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SPX structure · SPXW option quotes · 2005–2026

The price pattern now has an option test.

Twenty-one years of SPX history identified a selective ORB20 setup. Four years of one-minute SPXW quotes now show how its actual 0DTE credit spreads behaved from entry to exit.

See the option results How this was tested

Important: historical midpoint replay is evidence, not a promise of live fills or future profit. Figures are before fees.

The range acceptance test A simplified bullish example. The bearish version is the mirror image.
ORB20 breakout and pullback diagram Price forms a twenty-minute range, confirms at least fifteen percent above it, triggers, then either holds or pulls into the middle warning zone. 15% acceptance line ORB20 high Middle warning zone ORB20 low Strong close Evidence before entry Shallow retest Usually tolerable Deep return = warning
28.3mreal option quote rows
969priced BO1 spreads
408preferred-candidate trades
5 / 5positive calendar years

The new evidence · 2 May 2022–21 August 2026

The preferred paper model: one core, one extension

The original bracket was barely positive. The research now points to a 408-trade core—non-neutral opening, strong confirmation, first breakout only—and a separate weak-break rescue route that is interesting but not yet part of the validated headline.

Preferred candidate · one contract · before fees +$4,933

408 midpoint-priced trades · +$12.09 average · profit factor 1.34 · maximum drawdown −$698

+$13.50per trade
May 2022–2023 development
+$11.06per trade
2024–Aug 2026 validation
The complete rule in plain English
  1. Use the first ORB20 breakout only.Opening range is 09:30–09:50 ET.
  2. Skip a neutral opening.Classify bias from the 09:45 close inside the 09:30–09:50 ORB20 window; skip the middle 40–60%.
  3. Demand a strong confirmation.Its close must be at least 15% of ORB width beyond the boundary.
  4. Wait for the later trigger.A later 5-minute bar must break the confirmation candle’s extreme before noon.
  5. Sell one normal $5 spread.Bullish SPX break → put credit spread; bearish break → call credit spread. Seek $1.20–$1.40, nearest $1.30; fall back to $1.00–$1.19, then $1.41–$1.50. Reject credits outside $1.00–$1.50.
  6. Seek 70% profit; stop at 1.5× credit.A $1.30 entry means roughly a $0.39 closing debit target and $1.95 stop debit. If neither is reached, flatten at the session close.
RulesTradesAverageProfit factorDrawdown
Original bracketAll BO1 · 50% target · 2× stop969+$2.041.05−$2,602
Preferred candidateNon-neutral · 15%+ · 70% target · 1.5× stop408+$12.091.34−$698
Midpoint replay+$4,933

408 trades · gross result before fees and slippage.

Hypothetical $4 round trip+$3,301

Approximately +$8.09 per trade; exact costs were not applied.

Natural bid/ask replay−$30,130

968 trades · deliberately pessimistic worst-side result.

What this proves: the 408-trade core stayed positive in both the development and chronological validation periods, and in every represented calendar year. What it does not prove: exact live fills, fees, or future performance. The midpoint result is optimistic; the natural bid/ask result is a harsh bound. BO2 and BO3 remain excluded until their historical timing is corrected.

New research · what to do after the first break

One core route. One paper-only rescue.

Imagine the opening range as a fence. Price must close on the other side of that fence. A tiny step over it is not enough—but it does not always mean the idea is dead.

Core route · 408-trade option replay

The first close is strong

  1. Price closes outside the range.That close is at least 15% of the opening range beyond the edge.
  2. Wait for proof.A later candle must move past the strong candle’s furthest point.
  3. Then consider the trade.The strong close is the signal to watch—not the moment to enter.

408 trades+$12.09 average before fees

Extension · paper-only candidate

The first close is too small

  1. Do nothing yet.Keep watching only if the next candle also closes outside the same edge.
  2. Ask for a third outside close.It must finish at least 10% of the range beyond the edge.
  3. Wait for proof again.A later candle must move past that third candle’s furthest point.

161 trades+$2,995 gross · +$18.60 average · PF 1.57

A simple example

If the range is 20 points wide…

A strong first close needs to finish 3 points beyond the edge. If it does not, the patient route needs three closes in a row outside the range, with the third at least 2 points beyond the edge.

Stop watching this rescue route if:
  • either waiting candle closes back inside the range;
  • price breaks through the opposite side; or
  • the later trigger has not happened before noon.

Keep this separate from the core: the rescue route is not included in the validated 408-trade headline. Adding it would produce 569 trades and +$7,928 gross midpoint replay, but the 10% threshold was the best tested cell in a sweep. The safer conclusion is to freeze it as a separate paper test—not to treat the combined result as validated or live-ready.

What survived scrutiny

Five findings that change how to read the setup

The useful signals describe market acceptance and structure. Most familiar indicators—including VIX and RSI—were weaker on their own.

01

Demand a meaningful close

A close barely outside ORB20 was weak. The clearest practical threshold tested was a close at least 15% of the ORB20 width beyond the boundary.

All first breakouts, 2021–2661.0%
15%+ confirmation, 2021–2664.3%
Under 5%, full sample54.5%
02

Neutral openings are a warning

When the opening range had no clear directional bias, only 51.3% of first breakouts remained beyond the range at the close, versus a 57.9% long-sample baseline.

Repeatable weak condition

03

Large gaps can provide useful context

A gap at least 1.5 times ORB20 reached 64.5% close persistence. When the breakout also followed the gap direction, the pairwise result reached 70.2%.

Promising · needs paper test

04

Compression can precede cleaner expansion

A prior NR7—yesterday had the narrowest range of the last seven sessions—improved close persistence to 60.6%. Prior inside days also improved run-versus-give-back.

Stable supporting context

05

Pullback depth matters more than pullback speed

After a strong confirmation, a shallow retest was usually acceptable. A later close reaching the middle of ORB20 or deeper changed the character of the setup.

77.3%closed beyond ORB20 when no deep pullback developed
43.3%closed beyond ORB20 after a middle-zone return
The 43.3% result was nearly identical in the focused study’s early and recent periods: 43.1% in 2021–23 and 43.6% in 2024–26.

Before the entry

When the next candle does not trigger

Do not assume the setup has failed. What price does inside ORB20 tells us mainly whether an entry is still likely to appear—not whether that later entry will win.

Original direction

The deeper the return, the less likely the original trigger

Close less than 20% inside86.5%later triggered
Close 20–40% inside81.6%later triggered
Middle or deeper53.2%later triggered

How to read this: depth is a warning that the entry may never arrive. If the original trigger is eventually broken, the data does not yet justify cancelling it solely because of the pullback.

Complete reversal

Crossing the whole range creates an entry—but not a clean one

15%+ first close→crosses ORB20→opposite trigger
90.6%of 106 reversals triggered on the opposite side
53.1%finished beyond that opposite boundary
47.9%had more favourable movement than give-back

Plain conclusion: the opposite trigger is common, but its follow-through is close to a coin toss. A stronger opposite close did not improve it, so this is not a high-confidence reversal trade.

Original versus research-informed

A candidate playbook with historical option evidence

The option replay supports a simpler first-breakout strategy with explicit entry-quality and exit rules. It remains a paper-forward candidate, not a guarantee.

Original

Default Popper

  1. Build ORB20High and low of 09:30–09:50 ET.
  2. Accept any close outsideNo minimum distance or body size.
  3. Enter on the next breakA later bar breaks the confirmation candle.
  4. Allow up to three setupsIncluding later or opposite-direction attempts.
  5. Stop looking at noonORB bias and VIX are recorded, not filters.
Research-informed candidate

Acceptance Popper

  1. Keep ORB20ORB10 was noisier; ORB30 traded less; ORB15 and ORB20 were effectively tied.
  2. Require a non-neutral openingThe 09:45 close must finish above 60% or below 40% of the ORB20 range.
  3. Require a 15%+ confirmationEvidence of acceptance, not merely a wick or marginal close outside.
  4. Keep the weak-break rescue separateIt is a paper-only extension, not part of the validated 408-trade core; its 10% threshold was selected after a bounded sweep.
  5. Take BO1 onlyLater breakout option results are deliberately excluded until their timing replay matches the bot.
  6. Keep the normal spread selection$5 wide, seeking $1.20–$1.40 credit and preferring $1.30.
  7. Change the bracketSeek 70% profit and stop at 1.5× entry credit.

Recommended next action: freeze the core and paper-test the rescue as a separate route. Do not add VIX or ORB-size skips. No live bot rules have been changed.

Evidence ledger

How confident should you be?

Not every attractive percentage deserves equal trust. This ledger separates broad, stable findings from ideas that need a fresh test.

IdeaEvidenceHow to use it
Keep ORB2010/15/20/30-minute comparisonStrongNo duration produced a compelling replacement.
Avoid marginal closesUnder 5% was weak across long historyStrongUse confirmation distance as an entry-quality gate.
15%+ confirmationFocused 2021–26 studyPromisingPaper-test as the explicit threshold; do not over-optimise it.
70% / 1.5× option bracketStudy 14 variant comparisonPreferredUse for the paper model: it improved average result and reduced drawdown versus the original bracket.
Patient weak-break route161 option trades; selected after a sweepPaper-onlyKeep separate while testing three outside closes, with the third at least 10% beyond the range.
Missed next-bar trigger389 delayed entries across 2005–26SupportedKeep the original trigger active. An inside close lowers the chance of entry, but does not reliably invalidate a later trigger.
Pre-entry pullback depth232 attempts with an inside closeUseful warningUse depth to judge whether an entry is still likely—not as a proven cancellation rule.
Full opposite reversal106 cases; 96 opposite triggersWeak trade qualityThe trigger is common, but clean follow-through was only 47.9%.
Deep pullback warning43.1% / 43.6% early-recent stabilityStrong path signalTest as management after entry, not as an entry filter.
Large aligned gapBest pairwise long-sample resultHypothesisUse as supporting context until independently validated.
VIX skip ruleBroad bands barely separated resultsNot supportedVIX changes point magnitude, but no standalone skip rule is justified.
ORB-size skipTiny ORBs were not weak in Study 15Not supportedKeep ORB size as context; do not skip tiny, typical, or large ranges.
Live paper journal8 SIM trades under the old bracketSeparate evidence+$57 is a sanity check, not validation of the preferred 70% / 1.5× replay.

Method, without the jargon

What the numbers actually measure

Price data

Cash SPX five-minute candles from 2005–2026, plus one-minute SPXW 0DTE bid/ask quotes from May 2022–August 2026.

A trigger

First, a candle closes beyond ORB20. Then a later candle breaks the confirmation candle’s extreme before noon.

Follow-through

Price is still beyond the relevant opening-range boundary at noon or the cash close.

Stability check

Highlighted long-sample effects had to point the same way in 2005–18, 2019–23 and 2024–26.

How was the option result replayed?

The entry uses the first available one-minute SPXW quote at or after the completed five-minute trigger bar. Results use the selected spread’s midpoint and observe target or stop on one-minute quotes; if neither is reached, the replay exits at the last valid quote near session close. This is a historical proxy, not a record of executable fills.

What does “15% beyond the range” mean?

If ORB20 is 20 SPX points wide, 15% is 3 points. A bullish confirmation would need to close 3 points above the ORB20 high. A bearish confirmation would need to close 3 points below its low.

What is the middle warning zone?

It starts 40% of the way back through ORB20 from the broken boundary. On a 20-point range, that begins 8 points inside. It is the same middle 20% used by the original setup’s retracement logic.

Why not just choose the highest percentage?

Thousands of combinations were tested. Some winners will occur by chance. Single factors are more credible than combinations, and every proposed rule still needs a frozen forward paper test.

The honest boundary

This is a one-minute midpoint replay—not a fill guarantee.

The archive now contains 28.3 million real SPXW 0DTE quote rows. It can reconstruct spread selection and minute-by-minute targets and stops, but not the exact order of prices inside a minute.

The preferred candidate averaged $12.09 gross per trade. A hypothetical $4 round-trip cost reduces the result to about $8.09 per trade, while a natural bid/ask replay lost $30,130. Neither is an exact live-fill estimate, so the rules still need frozen forward paper validation.

What remains before live use?
  • Exact commissions and exchange fees
  • Realistic fill and slippage sensitivity
  • Frozen forward paper validation
  • Corrected BO2 and BO3 timing before testing them