2026-08-21time_exit$91
2026-08-20 ThuS 767 CE, S 767 PE2026-08-20time_exit-$132
2026-08-19 WedS 770 CE, S 770 PE2026-08-19time_exit$112
2026-08-18 TueS 769 CE, S 769 PE2026-08-18time_exit$129
2026-08-17 MonS 775 CE, S 775 PE2026-08-17time_exit$1
2026-08-14 FriS 778 CE, S 778 PE2026-08-14time_exit$16
2026-08-13 ThuS 776 CE, S 776 PE2026-08-13time_exit$42
2026-08-12 WedS 773 CE, S 773 PE2026-08-12time_exit$208
2026-08-11 TueS 773 CE, S 773 PE2026-08-11time_exit-$25
2026-08-10 MonS 773 CE, S 773 PE2026-08-10time_exit$169
2026-08-07 FriS 772 CE, S 772 PE2026-08-07time_exit$214
2026-08-06 ThuS 771 CE, S 771 PE2026-08-06time_exit$47
2026-08-05 WedS 776 CE, S 776 PE2026-08-05time_exit$34
2026-08-04 TueS 762 CE, S 762 PE2026-08-04time_exit-$828
2026-08-03 MonS 752 CE, S 752 PE2026-08-03time_exit-$339
2026-07-31 FriS 743 CE, S 743 PE2026-07-31time_exit-$109
2026-07-30 ThuS 737 CE, S 737 PE2026-07-30time_exit-$46
2026-07-29 WedS 740 CE, S 740 PE2026-07-29time_exit-$325
2026-07-28 TueS 737 CE, S 737 PE2026-07-28time_exit-$11
2026-07-27 MonS 744 CE, S 744 PE2026-07-27time_exit-$265
2026-07-24 FriS 739 CE, S 739 PE2026-07-24time_exit$165
2026-07-23 ThuS 742 CE, S 742 PE2026-07-23time_exit-$191
2026-07-22 WedS 748 CE, S 748 PE2026-07-22time_exit$117
2026-07-21 TueS 745 CE, S 745 PE2026-07-21time_exit-$38
2026-07-20 MonS 748 CE, S 748 PE2026-07-20time_exit-$269
2026-07-17 FriS 742 CE, S 742 PE2026-07-17time_exit$211
2026-07-16 ThuS 751 CE, S 751 PE2026-07-16time_exit$62
2026-07-15 WedS 754 CE, S 754 PE2026-07-15time_exit$177
2026-07-14 TueS 752 CE, S 752 PE2026-07-14time_exit$249
2026-07-13 MonS 752 CE, S 752 PE2026-07-13time_exit-$58
2026-07-10 FriS 752 CE, S 752 PE2026-07-10time_exit-$43
2026-07-09 ThuS 749 CE, S 749 PE2026-07-09time_exit$70
2026-07-08 WedS 745 CE, S 745 PE2026-07-08time_exit$283
2026-07-07 TueS 750 CE, S 750 PE2026-07-07time_exit-$38
2026-07-06 MonS 749 CE, S 749 PE2026-07-06time_exit-$55
2026-07-02 ThuS 750 CE, S 750 PE2026-07-02time_exit-$371
2026-07-01 WedS 744 CE, S 744 PE2026-07-01time_exit$85
2026-06-30 TueS 742 CE, S 742 PE2026-06-30time_exit-$139
2026-06-29 MonS 740 CE, S 740 PE2026-06-29time_exit$189
2026-06-26 FriS 728 CE, S 728 PE2026-06-26time_exit-$46
2026-06-25 ThuS 733 CE, S 733 PE2026-06-25time_exit$384
2026-06-24 WedS 736 CE, S 736 PE2026-06-24time_exit$44
2026-06-23 TueS 735 CE, S 735 PE2026-06-23time_exit$338
2026-06-22 MonS 748 CE, S 748 PE2026-06-22time_exit-$158
2026-06-18 ThuS 745 CE, S 745 PE2026-06-18time_exit$186
2026-06-17 WedS 751 CE, S 751 PE2026-06-17time_exit-$647
2026-06-16 TueS 755 CE, S 755 PE2026-06-16time_exit-$135
2026-06-15 MonS 753 CE, S 753 PE2026-06-15time_exit$151
2026-06-12 FriS 735 CE, S 735 PE2026-06-12time_exit$97
2026-06-11 ThuS 729 CE, S 729 PE2026-06-11time_exit-$366
2026-06-10 WedS 736 CE, S 736 PE2026-06-10time_exit-$281
2026-06-09 TueS 746 CE, S 746 PE2026-06-09time_exit-$1,020
2026-06-08 MonS 743 CE, S 743 PE2026-06-08time_exit$95
2026-06-05 FriS 750 CE, S 750 PE2026-06-05time_exit-$858
2026-06-04 ThuS 752 CE, S 752 PE2026-06-04time_exit-$270
2026-06-03 WedS 756 CE, S 756 PE2026-06-03time_exit$171
2026-06-02 TueS 757 CE, S 757 PE2026-06-02time_exit$23
2026-06-01 MonS 756 CE, S 756 PE2026-06-01time_exit-$22
2026-05-29 FriS 758 CE, S 758 PE2026-05-29time_exit$162
2026-05-28 ThuS 750 CE, S 750 PE2026-05-28time_exit-$229
2026-05-27 WedS 750 CE, S 750 PE2026-05-27time_exit$198
2026-05-26 TueS 751 CE, S 751 PE2026-05-26time_exit$182
2026-05-22 FriS 748 CE, S 748 PE2026-05-22time_exit$76
2026-05-21 ThuS 738 CE, S 738 PE2026-05-21time_exit-$4
2026-05-20 WedS 736 CE, S 736 PE2026-05-20time_exit-$126
2026-05-19 TueS 734 CE, S 734 PE2026-05-19time_exit$312
2026-05-18 MonS 738 CE, S 738 PE2026-05-18time_exit$255
2026-05-15 FriS 738 CE, S 738 PE2026-05-15time_exit$205
2026-05-14 ThuS 746 CE, S 746 PE2026-05-14time_exit$71
2026-05-13 WedS 737 CE, S 737 PE2026-05-13time_exit-$344

Test Your Own Version

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