Options study
15-delta call: sell at open or after the first hour?
Instead of the peak, what if you bought one 15-delta call (an OTM lottery ticket, ~0.15 delta) on each setup and sold it at a fixed time? Modeled at 2 DTE, 14% IV, a call solved to 0.15 delta at the moment you buy. Each cell shows the green rate (% of those trades that finished above where you bought) and, smaller, the median return — median, not average, because a couple of +300–600% pops would otherwise flatter the mean.
About “first hour”: two baselines are shown. Sell at open and after 1st hr are measured from your entry at the setup’s close — so for an overnight setup they include the overnight gap plus ~18h of decay. First hour only instead buys at the next open and sells one hour later — the open→+1hr move on its own, no overnight gap, no overnight theta.
| Setup type | # | Sell at open | After 1st hr | First hour only |
|---|
The open is a theta trap. Selling a 15-delta call right at the next open finishes green only about — of the time across every setup type — the overnight gap almost never covers ~18 hours of decay on a 2-day option. The edge is the morning move. Buy at the open and sell a little later and clean setups went green far more often. Bottom line: don’t hold a cheap call overnight to sell at the bell — enter at the open and give the morning move a little room.
So how long do you hold? (a closer look)
Once you buy at the open, the next question is when to sell. We tested selling after 1, 2, and 3 hours, and at the lunchtime close, across all 24 clean-overnight setups in the two years, with the option priced the realistic way: bought at the higher “open” volatility, which then fades as the morning goes on.
| Hold (after buying at the open) | Win rate | Median gain |
|---|
| 1 hour — the sweet spot | 54% | +15% |
| 2 hours | 54% | +5% |
| 3 hours | 42% | −8% |
| To the lunchtime close (~3.5 hrs) | 50% | +5% |
Why does holding longer stop helping? Two forces work against you and get stronger through the morning: time decay (theta) melts a little value every hour, faster near expiry; and the fear premium (IV) crushes from its open high as the market settles. Early on SPY moves fast enough to pay more than these take; by late morning the move slows but the decay and fading cushion do not. That is why the sweet spot is early. A clean plan: buy at the open, hard stop near −35% of premium, sell into strength around the first hour, trail behind the high if it keeps running. Model and starting point, not advice.
Show all setups, date by date
Option % return per setup. Intraday setups have ~0% “at open” by construction.
| Setup (circled) | Type | Hold | At open | After 1st hr | First hr only |
|---|
15-delta call, 2 DTE, flat 14% IV, sold for time value. A real 15-delta strike carries higher IV than this flat assumption, and fills on cheap OTM contracts are wide — treat these as directional, not exact. Not financial advice.