SPY ≥1.5% intraday moves · 0DTE strangle research

Events per year

Main news driver (events with researched news)

Year Type Category VIX prior Min swing % ≥1.5% from open only include non-event days Search

Date

SPY 1-minute (SIP)

Grey = pre/post market. Dashed = official open and ±1.5% from open. ▲▼ = measured peak/valley of the largest swing.

Day facts

0DTE legs bought at ≤$0.03 (rule P30)

Opening ladder 09:30–10:00: lowest print per strike

Catalysts

Add date Quick sets

Path from the open (%), regular session

Predeclared rule (spec_frozen.json): a condition is a candidate only if lift > 1.5× in BOTH train (2016–2022) and test (2023–2026) with ≥20 test days. Univariate; conditions overlap heavily (high VIX, below 200d, negative gamma cluster together).

Target

Prior VIX × big scheduled release (2016–2026)

Strangle win-rate lift by condition (train 2024 / test 2025–26)

Exit variant include $0.65/contract × 400 fills ($260/day)