3 SPX Options Setups Beyond 0DTE Credit Selling: DLD, DC and RIC
Three SPX backtests for traders heavy in short-vega 0DTE credit trades: a double long diagonal, a double calendar and a 0DTE reverse iron condor.
The week this video was recorded, a single social media post set off a big candle. For 0DTE credit sellers, especially those short far out-of-the-money puts and calls, the bid/ask went very wide, liquidity dried up, and people got stopped out with nasty slippage.
Matt made the video because traders had asked for ideas other than 0DTE credit selling. For a basket of strategies heavy on short-vega, short-gamma 0DTE trades, it’s a quick primer on three different setups to backtest: a double long diagonal, a double calendar and a 0DTE reverse iron condor. Two are not 0DTE at all, and the third is a debit trade that wants the market to move. Each one is covered in more depth in a longer video from Dan Sheridan, a former Cboe market maker; links are below.
Why look beyond 0DTE credit selling
Matt’s case for these setups is diversification. A long-vega time spread, or a debit trade that wants a move, behaves differently from a basket of short-vega credit trades. None of them is meant to be traded as shown. Of the first one, Matt said, “I would not trade this if I were you. I would go do your own backtests and come up with some that make sense.”
Setup 1: The double long diagonal (DLD)
This backtest is an 11/15 double long diagonal, with the shorts at 11 DTE, entered on Mondays and Thursdays.
Most traders who say “diagonal” mean a short diagonal, where the longs sit outside the shorts. A long diagonal is the opposite: the longs are inside the shorts. That makes it both a time spread and a vertical spread, because the long and short legs use different strikes as well as different expirations.
Why the DLD is long vega, and why that vega grows
The structure changes how vega and theta behave compared with a calendar:
- Vega grows over time. The 11 DTE shorts bleed vega faster than the longer-dated longs, so as time passes the position gets more net long the back-month options.
- The tent can sag in the middle, like a calendar.
- Theta shifts. As time passes, theta gets more negative in the middle of the tent and more positive out under the wings.
That vega profile is why it may interest a trader whose other strategies are mostly short vega.
Entry filters and rails
The entry rules are light:
- A minimum short/long setting, so there is enough premium (“juice”) in the shorts relative to the longs.
- A VIX regime filter: enough premium in the shorts, but no entries in very high VIX.
- Only certain days of the week, because the 11/15 timing does not work well on every day.
Most of the rules are in the exits (“rails”):
| Rail | What it does |
|---|---|
| Profit target | Probably does not trigger often, but it does happen |
| Short/long ratio exit | Closes the trade when the tent sags, which can be for a win or a small loss |
| Delta exit | Closes the trade based on the position’s delta |
| Timed exit | Closes a little before the close on the last day, a safety rail it rarely reaches |
One profit-target example from the year-to-date backtest went on March 16 and came off 9 days later. Because it’s a long-vega trade, Matt said lining it up against the VIX chart did a very good job of showing what happened. During a sharp rally, the trades that hit the delta exit still did fine, with three of the four closing as winners. Depending on when in the trade the move happens, a long diagonal reacts differently from both a short diagonal and a calendar.
Dan’s full walkthrough: Double Long Diagonal deep-dive. For more on long diagonals, see Tom Lei and Dan on long diagonal spreads.
Setup 2: The double calendar (DC)
To make this backtest a true double calendar, exact DTE and exact strike offset are both turned on, so every trade uses exact calendarized spreads.
In live trading, exact strike offsets are often not available. One leg may end up five points to the inside or outside. Matt called that “a great starting point”; in his model, one leg was five points off, making it a calendar on one side and an inside (long) diagonal on the other. With exact offsets required, this backtest hadn’t run much in 2026 at the time of the video, though Matt said it had still done pretty well. Removing those requirements gives more trades, though some won’t be pure double calendars.
Results and rules:
- Capture rate: 11% year to date, as of the May 2026 recording.
- Entry filters: similar to the DLD, including an RSI filter and a minimum short/long setting.
- Rails: a timed exit, a short/long exit when too much of the premium has come out, and a delta exit. In 2026 through the recording, no trade had made it to the timed exit before another rail closed it.
On Greeks, this setup is still a little long delta and long vega, but the tent sag and theta behave differently than on the DLD. A true double calendar uses the same strike for the short and long legs on both the put side and the call side, so it is a simpler structure.
DLD or DC: which one?
Asked to pick only one, with no restrictions, Matt would probably pick the double calendar. He has traded them a lot and is comfortable with them, and in his view they can be more robust in general market conditions. The two serve different roles, though, because the DLD’s vega profile is different. Hybrids can also be backtested, such as one side a calendar and the other a diagonal.
Dan’s full walkthrough: Double Calendar deep-dive. For a portfolio built mostly from double calendars, see Dan Sheridan and David Romeo on correlation and tail risk.
Setup 3: The 0DTE reverse iron condor (RIC)
The third setup is 0DTE and the simplest to explain. A reverse iron condor buys a put debit spread and a call debit spread. It has a “tent of death” payoff: it needs SPX to move.
| Setting | This backtest |
|---|---|
| Underlying | SPX, 0DTE |
| Structure | Long put debit spread + long call debit spread |
| Width | Each spread half a percent wide |
| Strikes | Call spread at the money; put spread a little further out of the money |
| Entry triggers | An overnight VIX move and an intraday VIX move |
| Max premium | $15 |
| Exits | None (“ride or die” or “no touch”), with slippage applied |
The max premium is the main filter. A VIX filter would do something similar. Both limit entries to a certain environment, which is why it hadn’t entered many trades in 2026 at the time of the video. Matt said the concept had still held up pretty well.
Matt was blunt that these are “big dumb numbers” and that there are much better RICs to be found. The settings he listed to vary in a backtest: widths, delta-based strike selection, and the VIX and premium requirements, loosened for more trades. For other takes on this structure, see beyond 0DTE iron condors: RIC, Stalingrad and Scorpion and spread premium targeting.
Dan’s original video: RIC video.
All three in a portfolio
To finish, the three backtests went into one year-to-date portfolio. All three had done okay in 2026 through the recording. None of them traded a lot, which Matt put down to that year’s market: the portfolio had about 50 trades, far fewer than he’d expect compared with the same time the year before. The goal was not to show a finished portfolio, just to point traders toward trade types they may not have tested yet.
Key takeaways
- The video’s focus was diversifying away from short vega. The week it was recorded, liquidity dried up on far out-of-the-money 0DTE options after a single social media post.
- The double long diagonal is long vega, and that vega grows as the shorts decay faster than the longs.
- The double calendar is simpler and, in Matt’s view, can be more robust. It’s his pick if he could trade only one.
- The 0DTE RIC is a debit trade that needs a move, filtered here by VIX moves and a $15 max premium.
- Both time spreads rely on rails. Short/long ratio exits, delta exits and timed exits closed the trades in these backtests.
- The numbers aren’t meant to be traded as shown. Matt presented them as starting points for backtests.
Build your own versions
Each of these setups can be built and changed in the Option Omega backtester, including exact DTE, exact strike offset, short/long ratio exits and delta exits, then combined in a portfolio to see how they fit with the 0DTE trades you already run.
Watch the full video: 3 SPX Options Setups Beyond 0DTE Credit Selling.
Backtest results are hypothetical and do not guarantee future performance. Options trading involves substantial risk.
