The tastylive network Market Measures - November 6, 2025 - Impatient Bulls 0 DTE SPX Put Spreads Part 3
Nov 6, 2025
Hosts kick off with a market snapshot and discuss the intraday action across S&P futures and big tech. They reminisce about favorite research, highlighting CVaR and options risk. The debate on preferred Greeks takes center stage, emphasizing delta and theta. The focus shifts to selling zero DTE SPX put spreads, exploring results of second-trade analyses that reveal impressive win rates and practical insights. Caution is advised on position sizing and avoiding tail losses. In conclusion, quick morning trades prove most profitable in the current bullish climate.
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Transcript
Julia's Favorite Research Projects
- Julia recalls writing research like the CVaR market measure and a book as favorite projects.
- She highlights CVaR as useful for options because it handles skewed P&L distributions better than standard deviation.
Greeks Beat Simple Metrics For Options Risk
- Options P&L distributions are skewed, so common metrics like Sharpe ratio misrepresent options risk.
- Greeks (especially delta and theta) provide practical parameters to understand and measure options exposure.
Morning Moves Drive Second Trades
- Most second trades occurred before 10 a.m., showing strong early-morning directional moves.
- Early bullish pops allowed quick profit-taking and frequent re-entry opportunities for zero-day traders.