STRATEGIES
Backtested Options Trading Strategies
Overnight Debit Spreads - QQQ
Buy paired 1DTE vertical debit spreads at end-of-day and let them settle the next trading day. The strategy enters BOTH a bear put spread and bull call spread simultaneously, creating a "debit spread strangle" that profits from any significant overnight move in either direction.
- Instrument: QQQ (Invesco QQQ Trust) - 1DTE options
- Entry: At-the-money $1-wide paired put + call debit spreads
- Exit: Automatic settlement at next day's close
- Budget: $1,000 per day - buy as many pairs as budget allows
- Edge: Variable contract sizing naturally amplifies gains on cheap-entry days (when one side is near zero, more contracts are purchased, and those tend to be the big-move days).
- Put spread: Buy ATM put, sell ATM-$1 put (profits on down move)
- Call spread: Buy ATM call, sell ATM+$1 call (profits on up move)
SIMULATION RESULTS (Jan 5 - Mar 6, 2026)
HOW IT WORKS
Find ATM Strike
Identify the at-the-money strike price closest to QQQ's closing price.
Buy Put Spread
Buy the ATM put and sell the ATM-$1 put. This $1-wide bear put spread profits if QQQ drops.
Buy Call Spread
Buy the ATM call and sell the ATM+$1 call. This $1-wide bull call spread profits if QQQ rises.
Size the Trade
Calculate pairs: floor($1,000 / (pair cost x 100)). Cheaper entries = more contracts = amplified gains.
Hold Overnight
Options settle at next day's close. One side wins, one loses. Net profit if move exceeds pair cost.
Repeat Daily
Enter fresh positions every trading day. Consistent deployment builds edge over time.
DAILY RESULTS - $1,000/DAY
| Entry | Settle | Time | Close | Settle | Move | Put $ | Call $ | Pair $ | Pairs | Cost | Put P/L | Call P/L | Day P/L | Cum P/L |
|---|
Key Insights
- Variable sizing is the edge: When pair cost is low, more contracts are purchased. These cheap-entry days tend to coincide with big moves, producing outsized gains.
- Small moves are the enemy: Losses occur when QQQ moves less than the pair cost. The pair cost acts as a "breakeven zone."
- Big moves in either direction profit: The winning side more than covers the losing side on significant moves.
- Losses are bounded, wins are amplified: Max loss per pair is the pair cost. But variable sizing means cheap entries buy many contracts, amplifying the winning side.
- Entry timing matters: Compare the 4 modes above. The "Perfect Strategy" derived a simple rule from analyzing Best Entry patterns: only enter when pair cost < $0.70. This filtered out every losing day, achieving 17W/0L (100% win rate, +152% ROI) while skipping 25 expensive days.
- The $0.70 threshold: Low pair cost means both spreads are cheap, which means more contracts per $1K. It also means QQQ is likely to move more than the pair cost overnight. Every loss in the backtest occurred on days with pair cost > $0.84.
QQQ 0DTE Call Butterfly — Time-of-Day Sweep
Buy an at-the-money call butterfly on QQQ at various intraday entry times for same-day expiration. This sweep tests every 30-minute slot from 9:35 AM to 4:05 PM (14 entry times) across three wing widths ($1, $2, $3) — 42 setups total — to find when the strategy actually works.
- Instrument: QQQ 0DTE call butterflies (same-day expiry)
- Entry times: 9:35, 10:05, 10:35, 11:05, 11:35, 12:05, 12:35, 1:05, 1:35, 2:05, 2:35, 3:05, 3:35, 4:05 PM
- Wing widths tested: $1, $2, or $3 wide
- Quantity: 10 butterflies per setup
- Exit: Hold to 4:00 PM close (intrinsic settlement value)
- Fill assumption: Buy lower at ASK, sell middle at BID, buy upper at ASK (worst-case)
P/L HEATMAP — ALL 42 SETUPS
Total P/L (and ROI) per setup over the last 30 trading days. Click any cell to see the daily breakdown below. Greener = more profitable, redder = bigger loss.
| ENTRY TIME | $1 WING | $2 WING | $3 WING |
|---|
DETAIL VIEW — SELECT A SETUP
DAILY RESULTS — 10 BUTTERFLIES PER DAY
| Date | Entry | QQQ@Entry | QQQ@Close | Move | ATM K | Debit | Settle | Risk | Day P/L | Cum P/L |
|---|
HOW IT WORKS
Pick Entry Time
Choose any 30-minute slot from 9:35 AM to 4:05 PM. The dropdown above lets you compare each.
Find ATM Strike
Round QQQ's spot price at entry to the nearest $1 strike. This is the body of the butterfly.
Buy the Butterfly
Long 1x lower wing call, short 2x ATM calls, long 1x upper wing call. Wings are $1, $2, or $3 from ATM.
Defined Risk
Max loss = debit paid. Typically $0.10–$0.50 per fly. 10 contracts = $100–$500 risk per setup.
Hold to 4:00 PM
No active management. Let it run. Intrinsic value at close determines settlement P/L.
Pin = Max Profit
If QQQ closes at the ATM strike: max profit = wing width − debit. Example: $1 fly with $0.20 debit pays $0.80.
Key Insights
- Late-day entries (3:35 PM, 4:05 PM) are the only consistent winners. The 4:05 PM entry shows 86% win rate and +51% ROI on $1 wings — with only 10 minutes to expiration, the debit you pay is essentially "frozen" intrinsic value, and QQQ rarely moves enough to break the wings.
- 10:30 AM to 3:00 PM is a graveyard. Every entry in this window lost money across all wing widths. Mid-day chop and intraday moves consistently break the butterfly's profit zone before close.
- 2:05 PM is the worst entry time ($1 wing: −72% ROI). Just enough time for a meaningful move + still expensive enough debit to hurt when wrong.
- Wider wings catch more pins but cost much more. $3 wings show higher win rates (40–60%) but lower or worse ROI because the debit eats most of the payoff.
- The 4:05 PM "edge" may be illusory in practice. Bid-ask spreads widen near expiration, slippage on 4-leg combos at that hour will be brutal, and 0DTE QQQ expires at 4:15 PM — so this strategy needs lightning-fast execution to be real.
- Big intraday moves are the killer. Days when QQQ moves >$3 from entry to close blow past the wings, making the fly worthless. The strategy needs grinding markets.