0DTE forward logs
info-gap25
0DTE opening-gap momentum
information onlybookforward-p4startedOct 5, 2026
What it is
P4-GAP with a smaller gap: a quarter of a daily standard deviation or more. Logged nightly beside P4-GAP as information only; no read is planned.
The rule
- Signal: at 09:36 ET, once per underlying a session. A gap of 0.25 daily SDs or more from the previous close, with the price still beyond the open, buys a call on a gap up and a put on a gap down; the gap and the daily SD are measured as P4-GAP measures them.
- Sessions: P4-GAP's: SPY and QQQ each need at least 300 regular-hours minutes of bars on the session and on the one before unless that one closed early, so a session that closes early has no trades.
- Contract: 0DTE, the $1 strike nearest the 09:36 price. Its last trade must be at most 5 minutes old and at least $0.05.
- Entry: at the open of the contract's first 1-minute bar from 09:36, if it starts within 3 minutes.
- Exit: at 10:06, at the open of the contract's 10:06 bar or its last trade before then. No target.
- Stop: none.
- Costs: bought $0.01 above and sold $0.01 below the bar's price, and $0.65 a contract a side. The log also records each trade at no costs, and at $0.02 a side with the same commission.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| signal | gapgo5-z0.25 | — | lab4/forward.py:76 | — |
| structure | X0|h30|s0|none | — | lab4/forward.py:76 | — |
| STALE_MIN | 5 | minutes | lab4/structure.py:30 | — |
| WAIT_MIN | 3 | minutes | lab4/structure.py:30 | — |
| costs.base.slip | 0.01 | USD a side | lab4/structure.py:29 | — |
| costs.base.commission | 0.65 | USD a contract a side | lab4/structure.py:29 | — |
| costs.stress.slip | 0.02 | USD a side | lab4/structure.py:29 | — |
| MIN_RTH_MINUTES | 300 | regular-hours minutes | odte/backtest.py:25 | — |
Its read
Record so far
This rule is logged for information: its record is shown only as rows, never added up.
Record Forward log
Cost model
$0.01 a side and $0.65 a contract a side, on 1-minute OPRA bars; also logged at no costs and at $0.02 a side
Signals
Each signal as the log wrote it, a table a session. Nothing here is added up.
Mon, Oct 12, 2026
| Time (ET) | Symbol | Side | Outcome | Contract | Exit | Exit by | Net |
|---|---|---|---|---|---|---|---|
| 09:36 | QQQ | put | ENTRY | P749 at 1.69 | 10:06 ET | time | +34.7% |
Fri, Oct 9, 2026
| Time (ET) | Symbol | Side | Outcome | Contract | Exit | Exit by | Net |
|---|---|---|---|---|---|---|---|
| 09:36 | SPY | call | ENTRY | C777 at 0.98 | 10:06 ET | time | −51.3% |
Thu, Oct 8, 2026
| Time (ET) | Symbol | Side | Outcome | Contract | Exit | Exit by | Net |
|---|---|---|---|---|---|---|---|
| 09:36 | QQQ | put | ENTRY | P754 at 1.96 | 10:06 ET | time | −23.6% |
| 09:36 | SPY | put | ENTRY | P775 at 1.43 | 10:06 ET | time | −42.9% |
Wed, Oct 7, 2026
| Time (ET) | Symbol | Side | Outcome | Contract | Exit | Exit by | Net |
|---|---|---|---|---|---|---|---|
| 09:36 | SPY | put | ENTRY | P775 at 1.29 | 10:06 ET | time | +16.8% |
Tue, Oct 6, 2026
| Time (ET) | Symbol | Side | Outcome | Contract | Exit | Exit by | Net |
|---|---|---|---|---|---|---|---|
| 09:36 | SPY | call | ENTRY | C778 at 1.36 | 10:06 ET | time | +74.8% |
Where the research is
- The information rules and the forward log (findings tr-odte-option-scalp/DESIGN/31)
- The search (findings tr-odte-option-scalp/RESEARCH/60)