Closed Trades
IB.10D.Mar27 Diagonal · SPX Calls
opened 09:13 · closed 14:11 · 10 DTE · 1 DIT
Legs — SPX diagonal calendar spread (4 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 2 | SPX Mar26 6575 Call | $117.97 |
| Sell | 2 | SPX Apr26 6750 Call | $38.13 |
| Sell (close) | 2 | SPX Mar26 6575 Call | $120.60 |
| Buy (close) | 2 | SPX Apr26 6750 Call | $35.50 |
✓ 10 DTE diagonal — within 8-14 DTE target zone. 1-DIT exit at +11.3%. Structure aligned with BT11 parameters.
RH.2D.Mar20.Earnings Custom · Earnings Play
MU Strangle · opened 09:35 · closed 15:10 · 2 DTE · 1 DIT
Legs — MU options (8 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 1 | MU Mar26 450 Put | $12.63 |
| Buy | 1 | MU Mar26 475 Call | $13.78 |
| Sell | 1 | MU Mar26 440 Put | $8.93 |
| Sell | 1 | MU Mar26 480 Call | $11.93 |
| Sell (close) | 1 | MU Mar26 475 Call | $0.00 |
| Sell (close) | 1 | MU Mar26 450 Put | $0.00 |
| Buy (close) | 1 | MU Mar26 480 Call | $0.00 |
| Buy (close) | 1 | MU Mar26 440 Put | $0.00 |
⚠ MU earnings strangle — expired worthless. Micron beat EPS estimates massively ($12.20 vs $8.66 est.) but stock fell 3.9% on heavy CapEx guidance.
RH.2D.Mar20 Vertical · SPX Put Spread
opened 14:22 · closed 15:10 · 2 DTE · 1 DIT
-$2,860
-100.0% on margin
Legs — SPX 6540/6550 Put Vertical (4 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 2 | SPX Mar26 6540 Put | $18.53 |
| Sell | 2 | SPX Mar26 6550 Put | $20.58 |
| Buy (close) | 2 | SPX Mar26 6550 Put | $18.13 |
| Sell (close) | 2 | SPX Mar26 6540 Put | $1.78 |
⚠ Entry at 14:22 — outside the 9–11 AM optimal window. Full loss. Late entries in elevated-VIX environments carry amplified gap risk.
RH.0Day.Mar20 Vertical · SPX Call Spread
opened 15:10 · closed 15:10 · 1 DTE · 0 DIT
Legs — SPX 6550/6570 Call Vertical (4 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 1 | SPX Mar26 6550 Call | $71.15 |
| Buy | 1 | SPX Mar26 6570 Call | $68.94 |
| Sell (close) | 1 | SPX Mar26 6570 Call | $70.75 |
| Sell (close) | 1 | SPX Mar26 6550 Call | $73.44 |
RH.8D.Mar27 Vertical · SPX Call Spread
opened 15:10 · closed 15:10 · 8 DTE · 0 DIT
Legs — SPX 6525/6575 Call Vertical (4 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 1 | SPX Mar26 6575 Call | $117.97 |
| Buy | 1 | SPX Mar26 6525 Call | $143.36 |
| Sell (close) | 1 | SPX Mar26 6575 Call | $120.86 |
| Sell (close) | 1 | SPX Mar26 6525 Call | $147.07 |
FIS.13D.Apr1 Butterfly · SPX Calls
opened 14:10 · closed 14:10 · 13 DTE · 0 DIT
Legs — SPX Apr26 Butterfly 6840/6850/6875 (6 transactions)
| Side | Qty | Description | Price |
|---|
| Buy | 5 | SPX Apr26 6875 Call | $25.25 |
| Buy | 5 | SPX Apr26 6840 Call | $37.66 |
| Buy | 10 | SPX Apr26 6850 Call | $21.02 |
| Sell | 5 | SPX Apr26 6875 Call | $15.00 |
| Sell | 10 | SPX Apr26 6850 Call | $33.83 |
| Sell | 5 | SPX Apr26 6840 Call | $23.74 |
✓ Core BT11 structure — 13 DTE butterfly in the 8–14 DTE target zone. Confirmed edge alignment.
9–11 AM: 77–82% WR — the confirmed entry window
9 AM alone generated +$17.3k. The first two hours post-open capture directional institutional flow before midday degradation. Hard rule: no new entries after 11 AM. Estimated +$3–5k/yr improvement with zero structural changes.
1 PM entries drop to 50% WR — structural, not variance
The RH.2D.Mar20 entry on Mar 19 at 14:22 is a textbook violation — full loss on a trade entered outside the window. Afternoon gamma chop and reduced institutional flow cause this systematically.
Best Edge Zone
8–14 DTE
$569/trade avg · 69% WR
Best Hold Time
1 DIT
87% WR · +$22.1k total
0DTE Drag (2026)
-$8,545
-$329/trade · 26 trades
Profit Factor
1.79
2026 · was 1.26 all-time
Quantified Edge Rules
Rule 1 — 8-14 DTE + 1-DIT is the confirmed primary edge
$569/trade avg in 2026, 69% WR. BT11 parameters live here. VIX ≥ 18 currently met (26.78 as of Mar 20). Deploy maximum capital in this zone — it is the only area with consistent edge across the full 2026 dataset. March WR of 86% confirms the structure is in its optimal regime.
Rule 2 — 0DTE is confirmed negative EV at -$329/trade in 2026
Significantly worse in 2026 (-$329 avg) than the full dataset (-$95 avg). The 54% WR cannot overcome the loss size at current structure. Full elimination adds ~$8.5k/yr at current frequency. The two full-loss trades on Mar 19 are the latest data points.
Rule 3 — $3–5K margin band is a structural trap
50% WR and -$13,400 total PnL. The $5–8K band delivers 87% WR and +$25,300. Undersizing removes edge, not risk. In elevated VIX environments ATR expansion makes this band even more punishing.
Rule 4 — Hard entry-hour gate: 9 AM–11 AM only
9–11 AM window: 77–82% WR. 1 PM entries: 50% WR. Set a calendar hard-stop at 11:00 AM for all new entries. Estimated +$3–5k/yr improvement with zero structural changes required. RH.2D.Mar20 on Mar 19 is the cost of ignoring this rule.
Rule 5 — 2026 profit factor improving toward target
PF 1.79 vs full-dataset PF 1.26. Avg win ($870) nearly equals avg loss ($877) — ideal structure where win rate directly determines profitability. Each 5% increase in win rate adds ~$3.5k to annual expectancy at current volume. Target: PF ≥ 2.0 by end of Q2.
Rule 6 — Rolling WR below 50% = mandatory size reduction
Current rolling WR: 90% (last 10 trades). Any dip below 50% triggers: (1) halve position size immediately, (2) Butterfly structure only, (3) hold until rolling WR recovers above 60% for 5 consecutive trades. This is non-discretionary — do not override.