80% Win Rate 1DTE ATM SPY Straddle Strategy: A Simple and Straightforward Short-Term Play Here’s the straightforward logic: - Buy an at-the-money SPY straddle near the closing price (e.g., if the close is 740.83, buy the 741 straddle). - Time window: Within 15 minutes after market close (4:05-4:10 PM ET). - Close the position the next day between 10-11:30 AM. Key advantages: - Overnight theta decay is almost negligible. - Morning IV usually spikes. - The losing leg is typically offset by the winning leg, with daily returns ranging from 1-15%. But watch out for “risk event days” — FOMC decisions, elections, non-farm payroll releases, etc. On these days, the strategy won’t work because the market prices in the events ahead of time, and actual volatility is often below 1%.
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