SPX 0DTE: The Lunchtime Flip Is Worse Than a Coin Flip

We wanted to know what usually happens when the S&P 500 flips from green to red or from red to green during the middle of the day.

We checked the index across 1,471 trading days from July 2020 to June 2026.

On 47% of those days, the index never flipped at all.

On the days when it did flip, the new direction held through the close 55.5% of the time.

That edge is not the same all day. Around lunch, the index is more likely to reverse after the first cross instead of holding the new direction.

At lunch, the flip fails more than it holds

First flips during the lunch hour behaved differently from the rest of the day.

Between 12:15 and 1:30 PM, the first flip held into the close only 44.4% of the time. It reversed more often than it stuck.

Flips at the open held 54% of the time, late morning 58%, and early afternoon 55%. All three are close to the overall 55.5% rate.

First-flip hold rate by time of day. Lowest at lunch, 44 percent.

How often the first flip of the day held to the close, by time window. The lunch window held just 44%, below every other stretch. All-day average across 784 first-flip sessions: 55.5%.

Time window	First flips	Held to close
9:45 – 10:45 AM	461	54.2%
11:00 AM – 12:00 PM	141	58.2%
12:15 – 1:30 PM	81	44.4%
1:45 – 3:00 PM	58	55.2%
3:15 – 4:00 PM	43	81.4%

Why midday is different

The most likely reason is the drop in trading volume around midday.

Volume is usually highest at the open and into the close, and thinnest during lunch periods. A cross of the prior close during this quiet period carries less conviction and reverses more often than one backed by real trading flow.

By the time heavier volume returns in the afternoon, many of those midday crosses have already been undone.