SPX Reverse Iron Butterfly Backtest With a VIX Drop and RSI Filter
Is 0DTE dead? Part 2 backtests the McRib, a long SPX reverse iron butterfly that only enters after VIX drops overnight and intraday with RSI between 40 and 70.
Part 2 of the “0DTE Is Dead?” series flips from selling premium to buying it. The trade is the McRib, a 0DTE SPX reverse iron butterfly that Matt said has been shared on the OO show several times. It was last run through November 9. In March 2026, Matt extended the backtest to the day before recording, and his verdict was “this thing’s still live.”
The setup is short: three entry conditions and four days a week. For the rest of the series, see Part 1, the power hour iron condor, Part 3, the non-opening-range-breakout condor, and Part 4, the combined portfolio.
What the McRib is
Matt didn’t come up with the McRib. It comes from the OO community and the OO show, and it is named after the McDonald’s sandwich.
It is a reverse iron butterfly: the trade buys an at-the-money call and put and sells wings further out, paying a debit. Modeling it in Option Omega shows the idea right away: the trade needs SPX to move. It can win to the upside or the downside. If SPX sits still, the debit decays.
The setup
| Setting | Value |
|---|---|
| Underlying | SPX, 0DTE |
| Structure | Reverse iron butterfly (long premium) |
| Long legs | 50-delta call and 50-delta put |
| Wings | 50 points out |
| Days | Tuesday through Friday (no Mondays) |
| Entry window | Floating, within the first hour and a half of the day |
| VIX overnight move | Down at least 0.02 |
| VIX intraday move | Down at least 0.5% |
| RSI | Between 40 and 70 |
The backtest skips Mondays. The margin setting was left the same as in the earlier version of the backtest.
The three filters
VIX overnight move down
The first filter checks whether VIX fell overnight. It compares the VIX open, at 9:32 ET or whenever VIX actually opens since that can vary, against the previous day’s close. VIX only needs to be down a little, at least 0.02.
VIX intraday move down
The second filter requires VIX to also move down during the day, by at least 0.5%. This is why the entry floats across the first hour and a half instead of using one fixed time. The trade waits to see whether that intraday drop happens.
RSI between 40 and 70
The third filter keeps the trade out of extremes. With RSI between 40 and 70, the market isn’t at the extreme oversold or overbought end. Matt was looking for a normal type of day.
Where Matt thinks the edge comes from
Matt’s explanation is simple. On a normal day that is not stretched in either direction, a falling VIX makes options a little cheaper. The trade buys that cheaper premium and hopes for movement.
How it wins and loses
The risk is the debit. The trade can lose the entire amount. Even in the couple of weeks before the video, there were trades that lost most of their value. They did not quite go to zero, but they came close. Going to zero is possible.
The upside is set by the width of the wings. With wings 50 points out, the position’s value can go as high as 50 points (the profit is that less the debit paid), and the trade log shows it does that a nonzero amount of the time.
One replayed trade shows the kind of day the McRib wants. SPX was around 6,969 at entry and finished more than 100 points away. As Matt put it, it’s a trade where you want movement, and it doesn’t really matter which side.
Across the full backtest since SPX daily expirations, which by March 2026 covered what Matt called “a pretty healthy number” of trades, the results showed:
- Bigger winners than losers
- More winners than losers
Why Matt pointed to long premium
Matt aimed this part at short-premium 0DTE traders who worry about stop-loss slippage, broker behavior and stop-order mechanics. In his view, a long premium trade like this is worth a look for them. It has no stop loss, so there’s no stop-order behavior to account for, and the most it can lose is the debit paid. Entry and exit fills still matter.
Matt called it maybe the easiest 0DTE concept to understand. You don’t need to go deep into the Greeks. You want delta. You want action. You want SPX to move, and you don’t care which way.
There are many variations on this idea. Option Omega has covered reverse iron condors (RICs) in other videos, and the same long-premium logic applies. For a related approach to RIC structure, see spread premium targeting on 0DTE iron condors.
Key takeaways
- The McRib is a 0DTE SPX reverse iron butterfly: long 50-delta call and put, wings 50 points out.
- It trades Tuesday through Friday, in the first hour and a half, only after VIX drops at least 0.02 overnight and 0.5% intraday, with RSI between 40 and 70.
- Extended from November 9 to the day before the March 2026 recording, Matt called it “still live.” Across the backtest since daily expirations, it had bigger and more frequent winners than losers.
- The debit is fully at risk. Matt suggests long premium as an alternative for traders worried about stop-loss slippage.
- Matt’s description of the idea: buy slightly cheaper premium on a normal day and hope for a big move.
Testing the filters in OO
These are the filters Matt used in this backtest. In Option Omega, users can model the payoff, backtest different VIX thresholds, RSI ranges and wing widths, compare the results across periods, and automate the rules they tested.
Watch the full video: 0 DTE Is Dead? (Part 2) SPX Iron Butterfly Backtest — VIX Drop + RSI Filter.
Backtest results are hypothetical and do not guarantee future performance. Options trading involves substantial risk.
