0DTE
Options that expire on the same session they are traded.
Why it matters: The whole trade lives inside one day, so intraday moves and time decay decide the result.
Guides
Glossary
Definitions as used in 2manyoptions. Descriptive, not trading advice.
How results are modeled: methodology.
Last reviewed: 2026-10-15
Strategy & structure
SPX
The S&P 500 index. Its options are cash-settled and European-style.
Why it matters: No shares change hands: at expiration a position settles in cash to its intrinsic value.
Iron Condor
A put spread sold below the market plus a call spread sold above it, all expiring together.
Why it matters: It collects a premium kept when SPX closes between the short strikes; the long legs cap the loss.
Credit spread
A short option plus a long option further out on the same side.
Why it matters: The long leg caps the loss of the short one.
Wing width
Distance in SPX points between the short and long strike of a spread. Widths come in families (20, 25, 30 or 45, 50, 55): each side takes the width whose price is closest to the premium target, so the put and call sides can differ.
Why it matters: Sets the most a spread can lose: the width minus the credit collected.
Premium target
The credit per spread an entry aims for, in option points: each side is chosen with a mid price within 0.20 of the target, as close to it as possible.
Why it matters: Higher targets put the short strikes closer to the market; the actual entry credit can differ.
Stop multiple (Nx)
A stop on each side of the Iron Condor at (1+N) times the average credit of the two sides: a side is closed when the price to buy it back reaches that level.
Why it matters: With equal credits each side risks N times its own credit; with unequal credits the cheaper side risks more than N times its own and the richer side less. Fills can be worse than the trigger in fast markets.
Profit target
Closing a spread once it has captured a set share of its entry credit (50% or 75%), or holding it to expiration.
Why it matters: Exchanges part of the premium for less time in the market.
Entry time
The scheduled New York time at which an entry is placed.
Why it matters: The same rules behave differently at different times of the session.
Multiple entries
The same Iron Condor repeated at several fixed times in one session, each with its own stop and target.
Why it matters: The day depends less on any single minute.
Bid, ask and mid
The quoted buying and selling sides of the market, and their midpoint.
Why it matters: A quote is an observation, not proof that an order filled there.
Slippage
The modeled difference between a reference price and the fill.
Why it matters: A cost paid on entries and stops, separate from broker commission.
Settlement
At expiration, SPX options settle in cash to their intrinsic value at the close.
Why it matters: A spread that expires out of the money needs no closing trade.
Market & levels
Open interest
Contracts still open at the previous close.
Why it matters: The input behind GEX and the walls; it does not include positions opened during the session.
VIX
Cboe's index of 30-day implied volatility on the S&P 500.
Why it matters: A common read of how much movement the options market is pricing.
VIX regime
Sessions grouped by that day's VIX close: low, normal, elevated, high, very high.
Why it matters: Lets you compare a configuration across calmer and more volatile markets; it is known only after the close.
Expected move
A band around SPX derived from the at-the-money straddle quoted at 09:30 ET.
Why it matters: How far the options market priced the session to move; the close can land inside or outside it.
GEX (gamma exposure)
An estimate of how option hedging would change with a 1% move in SPX, built from open interest and gamma; calls count positive and puts negative by convention.
Why it matters: A structural map of where option positioning is concentrated; it does not observe actual dealer inventory.
Call Wall
The strike above the price with the most call gamma.
Why it matters: Where call positioning is most concentrated above the market; it moves as the price moves.
Put Wall
The strike below the price with the most put gamma.
Why it matters: Where put positioning is most concentrated below the market; it moves as the price moves.
Gamma Flip
The SPX level where net gamma exposure across the chain would turn from positive to negative.
Why it matters: Above it the modeled regime is positive gamma, below it negative; it is a level, not a strike.
FOMC days
Sessions with a scheduled Federal Reserve policy decision.
Why it matters: They can be included or excluded to compare a configuration with and without them.
Metrics
Total trades
Number of trades in the sample.
Why it matters: With few trades, every other number here is fragile.
Total credit
Sum of the entry credits collected, in option price points (×100 for dollars per contract).
Why it matters: It is the premium base behind PCR; more credit is not the same as more profit.
Wins
Trades that closed with P&L above zero, and their share of the sample.
Why it matters: A high share can sit next to large losses; read it with average win and loss.
Losses
Trades that closed with P&L at or below zero, and their share of the sample.
Why it matters: Read it with the average loss: how often and how much come together.
P/L (total P&L)
Total P&L of the sample, in dollars and as a % of a $100,000 reference base.
Why it matters: What the configuration added up over the whole window.
PCR (Premium Capture Rate)
Premium Capture Rate: total P&L ÷ total entry credit × 100.
Why it matters: How much of the premium collected was kept; the base is premium, not account capital.
Avg win
Average P&L of the winning trades.
Why it matters: The typical size of a good outcome; compare it with the average loss.
Avg loss
Average P&L of the losing trades.
Why it matters: The typical size of a bad outcome; compare it with the average win.
Avg profit / trade
Average P&L per trade in the sample.
Why it matters: The size of a typical result; a small average leaves little room for fees and slippage.
Tail loss
Average loss of the worst 5 % of trades, as a percentage of the credit collected.
Why it matters: The size of a typical loss in this sample, apart from the average. Shown from 40 trades.
Calmar ratio
Annualized return ÷ max drawdown.
Why it matters: Relates what was earned to the worst decline on the way; "unavailable" is not zero risk.
Best session
The single session with the highest P&L.
Why it matters: The size of one good day, apart from the average.
Worst session
The single session with the lowest P&L.
Why it matters: The size of one bad day, apart from the average.
Consecutive winning sessions
Longest run of sessions in a row with P&L above zero.
Why it matters: The longest stretch of green days in this sample.
Consecutive losing sessions
Longest run of sessions in a row with P&L at or below zero.
Why it matters: The longest stretch of red days lived through with this rule.
Max drawdown (%)
Largest fall of the equity curve from a previous peak, as a % of that peak ($100,000 base).
Why it matters: The worst run you would have had to sit through in this sample.
Days to recover
Longest time, in calendar days, the curve took to get back to a previous peak.
Why it matters: How long a drawdown lasted, not only how deep it was.
CAR (compound annual return)
Compound annual return of the $100,000 reference equity over the window.
Why it matters: Puts windows of different length on a yearly scale; short windows make it unstable.
Avg Return %
Average P&L per trade as a % of a $100,000 reference base.
Why it matters: Puts configurations on one scale; it is not a compounded or annual return.
Cumulative Return %
Total P&L of the window as a % of the $100,000 base.
Why it matters: What the configuration added up over the whole period, not per trade.
Win rate %
Share of results with P&L above zero.
Why it matters: How often a result was positive, not how large it was.
Stop-out %
Share of results that closed on their stop.
Why it matters: How often the stop was hit; read it with the average P&L.
Total P&L ($)
Sum of P&L in dollars over the window.
Why it matters: The absolute total, which grows with the number of trades.
Max drawdown ($)
Largest fall of the cumulative P&L from a previous peak, in dollars.
Why it matters: The worst run in money terms over the window.
Montecarlo
Measured max drawdown
Max drawdown of the history that actually happened.
Why it matters: The reference the simulated histories are compared against.
Median simulated drawdown
Middle value of the max drawdown across the resampled histories.
Why it matters: A typical drawdown when the same sessions come in a different order.
95th percentile drawdown
Drawdown exceeded in only 5% of the resampled histories.
Why it matters: A plausible bad case beyond the single history that happened.
95th percentile drawdown (% of capital)
The same 95th-percentile drawdown as a % of the reference capital.
Why it matters: Changes with the capital you set; contracts and dollar P&L stay the same.
Chance of drawdown > 20% of capital
Share of resampled histories whose drawdown goes beyond 20% of the reference capital.
Why it matters: How often a deep drawdown shows up when the order of sessions changes.
Chance of exhausting capital
Share of resampled histories whose losses reach the reference capital.
Why it matters: It depends on the capital you set; it does not resize contracts.
Measured worst losing streak
Longest run of losing sessions in the history that actually happened.
Why it matters: The reference for the simulated streaks.
95th percentile losing streak
Losing streak exceeded in only 5% of the resampled histories.
Why it matters: A plausible long streak beyond the one that happened.