# A Vol Desk Veteran on 0DTE, Gamma Walls and What Changed in 2026

> Former bank vol desk head Imran Lakha reviews two Option Omega backtests: a VIX-filtered reverse iron condor and a 5/7 double calendar that moved earlier.

- URL: https://optionomega.com/blog/vol-desk-veteran-0dte-gamma-walls/
- Published: 2026-07-28
- Author: Option Omega
- Featuring: Imran Lakha (Founder of Options Insight; 25 years trading index volatility at Credit Suisse, Merrill Lynch and Citi)
- Topics: 0DTE, Reverse Iron Condor, Calendars & Diagonals, Optimizer, Interview
- Video: [A Vol Desk Veteran on 0DTE, Gamma Walls & What's Different in 2026](https://www.youtube.com/watch?v=TUEyk1qFqV8)

## Key points

- Imran Lakha started on a bank derivatives desk in 2001 and later ran desks at Merrill Lynch and Citi; his view is that gamma walls are "partially real" and Black-Scholes for 0DTE is "nonsense."
- Matt optimized about 450–500 variations of a 0DTE reverse iron condor, entered only when VIX fell both overnight and intraday; large areas were positive over the two years before the video.
- A 20-delta 5/7 double calendar fell off in the backtest after the date of the OO video that shared it. At 30 deltas, testing almost 80 entry times in 5-minute steps, earlier entries looked better over the same two years.
- Imran guessed the 5/7 decline came from the market offering the back leg harder, and prefers a suite of trades chosen by market environment over one go-to trade.

In an optimization over the two years before this July 2026 video, a 5/7 double calendar that had stopped working in the backtest looked very different once Matt raised the deltas from 20 to 30 and moved the entry earlier in the day. That was one of two Option Omega backtests Matt put in front of Imran Lakha, who spent years trading index volatility at major banks.

Imran is the founder of Options Insight. Matt asks him about gamma walls, why banks avoid 0DTE, and how institutions decide a strategy is done.

## Lightning round

The conversation opened with quick questions Imran had not seen in advance.

| Question | Imran's answer |
| --- | --- |
| Gamma walls: real or astrology? | Partially real |
| SPX 0DTE: innovation or casino? | Innovation |
| Sell SPX premium in mid-2026? | Yes, but you have to know how to do it safely; the maturity depends on the shape of the surface and the events |
| Most overrated Greek | Probably vanna |
| Black-Scholes for 0DTE | Nonsense |
| Craziest volatility year | 2008 |
| First lesson for a new options trader | Stocks are like trading 45-degree lines; options are like trading curves |

## From bank vol desks to Options Insight

Imran joined Credit Suisse First Boston in 2001 as a graduate, starting on the equity derivatives side and moving into vanilla options. His first book was on the AEX, the Dutch index. Around March 2003, at the start of the Iraq war, the AEX rallied something like 12% in one day. He had inherited a book that was long a lot of gamma, which made it "quite a fun way to start."

He moved to Merrill Lynch around 2006 and traded the FTSE book through the 2008 financial crisis. After a strong 2008, he ended up running the European desk from 2009 to 2011. He later joined Citi around 2013, ran the desk there until 2017, then spent a short time as a macro PM trading options at BlueCrest Capital. After leaving in 2018, he set up Options Insight.

## How 0DTE changed the market

Imran said 0DTE has had "a massive impact" on the market, in ways that surprised him.

- **Asset managers use it to hedge single events.** Rather than pay for a month of protection, they buy an option for the one day of a data point they worry about.
- **More sophisticated vol traders lean toward selling,** because, as he put it, selling 0DTE gets the max return on margin of any vol-selling strategy.
- **Short holding periods.** He sometimes trades 0DTE butterflies, and once one makes 20% return on margin within two hours, he's out.

On 2026, Imran was clear that he was speaking from feel, not from backtests. In 2025, he said, there were a lot of periods when the market was calm for hours, and it was quite easy to make money on a 0DTE theta trade and get out. Now it can feel like the market tests those positions. Traders with staying power might see prices mean revert, but if stop losses are too tight, he said, they get shaken out.

He does not think big banks are behind that; more likely options prop firms and market makers with prop mandates, though he said he has no proof. Most people he knows at big banks "don't ever touch" 0DTE.

## Why banks stay away from 0DTE, in Imran's view

Imran's reason is the risk profile. Gamma is explosive. One bad 0DTE trade can hurt a bank badly, while the bid-offer it earns on the way in is "bloody tiny." In his view, the bank isn't compensated for the risk, so it isn't a smart business decision to be massive in that space.

## Backtest 1: a reverse iron condor when VIX cools off

Matt's question was why so few retail traders take the long side of premium. He buys far out-of-the-money puts every day, and he said that in the month before the video, two puts he bought for a quarter were worth thousands of dollars within the span of a week.

The first backtest was a 0DTE SPX reverse iron condor (RIC): a call debit spread paired with a put debit spread.

| Setting | Value |
| --- | --- |
| Call side | Buy the 50-delta call, sell a call 30 points above |
| Put side | Buy the 35-delta put, sell a put 30 points below |
| Days | Every day except Monday |
| Entry | A window about two hours after the open, only if VIX has fallen overnight and intraday |
| Exit | None; held to expiration |
| Period | The two years before the July 2026 video |

The Optimizer ran about 450–500 variations of the overnight and intraday VIX thresholds. Matt's point was that the result didn't hinge on one setting: there were several large green areas, and he didn't see it as curve-fitted. A broad area of green doesn't rule out overfitting, but it does show the result wasn't confined to a single threshold pair. A plain middle-of-the-range setting of 0.5 and 0.5 had a 12% capture rate over the two years. The signal doesn't trade often, and one of the examples shown had a comparatively bad 2025.

Imran noted that the RIC structure matters. Switching to a long straddle or strangle would likely look "horrendous" by comparison, because the short legs offset a lot of the theta. Matt agreed that, at these deltas, a version built more like a strangle had fallen off dramatically in 2025 and 2026 at the time of the video.

### Profit targets and stops

Imran questioned holding to the close. In his example, late in the day near a short strike, there's not much left to earn, and the trade risks giving most of it back. Matt said he has found it hard to find RICs that benefit from profit targets. An earlier version with separate call and put profit targets did not do as well as riding to expiration, though that was before the Optimizer made testing hundreds of variants easy.

Imran's view: if you're going to use profit targets, you should probably also use stop losses. Otherwise the profit target gives up the max profit on winners while the losers can still reach the max loss. He prefers trades that evolve efficiently through most of the day and does not want to be "at the mercy" of the last half hour. Letting a trade go to the print, in his view, moves from trading into gambling.

His approach is to study a structure's P&L and Greek profile through the day first, then set the parameters to match, rather than backtesting toward whatever shows good results.

## Backtest 2: "Option Omega killed the 5/7s"

The second backtest was a 5/7 double calendar at 20 delta, recreated from an Option Omega video from about two years before this one. Matt raised the slippage and used a leg delta exit, an early exit and a profit target. Run from the date of that video to the time of recording, the trade had fallen off. Some viewers messaged that the video, with about 5,000 views, had killed the trade.

Matt's view: automation can erode edge on very popular setups, where many traders enter the identical trade at the same minute. He doubts one popular backtest changes the volatility structure of the S&P.

Imran's explanation focused on the back leg. His guess is that the trade used to work because the five-day short decayed much faster than the seven-day long, and that the market then noticed the back leg was holding too much value and now sells it more aggressively. By the time the short expires, that two-day option is more offered than before, so the trade does not hold up.

### It moved to the morning

An optimization across the VIX structure at 20 delta looked poor, with only three green boxes. Matt then changed the deltas to 30 and ran entry times in 5-minute increments over the same two years, almost 80 different times. Later entries were worse. Early entries looked much better. That version had a mediocre 2025 and a strong 2026 through the time of the video. Both changes were picked on the same two years they were judged on, so this is an in-sample result.

Imran's read: higher deltas mean selling more gamma and earning more theta, so he took the result as saying that if you're going to sell gamma, sell it early in the day and get out. He does not know why that works better now. He also does not love strategies that only work at a certain time of day unless he can explain why, because then he cannot explain when they go wrong.

## How institutions decide a strategy is done

It depends on the institution, Imran said. Less sophisticated ones want to set and forget, partly because approving a trade takes committees. A hedge fund might change its trades every week.

His own approach is a suite of trades for different market environments, plus a suite of metrics that tell him which environment he is in. He monitors things like dealer positioning and fixed-strike volatility moves. Which trade he picks also depends on personal risk tolerance and time: whether the trade can be checked twice a day or needs watching for three hours.

## Key takeaways

1. **Imran's quick views:** gamma walls are partially real, 0DTE is innovation, and Black-Scholes for 0DTE is nonsense.
2. **In Imran's view, big banks avoid 0DTE** because the gamma risk isn't paid for by the bid-offer.
3. **A VIX-cooling RIC filter** showed broad positive areas across about 450–500 variations in the two years before the video, though the signal doesn't trade often.
4. **The 5/7 double calendar looked better** at 30 deltas with earlier entries than at the original 20 deltas, in an optimization over those same two years.
5. **Imran thinks profit targets should come with stops,** and prefers a suite of trades chosen by market environment rather than one go-to trade.

## Test it yourself

You can rebuild both backtests in Option Omega and run your own optimizations across VIX filters, deltas and entry times with the [Optimizer](https://optionomega.com/blog/option-omega-optimizer-500-backtests/). For another look at RICs, see [0DTE iron condor spread premium targeting](https://optionomega.com/blog/0dte-iron-condor-spread-premium-targeting/), and explore the full [backtesting features](https://optionomega.com/features/backtesting/). Imran's free masterclass and course are at [options-insight.com](https://options-insight.com/).

**[Start a free trial](https://optionomega.com/pricing/)**

*Watch the full video: [A Vol Desk Veteran on 0DTE, Gamma Walls & What's Different in 2026](https://www.youtube.com/watch?v=TUEyk1qFqV8).*

*Backtest results are hypothetical and do not guarantee future performance. Options trading involves substantial risk.*